WIP Moments

femtotrader · Apr 23, 2024 · 7cbd0f8 · 7cbd0f8
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diff --git a/Project.toml b/Project.toml
@@ -7,6 +7,8 @@ version = "1.0.0-DEV"
 OnlineStats = "a15396b6-48d5-5d58-9928-6d29437db91e"
 OnlineStatsBase = "925886fa-5bf2-5e8e-b522-a9147a512338"
 Rocket = "df971d30-c9d6-4b37-b8ff-e965b2cb3a40"
+Statistics = "10745b16-79ce-11e8-11f9-7d13ad32a3b2"
+StatsBase = "2913bbd2-ae8a-5f71-8c99-4fb6c76f3a91"
 
 [compat]
 julia = "1.6.7"

diff --git a/test/runtests.jl b/test/runtests.jl
@@ -292,5 +292,35 @@ const weights = [0.4, 0.4, 0.2]
 
     end
 
+    @testset "Moments" begin
+        using Statistics, StatsBase
+
+        source = from(TSLA)
+        _ret = SimpleAssetReturn{Float64}()
+        _moments = Moments()
+
+        mapped_source =
+            source |>
+            map(Union{Missing,Float64}, price -> (fit!(_ret, price);
+            value(_ret))) |>
+            filter(!ismissing) |>
+            map(Any, r -> (fit!(_moments, r);))
+
+        function observer(value)
+            println(value)
+            println((mean=Statistics.mean(value), std=0.0, skewness=StatsBase.skewness(value), kurtosis=StatsBase.kurtosis(value)))
+            println("")
+        end
+        subscribe!(mapped_source, observer)
+
+        #moments = 
+        @test moments.mean =  0.0431772
+        @test moments.std = 0.1496
+        @test moments.skewness = 1.3688
+        @test moments.kurtosis = 2.1968
+        #@test all(isapprox.(drawdowns, expected_drawdowns, atol = ATOL))
+
+    end
+
 
 end