WIP

femtotrader · Apr 23, 2024 · fd32bbd · fd32bbd
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diff --git a/Project.toml b/Project.toml
@@ -1,4 +1,4 @@
-name = "OnlinePortfolioAnalysis"
+name = "OnlinePortfolioAnalytics"
 uuid = "d39dbdee-9d7b-4a6f-a064-c0eaa0a6e939"
 authors = ["FemtoTrader <[email protected]>"]
 version = "1.0.0-DEV"

diff --git a/README.md b/README.md
@@ -1,3 +1,18 @@
-# OnlinePortfolioAnalysis
+# OnlinePortfolioAnalytics
 
-[![Build Status](https://github.com/femtotrader/OnlinePortfolioAnalysis.jl/actions/workflows/CI.yml/badge.svg?branch=main)](https://github.com/femtotrader/OnlinePortfolioAnalysis.jl/actions/workflows/CI.yml?query=branch%3Amain)
+[![Build Status](https://github.com/femtotrader/OnlinePortfolioAnalytics.jl/actions/workflows/CI.yml/badge.svg?branch=main)](https://github.com/femtotrader/OnlinePortfolioAnalytics.jl/actions/workflows/CI.yml?query=branch%3Amain)
+
+This project implements aims to provide users with functionality for performing quantitative portfolio analytics via [online algorithms](https://en.wikipedia.org/wiki/Online_algorithm).
+
+It depends especially on [OnlineStatsBase.jl](https://joshday.github.io/OnlineStats.jl/)
+
+It's inspired by the following projects:
+
+- Julia
+ - PortfolioAnalytics.jl https://github.com/doganmehmet/PortfolioAnalytics.jl
+- R
+ - PerformanceAnalytics https://cran.r-project.org/web/packages/PerformanceAnalytics/
+ - PortfolioAnalytics https://cran.r-project.org/web/packages/PortfolioAnalytics/
+- Python
+ - pyfolio https://github.com/quantopian/pyfolio
+ - empyrical https://quantopian.github.io/empyrical
diff --git a/src/OnlinePortfolioAnalytics.jl b/src/OnlinePortfolioAnalytics.jl
@@ -1,4 +1,4 @@
-module OnlinePortfolioAnalysis
+module OnlinePortfolioAnalytics
 
 using OnlineStatsBase
 

diff --git a/src/asset_return.jl b/src/asset_return.jl
@@ -28,8 +28,6 @@ function OnlineStatsBase._fit!(stat::SimpleAssetReturn, data)
     end
 end
 
-
-
 mutable struct LogAssetReturn{T} <: PortfolioAnalysis{T}
     value::Union{Missing,T}
     n::Int

diff --git a/test/runtests.jl b/test/runtests.jl
@@ -1,4 +1,4 @@
-using OnlinePortfolioAnalysis
+using OnlinePortfolioAnalytics
 using OnlineStatsBase
 using Rocket
 using Test
@@ -51,7 +51,7 @@ const MSFT = [
 ]
 const weights = [0.4, 0.4, 0.2]
 
-@testset "OnlinePortfolioAnalysis.jl" begin
+@testset "OnlinePortfolioAnalytics.jl" begin
     @testset "SimpleAssetReturn" begin
         @testset "SimpleAssetReturn with period=1" begin
             stat = SimpleAssetReturn{Float64}()
-Original file line number
+Diff line change
@@ Expand Up / @@ -28,8 +28,6 @@ function OnlineStatsBase._fit!(stat::SimpleAssetReturn, data) @@
         end
     end
     mutable struct LogAssetReturn{T} <: PortfolioAnalysis{T}
         value::Union{Missing,T}
         n::Int
@@ Expand Down @@