WIP

.github/dependabot.yml

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+# https://docs.github.com/github/administering-a-repository/configuration-options-for-dependency-updates
+version: 2
+updates:
+  - package-ecosystem: "github-actions"
+    directory: "/" # Location of package manifests
+    schedule:
+      interval: "weekly"

.github/workflows/CI.yml

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+name: CI
+on:
+  push:
+    branches:
+      - main
+    tags: ['*']
+  pull_request:
+  workflow_dispatch:
+concurrency:
+  # Skip intermediate builds: always.
+  # Cancel intermediate builds: only if it is a pull request build.
+  group: ${{ github.workflow }}-${{ github.ref }}
+  cancel-in-progress: ${{ startsWith(github.ref, 'refs/pull/') }}
+jobs:
+  test:
+    name: Julia ${{ matrix.version }} - ${{ matrix.os }} - ${{ matrix.arch }} - ${{ github.event_name }}
+    runs-on: ${{ matrix.os }}
+    timeout-minutes: 60
+    permissions: # needed to allow julia-actions/cache to proactively delete old caches that it has created
+      actions: write
+      contents: read
+    strategy:
+      fail-fast: false
+      matrix:
+        version:
+          - '1.10'
+          - '1.6'
+          - 'nightly'
+        os:
+          - ubuntu-latest
+        arch:
+          - x64
+    steps:
+      - uses: actions/checkout@v4
+      - uses: julia-actions/setup-julia@v1
+        with:
+          version: ${{ matrix.version }}
+          arch: ${{ matrix.arch }}
+      - uses: julia-actions/cache@v1
+      - uses: julia-actions/julia-buildpkg@v1
+      - uses: julia-actions/julia-runtest@v1

.github/workflows/CompatHelper.yml

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+name: CompatHelper
+on:
+  schedule:
+    - cron: 0 0 * * *
+  workflow_dispatch:
+jobs:
+  CompatHelper:
+    runs-on: ubuntu-latest
+    steps:
+      - name: Pkg.add("CompatHelper")
+        run: julia -e 'using Pkg; Pkg.add("CompatHelper")'
+      - name: CompatHelper.main()
+        env:
+          GITHUB_TOKEN: ${{ secrets.GITHUB_TOKEN }}
+          COMPATHELPER_PRIV: ${{ secrets.DOCUMENTER_KEY }}
+        run: julia -e 'using CompatHelper; CompatHelper.main()'

.github/workflows/TagBot.yml

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+name: TagBot
+on:
+  issue_comment:
+    types:
+      - created
+  workflow_dispatch:
+    inputs:
+      lookback:
+        default: "3"
+permissions:
+  actions: read
+  checks: read
+  contents: write
+  deployments: read
+  issues: read
+  discussions: read
+  packages: read
+  pages: read
+  pull-requests: read
+  repository-projects: read
+  security-events: read
+  statuses: read
+jobs:
+  TagBot:
+    if: github.event_name == 'workflow_dispatch' || github.actor == 'JuliaTagBot'
+    runs-on: ubuntu-latest
+    steps:
+      - uses: JuliaRegistries/TagBot@v1
+        with:
+          token: ${{ secrets.GITHUB_TOKEN }}
+          ssh: ${{ secrets.DOCUMENTER_KEY }}

.gitignore

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+/Manifest.toml

LICENSE

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+MIT License
+
+Copyright (c) 2024 FemtoTrader <[email protected]>
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

Project.toml

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+name = "OnlinePortfolioAnalysis"
+uuid = "d39dbdee-9d7b-4a6f-a064-c0eaa0a6e939"
+authors = ["FemtoTrader <[email protected]>"]
+version = "1.0.0-DEV"
+
+[deps]
+OnlineStatsBase = "925886fa-5bf2-5e8e-b522-a9147a512338"
+
+[compat]
+julia = "1.6.7"
+
+[extras]
+Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
+
+[targets]
+test = ["Test"]

README.md

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+# OnlinePortfolioAnalysis
+
+[![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)

src/OnlinePortfolioAnalysis.jl

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+module OnlinePortfolioAnalysis
+
+using OnlineStatsBase
+
+export SimpleAssetReturn
+export LogAssetReturn
+export StdDev
+
+export fit!, value
+
+abstract type PortfolioAnalysis{T} <: OnlineStat{T} end
+
+include("asset_return.jl")
+include("std_dev.jl")
+
+include("value_at_risk.jl")
+
+end

src/asset_return.jl

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+mutable struct SimpleAssetReturn{T} <: PortfolioAnalysis{T}
+    value::Union{Missing,T}
+    n::Int
+
+    ready::Bool
+
+    period::Int
+
+    input_values::CircBuff
+
+    function SimpleAssetReturn{T}(; period::Int=1) where {T}
+        input_values = CircBuff(T, period + 1, rev = false)
+        new{T}(missing, 0, false, period, input_values)
+    end
+end
+
+function OnlineStatsBase._fit!(stat::SimpleAssetReturn, data)
+    fit!(stat.input_values, data)
+    stat.n += 1
+    if stat.n > stat.period
+        data_prev = stat.input_values[end-stat.period]
+        stat.value = (data - data_prev) / data_prev
+        return stat.value
+    else
+        stat.ready = true
+        stat.value = missing
+        return stat.value
+    end
+end
+
+
+
+mutable struct LogAssetReturn{T} <: PortfolioAnalysis{T}
+    value::Union{Missing,T}
+    n::Int
+
+    ready::Bool
+
+    period::Int
+
+    input_values::CircBuff
+
+    function LogAssetReturn{T}(; period::Int=1) where {T}
+        input_values = CircBuff(T, period + 1, rev = false)
+        new{T}(missing, 0, false, period, input_values)
+    end
+end
+
+function OnlineStatsBase._fit!(stat::LogAssetReturn, data)
+    fit!(stat.input_values, data)
+    stat.n += 1
+    if stat.n > stat.period
+        data_prev = stat.input_values[end-stat.period]
+        stat.value = log(data / data_prev)  # log=ln (Neperian log not decimal log)
+        return stat.value
+    else
+        stat.ready = true
+        stat.value = missing
+        return stat.value
+    end
+end

src/std_dev.jl

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+mutable struct StdDev{T} <: PortfolioAnalysis{T}
+    value::T
+    n::Int
+
+    variance::Variance
+
+    function StdDev{T}() where {T}
+        variance = Variance()
+        new{T}(1, 0, variance)
+    end
+end
+
+function OnlineStatsBase._fit!(stat::StdDev, data)
+    fit!(stat.variance, data)
+    stat.n += 1
+    stat.value = sqrt(value(stat.variance))
+end

test/runtests.jl

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+using OnlinePortfolioAnalysis
+using OnlineStatsBase
+using Test
+
+const ATOL = 0.0001
+const TSLA = [235.22,264.51,225.16,222.64,236.48,208.40,226.56,229.06,245.24,258.49,371.33,381.58,352.26]
+const NFLX = [540.73,532.39,538.85,521.66,513.47,502.81,528.21,517.57,569.19,610.34,690.31,641.90,602.44]
+const MSFT = [222.42,231.96,232.38,235.77,252.18,249.68,270.90,284.91,301.88,281.92,331.62,330.59,336.32]
+const weights = [0.4, 0.4, 0.2]
+
+@testset "OnlinePortfolioAnalysis.jl" begin
+    @testset "SimpleAssetReturn" begin
+        stat = SimpleAssetReturn{Float64}()
+        fit!(stat, TSLA[1])
+        fit!(stat, TSLA[2])
+        @test round(value(stat), digits=4) == 0.1245
+    end
+
+    @testset "SimpleAssetReturn with period=3" begin
+        stat = SimpleAssetReturn{Float64}(period=3)
+        fit!(stat, TSLA[1])
+        fit!(stat, TSLA[2])
+        fit!(stat, TSLA[3])
+        fit!(stat, TSLA[4])
+        @test isapprox(value(stat), (222.64 - 235.22) / 235.2, atol=ATOL)
+    end
+
+    @testset "LogAssetReturn" begin
+        stat = LogAssetReturn{Float64}()
+        fit!(stat, TSLA[1])
+        fit!(stat, TSLA[2])
+        @test isapprox(value(stat), 0.1174, atol=ATOL)
+    end
+
+    @testset "StdDev" begin
+        stat = StdDev{Float64}()
+        fit!(stat, TSLA)
+        @test isapprox(value(stat), 60.5448, atol=ATOL)
+    end
+
+    @testset "MeanReturn" begin
+        stat = Mean()
+        fit!(stat, TSLA)
+        @test isapprox(value(stat), 265.9177, atol=ATOL)
+    end
+
+    @testset "GeometricMeanReturn" begin
+
+    end
+
+
+end