factor: trim using lists

[factor.git] / extra / math / finance / finance.factor

diff --git a/extra/math/finance/finance.factor b/extra/math/finance/finance.factor
index 75ea69386269964c158ecbd4633aa9aa89aecae0..e1566f60273be1fe1d1686e8076116b090bcd86d 100644 (file)
--- a/extra/math/finance/finance.factor
+++ b/extra/math/finance/finance.factor
@@ -1,36 +1,57 @@
-! Copyright (C) 2008 John Benediktsson
-! See http://factorcode.org/license.txt for BSD license
+! Copyright (C) 2008 John Benediktsson, Doug Coleman.
+! See http://factorcode.org/license.txt for BSD license.
+USING: grouping kernel math math.statistics math.vectors
+sequences ;
+IN: math.finance
 
-USING: arrays kernel grouping math math.statistics sequences ;
+: sma ( seq n -- newseq )
+    clump [ mean ] map ;
 
-IN: math.finance
+<PRIVATE
 
-: enumerate ( seq -- newseq )
-    #! Returns a sequence where each element and its index
-    -1 swap [ [ 1+ ] dip swap [ 2array ] keep swap ] { } map-as swap drop ;
+: weighted ( prev elt a -- newelt )
+    [ 1 swap - * ] [ * ] bi-curry bi* + ; inline
+
+: a ( n -- a )
+    1 + 2 swap / ; inline
+
+PRIVATE>
 
 : ema ( seq n -- newseq )
-    #! An exponentially-weighted moving average:
-    #! A = 2.0 / (N + 1)
-    #! EMA[t] = (A * VAL[t]) + ((1-A) * EMA[t-1])
-    1+ 2.0 swap / dup 1 swap - swap rot
-    [ [ dup ] dip * ] map swap drop 0 swap
-    [ [ dup ] 2dip [ * ] dip + dup ] map 
-    [ drop drop ] dip 1 tail-slice >array ;
+    [ cut [ mean dup ] dip ] [ a ] bi
+    [ weighted dup ] curry map nip swap prefix ;
 
-: sma ( seq n -- newseq )
-    #! Simple moving average
-    clump [ mean ] map ;
+: dema ( seq n -- newseq )
+    [ ema ] keep [ drop 2 v*n ] [ ema ] 2bi
+    [ length tail* ] keep v- ;
+
+: gdema ( seq n v -- newseq )
+    [ [ ema ] keep dupd ema ] dip
+    [ 1 + v*n ] [ v*n ] bi-curry bi*
+    [ length tail* ] keep v- ;
+
+: tema ( seq n -- newseq )
+    [ ema ] keep dupd [ ema ] keep
+    [ drop [ 3 v*n ] bi@ [ length tail* ] keep v- ] [ ema nip ] 3bi
+    [ length tail* ] keep v+ ;
 
 : macd ( seq n1 n2 -- newseq )
-    #! Moving Average Convergence Divergence
-    #! MACD[t] = EMA2[t] - EMA1[t]
-    rot dup ema [ swap ema ] dip [ - ] 2map ;
+    rot dup ema [ swap ema ] dip v- ;
 
 : momentum ( seq n -- newseq )
-    #! Momentum
-    #! M[t] = P[t] - P[t-n]
-    2dup tail-slice -rot swap [ length ] keep
-    [ - neg ] dip swap head-slice [ - ] 2map ;
+    [ tail-slice ] 2keep [ dup length ] dip - head-slice v- ;
+
+: performance ( seq -- newseq )
+    dup first '[ _ [ - ] [ /f ] bi 100 * ] map ;
+
+: monthly ( x -- y ) 12 / ; inline
+
+: semimonthly ( x -- y ) 24 / ; inline
+
+: biweekly ( x -- y ) 26 / ; inline
+
+: weekly ( x -- y ) 52 / ; inline
 
+: daily-360 ( x -- y ) 360 / ; inline
 
+: daily-365 ( x -- y ) 365 / ; inline