Features we want to implement

• Fourier transform / power spectrum
• Wavelet
• Kalmann Filter
• Exponentail moving average
• Commodity channel index: helps to find the start and the end of a trend.
• ATR Average true range: measures the volatility of price.
• Moving average
• N-day momentum Momentum: helps pinpoint the end of a decline or advance
• ROC Price rate of change: shows the speed at which a stock’s price is changing
• Stochastic Momentum Index: shows where the close price is relative to the midpoint of the same range.
• WVAD Williams’s Variable Accumulation/Distribution: measures the buying and selling pressure

Setup Development Environment

Create conda environment

$ conda create -n feat-gen-env python=3.5
$ source activate feat-gen-env

Install dependencies

$ pip install -U setuptools --ignore-installed --no-cache-dir
$ pip install -r dev-requirements.txt --src $CONDA_PREFIX

Running the test suite

pytest tests/

Known Issues

There is an issue working with matplotlib in conda virtual environments on OSX. The default python provided in Conda is not a framework build. To install a framework build in both the main environment and in Conda envs install python.app

$ conda install python.app 

and use pythonw rather than python:

$ pythonw [path-to-conda-virtual-env]/bin/alphai.performance_analysis.create_report config.yml

For more information see https://matplotlib.org/faq/osx_framework.html