vsaveris/trading-technical-indicators

Optimize indicators with long calculation times.

vsaveris opened this issue · 7 comments

vsaveris commented

Tasks:

  • Optimize code for the indicators with long calculation times (those in bold in the list below).
  • Execute regression testing after each change.

The task is targeting planned release: 0.2 stable-release (01-01-2021)

Technical Indicators calculation times, for 3169 trading days.

  • Indicator = AccumulationDistributionLine Calculation time = 0.1 seconds.
  • Indicator = AverageTrueRange Calculation time = 0.02 seconds.
  • Indicator = BollingerBands Calculation time = 0.01 seconds.
  • Indicator = ChaikinMoneyFlow Calculation time = 0.01 seconds.
  • Indicator = ChaikinOscillator Calculation time = 0.1 seconds.
  • Indicator = ChandeMomentumOscillator Calculation time = 0.01 seconds.
  • Indicator = CommodityChannelIndex Calculation time = 0.94 seconds.
  • Indicator = DetrendedPriceOscillator Calculation time = 0.01 seconds.
  • Indicator = DirectionalMovementIndex Calculation time = 4.58 seconds.
  • Indicator = DoubleExponentialMovingAverage Calculation time = 0.01 seconds.
  • Indicator = EaseOfMovement Calculation time = 0.01 seconds.
  • Indicator = Envelopes Calculation time = 0.01 seconds.
  • Indicator = FibonacciRetracement Calculation time = 0.01 seconds.
  • Indicator = ForecastOscillator Calculation time = 2.37 seconds.
  • Indicator = IchimokuCloud Calculation time = 0.02 seconds.
  • Indicator = IntradayMovementIndex Calculation time = 0.01 seconds.
  • Indicator = KlingerOscillator Calculation time = 0.06 seconds.
  • Indicator = LinearRegressionIndicator Calculation time = 2.3 seconds.
  • Indicator = LinearRegressionSlope Calculation time = 0.01 seconds.
  • Indicator = MarketFacilitationIndex Calculation time = 0.01 seconds.
  • Indicator = MassIndex Calculation time = 0.01 seconds.
  • Indicator = MedianPrice Calculation time = 0.01 seconds.
  • Indicator = Momentum Calculation time = 0.01 seconds.
  • Indicator = MovingAverage (simple) Calculation time = 0.01 seconds.
  • Indicator = MovingAverage (exponential) Calculation time = 0.01 seconds.
  • Indicator = MovingAverage (time_series) Calculation time = 2.31 seconds.
  • Indicator = MovingAverage (triangular) Calculation time = 0.01 seconds.
  • Indicator = MovingAverage (variable) Calculation time = 0.35 seconds.
  • Indicator = MovingAverageConvergenceDivergence Calculation time = 0.01 seconds.
  • Indicator = NegativeVolumeIndex Calculation time = 0.21 seconds.
  • Indicator = OnBalanceVolume Calculation time = 0.01 seconds.
  • Indicator = ParabolicSAR Calculation time = 2.72 seconds.
  • Indicator = Performance Calculation time = 0.01 seconds.
  • Indicator = PositiveVolumeIndex Calculation time = 0.2 seconds.
  • Indicator = PriceAndVolumeTrend Calculation time = 0.22 seconds.
  • Indicator = PriceChannel Calculation time = 0.01 seconds.
  • Indicator = PriceOscillator Calculation time = 0.01 seconds.
  • Indicator = PriceRateOfChange Calculation time = 0.01 seconds.
  • Indicator = ProjectionBands Calculation time = 2.97 seconds.
  • Indicator = ProjectionOscillator Calculation time = 2.95 seconds.
  • Indicator = Qstick Calculation time = 0.01 seconds.
  • Indicator = RangeIndicator Calculation time = 0.18 seconds.
  • Indicator = RelativeMomentumIndex Calculation time = 0.3 seconds.
  • Indicator = RelativeStrengthIndex Calculation time = 1.06 seconds.
  • Indicator = RelativeVolatilityIndex Calculation time = 0.58 seconds.
  • Indicator = StandardDeviation Calculation time = 0.01 seconds.
  • Indicator = StochasticMomentumIndex Calculation time = 0.02 seconds.
  • Indicator = StochasticOscillator (fast) Calculation time = 0.01 seconds.
  • Indicator = StochasticOscillator (slow) Calculation time = 0.01 seconds.
  • Indicator = SwingIndex Calculation time = 0.02 seconds.
  • Indicator = TimeSeriesForecast Calculation time = 2.32 seconds.
  • Indicator = TripleExponentialMovingAverage Calculation time = 0.01 seconds.
  • Indicator = TypicalPrice Calculation time = 0.0 seconds.
  • Indicator = UltimateOscillator Calculation time = 0.02 seconds.
  • Indicator = VerticalHorizontalFilter Calculation time = 0.01 seconds.
  • Indicator = VolatilityChaikins Calculation time = 0.01 seconds.
  • Indicator = VolumeOscillator Calculation time = 0.01 seconds.
  • Indicator = VolumeRateOfChange Calculation time = 0.01 seconds.
  • Indicator = WeightedClose Calculation time = 0.01 seconds.
  • Indicator = WildersSmoothing Calculation time = 0.15 seconds.
  • Indicator = WilliamsAccumulationDistribution Calculation time = 0.02 seconds.
  • Indicator = WilliamsR Calculation time = 0.01 seconds.
vsaveris commented

DirectionalMovementIndex optimized and calculation time dropped from 4.58 seconds to 0.47 seconds.

vsaveris commented

Linear regression optimization (using statsmodels instead of scikit-learn). Below indicators calculations improved:

  • ForecastOscillator Calculation time = from 2.37 seconds to 0.28 seconds
  • LinearRegressionIndicator Calculation time = from 2.3 seconds to 0.28 seconds
  • MovingAverage (time_series) Calculation time = from 2.31 seconds to 0.27 seconds
  • TimeSeriesForecast Calculation time = from 2.32 seconds to 0.26 seconds
vsaveris commented

RelativeStrengthIndex optimized from Calculation time = 1.06 seconds to 0.35 seconds

vsaveris commented

CommodityChannelIndex optimized from Calculation time = 0.94 seconds to 0.80 seconds

vsaveris commented

ParabolicSAR optimized from Calculation time = 2.72 seconds to 0.18 seconds.

vsaveris commented

ProjectionBands optimized from Calculation time = 2.97 seconds to 1.02 seconds
ProjectionOscillator optimized from Calculation time = 2.95 seconds to 1.01 seconds

vsaveris commented

Regression tests executed after finishing all the code updates:

Ran 1558 tests in 152.756s

OK

91% lines coverage

Updates ready for release (stable release 0.2).