Python package for computing simple geometries on TS data.
TSGeom (Time Series Geometry) provides functions for identifying the peaks and valleys of a time series. Additionally, it provides a function for computing the maximum drawdown.
If numba can be imported, it will be used to greatly accelerate the execution time at the cost of a small initial compile. On my machine, the JIT’d code executed about 38 times faster than the pure Python code. Numba is not an install_requires package because numba can be a pain to install for some people. Learn more about numba here.
For fastest understanding, view the IPython notebook demo tutorial.