Basic time series outlier analysis using PDL and TAlib

outlier.pl

use strict;
use warnings;
use feature qw( :5.16 );
use PDL;
use PDL::Finance::TA;

my $threshold = 4;
my $limit = 100;
my $period = 30;

my $p = pdl [ map { rand() * 60 + 10 } 1..100000 ];
#say $p->slice('1:100');
my $roc = ta_roc( $p, 1 );
#say $roc->slice( '1:100' );
my $avg = ta_sma( $p, $period );
my $stddev = ta_stddev( $p, $period, 1 )->abs * $threshold;
#say $stddev->slice( '1:100' );
my $stddev_roc = ta_stddev( $roc, $period, 1 )->abs * $threshold;
#say $stddev_roc->slice( '1:100' );

my %alerts = (
    shock => which( $roc > $stddev_roc ),
    stddev => which( abs( $p - $avg ) > $stddev ),
    flat => which( ta_stddev( $p, 5, 1 ) == 0 ),
);

for my $alert_name ( keys %alerts ) {
    my $alert = $alerts{ $alert_name };
    my $num_alerts = $alert->getdim(0);
    say $num_alerts . " alerts ($alert_name)";
    next unless $num_alerts;
    my $show = $num_alerts <= $limit ? $num_alerts - 1 : $limit;
    my $slice = '0:' . $show;
    say $alert->slice( $slice );
    say $p->slice( $alert->slice( $slice ) );
    say $stddev->slice( $alert->slice( $slice ) );
    say $roc->slice( $alert->slice( $slice ) );
    say $stddev_roc->slice( $alert->slice( $slice ) );
}