def _refresh_correl(x):
_d_comb, _d_cor_dy, _d_cor_st = x
comb_prices = _d_comb.retrieve('Close')
tc = comb_prices.tick_cols()
ndt = comb_prices.shape[0]
ntc = len(tc)
_prc = comb_prices[tc].values.astype('float64')
window1 = 240
window2 = 120
ntc1 = ntc*(ntc-1)/2
_cor1 = np.empty([ndt, ntc1], dtype='float32')*np.nan
_cor2 = np.empty([ndt, ntc1], dtype='float32')*np.nan
# calculate the correlations
cnt = 0
for i in range(0, ntc-1):
for j in range(i+1, ntc):
# _cor1[:, cnt] = _spear(_prc[:, i], _prc[:, j], window1)
# _cor2[:, cnt] = _spear(_prc[:, i], _prc[:, j], window2)
_cor1[:, cnt] = crtf.cor_cc(_prc[:, i], _prc[:, j], window1, zl=False)
_cor2[:, cnt] = crtf.cor_cc(_prc[:, i], _prc[:, j], window2, zl=False)
cnt += 1
# if cnt % 100 == 0:
# print(cnt)
# remove correlations before date st_dt
cp_dt = crup.pd_dt_to_str(comb_prices['Date', list])
cp_dt_idx = [i for i, j in enumerate(cp_dt) if j >= st_dt]
for i in cp_dt_idx:
# i = cp_dt_idx[0]
_cor_mat1 = np.empty([ntc, ntc])*np.nan
_cor_mat2 = np.empty([ntc, ntc])*np.nan
cnt = 0
for j in range(0, ntc):
for k in range(j, ntc):
if j == k:
_cor_mat1[j, j] = 1
_cor_mat2[j, j] = 1
else:
_cor_mat1[j, k] = _cor1[i, cnt]
_cor_mat1[k, j] = _cor_mat1[j, k]
_cor_mat2[j, k] = _cor2[i, cnt]
_cor_mat2[k, j] = _cor_mat2[j, k]
cnt += 1
_d_cor_st.save(cp_dt[i], _cor_mat1)
_d_cor_dy.save(cp_dt[i], _cor_mat2)
return None
crup.plot_ts(dt, x12_act) # base case n = x1.shape[0] mi = 240 mi2 = (2*mi+1)/3 # x12_corr2 = np.ones(n)*np.nan # x12_corr2 = (crtf.ema(x1*x2, mi)-crtf.ema(x1, mi)*crtf.ema(x2, mi))/\ # np.sqrt((crtf.ema(x1**2, mi)-crtf.ema(x1, mi)**2)*(crtf.ema(x2**2, mi)-crtf.ema(x2, mi)**2)) # crup.plot_ts(dt, x12_corr2) # x12_corr2 = np.ones(n)*np.nan # x12_corr2 = (crtf.sma(x1*x2, mi)-crtf.sma(x1, mi)*crtf.sma(x2, mi))/\ # np.sqrt((crtf.sma(x1**2, mi)-crtf.sma(x1, mi)**2)*(crtf.sma(x2**2, mi)-crtf.sma(x2, mi)**2)) # crup.plot_ts(dt, x12_corr2) x12_corr61 = crtf.cor_cc(testc1, testc2, mi, smth=7, zl=False) crup.plot_ts(dt, x12_corr61[xidx]) x12_corr61 = crtf.cor_gk3(testo1, testc1, testo2, testc2, mi, smth=7, zl=False) crup.plot_ts(dt, x12_corr61[xidx]) x12_corr61 = crtf.cor_pb(testo1, testh1, testl1, testc1, testo2, testh2, testl2, testc2, mi, smth=7, zl=False) crup.plot_ts(dt, x12_corr61[xidx]) # # x12_corr61 = crtf.cor_cc(testc1, testc2, mi, smth=13, zl=False) # crup.plot_ts(dt, x12_corr61[xidx]) # x12_corr61 = crtf.cor_cc(testc1, testc2, mi, smth=19, zl=False) # crup.plot_ts(dt, x12_corr61[xidx]) # x12_corr61 = crtf.cor_cc(testc1, testc2, mi, smth=7, zl=True) # crup.plot_ts(dt, x12_corr61[xidx]) #
test = d_comb[6].retrieve('Close')
test1 = crtf.ret(test['SPY'].values)
test2 = crtf.ret(test['TLT'].values)
testidx = ~np.isnan(test1) & ~np.isnan(test2)
test1 = test1[testidx]
test2 = test2[testidx]
testc = test1*test2/np.sqrt((test1**2)*(test2**2))
dt = test['Date'].values
dt = dt[testidx]
# crup.plot_ts(dt, testc)
print(np.any(np.isinf(testc)))
tests = crtf.lrma(testc, 240, lg=False)
crup.plot_ts(dt, tests)
testcc = crtf.cor_cc(test['SPY'].values, test['TLT'].values, 240, zl=False)
testcc = testcc[testidx]
crup.plot_ts(dt, testcc)
# test_c4 = crtf.cor_cc(testc1, testc2, window, zl=False)
# crup.plot_ts(dt, test_c4[test_idx])
#------------------------
testo = d_comb[6].retrieve('Open')
testh = d_comb[6].retrieve('High')
testl = d_comb[6].retrieve('Low')
testo1 = testo[tic1].values
testo2 = testo[tic2].values
testh1 = testh[tic1].values
