def simpleModelling(self, currentPercent):
debugOutput("Preparing for the simple modelling..")
try:
SimpleModelling.main(self.processPercent, currentPercent)
except ValueError:
debugOutput("Calculation is wrong somewhere")
self.simpleModelSucceed.emit(False)
return
debugOutput("Modeling is successful!")
print(GlobalValue.modelParams)
self.simpleModelSucceed.emit(True)
def simpleModelling(self, currentPercent):
debugOutput("Preparing for the simple modelling..")
try:
SimpleModelling.main(self.processPercent, currentPercent)
except ValueError:
debugOutput("Calculation is wrong somewhere")
self.simpleModelSucceed.emit(False)
return
debugOutput("Modeling is successful!")
print(GlobalValue.modelParams)
self.simpleModelSucceed.emit(True)
def plot_simulation(params, hist, i):
hist = SimpleModelling.returns(hist)
sim_arma = Plot_ARMA(params['arma'], hist)
sim_garch = Plot_GARCH(params['garch'])
sim_sv = Plot_SV(params['sv'])
real_global_returns = sum(hist[(len(hist) - 251):])
plt.figure(i + 1)
plt.suptitle(GlobalValue.ptf[i].stockCode, fontsize=20)
plt.subplot(1, 3, 1)
plt.boxplot([sim_arma])
plt.plot([real_global_returns] * len(hist))
plt.title("boxplot_ARMA")
plt.subplot(1, 3, 2)
plt.boxplot([sim_garch])
plt.plot([real_global_returns] * len(hist))
plt.title("boxplot_GARCH")
plt.subplot(1, 3, 3)
plt.boxplot([sim_sv])
plt.plot([real_global_returns] * 500)
plt.title("boxplot_SV")
plt.show()
def plot_simulation(params,hist,i):
hist = SimpleModelling.returns(hist)
sim_arma = Plot_ARMA(params['arma'],hist)
sim_garch = Plot_GARCH(params['garch'])
sim_sv = Plot_SV(params['sv'])
real_global_returns = sum(hist[(len(hist)-251):])
plt.figure(i+1)
plt.suptitle(GlobalValue.ptf[i].stockCode, fontsize=20)
plt.subplot(1,3,1)
plt.boxplot([sim_arma])
plt.plot([real_global_returns] * len(hist))
plt.title("boxplot_ARMA")
plt.subplot(1,3,2)
plt.boxplot([sim_garch])
plt.plot([real_global_returns] * len(hist))
plt.title("boxplot_GARCH")
plt.subplot(1,3,3)
plt.boxplot([sim_sv])
plt.plot([real_global_returns]*500)
plt.title("boxplot_SV")
plt.show()
def applyModel(self):
# TODO: change assert to if to give a warning dialog
assert len(GlobalValue.ptf) == len(GlobalValue.modelParams)
assert len(GlobalValue.ptf) == len(GlobalValue.modelChoice)
assert len(GlobalValue.ptf) == len(GlobalValue.yahooData)
assert len(GlobalValue.ptf) > 0
for i in range(len(GlobalValue.ptf)):
assert GlobalValue.modelChoice[i] >= 0
assert GlobalValue.modelChoice[i] <= 2
GlobalValue.simulations = []
for i in range(len(GlobalValue.ptf)):
if GlobalValue.modelChoice[i] == 0:
returns = SimpleModelling.returns(GlobalValue.yahooData[i])
GlobalValue.simulations.append(
plot.choice_ARMA(GlobalValue.modelParams[i]['arma'],
returns))
elif GlobalValue.modelChoice[i] == 1:
GlobalValue.simulations.append(
plot.Plot_GARCH(GlobalValue.modelParams[i]['garch']))
elif GlobalValue.modelChoice[i] == 2:
GlobalValue.simulations.append(
plot.Plot_SV(GlobalValue.modelParams[i]['sv']))
else:
assert False
print(GlobalValue.simulations[0])
def applyModel(self):
# TODO: change assert to if to give a warning dialog
assert len(GlobalValue.ptf) == len(GlobalValue.modelParams)
assert len(GlobalValue.ptf) == len(GlobalValue.modelChoice)
assert len(GlobalValue.ptf) == len(GlobalValue.yahooData)
assert len(GlobalValue.ptf) > 0
for i in range(len(GlobalValue.ptf)):
assert GlobalValue.modelChoice[i] >= 0
assert GlobalValue.modelChoice[i] <= 2
GlobalValue.simulations = []
for i in range(len(GlobalValue.ptf)):
if GlobalValue.modelChoice[i] == 0:
returns = SimpleModelling.returns(GlobalValue.yahooData[i])
GlobalValue.simulations.append(plot.choice_ARMA(GlobalValue.modelParams[i]['arma'], returns))
elif GlobalValue.modelChoice[i] == 1:
GlobalValue.simulations.append(plot.Plot_GARCH(GlobalValue.modelParams[i]['garch']))
elif GlobalValue.modelChoice[i] == 2:
GlobalValue.simulations.append(plot.Plot_SV(GlobalValue.modelParams[i]['sv']))
else:
assert False
print(GlobalValue.simulations[0])
