def _refresh_signals(x):
_d_comb, _d_sig = x
# generate the signals (type 1)
comb_prices = _d_comb.retrieve('Close')
for j in range(1, 51):
comb_ret_qr = comb_prices.copy()
comb_ret_lr = comb_prices.copy()
for i in comb_ret_lr.tick_cols():
comb_ret_qr[i] = crtf.qrbeta(comb_ret_qr[i].values, j*10)
comb_ret_lr[i] = crtf.lrbeta(comb_ret_lr[i].values, j*10)
_d_sig.store('QrB_'+str(j*10)+'D', comb_ret_qr)
_d_sig.store('LrB_'+str(j*10)+'D', comb_ret_lr)
del comb_ret_lr
del comb_ret_qr
# generate the signals (type 2)
comb_ret = _d_comb.retrieve('Returns')
for j in range(1, 51):
comb_ret_lr = comb_ret.copy()
comb_ret_qr = comb_ret.copy()
for i in comb_ret_lr.tick_cols():
comb_ret_qr[i] = crtf.lrma(crtf.lrma(crtf.qrma(comb_ret_qr[i].values, j*10), 5), 5)
comb_ret_lr[i] = crtf.lrma(crtf.lrma(crtf.lrma(comb_ret_qr[i].values, j*10), 5), 5)
_d_sig.store('QrS_'+str(j*10)+'D', comb_ret_qr)
_d_sig.store('LrS_'+str(j*10)+'D', comb_ret_lr)
del comb_ret_lr
del comb_ret_qr
return None
def _refresh_stats(x):
_d_comb = x
comb_prices_c = _d_comb.retrieve('Close')
comb_prices_o = _d_comb.retrieve('Open')
comb_prices_h = _d_comb.retrieve('High')
comb_prices_l = _d_comb.retrieve('Low')
# store the leverage
for j in range(0, 4):
jj = 30*(2**j)
jjstr = str(jj)
comb_vol = comb_prices_c.copy()
for i in comb_vol.tick_cols():
comb_vol[i] = crtf.vol_pb(comb_prices_o[i].values, comb_prices_h[i].values, comb_prices_l[i].values,
comb_prices_c[i].values, jj)
# comb_vol[i] = crtf.vol_cc(comb_prices[i].values, jj) # changed it back
comb_lev = comb_vol.copy()
for i in comb_lev.tick_cols():
comb_lev[i] = crtf.lrma(0.01/comb_vol[i].values, 30, lg=True) # replace this by qrma_multi(3, 5)
_d_comb.store('Lev_CC_'+jjstr+'D', comb_lev)
for i in comb_vol.tick_cols():
comb_vol[i] = crtf.lrma(comb_vol[i].values, 30, lg=True) # replace this by qrma_multi(3, 5)
_d_comb.store('Vol_CC_'+jjstr+'D', comb_vol)
return None
def _refresh_mom_betas(x):
_d_comb = x
comb_prices = _d_comb.retrieve("Close")
tc = comb_prices.tick_cols()
comb_ret = _d_comb.retrieve("Returns")[tc].values.astype("float64")
comb_ret[np.isnan(comb_ret)] = 0
comb_vol = _d_comb.retrieve("Vol_CC_240D")
# get the 12-1 momentum
comb_mom = comb_prices.copy()
for i in tc:
comb_mom[i] = (
crtf.lrma(crtf.ret(comb_mom[i].values, 250) - crtf.ret(comb_mom[i].values, 21), 20) / comb_vol[i].values
)
comb_mom_val = comb_mom[tc].values.astype("float64")
comb_mom_val_st = np.sum(~np.isnan(comb_mom_val), axis=1)
comb_mom_idx = np.where(comb_mom_val_st > 30)[0][0]
dummy = np.empty(len(tc)) * np.nan
for j in range(0, comb_mom_idx):
comb_mom_val[j, :] = dummy
for j in range(comb_mom_idx, comb_mom_val.shape[0]):
comb_mom_val[j, :] = crup.full_norm_rankit(comb_mom_val[j, :])
comb_mom[:, tc] = comb_mom_val
comb_mom_val[np.isnan(comb_mom_val)] = 0
# calculate the momentum factor returns
comb_mom["Close"] = 2 * np.sum(comb_ret * comb_mom_val, axis=1) / np.sum(np.abs(comb_mom_val), axis=1)
comb_mom = comb_mom[["Date", "Close"]]
comb_mom["Close"] = crup.conv_to_price(comb_mom["Close"].values)
# calculate the momentum beta
comb_mom_val = comb_mom["Close"].values
for j in range(60, 300, 60):
comb_mom_beta = comb_prices.copy()
for i in tc:
comb_mom_beta[i] = crtf.beta_cc(comb_mom_beta[i].values, comb_mom_val, j)
_d_comb.store("MOM_Beta_" + str(int(j / 20)) + "m", comb_mom_beta)
return None
def _lrma_multi(x, n1, n2):
for j in range(0, n2):
x = crtf.lrma(x, n1)
return x
crup.plot_ts(dt, test_c5)
#------------------------------------
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
