Ejemplos de apply_macd_filter en Python

Ejemplo n.º 1

Archivo: apply_fde_filters_to_price_series.py Proyecto: zzzandyyuruuu/baruch-mfe-lab

    Neff = 32
    lag = 3

    y_fde = apply_integrated_macd_poly_filter(prices, Neff)
    h_int_macd_poly = int_macd_poly(Neff, Nwindow)
    candidate = np.convolve(prices - prices[0], h_int_macd_poly) + prices[0]
    y_convolution = candidate[:len(prices)]

    axarr[2, 0].set_title("Integrated macd poly")
    axarr[2, 0].plot(y_fde)
    axarr[2, 0].plot(y_convolution, 'o', markerfacecolor='none')

    # f) Macd

    Neff_pos = 16
    Neff_neg = 32
    lag = 2

    y_fde = apply_macd_filter(prices, Neff_pos, Neff_neg)
    h_macd = macd(Neff_pos, Neff_neg, Nwindow)
    candidate = np.convolve(prices - prices[0], h_macd)
    y_convolution = candidate[:len(prices)]

    axarr[2, 1].set_title("Macd")
    axarr[2, 1].plot(y_fde)
    axarr[2, 1].plot(y_convolution, 'o', markerfacecolor='none')

plt.tight_layout()
plt.show()

Ejemplo n.º 2

Archivo: verify_fde_impulse_responses.py Proyecto: zzzandyyuruuu/baruch-mfe-lab

impulse = np.zeros(Nwindow)
impulse[lag] = 1

candidate = apply_integrated_macd_poly_filter(impulse, Neff)
impulse_response_fde = candidate[lag:]
impulse_response_direct = int_macd_poly(Neff_modified, Nwindow)

axarr[2, 0].set_title("Integrated Macd-Poly")
axarr[2, 0].plot(impulse_response_fde)
axarr[2, 0].plot(impulse_response_direct, 'o', markerfacecolor='none')

# f) Macd

Neff_pos = 16
Neff_neg = 32
lag = 2

impulse = np.zeros(Nwindow)
impulse[lag] = 1

candidate = apply_macd_filter(impulse, Neff_pos, Neff_neg)
impulse_response_fde = candidate[lag:]
impulse_response_direct = macd(Neff_pos, Neff_neg, Nwindow)

axarr[2, 1].set_title("Macd")
axarr[2, 1].plot(impulse_response_fde)
axarr[2, 1].plot(impulse_response_direct, 'o', markerfacecolor='none')

plt.tight_layout()
plt.show()

Ejemplo n.º 3

Archivo: verify_fde_impulse_responses.py Proyecto: ShengQuanZhou/baruch-mfe-lab

impulse[lag] = 1

candidate = apply_integrated_macd_poly_filter(impulse, Neff)
impulse_response_fde = candidate[lag:]
impulse_response_direct = int_macd_poly(Neff_modified, Nwindow)

axarr[2, 0].set_title("Integrated Macd-Poly")
axarr[2, 0].plot(impulse_response_fde)
axarr[2, 0].plot(impulse_response_direct, 'o', markerfacecolor='none')

# f) Macd

Neff_pos = 16
Neff_neg = 32
lag = 2 

impulse = np.zeros(Nwindow)
impulse[lag] = 1

candidate = apply_macd_filter(impulse, Neff_pos, Neff_neg)
impulse_response_fde = candidate[lag:]
impulse_response_direct = macd(Neff_pos, Neff_neg, Nwindow)

axarr[2, 1].set_title("Macd")
axarr[2, 1].plot(impulse_response_fde)
axarr[2, 1].plot(impulse_response_direct, 'o', markerfacecolor='none')


plt.tight_layout()
plt.show()

Ejemplo n.º 4

Archivo: apply_fde_filters_to_price_series.py Proyecto: ShengQuanZhou/baruch-mfe-lab

    y_fde = apply_integrated_macd_poly_filter(prices, Neff)
    h_int_macd_poly = int_macd_poly(Neff, Nwindow)
    candidate = np.convolve(prices - prices[0], h_int_macd_poly) + prices[0]
    y_convolution = candidate[:len(prices)]

    axarr[2, 0].set_title("Integrated macd poly")
    axarr[2, 0].plot(y_fde)
    axarr[2, 0].plot(y_convolution, 'o', markerfacecolor='none')

    # f) Macd

    Neff_pos = 16
    Neff_neg = 32
    lag = 2

    y_fde = apply_macd_filter(prices, Neff_pos, Neff_neg)
    h_macd = macd(Neff_pos, Neff_neg, Nwindow)
    candidate = np.convolve(prices - prices[0], h_macd)
    y_convolution = candidate[:len(prices)]

    axarr[2, 1].set_title("Macd")
    axarr[2, 1].plot(y_fde)
    axarr[2, 1].plot(y_convolution, 'o', markerfacecolor='none')
    
    
    
plt.tight_layout()
plt.show()