# 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]) # # x12_corr61 = crtf.cor_cc(testc1, testc2, mi, smth=13, zl=True) # crup.plot_ts(dt, x12_corr61[xidx])
np.corrcoef(testr1, testr2)[0, 1] np.corrcoef(testrl1, testrl2)[0, 1] np.mean(testr1*testr2)/np.sqrt(np.mean(testr1**2)*np.mean(testr2**2)) np.mean(testrl1*testrl2)/np.sqrt(np.mean(testrl1**2)*np.mean(testrl2**2)) cor_cc1 = crtf.cor_cc(testc1, testc2, 240, zl=False) #, smth=7) cor_cc2 = crtf.cor_cc(testc1, testc2, 359.5, zl=False) #, smth=13) crup.plot_ts(testc['Date'].values, cor_cc1) crup.plot_ts(testc['Date'].values, cor_cc2) cor_gk = crtf.cor_gk3(testo1, testc1, testo2, testc2, 240) cor_pb = crtf.cor_pb(testo1, testh1, testl1, testc1, testo2, testh2, testl2, testc2, 240) # cor_cc = crtf.lrma(crtf.lrma(crtf.lrma(crtf.lrma(crtf.lrma(cor_cc, 5), 5), 5), 5), 5) # cor_gk = crtf.lrma(crtf.lrma(crtf.lrma(crtf.lrma(crtf.lrma(cor_gk, 5), 5), 5), 5), 5) # cor_pb = crtf.lrma(crtf.lrma(crtf.lrma(crtf.lrma(crtf.lrma(cor_pb, 5), 5), 5), 5), 5) cor_cc = crtf.lrma(cor_cc, 15) cor_gk = crtf.lrma(cor_gk, 15) cor_pb = crtf.lrma(cor_pb, 15) crup.plot_ts(testc['Date'].values, cor_cc) crup.plot_ts(testc['Date'].values, cor_gk) crup.plot_ts(testc['Date'].values, cor_pb) x1 = crtf.ret(testc1)
