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
# prod_ = 1 prod_ = 1.33456825 for i in test_.tick_cols(): # i = test_.tick_cols()[0] test = test_[i].values testo = testo_[i].values testh = testh_[i].values testl = testl_[i].values testr = crtf.ret(test) test1cc = crtf.vol_cc(test, n, zl=True) test1tr = crtf.vol_ewma(test, n) test1p = crtf.vol_p(testo, testh, testl, test, n, zl=True) test1gk3 = crtf.vol_gk3(testo, test, n, zl=True) test1pb = crtf.vol_pb(testo, testh, testl, test, n, zl=True) test1rs = crtf.vol_rs(testo, testh, testl, test, n, zl=True) test1gk = crtf.vol_gk(testo, testh, testl, test, n, zl=True) test1yz = crtf.vol_yz(testo, testh, testl, test, n, zl=True) tmp = chk_vol(testr, test1cc*prod_) if ~np.isnan(tmp): res1cc += tmp cnt1cc += 1 tmp = chk_vol(testr, test1tr) if ~np.isnan(tmp): res1tr += tmp cnt1tr += 1 tmp = chk_vol(testr, test1p*prod_) if ~np.isnan(tmp): res1p += tmp cnt1p += 1