def get_vol_combo():
    _eqidx = get_all_equity_index_names()
    for k in range(0, len(vol_names)):
        # k = 0
        for j in vol_lookbacks:
            # j = vol_lookbacks[0]
            for i in _eqidx:
                # i = 'SP500'
                _data_ = mkt_retrieve(i, 'Stats', 'Volatility')[['Date', vol_names[k]+str(j)]]
                _data_.set_columns(['Date', i])
                if i == _eqidx[0]:
                    _data = _data_
                else:
                    _data = DataFrame.merge(_data, _data_, on='Date')
                _data['Date'] = _data['Date'].values.astype('int64')
                _data.sort(['Date'])
            tcl = _data.tick_cols()
            for i in tcl:
                _data[i] = filt.fill(_data[i].values)
            cr_cret.store(univ_ib_eqidx_ext + vol_names[k]+str(j), _data)
    return None
import CrazyCod.Utilities.filters3 as filt
from CrazyCod.Futures.folder import *
import CrazyCod.Futures.Universes.Universe_IB as univ_ib
import numpy as np
from CrazyCod.Utilities.pkgstdy import *
import CrazyCod.Utilities.quantreg5 as qreg5
from CrazyCod.Futures.Collect.step4_getreturns import get_all_equity_index_names
from multiprocessing import Pool
from CrazyCod.Utilities.smth_price_results import smth_param
import warnings
from CrazyCod.Utilities.frames import DataFrame
import matplotlib.pyplot as plt
import CrazyCod.Utilities.boosting as bst

_eq_idx = get_all_equity_index_names()

_sm_pr = [8, 11, 14, 17, 20, 23, 26, 29]
_sm_pr_sum = []
for i in _sm_pr:
    _sm_pr_sum.append(np.sum(np.array(smth_param(i))))

_sig_set_95_lvl = ['D04S26_429_QRB', 'D04S26_156_LRB', 'D04S29_236_LRB', 'D10S26_521_QRB', 'D10S11_521_QRG',
                   'D09S23_349_QRB', 'D03S29_285_QRB', 'D03S29_107_LRB', 'D09S23_107_LRB', 'D07S29_349_LRB',
                   'D03S17_349_QRG', 'D09S29_005_QRG', 'D01S08_009_QRB', 'D01S08_005_LRB', 'D10S17_070_LRB',
                   'D10S23_349_QRG', 'D09S29_008_QRG', 'D02S08_007_QRB', 'D01S08_015_QRB', 'D01S14_005_QRB',
                   'D10S29_236_QRB', 'D10S11_059_LRB', 'D04S26_285_QRG', 'D08S29_193_QRB', 'D09S14_005_QRG',
                   'D01S08_021_QRB', 'D09S17_007_QRG', 'D10S26_012_QRG', 'D03S08_008_QRB', 'D02S17_193_QRB',
                   'D03S29_005_QRB', 'D03S29_070_LRB', 'D01S11_048_QRG', 'D10S29_005_QRG', 'D01S08_005_QRB',
                   'D08S26_285_QRG', 'D01S08_021_QRG', 'D03S08_012_QRB', 'D08S11_005_QRB', 'D01S08_038_QRB',
                   'D09S08_005_QRG', 'D01S08_027_QRG', 'D10S29_521_LRB', 'D07S23_015_QRG', 'D02S17_059_QRG',
                   'D09S29_129_QRB', 'D03S20_059_QRG', 'D01S08_009_QRG', 'D08S29_005_QRG', 'D01S08_012_QRG',
def get_vol():
    _eqidx = get_all_equity_index_names()
    with Pool(processes=6) as p:
        p.map(_get_vol, _eqidx)
Example #4
0
def get_signals():
    _eq_idx = get_all_equity_index_names()
    with Pool(processes=6) as p:
        p.map(_get_signals, _eq_idx)