def demo():
# SNIPPET 16.1 TREE CLUSTERING USING SCIPY FUNCTIONALITY
close = pd.DataFrame()
for ind_t in ['AAL', 'MSFT', 'CSCO', 'AAPL']:
if close.empty:
close = get_tick(ind_t).to_frame()
close.columns = [ind_t]
else:
t_close = get_tick(ind_t).to_frame()
t_close.columns = [ind_t]
close = pd.merge(close,t_close, how='inner', left_index=True, right_index=True)
cov, corr = close.cov(), close.corr()
print(corr)
dist = ((1 - corr) / 2.) ** .5 # distance matrix
print(dist)
# linkage matrix N-1 x 4 matrix
# y1, y2 report the constituents, y3 reports th distance between y1 and y2,
# y4 is number of items in the cluster
link = sch.linkage(dist, 'single') # linkage matrix
print(link)
quasi_diag = getQuasiDiag(link)
pdb.set_trace()
print(quasi_diag)
rec_bisec = getRecBipart(cov, quasi_diag)
print(rec_bisec)
def demo3():
close = get_tick('AAL')
frac_df = frac_diff_FFD(close.to_frame(), 0.5)
vol = get_daily_vol(close)
events = cusum_filter(close, 2 * vol)
t1 = get_t1(close, events, num_days=5)
sampled = get_3barriers(close,
events,
ptsl=2,
trgt=vol,
min_ret=0,
num_threads=12,
t1=t1,
side=None)
data = sampled.dropna()
print(data)
features_df = frac_df.loc[data.index].dropna()
features = features_df.values
# get the labels of these events
label = data['t1_type'].loc[features_df.index].values
clf = RandomForestClassifier()
# learn on these features and labels
clf.fit(features, label)
# predict the features (on the same data so overfitting could be an issue)
print(clf.predict(features))
def demo():
close = get_tick('AAL')
# adjust weights to deal with nonstationarity
# plot_weights([0, 1], 11, size=6)
# plot_weights([1, 2], 11, size=6)
print(adfuller(close, 12))
outputs = []
ds = np.linspace(0, 1, 11)
for d in ds:
df1 = np.log(close).resample('1D').last().to_frame()
df2 = frac_diff(df1, d, thres=.1)
df2 = adfuller(close, maxlag=1, regression='c', autolag=None)
# Pvalue
outputs.append(df2[1])
plt.plot(ds, outputs)
plt.savefig(PNG_PATH + "frac_diff.png")
plt.close()
outputs = []
ds = np.linspace(0, 1, 11)
for d in ds:
df1 = np.log(close).resample('1D').last().to_frame()
df2 = frac_diff_FFD(df1, d, thres=.1)
df2 = adfuller(close, maxlag=1, regression='c', autolag=None)
# Pvalue
outputs.append(df2[1])
plt.plot(ds, outputs)
plt.savefig(PNG_PATH + "frac_diff_FFD.png")
plt.close()
def demo3():
close = get_tick('AAL')
vol = get_daily_vol(close)
sampled_idx = cusum_filter(close, vol)
t1 = get_t1(close, sampled_idx, num_days=7)
side = macd_side(close)
events = get_3barriers(close,
t_events=sampled_idx,
trgt=vol,
ptsl=[1, 2],
t1=t1,
side=side)
events = events.dropna()
bins = get_bins(events, close)
clf = RandomForestClassifier()
x = np.hstack([
events['side'].values[:, np.newaxis],
close.loc[events.index].values[:, np.newaxis]
]) # action and px
# if return was positive, bins = 1
y = bins['bin'].values # supervised answer
clf.fit(x, y)
predicted_probs = np.array([x[1] for x in clf.predict_proba(x)])
# get_signal(events.drop(columns=['side']), 0.2, predicted_probs, events['side'], 2, 1)
get_signal(events.drop(columns=['side']), 0.2, predicted_probs,
events['side'], 2, 12)
def demo_44():
close = get_tick('AAL')
vol = get_daily_vol(close)
sampled_idx = cusum_filter(close, vol)
t1 = get_t1(close, sampled_idx, num_days=1)
trgt = vol
events = get_3barriers(close,
t_events=sampled_idx,
trgt=trgt,
ptsl=1,
t1=t1)
print(events.head())
num_threads = 24
num_co_events = mp_pandas_obj(get_num_co_events,
('molecule', events.index),
num_threads,
close_idx=close.index,
t1=events['t1'])
num_co_events = num_co_events.loc[~num_co_events.index.duplicated(
keep='last')]
num_co_events = num_co_events.reindex(close.index).fillna(0)
num_threads = 24
tw = mp_pandas_obj(get_sample_tw, ('molecule', events.index),
num_threads,
t1=events['t1'],
num_co_events=num_co_events)
exp_decay = get_time_decay(tw, last_w=.1, is_exp=True)
print(exp_decay.head())
def macd_demo():
close = get_tick('AAL')
vol = get_daily_vol(close)
sampled_idx = cusum_filter(close, vol)
t1 = get_t1(close, sampled_idx, num_days=7)
side = macd_side(close)
events = get_3barriers(close,
t_events=sampled_idx,
trgt=vol,
ptsl=[1, 2],
t1=t1,
side=side)
events = events.dropna()
# print(events.head())
bins = get_bins(events, close)
# print(bins.head())
clf = RandomForestClassifier()
x = np.hstack([
events['side'].values[:, np.newaxis],
close.loc[events.index].values[:, np.newaxis]
]) # action and px
y = bins['bin'].values # supervised answer
clf.fit(x, y)
pred = clf.predict(x)
# As dictated by MACD indicator
# print(events['side'].values)
# print(help(talib.MACD))
macd, signal, hist = talib.MACD(close.values)
print(np.max(macd[100:] - signal[100:] - hist[100:]))
print(macd[np.isfinite(macd)].shape)
signal = signal[np.isfinite(signal)]
print(2 * ((signal > 0).astype(float) - 0.5))
macd.fill(1)
print(macd)
def demo():
close = get_tick('AAL')
# Daily Volatility
vol = get_daily_vol(close)
# print(vol.head())
# cusum filter
# cusum = cusum_filter(close, 0.1)
sampled_idx = cusum_filter(close, vol)
# print(sampled_idx)
# get vertical barrier
t1 = get_t1(close, sampled_idx, num_days=7)
# print(t1.head())
# gets the events and which barrier was hit
# ptsl = 1 for long ptsl = -1 for short
events = get_3barriers(close,
t_events=sampled_idx,
trgt=vol,
ptsl=1,
t1=t1)
print(events.head())
# print(events['t1_type'].unique())
print(events['t1_type'].describe())
# returns 2 columsn, bin (profit or loss or timout) and return
bins = get_bins(events, close)
# print(bins)
# print(bins['bin'].value_counts())
dropped_bins = drop_labels(bins)
# print(bins.shape)
print(dropped_bins.head())
def demo2():
# SNIPPET 14.2 IMPLEMENTATION OF A HOLDING PERIOD ESTIMATOR
# tPos = pd.Series([4, 3, -2, 1, 0, 6, 8, 0, -5, 7])
# getHoldingPeriod(tPos)
# SNIPPET 14.3 ALGORITHM FOR DERIVING HHI CONCENTRATION
close = get_tick('AAL')
ret = close.diff().values
ret = ret[~np.isnan(ret)]
pdb.set_trace()
rHHIPos = getHHI(
ret[ret >= 0]) # concentration of positive returns per bet
print(rHHIPos)
rHHINeg = getHHI(ret[ret < 0]) # concentration of negative returns per bet
print(rHHINeg)
tHHI = getHHI(close.groupby(
pd.Grouper(freq='M')).count()) # concentr. bets/month
print(tHHI)
def demo_42():
close = get_tick('AAL')
vol = get_daily_vol(close)
sampled_idx = cusum_filter(close, vol)
t1 = get_t1(close, sampled_idx, num_days=5)
trgt = vol
events = get_3barriers(close,
t_events=sampled_idx,
trgt=trgt,
ptsl=1,
t1=t1)
print(events.head())
ind_m = get_ind_matrix(close.index, events['t1'])
avg_uniq = get_avg_uniq(ind_m)
print(avg_uniq.head())
phi = seq_bootstrap(ind_m)
print(phi)
def demo():
close = get_tick('AAL')
vol = get_daily_vol(close)
sampled_idx = cusum_filter(close, vol)
t1 = get_t1(close, sampled_idx, num_days=5)
trgt = vol
events = get_3barriers(close,
t_events=sampled_idx,
trgt=trgt,
ptsl=1,
t1=t1)
print(events.head())
num_threads = 1
num_co_events = mp_pandas_obj(get_num_co_events,
('molecule', events.index),
num_threads,
close_idx=close.index,
t1=events['t1'])
fig, ax1 = plt.subplots(figsize=(16, 8))
ax1.set_xlabel('time (s)')
ax1.set_ylabel('num_co_events', color='red')
ax1.plot(num_co_events, color='red')
ax1.tick_params(axis='y', labelcolor='red')
ax2 = ax1.twinx() # instantiate a second axes that shares the same x-axis
ax2.set_ylabel('volatility',
color='blue') # we already handled the x-label with ax1
ax2.plot(vol, color='blue')
ax2.tick_params(axis='y', labelcolor='blue')
fig.tight_layout() # otherwise the right y-label is slightly clipped
plt.savefig(PNG_PATH + "num_co_events.png")
plt.close()
fig, ax1 = plt.subplots(figsize=(16, 8))
ax1.set_xlabel('time')
ax1.set_ylabel('num_co_events', color='red')
ax1.scatter(num_co_events.index, num_co_events.values, color='red')
ax2 = ax1.twinx()
ret = close.pct_change().dropna()
ax2.set_ylabel('return', color='blue')
ax2.scatter(ret.index, ret.values, color='blue')
plt.savefig(PNG_PATH + "num_co_events_scatter.png")
plt.close()
def demo3():
close = get_tick('FB')
computeDD_TuW(close)
def demo():
close = get_tick('AAL').to_frame()
close['pct_change'] = close['px'].pct_change()
close['log_ret'] = np.log(close['px']) - np.log(close['px'].shift(1))
print(get_bsadf(close['log_ret'].to_frame(), 50, 'ct', 10))
def demo2():
close = get_tick('AAL')
x = np.random.randn(close.shape[0])
dummy = pd.DataFrame({'Close': x.cumsum()}, index=close.index)
dummy.plot()
plt.savefig(PNG_PATH + "dummy.png")
plt.close()
frac_df = frac_diff_FFD(dummy, .5)
print(frac_df.head())
frac_df = frac_diff_FFD(frac_diff_FFD(dummy, 1), -1)
print(frac_df.head())
corrs = []
ds = []
# want to keep correlation high, if d is too high correlation goes away and no predictive power
for d in np.linspace(0, 2, 11):
frac_df = frac_diff_FFD(dummy, d)
close_frac = frac_df["Close"]
corr = close_frac.corr(dummy["Close"])
print(d, corr)
if np.isfinite(corr):
corrs.append(corr)
ds.append(d)
plt.plot(ds, corrs)
# correlation decreases as parameter 'd' is increased
plt.savefig(PNG_PATH + "frac_df_dummy_corr.png")
plt.close()
ps = []
ds = []
# Also want to get stationarity without removing correlation, value of d around 0.6 is usually a good compromise
# p value close to 0 around 0.6 with correlation still present
for d in np.linspace(0, 2, 11):
frac_df = frac_diff_FFD(dummy, d)
close_frac = frac_df["Close"]
close_ = dummy["Close"].loc[close_frac.index]
if len(close_) > 0:
# Coefficient of the first argument will change
res = statsmodels.tsa.stattools.coint(close_frac, close_)
ps.append(res[1])
ds.append(d)
plt.plot(ds, ps)
# correlation decreases as parameter 'd' is increased
plt.savefig(PNG_PATH + "frac_df_dummy_p_v_d.png")
plt.close()
print(ps)
ps = []
ds = []
for d in np.linspace(0, 2, 11):
frac_df = frac_diff_FFD(dummy, d)
close_frac = frac_df["Close"]
if len(close_frac) > 0:
# Coefficient of the first argument will change
# goodness-of-fit test of whether sample data have the skewness and kurtosis matching a normal distribution
res = stats.jarque_bera(close_frac)
ps.append(res[1])
ds.append(d)
plt.plot(ds, ps)
plt.savefig(PNG_PATH + "frac_df_dummy_jarque_bera.png")
plt.close()
print(ps)
