Python ema_poly1 Examples

Example #1

File: macd_poly.py Project: ShengQuanZhou/baruch-mfe-lab

def macd_poly(Neff, Nwindow):
    "Macd-Poly differencer"

    if Neff > 0:
        h_pos = ema(Neff/3.0, Nwindow)
        h_neg = ema_poly1(Neff, Nwindow)
        h = h_pos - h_neg
    else:
        h = np.zeros(Nwindow)
        h[0]=1
        h[1]=-1

    return h

Example #2

def macd_poly(Neff, Nwindow):
    "Macd-Poly differencer"

    if Neff > 0:
        h_pos = ema(Neff / 3.0, Nwindow)
        h_neg = ema_poly1(Neff, Nwindow)
        h = h_pos - h_neg
    else:
        h = np.zeros(Nwindow)
        h[0] = 1
        h[1] = -1

    return h

Example #3

File: apply_fde_filters_to_price_series.py Project: zzzandyyuruuu/baruch-mfe-lab

    y_fde = apply_ema_filter(prices, Neff)
    h_ema = ema(Neff, Nwindow)
    candidate = np.convolve(prices - prices[0], h_ema) + prices[0]
    y_convolution = candidate[:len(prices)]

    axarr[1, 0].set_title("Ema")
    axarr[1, 0].plot(y_fde)
    axarr[1, 0].plot(y_convolution, 'o', markerfacecolor='none')

    # d) Ema poly1

    Neff = 32
    lag = 2

    y_fde = apply_ema_poly1_filter(prices, Neff)
    h_ema_poly1 = ema_poly1(Neff, Nwindow)
    candidate = np.convolve(prices - prices[0], h_ema_poly1) + prices[0]
    y_convolution = candidate[:len(prices)]

    axarr[1, 1].set_title("Ema poly1")
    axarr[1, 1].plot(y_fde)
    axarr[1, 1].plot(y_convolution, 'o', markerfacecolor='none')

    # e) Integrated Macd-Poly

    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]

Example #4

File: verify_fde_impulse_responses.py Project: ShengQuanZhou/baruch-mfe-lab

axarr[1, 0].set_title("Ema")
axarr[1, 0].plot(impulse_response_fde)
axarr[1, 0].plot(impulse_response_direct, 'o', markerfacecolor='none')

# d) Ema poly1

Neff = 32
lag = 2 

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

candidate = apply_ema_poly1_filter(impulse, Neff)
impulse_response_fde = candidate[lag:]
impulse_response_direct = ema_poly1(Neff, Nwindow)

axarr[1, 1].set_title("Ema poly1")
axarr[1, 1].plot(impulse_response_fde)
axarr[1, 1].plot(impulse_response_direct, 'o', markerfacecolor='none')

# e) Integrated Macd-Poly 

Neff = 32
Neff_modified = 32
lag = 3 

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

candidate = apply_integrated_macd_poly_filter(impulse, Neff)

Example #5

File: verify_fde_impulse_responses.py Project: zzzandyyuruuu/baruch-mfe-lab

axarr[1, 0].set_title("Ema")
axarr[1, 0].plot(impulse_response_fde)
axarr[1, 0].plot(impulse_response_direct, 'o', markerfacecolor='none')

# d) Ema poly1

Neff = 32
lag = 2

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

candidate = apply_ema_poly1_filter(impulse, Neff)
impulse_response_fde = candidate[lag:]
impulse_response_direct = ema_poly1(Neff, Nwindow)

axarr[1, 1].set_title("Ema poly1")
axarr[1, 1].plot(impulse_response_fde)
axarr[1, 1].plot(impulse_response_direct, 'o', markerfacecolor='none')

# e) Integrated Macd-Poly

Neff = 32
Neff_modified = 32
lag = 3

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

candidate = apply_integrated_macd_poly_filter(impulse, Neff)

Example #6

File: apply_fde_filters_to_price_series.py Project: ShengQuanZhou/baruch-mfe-lab

    y_fde = apply_ema_filter(prices, Neff)
    h_ema = ema(Neff, Nwindow)
    candidate = np.convolve(prices - prices[0], h_ema) + prices[0]
    y_convolution = candidate[:len(prices)]

    axarr[1, 0].set_title("Ema")
    axarr[1, 0].plot(y_fde)
    axarr[1, 0].plot(y_convolution, 'o', markerfacecolor='none')
    
    # d) Ema poly1

    Neff = 32
    lag = 2

    y_fde = apply_ema_poly1_filter(prices, Neff)
    h_ema_poly1 = ema_poly1(Neff, Nwindow)
    candidate = np.convolve(prices - prices[0], h_ema_poly1) + prices[0]
    y_convolution = candidate[:len(prices)]

    axarr[1, 1].set_title("Ema poly1")
    axarr[1, 1].plot(y_fde)
    axarr[1, 1].plot(y_convolution, 'o', markerfacecolor='none')

    # e) Integrated Macd-Poly    
    
    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]