Python int_macd_poly Examples

Example #1

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

def calc_ema_imacd_spectra_mse(Neff_imacd, Neff_ema, Nwindow):
    "Mean-Squared Error\
     1) generates h_ema and h_imacd given the input parameters;\
     2) takes the amplitude of the FFT for each response\
     3) computes the cumulative sum of each gain spectrum\
     4) computes and retuns the MSE of the two cumulative gain spectra"

    h_ema = ema(Neff_ema, Nwindow)
    h_imacd = int_macd_poly(Neff_imacd, Nwindow)

    h_ema_fft = np.fft.fft(h_ema)
    h_imacd_fft = np.fft.fft(h_imacd)

    h_ema_fft_abs = np.absolute(h_ema_fft)
    h_imacd_fft_abs = np.absolute(h_imacd_fft)

    h_ema_fft_abs_sum = np.cumsum(h_ema_fft_abs)
    h_imacd_fft_abs_sum = np.cumsum(h_imacd_fft_abs)

    mse = np.sum(np.square(h_ema_fft_abs_sum - h_imacd_fft_abs_sum)) / Nwindow

    return mse

Example #2

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

def calc_ema_imacd_spectra_mse(Neff_imacd, Neff_ema, Nwindow):
    "Mean-Squared Error\
     1) generates h_ema and h_imacd given the input parameters;\
     2) takes the amplitude of the FFT for each response\
     3) computes the cumulative sum of each gain spectrum\
     4) computes and retuns the MSE of the two cumulative gain spectra"

    h_ema = ema(Neff_ema, Nwindow)
    h_imacd = int_macd_poly(Neff_imacd, Nwindow)

    h_ema_fft = np.fft.fft(h_ema)
    h_imacd_fft = np.fft.fft(h_imacd)

    h_ema_fft_abs = np.absolute(h_ema_fft) 
    h_imacd_fft_abs = np.absolute(h_imacd_fft) 

    h_ema_fft_abs_sum = np.cumsum(h_ema_fft_abs)
    h_imacd_fft_abs_sum = np.cumsum(h_imacd_fft_abs)

    mse = np.sum(np.square(h_ema_fft_abs_sum - h_imacd_fft_abs_sum)) / Nwindow
   
    return mse 

Example #3

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

from scipy import optimize

from ema import ema
from int_macd_poly import int_macd_poly
from calc_ema_imacd_spectra_mse import calc_ema_imacd_spectra_mse

Nwindow = 1024
Neff_ema = 16
Neff_imacd = 16

f, axarr = plt.subplots(2, 2)

# a) Indicative responses

h_ema = ema(Neff_ema, Nwindow)
h_imacd = int_macd_poly(Neff_imacd, Nwindow)

axarr[0, 0].plot(h_ema[:150])
axarr[0, 0].plot(h_imacd[:150])
axarr[0, 0].set_title('Ema and integrated macd poly.')

# b) Spectra

h_ema_fft = np.fft.fft(h_ema)
h_imacd_fft = np.fft.fft(h_imacd)

h_ema_fft_abs = np.absolute(h_ema_fft)
h_imacd_fft_abs = np.absolute(h_imacd_fft)

axarr[0, 1].plot(h_ema_fft_abs)
axarr[0, 1].plot(h_imacd_fft_abs, 'r--')

Example #4

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

    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]
    y_convolution = candidate[:len(prices)]

    axarr[2, 0].set_title("Integrated macd poly")
    axarr[2, 0].plot(y_fde)
    axarr[2, 0].plot(y_convolution, 'o', markerfacecolor='none')

    # f) Macd

    Neff_pos = 16
    Neff_neg = 32
    lag = 2

    y_fde = apply_macd_filter(prices, Neff_pos, Neff_neg)
    h_macd = macd(Neff_pos, Neff_neg, Nwindow)

Example #5

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

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)
impulse_response_fde = candidate[lag:]
impulse_response_direct = int_macd_poly(Neff_modified, Nwindow)

axarr[2, 0].set_title("Integrated Macd-Poly")
axarr[2, 0].plot(impulse_response_fde)
axarr[2, 0].plot(impulse_response_direct, 'o', markerfacecolor='none')

# f) Macd

Neff_pos = 16
Neff_neg = 32
lag = 2 

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

candidate = apply_macd_filter(impulse, Neff_pos, Neff_neg)

Example #6

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

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)
impulse_response_fde = candidate[lag:]
impulse_response_direct = int_macd_poly(Neff_modified, Nwindow)

axarr[2, 0].set_title("Integrated Macd-Poly")
axarr[2, 0].plot(impulse_response_fde)
axarr[2, 0].plot(impulse_response_direct, 'o', markerfacecolor='none')

# f) Macd

Neff_pos = 16
Neff_neg = 32
lag = 2

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

candidate = apply_macd_filter(impulse, Neff_pos, Neff_neg)

Example #7

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

from scipy import optimize

from ema import ema
from int_macd_poly import int_macd_poly
from calc_ema_imacd_spectra_mse import calc_ema_imacd_spectra_mse

Nwindow = 1024
Neff_ema = 16
Neff_imacd = 16

f, axarr = plt.subplots(2, 2)

# a) Indicative responses

h_ema = ema(Neff_ema, Nwindow)
h_imacd = int_macd_poly(Neff_imacd, Nwindow)

axarr[0, 0].plot(h_ema[:150])
axarr[0, 0].plot(h_imacd[:150])
axarr[0, 0].set_title('Ema and integrated macd poly.')

# b) Spectra

h_ema_fft = np.fft.fft(h_ema)
h_imacd_fft = np.fft.fft(h_imacd)

h_ema_fft_abs = np.absolute(h_ema_fft)
h_imacd_fft_abs = np.absolute(h_imacd_fft)

axarr[0, 1].plot(h_ema_fft_abs)
axarr[0, 1].plot(h_imacd_fft_abs, 'r--')

Example #8

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

    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]
    y_convolution = candidate[:len(prices)]

    axarr[2, 0].set_title("Integrated macd poly")
    axarr[2, 0].plot(y_fde)
    axarr[2, 0].plot(y_convolution, 'o', markerfacecolor='none')

    # f) Macd

    Neff_pos = 16
    Neff_neg = 32
    lag = 2

    y_fde = apply_macd_filter(prices, Neff_pos, Neff_neg)
    h_macd = macd(Neff_pos, Neff_neg, Nwindow)