if not os.path.exists('ETF'):
os.makedirs('ETF')
ts = []
categories = []
stocks = []
if len(sys.argv) > 1:
for i in xrange(1, len(sys.argv)):
categories.append(sys.argv[i])
else:
for category in etf.etf_dict.keys():
categories.append(category)
for category in categories:
qs.ensure_path('ETF/' + category)
for ticker in etf.etf_dict[category]:
filename = 'ETF/' + category + '/' + ticker + '.csv'
qs.download(ticker, filename)
if os.path.isfile(filename):
ts.append(qs.load(filename))
stocks.append(ticker)
# shutil.rmtree("ETF", True)
ts = qs.johansen_trim(ts)
jresults = johansen.coint_johansen(ts, 0, 1)
for item in jresults.keys():
print '%s: ' % item, jresults[item]
if not os.path.exists('ETF'):
os.makedirs('ETF')
ts = []
categories = []
stocks = []
if len(sys.argv) > 1:
for i in xrange(1, len(sys.argv)):
categories.append(sys.argv[i])
else:
for category in etf.etf_dict.keys():
categories.append(category)
for category in categories:
qs.ensure_path('ETF/' + category)
for ticker in etf.etf_dict[category]:
filename = 'ETF/' + category + '/' + ticker + '.csv'
qs.download(ticker, filename)
if os.path.isfile(filename):
ts.append(qs.load(filename))
stocks.append(ticker)
# shutil.rmtree("ETF", True)
ts = qs.johansen_trim(ts)
jresults = johansen.coint_johansen(ts, 0, 1)
for item in jresults.keys():
print '%s: ' % item, jresults[item]
import itertools
import os
import shutil
import sys
import mysql.connector
import quantcode.quantstats as qs
import quantcode.sp500 as sp500
cnx = mysql.connector.connect(user='******',
password='',
host='localhost',
database='quantcode')
cursor = cnx.cursor()
qs.ensure_path('TS')
ts = {}
for stock in sp500.sp500:
filename = 'TS/' + stock + '.csv'
# qs.download(stock, filename)
if os.path.isfile(filename):
ts.update({stock: qs.load(filename)})
for key in ts.keys():
adf = qs.adf(ts[key])
hurst = qs.hurst(ts[key])
halflife = qs.halflife(ts[key])
vratio = qs.vratio(ts[key], adf['usedlag'])
cnx.commit()
add_database = (
import itertools
import os
import shutil
import sys
import mysql.connector
import quantcode.quantstats as qs
import quantcode.sp500 as sp500
cnx = mysql.connector.connect(user='******', password='',
host='localhost',
database='quantcode')
cursor = cnx.cursor()
qs.ensure_path('TS')
ts = {}
for stock in sp500.sp500:
filename = 'TS/' + stock + '.csv'
# qs.download(stock, filename)
if os.path.isfile(filename):
ts.update({stock: qs.load(filename)})
for key in ts.keys():
adf = qs.adf(ts[key])
hurst = qs.hurst(ts[key])
halflife = qs.halflife(ts[key])
vratio = qs.vratio(ts[key], adf['usedlag'])
cnx.commit()
add_database = ("INSERT INTO adfresults "
