Python switch_to_composite_unit_gauge Examples

Example #1

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

def calc_box_diff_macd_spectra_mse(Neff, Nbox, Nwindow):
    "Mean-Squared Error\
     1) generates h_box_diff and h_macd 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_box_diff = box_diff(Nbox, Nwindow)
    h_macd = switch_to_composite_unit_gauge(macd(Neff/3.0, Neff, Nwindow))
    #h_macd = macd(Neff, Nwindow)

    h_box_diff_fft = np.fft.fft(h_box_diff)
    h_macd_fft = np.fft.fft(h_macd)

    h_box_diff_fft_abs = np.absolute(h_box_diff_fft) 
    h_macd_fft_abs = np.absolute(h_macd_fft) 

    h_box_diff_fft_abs_sum = np.cumsum(h_box_diff_fft_abs)
    h_macd_fft_abs_sum = np.cumsum(h_macd_fft_abs)

    mse = np.sum(np.square(h_box_diff_fft_abs_sum - h_macd_fft_abs_sum)) / Nwindow
   
    return mse 

Example #2

def calc_box_diff_macd_spectra_mse(Neff, Nbox, Nwindow):
    "Mean-Squared Error\
     1) generates h_box_diff and h_macd 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_box_diff = box_diff(Nbox, Nwindow)
    h_macd = switch_to_composite_unit_gauge(macd(Neff / 3.0, Neff, Nwindow))
    #h_macd = macd(Neff, Nwindow)

    h_box_diff_fft = np.fft.fft(h_box_diff)
    h_macd_fft = np.fft.fft(h_macd)

    h_box_diff_fft_abs = np.absolute(h_box_diff_fft)
    h_macd_fft_abs = np.absolute(h_macd_fft)

    h_box_diff_fft_abs_sum = np.cumsum(h_box_diff_fft_abs)
    h_macd_fft_abs_sum = np.cumsum(h_macd_fft_abs)

    mse = np.sum(
        np.square(h_box_diff_fft_abs_sum - h_macd_fft_abs_sum)) / Nwindow

    return mse

Example #3

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

from macd import macd
from switch_to_composite_unit_gauge import switch_to_composite_unit_gauge
from calc_box_diff_macd_spectra_mse import calc_box_diff_macd_spectra_mse

Nwindow = 1024
Nbox = 16
Neff_neg = 16
Neff_pos = Neff_neg/3.0


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

# a) Indicative responses

h_box_diff = box_diff(Nbox, Nwindow)
h_macd = switch_to_composite_unit_gauge(macd(Neff_pos, Neff_neg, Nwindow))

axarr[0, 0].plot(h_box_diff[:150])
axarr[0, 0].plot(h_macd[:150])
axarr[0, 0].set_title('Box and macd differencer impulse response')

# b) Spectra

h_box_diff_fft = np.fft.fft(h_box_diff)
h_macd_fft = np.fft.fft(h_macd)

h_box_diff_fft_abs = np.absolute(h_box_diff_fft)
h_macd_fft_abs = np.absolute(h_macd_fft)

axarr[0, 1].plot(h_box_diff_fft_abs)
axarr[0, 1].plot(h_macd_fft_abs, 'r--')

Example #4

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

from box_diff import box_diff
from macd import macd
from switch_to_composite_unit_gauge import switch_to_composite_unit_gauge
from calc_box_diff_macd_spectra_mse import calc_box_diff_macd_spectra_mse

Nwindow = 1024
Nbox = 16
Neff_neg = 16
Neff_pos = Neff_neg / 3.0

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

# a) Indicative responses

h_box_diff = box_diff(Nbox, Nwindow)
h_macd = switch_to_composite_unit_gauge(macd(Neff_pos, Neff_neg, Nwindow))

axarr[0, 0].plot(h_box_diff[:150])
axarr[0, 0].plot(h_macd[:150])
axarr[0, 0].set_title('Box and macd differencer impulse response')

# b) Spectra

h_box_diff_fft = np.fft.fft(h_box_diff)
h_macd_fft = np.fft.fft(h_macd)

h_box_diff_fft_abs = np.absolute(h_box_diff_fft)
h_macd_fft_abs = np.absolute(h_macd_fft)

axarr[0, 1].plot(h_box_diff_fft_abs)
axarr[0, 1].plot(h_macd_fft_abs, 'r--')