def ppwfilter(funddf, indexdf, rf, ratio):
length = len(funddf.index)
'''
tran_index = []
for i in range(0, length):
if i % 4 == 0:
tran_index.append(i)
funddf = funddf.iloc[tran_index]
funddfr = funddf.pct_change()
indexdf = indexdf.iloc[tran_index]
indexdfr = indexdf.pct_change()
'''
funddfr = funddf.pct_change().fillna(0.0)
indexdfr = indexdf.pct_change().fillna(0.0)
ppw = {}
cols = funddfr.columns
for col in cols:
p = []
m = []
rs = funddfr[col].values
indexrs = indexdfr.values
for i in range(0, len(rs)):
if isnan(rs[i]):
continue
else:
p.append(rs[i] - rf)
m.append(indexrs[i] - rf)
ppw[col] = fin.ppw(p, m)
x = ppw
sorted_x = sorted(x.iteritems(), key=lambda x : x[1], reverse=True)
sorted_ppw = sorted_x
result = []
for i in range(0, (int)(len(sorted_ppw) * ratio)):
result.append(sorted_ppw[i])
#print result
return result
def ppwmeasure(funddf, indexdf, rf):
length = len(funddf.index)
'''
tran_index = []
for i in range(0, length):
if i % 4 == 0:
tran_index.append(i)
funddf = funddf.iloc[tran_index]
funddfr = funddf.pct_change()
indexdf = indexdf.iloc[tran_index]
indexdfr = indexdf.pct_change()
'''
funddfr = funddf.pct_change().fillna(0.0)
indexdfr = indexdf.pct_change().fillna(0.0)
ppw = {}
cols = funddfr.columns
for col in cols:
p = []
m = []
rs = funddfr[col].values
indexrs = indexdfr.values
for i in range(0, len(rs)):
if isnan(rs[i]):
continue
else:
p.append(rs[i] - rf)
m.append(indexrs[i] - rf)
#print p
#print m
ppw[col] = fin.ppw(p, m)
return ppw