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 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 "
"(ticker, adf, pval, usedlag, nobs, cvalue1, cvalue5, cvalue10, icbest, hurst, halflife, vratio, vratiozscore, vratiopval) "
"VALUES (%s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s)"
"ON DUPLICATE KEY UPDATE adf = %s, pval = %s, usedlag = %s, nobs = %s, cvalue1 = %s, cvalue5 = %s, cvalue10 = %s, icbest = %s, hurst = %s, halflife = %s, vratio = %s, vratiozscore = %s, vratiopval = %s"
)
data = (key, float(adf["adf"]), float(adf["pval"]), adf["usedlag"],
adf["nobs"], float(adf["cvalues"]["1%"]),
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]
host='localhost',
database='quantcode')
cursor = cnx.cursor()
if not os.path.exists('ETF'):
os.makedirs('ETF')
ts = {}
for category in etf.etf_dict.keys():
qs.ensure_path('ETF/' + category)
for ticker in etf.etf_dict[category]:
filename = 'ETF/' + category + '/' + ticker + '.csv'
qs.download(ticker, filename, endmonth=12, endday=31, endyear=2007)
# download(ticker, filename, endmonth=1, endday=1, endyear=1) is ok
if os.path.isfile(filename):
ts.update({ticker: qs.load(filename)})
for key1 in ts.keys():
for key2 in ts.keys():
if key1 != key2:
# print key1 + "*" + key2
try:
cadf = qs.cadf_helper(ts[key1], ts[key2])
except numpy.RankWarning, e:
print e, key1, key2
# edit database here
add_database = (
'INSERT INTO alletf '
'(ticker1, ticker2, cadf, hedgeRatio, pval, usedlag, nobs, cvalue1, cvalue5, cvalue10, icbest, hurst, halflife, vratio, vratiozscore, vratiopval) '
'VALUES (%s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s)'
'ON DUPLICATE KEY UPDATE cadf = %s, hedgeRatio = %s, pval = %s, usedlag = %s, nobs = %s, cvalue1 = %s, cvalue5 = %s, cvalue10 = %s, icbest = %s, hurst = %s, halflife = %s, vratio = %s, vratiozscore = %s, vratiopval = %s'
cnx = mysql.connector.connect(user='******', password='',
host='localhost',
database='quantcode')
cursor = cnx.cursor()
qs.ensure_path('ETF/')
for category in etf.etf_dict.keys():
ts = {}
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.update({ticker: qs.load(filename)})
for key1 in ts.keys():
for key2 in ts.keys():
if key1 != key2:
# print key1 + "*" + key2
cadf = qs.cadf_helper(ts[key1], ts[key2])
volume1 = qs.getVolume(key1, category)
volume2 = qs.getVolume(key2, category)
# edit database here
add_database = ('INSERT INTO insample '
'(ticker1, ticker2, volume1, volume2, category, cadf, hedgeRatio, pval, usedlag, nobs, cvalue1, cvalue5, cvalue10, icbest, hurst, halflife, vratio, vratiozscore, vratiopval) '
'VALUES (%s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s)'
'ON DUPLICATE KEY UPDATE volume1 = %s, volume2 = %s, category = %s, cadf = %s, hedgeRatio = %s, pval = %s, usedlag = %s, nobs = %s, cvalue1 = %s, cvalue5 = %s, cvalue10 = %s, icbest = %s, hurst = %s, halflife = %s, vratio = %s, vratiozscore = %s, vratiopval = %s')
data = (key1, key2, volume1, volume2, etf.categories[category], float(cadf['results']['adf']), float(cadf['hedgeRatio']), float(cadf['results']['pval']), cadf['results']['usedlag'], cadf['results']['nobs'], float(cadf['results']['cvalues']['1%']), float(cadf['results']['cvalues']['5%']), float(cadf['results']['cvalues']['10%']), float(cadf['results']['icbest']), float(cadf['hurst']), float(cadf['halflife']), float(cadf['vratio']['vratio']), float(cadf['vratio']['zscore']), float(cadf['vratio']['pval']), volume1, volume2, etf.categories[category], float(cadf['results']['adf']), float(cadf['hedgeRatio']), float(cadf['results']['pval']), cadf['results']['usedlag'], cadf['results']['nobs'], float(cadf['results']['cvalues']['1%']), float(cadf['results']['cvalues']['5%']), float(cadf['results']['cvalues']['10%']), float(cadf['results']['icbest']), float(cadf['hurst']), float(cadf['halflife']), float(cadf['vratio']['vratio']), float(cadf['vratio']['zscore']), float(cadf['vratio']['pval']))
try:
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 "
"(ticker, adf, pval, usedlag, nobs, cvalue1, cvalue5, cvalue10, icbest, hurst, halflife, vratio, vratiozscore, vratiopval) "
"VALUES (%s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s)"
"ON DUPLICATE KEY UPDATE adf = %s, pval = %s, usedlag = %s, nobs = %s, cvalue1 = %s, cvalue5 = %s, cvalue10 = %s, icbest = %s, hurst = %s, halflife = %s, vratio = %s, vratiozscore = %s, vratiopval = %s")
data = (key, float(adf["adf"]), float(adf["pval"]), adf["usedlag"], adf["nobs"], float(adf["cvalues"]["1%"]), float(adf["cvalues"]["5%"]), float(adf["cvalues"]["10%"]), float(adf["icbest"]), float(hurst), float(halflife), float(vratio["vratio"]), float(vratio["zscore"]), float(vratio["pval"]), float(adf["adf"]), float(adf["pval"]), adf["usedlag"], adf["nobs"], float(adf["cvalues"]["1%"]), float(adf["cvalues"]["5%"]), float(adf["cvalues"]["10%"]), float(adf["icbest"]), float(hurst), float(halflife), float(vratio["vratio"]), float(vratio["zscore"]), float(vratio["pval"]))
cursor.execute(add_database, data)
cnx.commit()
