def carry_forecast(df, carryoffset):
vol = util.robust_vol_calc(df.sprice.diff())
# we multiply with the sign of the carryoffset below because
# the offset shows where the carry contract is - if it was
# -1, meaning we look at the earlier contract, then we need
# to have carry-price, if ahead then price-carry. The trick
# with the sign() call below achieves that flip.
raw_carry = (df.effprice-df.carryprice) / (carryoffset/12.)
#raw_carry = raw_carry / np.abs(carryoffset/12.)
forecast = util.carry(raw_carry, vol)
forecast.loc[forecast > util.MAX_FORECAST] = util.MAX_FORECAST
forecast.loc[forecast < -util.MAX_FORECAST] = -util.MAX_FORECAST
return forecast
def test_returns_sharpe_skew():
import util, zipfile, pandas as pd
with zipfile.ZipFile("../alg/legacycsv.zip", "r") as z:
df = pd.read_csv(z.open("EDOLLAR_price.csv"), index_col=0, parse_dates=True)
fast_ewma = pd.ewma(df.PRICE, span=32)
slow_ewma = pd.ewma(df.PRICE, span=128)
raw_ewmac = fast_ewma - slow_ewma
vol = util.robust_vol_calc(df.PRICE.diff())
forecast = raw_ewmac / vol
sr, tval, pval = util.sharpe(df.PRICE, forecast)
assert sr - 0.50 < 0.01
s = util.skew(df.PRICE, forecast)
assert s - (-0.57) < 0.01
def test_returns_sharpe_skew():
import util, zipfile, pandas as pd
with zipfile.ZipFile('../alg/legacycsv.zip', 'r') as z:
df = pd.read_csv(z.open('EDOLLAR_price.csv'),
index_col=0,
parse_dates=True)
fast_ewma = pd.ewma(df.PRICE, span=32)
slow_ewma = pd.ewma(df.PRICE, span=128)
raw_ewmac = fast_ewma - slow_ewma
vol = util.robust_vol_calc(df.PRICE.diff())
forecast = raw_ewmac / vol
sr, tval, pval = util.sharpe(df.PRICE, forecast)
assert sr - 0.50 < 0.01
s = util.skew(df.PRICE, forecast)
assert s - (-0.57) < 0.01
def calc_ewmac_forecast(price, slow, fast):
vol = util.robust_vol_calc(price.diff())
fast_ewma = pd.ewma(price, span=slow)
slow_ewma = pd.ewma(price, span=fast)
raw_ewmac = fast_ewma - slow_ewma
return raw_ewmac / vol
def calc_ewmac_forecast(price,slow,fast):
vol = util.robust_vol_calc(price.diff())
fast_ewma = pd.ewma(price, span=slow)
slow_ewma = pd.ewma(price, span=fast)
raw_ewmac = fast_ewma - slow_ewma
return raw_ewmac / vol