def _refresh_lvol_betas(x):
_d_comb = x
comb_prices = _d_comb.retrieve("Close")
tc = comb_prices.tick_cols()
comb_ret = _d_comb.retrieve("Returns")[tc].values.astype("float64")
comb_ret[np.isnan(comb_ret)] = 0
comb_vol = _d_comb.retrieve("Vol_CC_240D")
# get the 30-day volatility
comb_lowv = comb_prices.copy()
for i in tc:
comb_lowv[i] = crtf.lrma(crtf.vol_ewma(comb_prices[i].values, 22), 20) / comb_vol[i].values
comb_lowv_val = comb_lowv[tc].values.astype("float64")
comb_lowv_val_st = np.sum(~np.isnan(comb_lowv_val), axis=1)
comb_lowv_idx = np.where(comb_lowv_val_st > 30)[0][0]
dummy = np.empty(len(tc)) * np.nan
for j in range(0, comb_lowv_idx):
comb_lowv_val[j, :] = dummy
for j in range(comb_lowv_idx, comb_lowv_val.shape[0]):
comb_lowv_val[j, :] = -crup.full_norm_rankit(comb_lowv_val[j, :])
comb_lowv[:, tc] = comb_lowv_val
comb_lowv_val[np.isnan(comb_lowv_val)] = 0
# calculate the low volatility factor returns
comb_lowv["Close"] = 2 * np.sum(comb_ret * comb_lowv_val, axis=1) / np.sum(np.abs(comb_lowv_val), axis=1)
comb_lowv = comb_lowv[["Date", "Close"]]
comb_lowv["Close"] = crup.conv_to_price(comb_lowv["Close"].values)
# calculate the low volatility beta
comb_lowv_val = comb_lowv["Close"].values
for j in range(60, 300, 60):
comb_lowv_beta = comb_prices.copy()
for i in tc:
comb_lowv_beta[i] = crtf.beta_cc(comb_lowv_beta[i].values, comb_lowv_val, j)
_d_comb.store("LVOL_Beta_" + str(int(j / 20)) + "m", comb_lowv_beta)
return None
cnt1gk = 0
cnt1yz = 0
# prod_ = 1
prod_ = 1.33456825
for i in test_.tick_cols():
# i = test_.tick_cols()[0]
test = test_[i].values
testo = testo_[i].values
testh = testh_[i].values
testl = testl_[i].values
testr = crtf.ret(test)
test1cc = crtf.vol_cc(test, n, zl=True)
test1tr = crtf.vol_ewma(test, n)
test1p = crtf.vol_p(testo, testh, testl, test, n, zl=True)
test1gk3 = crtf.vol_gk3(testo, test, n, zl=True)
test1pb = crtf.vol_pb(testo, testh, testl, test, n, zl=True)
test1rs = crtf.vol_rs(testo, testh, testl, test, n, zl=True)
test1gk = crtf.vol_gk(testo, testh, testl, test, n, zl=True)
test1yz = crtf.vol_yz(testo, testh, testl, test, n, zl=True)
tmp = chk_vol(testr, test1cc*prod_)
if ~np.isnan(tmp):
res1cc += tmp
cnt1cc += 1
tmp = chk_vol(testr, test1tr)
if ~np.isnan(tmp):
res1tr += tmp
cnt1tr += 1
tmp = chk_vol(testr, test1p*prod_)
