def get_vol_combo(): _eqidx = get_all_equity_index_names() for k in range(0, len(vol_names)): # k = 0 for j in vol_lookbacks: # j = vol_lookbacks[0] for i in _eqidx: # i = 'SP500' _data_ = mkt_retrieve(i, 'Stats', 'Volatility')[['Date', vol_names[k]+str(j)]] _data_.set_columns(['Date', i]) if i == _eqidx[0]: _data = _data_ else: _data = DataFrame.merge(_data, _data_, on='Date') _data['Date'] = _data['Date'].values.astype('int64') _data.sort(['Date']) tcl = _data.tick_cols() for i in tcl: _data[i] = filt.fill(_data[i].values) cr_cret.store(univ_ib_eqidx_ext + vol_names[k]+str(j), _data) return None
import CrazyCod.Utilities.filters3 as filt from CrazyCod.Futures.folder import * import CrazyCod.Futures.Universes.Universe_IB as univ_ib import numpy as np from CrazyCod.Utilities.pkgstdy import * import CrazyCod.Utilities.quantreg5 as qreg5 from CrazyCod.Futures.Collect.step4_getreturns import get_all_equity_index_names from multiprocessing import Pool from CrazyCod.Utilities.smth_price_results import smth_param import warnings from CrazyCod.Utilities.frames import DataFrame import matplotlib.pyplot as plt import CrazyCod.Utilities.boosting as bst _eq_idx = get_all_equity_index_names() _sm_pr = [8, 11, 14, 17, 20, 23, 26, 29] _sm_pr_sum = [] for i in _sm_pr: _sm_pr_sum.append(np.sum(np.array(smth_param(i)))) _sig_set_95_lvl = ['D04S26_429_QRB', 'D04S26_156_LRB', 'D04S29_236_LRB', 'D10S26_521_QRB', 'D10S11_521_QRG', 'D09S23_349_QRB', 'D03S29_285_QRB', 'D03S29_107_LRB', 'D09S23_107_LRB', 'D07S29_349_LRB', 'D03S17_349_QRG', 'D09S29_005_QRG', 'D01S08_009_QRB', 'D01S08_005_LRB', 'D10S17_070_LRB', 'D10S23_349_QRG', 'D09S29_008_QRG', 'D02S08_007_QRB', 'D01S08_015_QRB', 'D01S14_005_QRB', 'D10S29_236_QRB', 'D10S11_059_LRB', 'D04S26_285_QRG', 'D08S29_193_QRB', 'D09S14_005_QRG', 'D01S08_021_QRB', 'D09S17_007_QRG', 'D10S26_012_QRG', 'D03S08_008_QRB', 'D02S17_193_QRB', 'D03S29_005_QRB', 'D03S29_070_LRB', 'D01S11_048_QRG', 'D10S29_005_QRG', 'D01S08_005_QRB', 'D08S26_285_QRG', 'D01S08_021_QRG', 'D03S08_012_QRB', 'D08S11_005_QRB', 'D01S08_038_QRB', 'D09S08_005_QRG', 'D01S08_027_QRG', 'D10S29_521_LRB', 'D07S23_015_QRG', 'D02S17_059_QRG', 'D09S29_129_QRB', 'D03S20_059_QRG', 'D01S08_009_QRG', 'D08S29_005_QRG', 'D01S08_012_QRG',
def get_vol(): _eqidx = get_all_equity_index_names() with Pool(processes=6) as p: p.map(_get_vol, _eqidx)
def get_signals(): _eq_idx = get_all_equity_index_names() with Pool(processes=6) as p: p.map(_get_signals, _eq_idx)