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]
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]
cnx = mysql.connector.connect(user='******',
password='',
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 '
#!/usr/bin/env python
import csv
import os
import shutil
import sys
import quantcode.johansen as johansen
import quantcode.quantstats as qs
ts = []
for i in xrange(1, 3):
filename = sys.argv[i] + '.csv'
qs.download(sys.argv[i], filename)
ts.append(qs.load(filename))
if len(sys.argv) >= 4 and sys.argv[3] == '-r':
os.remove(filename)
for i in enumerate(ts):
# augmented Dickey-Fuller test from statsmodels
results = qs.adf(ts[i], maxlag=None, regression='c', autolag='AIC')
print 'ADF results: ', results
# https://www.quantopian.com/posts/some-code-from-ernie-chans-new-book-implemented-in-python
print 'half-life: ', qs.halflife(ts[i])
print 'Hurst exponent: ', qs.hurst(ts[i])
# print qs.hurst2(closes)
print 'CADF results: ', qs.cadf(ts[0], ts[1])
warnings.filterwarnings('error')
cnx = mysql.connector.connect(user='******', password='',
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) '
#!/usr/bin/env python
import csv
import os
import shutil
import sys
import quantcode.johansen as johansen
import quantcode.quantstats as qs
ts = []
for i in xrange(1, 3):
filename = sys.argv[i] + '.csv'
qs.download(sys.argv[i], filename)
ts.append(qs.load(filename))
if len(sys.argv) >= 4 and sys.argv[3] == '-r':
os.remove(filename)
for i in enumerate(ts):
# augmented Dickey-Fuller test from statsmodels
results = qs.adf(ts[i], maxlag=None, regression='c', autolag='AIC')
print 'ADF results: ', results
# https://www.quantopian.com/posts/some-code-from-ernie-chans-new-book-implemented-in-python
print 'half-life: ', qs.halflife(ts[i])
print 'Hurst exponent: ', qs.hurst(ts[i])
# print qs.hurst2(closes)
print 'CADF results: ', qs.cadf(ts[0], ts[1])
