def _refresh_signals(x):
_d_comb, _d_sig = x
# generate the signals (type 1)
comb_prices = _d_comb.retrieve('Close')
for j in range(1, 51):
comb_ret_qr = comb_prices.copy()
comb_ret_lr = comb_prices.copy()
for i in comb_ret_lr.tick_cols():
comb_ret_qr[i] = crtf.qrbeta(comb_ret_qr[i].values, j*10)
comb_ret_lr[i] = crtf.lrbeta(comb_ret_lr[i].values, j*10)
_d_sig.store('QrB_'+str(j*10)+'D', comb_ret_qr)
_d_sig.store('LrB_'+str(j*10)+'D', comb_ret_lr)
del comb_ret_lr
del comb_ret_qr
# generate the signals (type 2)
comb_ret = _d_comb.retrieve('Returns')
for j in range(1, 51):
comb_ret_lr = comb_ret.copy()
comb_ret_qr = comb_ret.copy()
for i in comb_ret_lr.tick_cols():
comb_ret_qr[i] = crtf.lrma(crtf.lrma(crtf.qrma(comb_ret_qr[i].values, j*10), 5), 5)
comb_ret_lr[i] = crtf.lrma(crtf.lrma(crtf.lrma(comb_ret_qr[i].values, j*10), 5), 5)
_d_sig.store('QrS_'+str(j*10)+'D', comb_ret_qr)
_d_sig.store('LrS_'+str(j*10)+'D', comb_ret_lr)
del comb_ret_lr
del comb_ret_qr
return None
def _qrma_multi(x, n1, n2):
for j in range(0, n2):
x = crtf.qrma(x, n1)
return x
cnt4 = 0
cnt5 = 0
cnt6 = 0
cnt7 = 0
fvol = chk_vol2
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)
test1pb = crtf.vol_pb(testo, testh, testl, test, n, zl=True)
test2pb = crtf.qrma(test1pb, 3)
test3pb = crtf.qrma(crtf.qrma(test1pb, 3), 3)
test4pb = crtf.qrma(crtf.qrma(crtf.qrma(test1pb, 3), 3), 3)
test5pb = crtf.qrma(crtf.qrma(crtf.qrma(crtf.qrma(test1pb, 3), 3), 3), 3)
test6pb = crtf.qrma(crtf.qrma(crtf.qrma(crtf.qrma(crtf.qrma(test1pb, 3), 3), 3), 3), 3)
test7pb = crtf.qrma(crtf.qrma(crtf.qrma(crtf.qrma(crtf.qrma(crtf.qrma(test1pb, 3), 3), 3), 3), 3), 3)
tmp = fvol(testr, test1pb)
if not np.isnan(tmp):
res1pb += tmp
cnt1 += 1
tmp = fvol(testr, test2pb)
if not np.isnan(tmp):
res2pb += tmp
cnt2 += 1
tmp = fvol(testr, test3pb)
if not np.isnan(tmp):