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):