#!/usr/bin/env python
import itertools
import os
import shutil
import johansen
import quantstats as qs
import sp500
if not os.path.exists('TS'):
os.makedirs('TS')
ts = {}
for stock in sp500.sp500:
filename = 'TS/' + stock + '.csv'
qs.download(stock, filename)
if os.path.isfile(filename):
ts.update({stock: qs.load(filename)})
print 'Creation date: %s UTC' % str(time.strftime('%Y-%m-%d'))
print 'Pair Member 1,Pair Member 2,p-value'
for key1 in ts.keys():
for key2 in ts.keys():
print '%s,%s,%f' % (key1, key2, qs.cadf_helper(ts[key1], ts[key2])['results']['pval'])
# for pair in itertools.combinations(ts.keys(), r=2):
# print '%s,%s,%f' % (pair[0], pair[1], qs.cadf(ts[pair[0]], ts[pair[1]])['results']['pval'])
os.makedirs('ETF')
for category in etf.etf_dict.keys():
ts = {}
if not os.path.exists('ETF/' + category):
os.makedirs('ETF/' + category)
for ticker in etf.etf_dict[category]:
filename = 'ETF/' + category + '/' + ticker + '.csv'
qs.download(ticker, filename)
ts.update({ticker: qs.load(filename)})
for key1 in ts.keys():
for key2 in ts.keys():
if key1 != key2:
# print key1 + "*" + key2
cadf = qs.cadf_helper(ts[key1], ts[key2])
volume1 = qs.getVolume(key1, category)
volume2 = qs.getVolume(key2, category)
add_database = ('INSERT INTO etfcadf '
'(ticker1, ticker2, volume1, volume2, category, cadf, hedgeRatio, pval, usedlag, nobs, cvalue1, cvalue5, cvalue10, icbest, hurst, halflife, vratio, vratiozscore, vratiopval) '
'VALUES (%s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s)'
'ON DUPLICATE KEY UPDATE volume1 = %s, volume2 = %s, category = %s, cadf = %s, hedgeRatio = %s, pval = %s, usedlag = %s, nobs = %s, cvalue1 = %s, cvalue5 = %s, cvalue10 = %s, icbest = %s, hurst = %s, halflife = %s, vratio = %s, vratiozscore = %s, vratiopval = %s')
data = (key1, key2, volume1, volume2, etf.categories[category], float(cadf['results']['adf']), float(cadf['hedgeRatio']), float(cadf['results']['pval']), cadf['results']['usedlag'], cadf['results']['nobs'], float(cadf['results']['cvalues']['1%']), float(cadf['results']['cvalues']['5%']), float(cadf['results']['cvalues']['10%']), float(cadf['results']['icbest']), float(cadf['hurst']), float(cadf['halflife']), float(cadf['vratio']['vratio']), float(cadf['vratio']['zscore']), float(cadf['vratio']['pval']), volume1, volume2, etf.categories[category], float(cadf['results']['adf']), float(cadf['hedgeRatio']), float(cadf['results']['pval']), cadf['results']['usedlag'], cadf['results']['nobs'], float(cadf['results']['cvalues']['1%']), float(cadf['results']['cvalues']['5%']), float(cadf['results']['cvalues']['10%']), float(cadf['results']['icbest']), float(cadf['hurst']), float(cadf['halflife']), float(cadf['vratio']['vratio']), float(cadf['vratio']['zscore']), float(cadf['vratio']['pval']))
try:
cursor.execute(add_database, data)
except mysql.connector.errors.ProgrammingError, e:
print "%s*%s*%s" % (e, key1, key2)
cnx.commit()
cursor.close()
import itertools
import os
import shutil
import johansen
import quantstats as qs
import sp500
if not os.path.exists('TS'):
os.makedirs('TS')
ts = {}
for stock in sp500.sp500:
filename = 'TS/' + stock + '.csv'
qs.download(stock, filename)
if os.path.isfile(filename):
ts.update({stock: qs.load(filename)})
print 'Creation date: %s UTC' % str(time.strftime('%Y-%m-%d'))
print 'Pair Member 1,Pair Member 2,p-value'
for key1 in ts.keys():
for key2 in ts.keys():
print '%s,%s,%f' % (key1, key2, qs.cadf_helper(
ts[key1], ts[key2])['results']['pval'])
# for pair in itertools.combinations(ts.keys(), r=2):
# print '%s,%s,%f' % (pair[0], pair[1], qs.cadf(ts[pair[0]], ts[pair[1]])['results']['pval'])