class Data(object):
def __init__(self, X, y, shuffle=True, random_state=None):
if isinstance(X, np.ndarray):
self.X = pd.DataFrame(X)
self.y = pd.Series(y)
else:
self.X = X.copy(deep=True)
self.y = y.copy(deep=True)
if not isinstance(self.X, pd.DataFrame):
raise ValueError('%s is not supported' % type(X))
self.shape_before = self.X.shape
self.__imputer()
self.__encoder()
if shuffle:
self.X, self.y = sk_shuffle(self.X,
self.y,
random_state=random_state)
self.X = StandardScaler().fit_transform(self.X)
def __imputer(self):
fill = pd.Series([
self.X[c].value_counts().index[0]
if self.X[c].dtype == np.dtype('O') else self.X[c].median()
if self.X[c].dtype == np.dtype('int') else self.X[c].mean()
for c in self.X
],
index=self.X.columns)
self.col_was_null = [
c for c in self.X if pd.isnull(self.X[c]).sum() > 0
]
self.X = self.X.fillna(fill)
def __encoder(self):
self.del_columns = []
for i in xrange(len(self.X.columns)):
if self.X.dtypes[i] == np.dtype('O'):
enc = LabelEncoder()
col_enc = enc.fit_transform(self.X.icol(i))
col_onehot = np.array(OneHotEncoder().fit_transform(
col_enc.reshape(-1, 1)).todense())
col_names = [
str(self.X.columns[i]) + '_' + c for c in enc.classes_
]
col_onehot = pd.DataFrame(col_onehot,
columns=col_names,
index=self.X.index)
self.X = pd.concat([self.X, col_onehot], axis=1)
self.del_columns.append(self.X.columns[i])
for col in self.del_columns:
del self.X[col]
# Get all slopes. standardize. Plot. over 1 window
###############################################################################
if 1:
# Parameters
currencies = ['aud', 'cad', 'eur', 'gbp', 'nzd', 'usd']
windows = np.array([360])
# Get slopes indicator
positions = pd.DataFrame()
deviations = pd.DataFrame()
slopes = pd.DataFrame()
for currency in currencies:
pos = get_channel_mean_pos_std(cu[currency].values.astype(float),
windows)
positions[currency] = pos['pos'].values.ravel()
deviations[currency] = pos['std'].values.ravel()
slopes[currency] = pos['slope'].values.ravel()
# Standardize
slopes = StandardScaler().fit_transform(slopes.fillna(0))
slopes = pd.DataFrame(slopes, columns=currencies)
# Plot
slopes.plot()
plt.plot(np.zeros(slopes.shape[0]), color='grey')
# # Plot an instrument
# plt.figure()
# ratios.EUR_USD.plot()