import sys
sys.dont_write_bytecode = True
import logging
import util
import numpy as np
asset = util.get_str_input("asset (corn) : ", "corn")
numReturns = util.get_int_input("num returns (5) : ", 5)
path = util.featurePath("%s.spot.feature" % asset)
spotDate_, spotValue_ = np.loadtxt(open(path, 'r'), delimiter = ',', unpack = True)
pathOut = util.featurePath("%s.-spot.feature" % asset)
dateSpot_ = zip(spotDate_, -spotValue_)
np.savetxt(pathOut, dateSpot_, fmt=['%8i', '%s'], delimiter = ',')
for i in range(numReturns):
date_ = spotDate_[i + 1:]
return_ = (np.roll(spotValue_, i, 0) - np.roll(spotValue_, i + 1, 0))[i + 1:]
pathOut = util.featurePath("%s.r%s.feature" % (asset, i))
dateReturn_ = zip(date_, return_)
np.savetxt(pathOut, dateReturn_, fmt=['%8i', '%s'], delimiter = ',')
def __init__(self, key, fromDt, toDt):
path = util.featurePath("%s.feature" % key)
yyyymmdd_, self.value_ = np.loadtxt(open(path, 'r'), delimiter = ',', unpack = True)
yyyymmdd_ = yyyymmdd_.astype(int)
self.date_ = [date.from_yyyymmdd(yyyymmdd) for yyyymmdd in yyyymmdd_]
self.range_dates(fromDt, toDt)