# structural breaks
# to detect whether a strategy fails (then stop loss)
# key word: sequential detection
######################################################################
def testCUSUM(s):
return
if __name__ == '__main__':
# read data
strFile1Min = '1MinExample.pickle'
if os.path.exists(strFile1Min):
df1Min = pd.read_pickle(strFile1Min)
else:
dictDataSpec = dict(Utils.dictDataSpecTemplate)
dictDataSpec['Secu'] = 'j.dce'
dictDataSpec['freq'] = '1min'
df1Min = Utils.getTradingDataPoint_Commodity(dictDataSpec).replace(
np.inf, np.nan)
df1Min.to_pickle(strFile1Min)
#dfBM5 = generateTimeClock(df1Min.copy(), 5)
#dfBM10 = generateTimeClock(df1Min.copy(), 10)
#dfVC = generateVolumeClock1Min(df1Min.copy())
#dfTB = generateTrippleBarrierBar(df1Min)
dfBM = generateTimeClock(df1Min, 20)
#dfVC = generateVolumeClock1Min(df1Min)
dfTB = generateTrippleBarrierBar(df1Min)
#dfFD = fractionalDifferentiate(df1Min)
