_tmp1 = int(_tmp[1:3])
_tmp2 = np.sum(np.array(smth_param(int(_tmp[4:6]))))
_tmp3 = int(_tmp[7:10])
_tmp = _tmp1*_tmp2+_tmp3
_penalty[z] = np.sqrt(np.sqrt(_tmp))
for z2 in [0.55, 0.65, 0.75, 0.85]:
print('Processing threshold = %s' % str(z2))
_mom_sig = []
_mom_sig_idx = []
_mom_val = []
scorrel_vec = np.ones(num_col, dtype=bool)
for z in range(0, 150):
# z = 0
if z == 0:
_idx = bst.argmax_fixed(np.abs(correl_vec/_penalty)) # changed here
_mom_sig.append(tcl2[_idx])
_mom_sig_idx.append(_idx)
_mom_val.append(correl_vec[_idx])
else:
scorrel_vec[_mom_sig_idx[-1]] = False # new change to make it faster
# for j1 in _mom_sig_idx:
# scorrel_vec[j1] = False
for j1 in range(0, num_col):
if scorrel_vec[j1]: # and (j1 not in _mom_sig_idx), new change
# new change below to make it faster
if bst.kendall_tau(test2_all[tcl2[j1]].values, test2_all[tcl2[_mom_sig_idx[-1]]].values) > z2:
scorrel_vec[j1] = False
# for j2 in _mom_sig_idx: # new change to make it faster
# if bst.kendall_tau(test2_all[tcl2[j1]].values, test2_all[tcl2[j2]].values) > z2:
# scorrel_vec[j1] = False
test1_ = test1[['Date', 'Close']]
test1_['Returns'] = filt.ret(test1_['Close'].values)
fret1 = test1_['Returns'].values / testv
num_col = len(tcl2)
correl_vec = np.zeros(num_col)
for z in range(0, num_col):
correl_vec[z] = bst.kendall_tau(fret1, test2[tcl2[z]].values)
_mom_sig = []
_mom_sig_idx = []
_mom_val = []
for z in range(0, 50):
# z = 0
if z == 0:
_idx = bst.argmax_fixed(correl_vec)
_mom_sig.append(tcl2[_idx])
_mom_sig_idx.append(_idx)
_mom_val.append(correl_vec[_idx])
else:
scorrel_vec = np.ones(num_col, dtype=bool)
for j1 in _mom_sig_idx:
scorrel_vec[j1] = False
for j1 in range(0, num_col):
if j1 not in _mom_sig_idx:
for j2 in _mom_sig_idx:
if scorrel_vec[j1] and (bst.kendall_tau(test2[tcl2[j1]].values, test2[tcl2[j2]].values)) > 0.95:
scorrel_vec[j1] = False
scorrel_idx = np.where(scorrel_vec)[0]
if scorrel_idx.shape[0] > 0:
correl_red = correl_vec[scorrel_idx]