def __default_loader(id):
normalized_id = __normalize_id(id)
ticker,subject = normalized_id.split('::')
fname = '{}/TIME_SERIES/{}/{}'.format(os.getenv('HOME'), ticker, subject)
entries = []
with open(fname) as f:
for line in f:
try:
pair = line.split()
entries.append((core.to_jdate(pair[0]),float(pair[1])))
except:
pass
return obs_series.obs_to_series(entries, name=normalized_id)
def cross(*,
slower=None,
faster=None,
upfactor=1.0,
downfactor=1.0,
dates=None):
'''cross generates a signal series, i.e. series of [1,-1,None], set to 1
where the faster series moves above the slower series and -1 where it moves
below. Changing the upfactor from its default 1.0 changes the border for
crossing. For instance, upfactor=1.02 means that the faster series must
exceed the lower series by 2% before generating the buy value of 1. Likewise,
setting downfactor to .98 would require passing 2% below the faster series
to generate a sell signal of -1. As usual, dates can be supplied, but default
to the current_dates() value.'''
if (not slower) or (not faster):
raise Exception('slower,faster are required keyword arguments')
dates = dates or core.current_dates()
sv = series_dates_values(slower, dates)
fv = series_dates_values(faster, dates)
obs = []
prev_sig = None
for ndx, dt in enumerate(dates):
s_val = sv[ndx]
f_val = fv[ndx]
if not (core.is_valid_num(s_val) and core.is_valid_num(f_val)):
continue
if f_val > s_val * upfactor:
sig = 1
elif f_val < s_val * downfactor:
sig = -1
else:
sig = None
if sig and (sig != prev_sig):
obs.append((dt, sig))
prev_sig = sig
return obs_to_series(obs)
def series_map(proc, *seriesz, missing_data_permitted=False, dts=None):
'''Analogous to Python's standard map operation, map the arity-compatible
function :code:`proc` over one or more series returning a
single value on each date.'''
def missing_nums(nums):
return len(nums) != sum((1 for n in nums if core.is_valid_num(n)))
converted = [convert(s) for s in seriesz]
dts = dts or dates.current_dates()
sfs = [s.f for s in converted]
obs = []
for dt in dts:
nums = [f(dt) for f in sfs]
if (not missing_data_permitted) and missing_nums(nums):
continue
val = proc(*nums)
if core.is_valid_num(val):
obs.append((dt, val))
return obs_to_series(obs)
def test_cross(self):
CROSS_EMA_30_SERIES = obs_to_series(CROSS_EMA_30_OBS)
self.verify_two_series(
cross(slower=ema(self.TEST_SERIES, 30), faster=self.TEST_SERIES),
CROSS_EMA_30_SERIES)
def setUp(self):
self.TEST_SERIES = obs_to_series(TEST_SERIES_OBS)
core.current_dates(core.dates(self.TEST_SERIES))