def make_time_features(ts, index=None, epoch=None, epoch_span=None):
"""Project datetimes into vector space for use in machine learning models
Outputs:
- projection onto the unit circle of
- second of day
- day of week
- day of year
- seconds since `epoch`, normalized by `epoch_span`
- binary workday indicator (i.e., Monday-Friday except major US holidays)
:param ts: timestamp(s) to process
:type ts: datetime.datetime or iterable thereof
:param index: index of ts (e.g., if from a larger dataframe)
:param epoch: start of time reckoning
:param epoch_span: length of time reckoning
:rtype: pd.DataFrame
:returns: various projections of datetimes into vector space
"""
# input validation
try:
if len(ts) == 1:
_singleton = True
elif len(ts) > 1:
_singleton = False
elif len(ts) < 1:
raise ValueError("must pass non-empty iterable of timestamps")
except TypeError:
return make_time_features([ts], index=index, epoch=epoch, epoch_span=epoch_span)
if not isinstance(ts, pd.DatetimeIndex):
ts = pd.Series(0, index=ts).index
if not isinstance(ts, pd.DatetimeIndex):
raise ValueError("must pass non-empty iterable of timestamps")
if index is None:
index = pd.RangeIndex(len(ts))
if epoch is None:
epoch = min(ts)
if epoch_span is None:
epoch_span = float((max(ts) - epoch).total_seconds())
time_features = {}
start = min(ts)
end = max(ts)
# Major US holidays
NewYearsDay = pd.tseries.holiday.Holiday("New Years Day", month=1, day=1)
MemorialDay = pd.tseries.holiday.Holiday("Memorial Day", month=6, day=1, offset=pd.DateOffset(weekday=MO(-1)))
IndependenceDay = pd.tseries.holiday.Holiday("Independence Day", month=7, day=4)
LaborDay = pd.tseries.holiday.Holiday("Labor Day", month=9, day=1, offset=pd.DateOffset(weekday=MO(1)))
ThanksgivingDay = pd.tseries.holiday.Holiday(
"Thanksgiving Day", month=11, day=1, offset=pd.DateOffset(weekday=TH(4))
)
ChristmasDay = pd.tseries.holiday.Holiday("Christmas Day", month=12, day=25)
holidays = (
NewYearsDay.dates(start.date(), end.date()).tolist()
+ MemorialDay.dates(start.date(), end.date()).tolist()
+ IndependenceDay.dates(start.date(), end.date()).tolist()
+ LaborDay.dates(start.date(), end.date()).tolist()
+ ThanksgivingDay.dates(start.date(), end.date()).tolist()
+ ChristmasDay.dates(start.date(), end.date()).tolist()
)
holidays = set([h.date() for h in holidays])
# projections onto unit circle
time_features["day_cos"] = np.cos((ts.hour * 3600 + ts.minute * 60 + ts.second) * 2 * np.pi / 86400.0)
time_features["day_sin"] = np.sin((ts.hour * 3600 + ts.minute * 60 + ts.second) * 2 * np.pi / 86400.0)
time_features["week_cos"] = np.cos(ts.dayofweek * 2 * np.pi / 7.0)
time_features["week_sin"] = np.sin(ts.dayofweek * 2 * np.pi / 7.0)
time_features["year_cos"] = np.cos(ts.dayofyear * 2 * np.pi / 365.0)
time_features["year_sin"] = np.sin(ts.dayofyear * 2 * np.pi / 365.0)
# linear march through time
time_features["epoch"] = (ts - epoch).total_seconds() / epoch_span
# workday indicator
time_features["workday"] = [int(weekday < 5 and date not in holidays) for weekday, date in zip(ts.weekday, ts.date)]
if _singleton:
return {k: v[0] for k, v in time_features.items()}
else:
return pd.DataFrame(time_features, index=index)
'/media/edwin/6F71AD994355D30E/Edwin/Maestría Meteorologia/Tesis/otras_variables/mejores_var_'
+ pp + '_hum_2m.csv')
else:
recoleccion_minim_1 = pd.read_csv(
'/media/edwin/6F71AD994355D30E/Edwin/Maestría Meteorologia/Tesis/otras_variables/mejores_var_'
+ pp + varia_1)
base_h = []
estacion_sintmp = []
estacion_sintmp_col = []
dist_menor_3 = []
dist_menor_10 = []
fecha_min_rec = []
estaciones_aut = pd.DataFrame({'cod': [], 'inicio': [], 'fin': []})
step = pd.DateOffset(hours=1)
for j in recoleccion_minim_1.cod_1: #[21206990.0]:#
print(j)
min_2 = []
max_2 = []
os.chdir(
'/media/edwin/6F71AD994355D30E/Edwin/Maestría Meteorologia/Tesis/datos_ideam/validados_col_col/'
)
valores = os.listdir()
if 'v_' + str(j)[0:-2] + varia_1 not in valores:
estacion_sintmp.append('v_' + str(j)[0:-2] + varia_1)
continue
base_validada = pd.read_csv('v_' + str(j)[0:-2] + varia_1)
def evaluate_prediction(self, start_date=None, end_date=None, nshares = None, months = 6):
# Default start date is one year before end of data
# Default end date is end date of data
if start_date is None:
start_date = self.max_date - pd.DateOffset(months = months)
if start_date < self.min_date:
start_date = self.min_date + 0.5*(self.max_date-self.min_date)
if end_date is None:
end_date = self.max_date
start_date, end_date = self.handle_dates(start_date, end_date)
# Training data starts self.training_years years before start date and goes up to start date
train = self.stock[(self.stock['Date'] < start_date.date()) &
(self.stock['Date'] > (start_date - pd.DateOffset(years=self.training_years)).date())]
# Testing data is specified in the range
test = self.stock[(self.stock['Date'] >= start_date.date()) & (self.stock['Date'] <= end_date.date())]
# Create and train the model
model = self.create_model()
model.fit(train)
# Make a future dataframe and predictions
future = model.make_future_dataframe(periods = 365, freq='D')
future = model.predict(future)
# Merge predictions with the known values
test = pd.merge(test, future, on = 'ds', how = 'inner')
train = pd.merge(train, future, on = 'ds', how = 'inner')
# Calculate the differences between consecutive measurements
test['pred_diff'] = test['yhat'].diff()
test['real_diff'] = test['y'].diff()
# Correct is when we predicted the correct direction
test['correct'] = (np.sign(test['pred_diff']) == np.sign(test['real_diff'])) * 1
# Accuracy when we predict increase and decrease
increase_accuracy = 100 * np.mean(test[test['pred_diff'] > 0]['correct'])
decrease_accuracy = 100 * np.mean(test[test['pred_diff'] < 0]['correct'])
# Calculate mean absolute error
test_errors = abs(test['y'] - test['yhat'])
test_mean_error = np.mean(test_errors)
train_errors = abs(train['y'] - train['yhat'])
train_mean_error = np.mean(train_errors)
# Calculate percentage of time actual value within prediction range
test['in_range'] = False
for i in test.index:
if (test.ix[i, 'y'] < test.ix[i, 'yhat_upper']) & (test.ix[i, 'y'] > test.ix[i, 'yhat_lower']):
test.ix[i, 'in_range'] = True
in_range_accuracy = 100 * np.mean(test['in_range'])
if not nshares:
# Date range of predictions
print('\nPrediction Range: {} to {}.'.format(start_date.date(),
end_date.date()))
# Final prediction vs actual value
print('\nPredicted price on {} = ${:.2f}.'.format(max(future['ds']).date(), future.ix[len(future) - 1, 'yhat']))
print('Actual price on {} = ${:.2f}.\n'.format(max(test['ds']).date(), test.ix[len(test) - 1, 'y']))
print('Average Absolute Error on Training Data = ${:.2f}.'.format(train_mean_error))
print('Average Absolute Error on Testing Data = ${:.2f}.\n'.format(test_mean_error))
# Direction accuracy
print('When the model predicted an increase, the price increased {:.2f}% of the time.'.format(increase_accuracy))
print('When the model predicted a decrease, the price decreased {:.2f}% of the time.\n'.format(decrease_accuracy))
print('The actual value was within the {:d}% confidence interval {:.2f}% of the time.'.format(int(100 * model.interval_width), in_range_accuracy))
# Reset the plot
self.reset_plot()
# Set up the plot
fig, ax = plt.subplots(1, 1)
# Plot the actual values
ax.plot(train['ds'], train['y'], 'ko-', linewidth = 1.4, alpha = 0.8, ms = 1.8, label = 'Observations')
ax.plot(test['ds'], test['y'], 'ko-', linewidth = 1.4, alpha = 0.8, ms = 1.8, label = 'Observations')
# Plot the predicted values
ax.plot(future['ds'], future['yhat'], 'navy', linewidth = 2.4, label = 'Predicted');
# Plot the uncertainty interval as ribbon
ax.fill_between(future['ds'].dt.to_pydatetime(), future['yhat_upper'], future['yhat_lower'], alpha = 0.6,
facecolor = 'gold', edgecolor = 'k', linewidth = 1.4, label = 'Confidence Interval')
# Put a vertical line at the start of predictions
plt.vlines(x=min(test['ds']).date(), ymin=min(future['yhat_lower']), ymax=max(future['yhat_upper']), colors = 'r',
linestyles='dashed', label = 'Prediction Start')
# Plot formatting
plt.legend(loc = 2, prop={'size': 8}); plt.xlabel('Date'); plt.ylabel('Price $');
plt.grid(linewidth=0.6, alpha = 0.6)
plt.title('{} Model Evaluation from {} to {}.'.format(self.symbol,
start_date.date(), end_date.date()));
plt.show();
# If a number of shares is specified, play the game
elif nshares:
# Only playing the stocks when we predict the stock will increase
test_pred_increase = test[test['pred_diff'] > 0]
test_pred_increase.reset_index(inplace=True)
prediction_profit = []
# Iterate through all the predictions and calculate profit from playing
for i, correct in enumerate(test_pred_increase['correct']):
# If we predicted up and the price goes up, we gain the difference
if correct == 1:
prediction_profit.append(nshares * test_pred_increase.ix[i, 'real_diff'])
# If we predicted up and the price goes down, we lose the difference
else:
prediction_profit.append(nshares * test_pred_increase.ix[i, 'real_diff'])
test_pred_increase['pred_profit'] = prediction_profit
# Put the profit into the test dataframe
test = pd.merge(test, test_pred_increase[['ds', 'pred_profit']], on = 'ds', how = 'left')
test.ix[0, 'pred_profit'] = 0
# Profit for either method at all dates
test['pred_profit'] = test['pred_profit'].cumsum().ffill()
test['hold_profit'] = nshares * (test['y'] - float(test.ix[0, 'y']))
# Display information
print('You played the stock market in {} from {} to {} with {} shares.\n'.format(
self.symbol, start_date.date(), end_date.date(), nshares))
print('When the model predicted an increase, the price increased {:.2f}% of the time.'.format(increase_accuracy))
print('When the model predicted a decrease, the price decreased {:.2f}% of the time.\n'.format(decrease_accuracy))
# Display some friendly information about the perils of playing the stock market
print('The total profit using the Prophet model = ${:.2f}.'.format(np.sum(prediction_profit)))
print('The Buy and Hold strategy profit = ${:.2f}.'.format(float(test.ix[len(test) - 1, 'hold_profit'])))
print('\nThanks for playing the stock market!\n')
# Plot the predicted and actual profits over time
self.reset_plot()
# Final profit and final smart used for locating text
final_profit = test.ix[len(test) - 1, 'pred_profit']
final_smart = test.ix[len(test) - 1, 'hold_profit']
# text location
last_date = test.ix[len(test) - 1, 'ds']
text_location = (last_date - pd.DateOffset(months = 1)).date()
plt.style.use('dark_background')
# Plot smart profits
plt.plot(test['ds'], test['hold_profit'], 'b',
linewidth = 1.8, label = 'Buy and Hold Strategy')
# Plot prediction profits
plt.plot(test['ds'], test['pred_profit'],
color = 'g' if final_profit > 0 else 'r',
linewidth = 1.8, label = 'Prediction Strategy')
# Display final values on graph
plt.text(x = text_location,
y = final_profit + (final_profit / 40),
s = '$%d' % final_profit,
color = 'g' if final_profit > 0 else 'r',
size = 18)
plt.text(x = text_location,
y = final_smart + (final_smart / 40),
s = '$%d' % final_smart,
color = 'g' if final_smart > 0 else 'r',
size = 18);
# Plot formatting
plt.ylabel('Profit (US $)'); plt.xlabel('Date');
plt.title('Predicted versus Buy and Hold Profits');
plt.legend(loc = 2, prop={'size': 10});
plt.grid(alpha=0.2);
plt.show()
def add_missing_row(
df: pd.DataFrame,
id_cols: List[str],
reference_col: str,
complete_index: Union[Dict[str, str], List[str]] = None,
method: str = None,
cols_to_keep: List[str] = None
) -> pd.DataFrame:
"""
Add missing row to a df base on a reference column
---
### Parameters
*mandatory :*
- `id_cols` (*list of str*): names of the columns used to create each group
- `reference_col` (*str*): name of the column used to identify missing rows
*optional :*
- `complete_index` (*list* or *dict*): [A, B, C] a list of values used to add missing rows.
It can also be a dict to declare a date range.
By default, use all values of reference_col.
- `method` (*str*): by default all missing rows are added. The possible values are :
- `"between"` : add missing rows having their value between min and max values for each group,
- `"between_and_after"` : add missing rows having their value bigger than min value for each group.
- `"between_and_before"` : add missing rows having their value smaller than max values for each group.
- `cols_to_keep` (*list of str*): name of other columns to keep, linked to the reference_col.
---
### Example
**Input**
YEAR | MONTH | NAME
:---:|:---:|:--:
2017|1|A
2017|2|A
2017|3|A
2017|1|B
2017|3|B
```cson
add_missing_row:
id_cols: ['NAME']
reference_col: 'MONTH'
```
**Output**
YEAR | MONTH | NAME
:---:|:---:|:--:
2017|1|A
2017|2|A
2017|3|A
2017|1|B
2017|2|B
2017|3|B
"""
if cols_to_keep is None:
cols_for_index = [reference_col]
else:
cols_for_index = [reference_col] + cols_to_keep
check_params_columns_duplicate(id_cols + cols_for_index)
if method == 'between' or method == 'between_and_after':
df['start'] = df.groupby(id_cols)[reference_col].transform(min)
id_cols += ['start']
if method == 'between' or method == 'between_and_before':
df['end'] = df.groupby(id_cols)[reference_col].transform(max)
id_cols += ['end']
names = id_cols + cols_for_index
new_df = df.set_index(names)
index_values = df.groupby(id_cols).sum().index.values
if complete_index is None:
complete_index = df.groupby(cols_for_index).sum().index.values
elif isinstance(complete_index, dict):
if complete_index['type'] == 'date':
freq = complete_index['freq']
date_format = complete_index['format']
start = complete_index['start']
end = complete_index['end']
if isinstance(freq, dict):
freq = pd.DateOffset(**{k: int(v) for k, v in freq.items()})
complete_index = pd.date_range(start=start, end=end, freq=freq)
complete_index = complete_index.strftime(date_format)
else:
raise ParamsValueError(f'Unknown complete index type: '
f'{complete_index["type"]}')
if not isinstance(index_values[0], tuple):
index_values = [(x,) for x in index_values]
if not isinstance(complete_index[0], tuple):
complete_index = [(x,) for x in complete_index]
new_tuples_index = [x + y for x in index_values for y in complete_index]
new_index = pd.MultiIndex.from_tuples(new_tuples_index, names=names)
new_df = new_df.reindex(new_index).reset_index()
if method == 'between' or method == 'between_and_after':
new_df = new_df[new_df[reference_col] >= new_df['start']]
del new_df['start']
if method == 'between' or method == 'between_and_before':
new_df = new_df[new_df[reference_col] <= new_df['end']]
del new_df['end']
return new_df
def get_intraday_history(self, symbol, from_date=None, to_date=None):
"""
Returns the historical quotes of the specified ticker narroweed by the date.
Parameters
----------
symbol : str
The name of the symbol used to retrieve the information.
from_date : datetime
The start date (Argentina Time Zone) used to filter the information.
to_date : datetime
The end date (Argentina Time Zone) used to filter the information.
Raises
------
pyhomebroker.exceptions.SessionException
If the user is not logged in.
requests.exceptions.HTTPError
There is a problem related to the HTTP request.
"""
if not self._auth.is_user_logged_in:
raise SessionException('User is not logged in')
headers = {
'User-Agent': user_agent,
'Accept-Encoding': 'gzip, deflate',
'Content-Type': 'application/x-www-form-urlencoded'
}
if from_date == None:
from_date = datetime.date.today()
if to_date == None:
to_date = from_date + datetime.timedelta(days=1)
from_date = from_date + datetime.timedelta(seconds=self.__hours * 3600)
to_date = to_date + datetime.timedelta(seconds=self.__hours * 3600)
url = '{}/Intradiario/history?symbol={}&resolution=1&from={}&to={}'.format(
self._auth.broker['page'], symbol.upper(),
self.__convert_datetime_to_epoch(from_date),
self.__convert_datetime_to_epoch(to_date))
resp = rq.get(url,
headers=headers,
cookies=self._auth.cookies,
proxies=self._proxies)
resp.raise_for_status()
resp = resp.json()
df = pd.DataFrame({
'date': resp['t'],
'open': resp['o'],
'high': resp['h'],
'low': resp['l'],
'close': resp['c'],
'volume': resp['v']
})
df.date = pd.to_datetime(
df.date, unit='s') - pd.DateOffset(seconds=self.__hours * 3600)
df.volume = df.volume.astype(int)
return df
period_df_nona_clean,
on='User_id')
cycle_table_filter = cycle_table[(cycle_table.start_date_clean_y >
cycle_table.end_date_clean_x)]
# keep only the most relevant possible cycle
cycle_table_filter_2 = cycle_table_filter\
.sort_values(by=['start_date_clean_x', 'start_date_clean_y'])\
.drop_duplicates(subset=['User_id', 'start_date_clean_x'], keep='first')
cycle_table_filter_2 = cycle_table_filter_2.assign(
cycle_length=cycle_table_filter_2.apply(
lambda x: (x['start_date_clean_y'] - x['start_date_clean_x']).days,
axis=1))
cycle_table_filter_2 = cycle_table_filter_2.assign(
end_cycle=cycle_table_filter_2.apply(
lambda x: x['start_date_clean_y'] - pd.DateOffset(1)
if x['cycle_length'] < 40 else pd.NaT,
axis=1))
cols_to_keep = [
'User_id', 'start_date_x', 'end_date_x', 'start_date_clean_x',
'end_date_clean_x', 'cycle_length', 'end_cycle'
]
rich_period_df = pd.merge(period_df,
cycle_table_filter_2[cols_to_keep],
left_on=['User_id', 'start_date'],
right_on=['User_id', 'start_date_x'],
how='left')
rich_period_df = rich_period_df.drop(columns=['start_date_x', 'end_date_x'])
new_col_names = [c.replace('_x', '') for c in rich_period_df.columns]
frequency='1d',
field=field,
data_frequency='daily')
# ### View Data
# Let's get returns data for our risk model using the `get_pricing` function. For this model, we'll be looking back to 5 years of data.
# In[14]:
five_year_returns = get_pricing(
data_portal,
trading_calendar,
universe_tickers,
universe_end_date - pd.DateOffset(years=5),
universe_end_date)\
.pct_change()[1:].fillna(0)
five_year_returns
# # Statistical Risk Model
# It's time to build the risk model. You'll be creating a statistical risk model using PCA. So, the first thing is building the PCA model.
# ## Fit PCA
# Implement `fit_pca` to fit a PCA model to the returns data
# In[18]:
from sklearn.decomposition import PCA
def create_dataset(self, nwps, data_path, start_index=9001, test=False):
self.data['dayweek'] = self.data.index.dayofweek
self.data['month'] = self.data.index.month
self.data['hour'] = self.data.index.hour
self.data['sp_index'] = [self.sp_index(d) for d in self.data.index]
dataset = pd.DataFrame()
target = pd.Series(name='target')
dataset_3d = np.array([])
nwps_lstm = nwps.copy(deep=True)
for var in self.variables:
if var == 'WS':
var = 'wind'
elif var == 'WD':
var = 'direction'
elif var == 'Temperature':
var = 'Temp'
cols = [
col for col in nwps.columns if str.lower(var) in str.lower(col)
]
nwps_lstm[str.lower(var)] = nwps_lstm[cols].mean(axis=1).values
lags1 = np.hstack([
np.arange(24, 52),
np.arange(71, 75),
96,
120,
144,
np.arange(166, 175),
192,
])
lags2 = np.hstack([np.arange(8735, 8741), 8760, 8736 + 168])
lags_days = np.arange(1, 8)
for date in self.data.index[start_index:]:
date_inp1 = [date - pd.DateOffset(hours=int(l)) for l in lags1]
date_inp2 = [date - pd.DateOffset(hours=int(l)) for l in lags2]
date_days = [date - pd.DateOffset(days=int(l)) for l in lags_days]
try:
temp_max = nwps[['Temp_max']].loc[date].values
var_imp = np.hstack(
(temp_max,
self.data[['hour', 'month', 'sp_index',
'dayweek']].loc[date].values,
nwps.drop(columns=['Temp_max']).loc[date].values,
np.power(self.data['month'].loc[date] * temp_max / 12, 3),
np.power(self.data['sp_index'].loc[date] * temp_max / 100,
3)))
col = ['Temp', 'hour', 'month', 'sp_index', 'dayweek'
] + nwps.drop(columns=['Temp_max']).columns.tolist() + [
'Temp_month', 'Temp_sp_days'
]
var_unimp = np.hstack((
self.data.loc[date_inp1, 'SCADA'].values,
self.data.loc[date_inp2, 'SCADA'].values,
self.data.loc[date_inp1, 'APE_net'].values,
self.data.loc[date_inp1, 'SCADA'].values +
self.data.loc[date_inp1, 'APE_net'].values,
nwps.loc[date_days, 'Temp_max'].values,
nwps.loc[date_days, 'Temp_min'].values,
))
col += ['SCADA_' + str(i) for i in range(45)]
col += ['SCADA_' + str(i) for i in range(45, 53)]
col += ['APE_' + str(i) for i in range(45)]
col += ['TOTAL_' + str(i) for i in range(45)]
col += ['Temp_max_' + str(i) for i in range(7)]
col += ['Temp_min_' + str(i) for i in range(7)]
temp_max = nwps[['Temp_max']].loc[date].values
var_3d = np.hstack(
(np.array([0]), self.data.loc[date, 'APE_net'],
self.data.loc[date, 'APE_net'] +
self.data.loc[date, 'SCADA'], nwps_lstm[[
'cloud', 'wind', 'direction', 'Temp_max', 'Temp_min',
'Temp_athens', 'Temp_thessaloniki', 'Temp_ioannina',
'Temp_larissa', 'Temp_patra'
]].loc[date].values,
self.data[['hour', 'month', 'sp_index',
'dayweek']].loc[date].values,
np.power(self.data['month'].loc[date] * temp_max / 12, 3),
np.power(self.data['sp_index'].loc[date] * temp_max / 100,
3)))
for d in date_inp1:
temp_max = nwps[['Temp_max']].loc[d].values
v = np.hstack(
(self.data.loc[d, 'SCADA'], self.data.loc[d,
'APE_net'],
self.data.loc[d, 'APE_net'] +
self.data.loc[d, 'SCADA'], nwps_lstm[[
'cloud', 'wind', 'direction', 'Temp_max',
'Temp_min', 'Temp_athens', 'Temp_thessaloniki',
'Temp_ioannina', 'Temp_larissa', 'Temp_patra'
]].loc[d].values,
self.data[['hour', 'month', 'sp_index',
'dayweek']].loc[d].values,
np.power(self.data['month'].loc[d] * temp_max / 12,
3),
np.power(
self.data['sp_index'].loc[d] * temp_max / 100,
3)))
var_3d = np.vstack((var_3d, v))
except:
continue
inp = np.hstack((var_imp, var_unimp))
inp1 = pd.Series(inp, index=col, name=date)
targ1 = pd.Series(self.data['SCADA'].loc[date],
index=[date],
name='target1')
if not inp1.isnull().any() and not targ1.isnull().any():
dataset = dataset.append(inp1)
target = target.append(targ1)
if dataset_3d.shape[0] == 0:
dataset_3d = var_3d
elif len(dataset_3d.shape) == 2:
dataset_3d = np.stack((dataset_3d, var_3d))
else:
dataset_3d = np.vstack(
(dataset_3d, var_3d[np.newaxis, :, :]))
if not test:
corr = []
for f in range(dataset.shape[1]):
corr.append(
np.abs(
np.corrcoef(dataset.values[:, f],
target.values.ravel())[1, 0]))
ind = np.argsort(np.array(corr))[::-1]
columns = dataset.columns[ind]
dataset = dataset[columns]
joblib.dump(
ind, os.path.join(data_path, 'dataset_columns_order.pickle'))
else:
ind = joblib.load(
os.path.join(data_path, 'dataset_columns_order.pickle'))
columns = dataset.columns[ind]
dataset = dataset[columns]
return dataset, target, dataset_3d
def append_feature(data, price):
next_index = data.index[-1] + pd.DateOffset(1)
data.loc[next_index] = [price, data['Adj. Volume'][-1]]
return data
first_new_transaction = new_merchant_transactions.groupby('card_id').agg({'month_lag' : 'min', 'purchase_date' : 'min'}).reset_index()
first_new_transaction.columns = ['card_id', 'new_month_lag', 'new_purchase_date']
# In[ ]:
# converting to datetime
last_hist_transaction['hist_purchase_date'] = pd.to_datetime(last_hist_transaction['hist_purchase_date'])
first_new_transaction['new_purchase_date'] = pd.to_datetime(first_new_transaction['new_purchase_date'])
# In[ ]:
# substracting month_lag for each row
last_hist_transaction['observation_date'] = \
last_hist_transaction.apply(lambda x: x['hist_purchase_date'] - pd.DateOffset(months=x['hist_month_lag']), axis=1)
first_new_transaction['observation_date'] = \
first_new_transaction.apply(lambda x: x['new_purchase_date'] - pd.DateOffset(months=x['new_month_lag']-1), axis=1)
# At this point we just reversed month lag function to get a rought estimate of the `observation_date` to be used for specific `card_id`. As you can see below, the `observation_date` is already different for many cards!
# In[ ]:
last_hist_transaction.head(20)
# In[ ]:
first_new_transaction.head(20)
import pandas as pd
import dash
import dash_core_components as dcc
import dash_html_components as html
import plotly.graph_objects as go
from dash.dependencies import Input, Output
global_ndays_range = 20
# --- Start --- Reading base data for the Sunburst
industry_sentiment = pd.read_json('covidsm_agg_sentiment2_industry.json.zip',
orient='records')
industry_sentiment['published_at_date'] = pd.to_datetime(
industry_sentiment['published_at_date'], unit='ms')
global_start_day = industry_sentiment['published_at_date'].max(
) - pd.DateOffset(days=global_ndays_range)
industries_hrchy = pd.read_csv('industries-hrchy.csv')
industries_hrchy = industries_hrchy.replace(np.nan, '', regex=True)
# --- End --- Reading base data for the Sunburst
# --- Start --- Load base Sunburst (no data)
fig_layout = dict(margin=dict(t=0, l=0, r=0, b=0), width=800, height=850)
fig_ind = go.Figure(data=[
go.Sunburst(ids=['total'],
labels=['All Industries'],
parents=[''],
marker=dict(colors=[0], colorscale='RdBu', cmid=0),
hovertemplate=
'<b>(%{id})</b> %{label} <br>- Sentiment score: %{color:.2f}')
],
layout=fig_layout)
wget.download(
'https://snap.stanford.edu/data/loc-gowalla_edges.txt.gz',
out=str(dataset_path / 'loc-gowalla_edges.txt.gz'), bar=print_progressbar)
wget.download(
'https://snap.stanford.edu/data/loc-gowalla_totalCheckins.txt.gz',
out=str(dataset_path / 'loc-gowalla_totalCheckins.txt.gz'), bar=print_progressbar)
gowalla_dataset = pd.read_csv(
dataset_path / 'loc-gowalla_totalCheckins.txt.gz',
sep='\t', names=['userId', 'timestamp', 'long', 'lat', 'loc_id'])
gowalla_dataset['timestamp'] = pd.to_datetime(gowalla_dataset['timestamp']).dt.tz_localize(None)
split_date = pd.to_datetime(config['SPLIT_DATE'])
start_date = gowalla_dataset['timestamp'].min() \
if 'TRAIN_DAYS' not in config \
else pd.to_datetime(split_date - pd.DateOffset(days=config['TRAIN_DAYS']))
end_test_date = split_date + pd.DateOffset(days=config['TEST_DAYS'])
end_date = pd.to_datetime(
end_test_date + pd.DateOffset(days=config['VAL_DAYS']) if 'VAL_DAYS' in config else 0)
timestamp_filter = (gowalla_dataset['timestamp'] >= start_date) & (
gowalla_dataset['timestamp'] <= end_date)
gowalla_dataset = gowalla_dataset[timestamp_filter]
gowalla_dataset.sort_values('timestamp', inplace=True)
new_user_ids = {k: v for v, k in enumerate(gowalla_dataset['userId'].unique())}
new_item_ids = {k: v for v, k in enumerate(gowalla_dataset['loc_id'].unique())}
gowalla_dataset['userId'] = gowalla_dataset['userId'].map(new_user_ids)
gowalla_dataset['loc_id'] = gowalla_dataset['loc_id'].map(new_item_ids)
def _week_to_date(self, row: int):
origin_date = pd.to_datetime("2019-12-29") if row.Vecka >= 52 else pd.to_datetime("2021-01-03")
return origin_date + pd.DateOffset(days=7 * int(row.Vecka))
import pandas as pd
from fastsr.containers.learning_data import LearningData
dat = pd.read_csv('data/hour.csv')
datetime_index = list()
for i, r in dat.iterrows():
datetime_index.append(pd.to_datetime(r[1]) + pd.DateOffset(hours=r[5]))
dt_index = pd.DatetimeIndex(datetime_index)
dat.set_index(dt_index)
columns = ['atemp', 'windspeed', 'hum', 'cnt']
slim_dat = dat[columns]
learning_data = LearningData()
learning_data.from_data(slim_dat, columns, 'ucisimplebike')
learning_data.lag_predictors(24, column_names=['atemp', 'windspeed', 'hum'])
learning_data.to_hdf('data/hour_simple_lagged.hdf5')
def test_dateoffset_instance_subclass_check():
assert not issubclass(pd.DateOffset, cudf.DateOffset)
assert not isinstance(pd.DateOffset(), cudf.DateOffset)
def main():
# path of study folder
study_path = str(sys.argv[1])
# participants# (eg. "P301 P302 P401")
p_nums = str(sys.argv[2])
t0 = time()
participants = p_nums.split(' ')
for p in participants:
print('Comparing in wild for '+p)
current_dir = os.getcwd()
save_folder = os.path.join(os.getcwd(), 'output_files', 'leave_' + p + '_out')
if os.path.exists(save_folder):
os.chdir(save_folder)
else:
os.chdir(os.path.join(os.getcwd(), 'output_files', 'using_all'))
# TODO can move to a settings file (test, then delete if not needed)
model = XGBClassifier(learning_rate=0.01,
n_estimators=400,
max_depth=10,
min_child_weight=1,
gamma=0,
subsample=1,
colsample_btree=1,
scale_pos_weight=1,
random_state=7,
slient=0,
nthread=4
)
model = joblib.load('WRIST.dat')
path_table = os.path.join(study_path, p, 'In Wild/Summary/Actigraph/', p + ' In Wild IntensityMETMinLevel.csv')
df_table = pd.read_csv(path_table, index_col=None, header=0)
path_gyro = os.path.join(study_path, p, 'In Wild/Wrist/Aggregated/Gyroscope/Gyroscope_resampled.csv')
df_gyro = pd.read_csv(path_gyro, index_col=None, header=0)
df_gyro['Datetime'] = pd.to_datetime(df_gyro['Time'], unit='ms', utc=True).dt.tz_convert(
'America/Chicago').dt.tz_localize(None)
# minute level data at 20hz, so 60*20 = 1200
data_length = 1200
nan_limit = 4
prediction = []
for n in df_table['Datetime']:
start_time = pd.to_datetime(n)
end_time = start_time + pd.DateOffset(minutes=1)
temp_gyro = df_gyro.loc[(df_gyro['Datetime'] >= start_time)
& (df_gyro['Datetime'] < end_time)].reset_index(drop=True)
if len(temp_gyro['rotX']) == data_length:
this_min_gyro = [temp_gyro['rotX'], temp_gyro['rotY'], temp_gyro['rotZ']]
if np.count_nonzero(np.isnan(this_min_gyro[0])) > nan_limit:
prediction.append(-1)
else:
model_output = model.predict(extract_features([this_min_gyro]))
prediction.append(model_output[0])
else:
prediction.append(-1)
df_table['model_classification'] = prediction
print("Hours of data: %g" % (float(len(df_table)) / float(60)))
set_realistic_met_estimate(df_table)
df_table.to_csv(p+'_in_wild_comparison.csv', index=False, encoding='utf8')
l_datetime_all = df_table['Datetime'].tolist()
l_freedson_all = df_table['MET (Freedson)'].tolist()
l_vm3_all = df_table['MET (VM3)'].tolist()
l_estimation_all = df_table['estimation'].tolist()
l_freedson_all = [l_freedson_all[i] for i in range(len(l_estimation_all)) if not np.isnan(l_estimation_all[i])]
l_vm3_all = [l_vm3_all[i] for i in range(len(l_estimation_all)) if not np.isnan(l_estimation_all[i])]
l_estimation_all = [l_estimation_all[i] for i in range(len(l_estimation_all)) if
not np.isnan(l_estimation_all[i])]
l_datetime_all = [l_datetime_all[i] for i in range(len(l_estimation_all)) if not np.isnan(l_estimation_all[i])]
vm3_all_reshaped = np.array(l_vm3_all).reshape(-1, 1)
estimation_all_reshaped = np.array(l_estimation_all).reshape(-1, 1)
freedson_all_reshaped = np.array(l_freedson_all).reshape(-1, 1)
fig = go.Figure()
fig.add_trace(go.Scatter(x=l_estimation_all, y=l_vm3_all, mode='markers'))
regr = linear_model.LinearRegression()
regr.fit(estimation_all_reshaped, vm3_all_reshaped)
y_pred = regr.predict(estimation_all_reshaped)
y_plot = np.reshape(y_pred, y_pred.shape[0])
fig.add_trace(go.Scatter(x=l_estimation_all, y=y_plot, mode='lines', name='linear regression',
line=dict(color='red', width=4)))
fig.update_layout(title='Linear Regression',
xaxis_title='Estimation',
yaxis_title='VM3 METs')
outf = open('wild_est_vs_vm3_r2.txt', 'a')
outf.write('%g\n' % r2_score(vm3_all_reshaped, y_pred))
outf.close()
print("The r2 score for in wild estimation vs VM3 is: %g" % (r2_score(vm3_all_reshaped, y_pred)))
# calculate Pearson's correlation
corr, _ = pearsonr(np.array(l_estimation_all), np.array(l_vm3_all))
print('Pearsons correlation: %g' % corr)
outf = open('wild_est_vs_vm3_pearson.txt', 'a')
outf.write('%g\n' % corr)
outf.close()
# calculate Spearman's correlation
corr, _ = spearmanr(np.array(l_estimation_all), np.array(l_vm3_all))
print('Spearmans correlation: %g' % corr)
outf = open('wild_est_vs_vm3_spearman.txt', 'a')
outf.write('%g\n' % corr)
outf.close()
py.offline.plot(fig, filename='in_wild_model_to_vm3.html', auto_open=False)
fig = go.Figure()
fig.add_trace(go.Scatter(x=l_estimation_all, y=l_freedson_all, mode='markers'))
regr = linear_model.LinearRegression()
regr.fit(estimation_all_reshaped, freedson_all_reshaped)
y_pred = regr.predict(estimation_all_reshaped)
y_plot = np.reshape(y_pred, y_pred.shape[0])
fig.add_trace(go.Scatter(x=l_estimation_all, y=y_plot, mode='lines', name='linear regression',
line=dict(color='red', width=4)))
fig.update_layout(title='Linear Regression',
xaxis_title='Estimation',
yaxis_title='Freedson METs')
outf = open('wild_est_vs_freedson_r2.txt', 'a')
outf.write('%g\n' % r2_score(freedson_all_reshaped, y_pred))
outf.close()
print("The r2 score for in wild estimation vs Freedson is: %g" % (r2_score(freedson_all_reshaped, y_pred)))
py.offline.plot(fig, filename='in_wild_model_to_freedson.html', auto_open=False)
fig = go.Figure()
fig.add_trace(go.Scatter(x=l_datetime_all, y=l_estimation_all, mode='markers', name='model estimation'))
fig.add_trace(go.Scatter(x=l_datetime_all, y=l_vm3_all, mode='markers', name='actigraph vm3'))
fig.add_trace(go.Scatter(x=l_datetime_all, y=l_freedson_all, mode='markers', name='actigraph freedson'))
fig.update_layout(title='Model and ActiGraph Estimation',
xaxis_title='Datetime',
yaxis_title='MET')
py.offline.plot(fig, filename='in_wild_comparison.html', auto_open=False)
os.chdir(current_dir)
t1 = time()
print("Total in wild comparison time: %g minutes" % (float(t1 - t0) / float(60)))
def test_datetime64_with_DateOffset(klass, assert_func):
s = klass(date_range('2000-01-01', '2000-01-31'), name='a')
result = s + pd.DateOffset(years=1)
result2 = pd.DateOffset(years=1) + s
exp = klass(date_range('2001-01-01', '2001-01-31'), name='a')
assert_func(result, exp)
assert_func(result2, exp)
result = s - pd.DateOffset(years=1)
exp = klass(date_range('1999-01-01', '1999-01-31'), name='a')
assert_func(result, exp)
s = klass([
Timestamp('2000-01-15 00:15:00', tz='US/Central'),
pd.Timestamp('2000-02-15', tz='US/Central')
],
name='a')
result = s + pd.offsets.Day()
result2 = pd.offsets.Day() + s
exp = klass([
Timestamp('2000-01-16 00:15:00', tz='US/Central'),
Timestamp('2000-02-16', tz='US/Central')
],
name='a')
assert_func(result, exp)
assert_func(result2, exp)
s = klass([
Timestamp('2000-01-15 00:15:00', tz='US/Central'),
pd.Timestamp('2000-02-15', tz='US/Central')
],
name='a')
result = s + pd.offsets.MonthEnd()
result2 = pd.offsets.MonthEnd() + s
exp = klass([
Timestamp('2000-01-31 00:15:00', tz='US/Central'),
Timestamp('2000-02-29', tz='US/Central')
],
name='a')
assert_func(result, exp)
assert_func(result2, exp)
# array of offsets - valid for Series only
if klass is Series:
with tm.assert_produces_warning(PerformanceWarning):
s = klass([Timestamp('2000-1-1'), Timestamp('2000-2-1')])
result = s + Series(
[pd.offsets.DateOffset(years=1),
pd.offsets.MonthEnd()])
exp = klass([Timestamp('2001-1-1'), Timestamp('2000-2-29')])
assert_func(result, exp)
# same offset
result = s + Series([
pd.offsets.DateOffset(years=1),
pd.offsets.DateOffset(years=1)
])
exp = klass([Timestamp('2001-1-1'), Timestamp('2001-2-1')])
assert_func(result, exp)
s = klass([
Timestamp('2000-01-05 00:15:00'),
Timestamp('2000-01-31 00:23:00'),
Timestamp('2000-01-01'),
Timestamp('2000-03-31'),
Timestamp('2000-02-29'),
Timestamp('2000-12-31'),
Timestamp('2000-05-15'),
Timestamp('2001-06-15')
])
# DateOffset relativedelta fastpath
relative_kwargs = [('years', 2), ('months', 5), ('days', 3), ('hours', 5),
('minutes', 10), ('seconds', 2), ('microseconds', 5)]
for i, kwd in enumerate(relative_kwargs):
op = pd.DateOffset(**dict([kwd]))
assert_func(klass([x + op for x in s]), s + op)
assert_func(klass([x - op for x in s]), s - op)
op = pd.DateOffset(**dict(relative_kwargs[:i + 1]))
assert_func(klass([x + op for x in s]), s + op)
assert_func(klass([x - op for x in s]), s - op)
# assert these are equal on a piecewise basis
offsets = [
'YearBegin', ('YearBegin', {
'month': 5
}), 'YearEnd', ('YearEnd', {
'month': 5
}), 'MonthBegin', 'MonthEnd', 'SemiMonthEnd', 'SemiMonthBegin', 'Week',
('Week', {
'weekday': 3
}), 'BusinessDay', 'BDay', 'QuarterEnd', 'QuarterBegin',
'CustomBusinessDay', 'CDay', 'CBMonthEnd', 'CBMonthBegin',
'BMonthBegin', 'BMonthEnd', 'BusinessHour', 'BYearBegin', 'BYearEnd',
'BQuarterBegin', ('LastWeekOfMonth', {
'weekday': 2
}),
('FY5253Quarter', {
'qtr_with_extra_week': 1,
'startingMonth': 1,
'weekday': 2,
'variation': 'nearest'
}),
('FY5253', {
'weekday': 0,
'startingMonth': 2,
'variation': 'nearest'
}), ('WeekOfMonth', {
'weekday': 2,
'week': 2
}), 'Easter', ('DateOffset', {
'day': 4
}), ('DateOffset', {
'month': 5
})
]
with warnings.catch_warnings(record=True):
for normalize in (True, False):
for do in offsets:
if isinstance(do, tuple):
do, kwargs = do
else:
do = do
kwargs = {}
for n in [0, 5]:
if (do in [
'WeekOfMonth', 'LastWeekOfMonth',
'FY5253Quarter', 'FY5253'
] and n == 0):
continue
op = getattr(pd.offsets, do)(n,
normalize=normalize,
**kwargs)
assert_func(klass([x + op for x in s]), s + op)
assert_func(klass([x - op for x in s]), s - op)
assert_func(klass([op + x for x in s]), op + s)
volumeData['lag6'] = volumeData['volume'].shift(6) volumeData['lag7'] = volumeData['volume'].shift(7) # COMMAND ---------- volumeData # COMMAND ---------- import seaborn as sns #sns.heatmap(volumeData.corr(), annot=True, fmt=".2f") #display() # COMMAND ---------- volumeDataTest['time'] = volumeDataTest['time'] + pd.DateOffset(hours=2) volumeDataTest2 = volumeDataTest del volumeDataTest # COMMAND ---------- volumeDataTest2.head() # COMMAND ---------- print volumeData.shape, volumeDataTest2.shape # COMMAND ---------- # append columns to find whether it is a holiday, weekend or weekday and what is the hour in 24 hours from datetime import datetime
# 导入数据
filename = "c:\\LOG\\879448_2020-11-18-13-00-00_2020-11-25-09-00-00" # !! 修改!!!!
data = pd.read_csv(filename+"_RAW.csv", parse_dates=[2])
data['flag'] = ''
print('records:', len(data))
# 建立时间轴
# 根据数据生成目标时间格子
min = _min if _min < data['TIME'].min() else data['TIME'].min() #!! 修改!!!!
max = _max if _max > data['TIME'].max() else data['TIME'].max() # !! 修改!!!!
# min = data['TIME'].min()
# max = data['TIME'].min()
# Gridlist = pd.date_range(min.replace(microsecond=0, second=0, minute=min.minute//5*5), max+pd.DateOffset(minutes=5), freq='5T')
# Gridlist = pd.date_range(min, max, freq='5T')
Gridlist = pd.date_range(min.replace(microsecond=0, second=0, minute=min.minute//5*5), max+pd.DateOffset(minutes=5), freq='5T')
Gridlist = pd.DataFrame(Gridlist, columns=['TIME'])
# 数据处理
# 建立ID列表
IDSet = set(data['ID'].values)
# 每个ID循环处理
for id in IDSet:
print('\nProcessing ', id)
data_per_ID = data[data.ID == id]
data1 = data_per_ID.values.tolist()
print('raw records:', len(data1))
distances = pd.read_csv(args.distances, sep="\t")
distances_by_sample_names = get_distances_by_sample_names(distances)
# Load model details
with open(args.model, "r") as fh:
model_json = json.load(fh)
predictors = model_json["predictors"]
cost_function = model_json["cost_function"]
l1_lambda = model_json["l1_lambda"]
coefficients = np.array(model_json["coefficients_mean"])
mean_stds = np.array(model_json["mean_stds_mean"])
delta_month = args.delta_months[-1]
delta_time = delta_month / 12.0
delta_offset = pd.DateOffset(months=delta_month)
model = DistanceExponentialGrowthModel(predictors=predictors,
delta_time=delta_time,
cost_function=cost_function,
l1_lambda=l1_lambda,
distances=distances_by_sample_names)
model.coef_ = coefficients
model.mean_stds_ = mean_stds
# collect fitness and projection
forecasts_df = model.predict(tips)
forecasts_df["weighted_distance_to_future_by_%s" %
"-".join(predictors)] = forecasts_df["y"]
# collect dicts from dataframe
adjustment_reader=bundle_data.adjustment_reader)
#Fonction pour récupérer les prix à partir du portail de données
def get_pricing(data_portal, trading_calendar, assets, start_date, end_date, field='close'):
end_dt = pd.Timestamp(end_date.strftime('%Y-%m-%d'), tz='UTC', offset='C')
start_dt = pd.Timestamp(start_date.strftime('%Y-%m-%d'), tz='UTC', offset='C')
end_loc = trading_calendar.closes.index.get_loc(end_dt)
start_loc = trading_calendar.closes.index.get_loc(start_dt)
return data_portal.get_history_window(
assets=assets,
end_dt=end_dt,
bar_count=end_loc - start_loc,
frequency='1d',
field=field,
data_frequency='daily')
#Nous récupérer les données pour notre modèle de risque à l'aide de la fonction get_pricing.
#Pour ce modèle, nous utiliserons sur 5 ans de données.
five_year_returns = \
get_pricing(
data_portal,
trading_calendar,
universe_tickers,
universe_end_date - pd.DateOffset(years=5),
universe_end_date)\
.pct_change()[1:].fillna(0)
five_year_returns.sample(5)
def custom1(inst):
new_index = inst.index+pds.DateOffset(milliseconds=500)
d = pds.Series(2.0 * inst['mlt'], index=new_index)
d.name = 'doubleMLT'
print(new_index)
return d
def evaluate_prediction(self, start_date=None, end_date=None, nshares = None):
# Default start date is one year before end of data
# Default end date is end date of data
if start_date is None:
start_date = self.max_date - pd.DateOffset(years=1)
if end_date is None:
end_date = self.max_date
start_date, end_date = self.handle_dates(start_date, end_date)
# Training data starts self.training_years years before start date and goes up to start date
train = self.stock[(self.stock['Date'] < start_date) &
(self.stock['Date'] > (start_date - pd.DateOffset(years=self.training_years)))]
# Testing data is specified in the range
test = self.stock[(self.stock['Date'] >= start_date) & (self.stock['Date'] <= end_date)]
# Create and train the model
model = self.create_model()
model.fit(train)
# Make a future dataframe and predictions
future = model.make_future_dataframe(periods = 365, freq='D')
future = model.predict(future)
# Merge predictions with the known values
test = pd.merge(test, future, on = 'ds', how = 'inner')
train = pd.merge(train, future, on = 'ds', how = 'inner')
# Calculate the differences between consecutive measurements
test['pred_diff'] = test['yhat'].diff()
test['real_diff'] = test['y'].diff()
# Correct is when we predicted the correct direction
test['correct'] = (np.sign(test['pred_diff'][1:]) == np.sign(test['real_diff'][1:])) * 1
# Accuracy when we predict increase and decrease
increase_accuracy = 100 * np.mean(test[test['pred_diff'] > 0]['correct'])
decrease_accuracy = 100 * np.mean(test[test['pred_diff'] < 0]['correct'])
# Calculate mean absolute error
test_errors = abs(test['y'] - test['yhat'])
test_mean_error = np.mean(test_errors)
train_errors = abs(train['y'] - train['yhat'])
train_mean_error = np.mean(train_errors)
# Calculate percentage of time actual value within prediction range
test['in_range'] = False
for i in test.index:
if (test.loc[i, 'y'] < test.loc[i, 'yhat_upper']) & (test.loc[i, 'y'] > test.loc[i, 'yhat_lower']):
test.loc[i, 'in_range'] = True
in_range_accuracy = 100 * np.mean(test['in_range'])
if not nshares:
# Date range of predictions
print('\nPrediction Range: {} to {}.'.format(start_date,
end_date))
# Final prediction vs actual value
print('\nPredicted price on {} = ${:.2f}.'.format(max(future['ds']), future.loc[future.index[-1], 'yhat']))
print('Actual price on {} = ${:.2f}.\n'.format(max(test['ds']), test.loc[test.index[-1], 'y']))
print('Average Absolute Error on Training Data = ${:.2f}.'.format(train_mean_error))
print('Average Absolute Error on Testing Data = ${:.2f}.\n'.format(test_mean_error))
# Direction accuracy
print('When the model predicted an increase, the price increased {:.2f}% of the time.'.format(increase_accuracy))
print('When the model predicted a decrease, the price decreased {:.2f}% of the time.\n'.format(decrease_accuracy))
print('The actual value was within the {:d}% confidence interval {:.2f}% of the time.'.format(int(100 * model.interval_width), in_range_accuracy))
# If a number of shares is specified, play the game
elif nshares:
# Only playing the stocks when we predict the stock will increase
test_pred_increase = test[test['pred_diff'] > 0]
test_pred_increase.reset_index(inplace=True)
prediction_profit = []
# Iterate through all the predictions and calculate profit from playing
for i, correct in enumerate(test_pred_increase['correct']):
# If we predicted up and the price goes up, we gain the difference
if correct == 1:
prediction_profit.append(nshares * test_pred_increase.loc[i, 'real_diff'])
# If we predicted up and the price goes down, we lose the difference
else:
prediction_profit.append(nshares * test_pred_increase.loc[i, 'real_diff'])
test_pred_increase['pred_profit'] = prediction_profit
# Put the profit into the test dataframe
test = pd.merge(test, test_pred_increase[['ds', 'pred_profit']], on = 'ds', how = 'left')
test.loc[0, 'pred_profit'] = 0
# Profit for either method at all dates
test['pred_profit'] = test['pred_profit'].cumsum().ffill()
test['hold_profit'] = nshares * (test['y'] - float(test.loc[0, 'y']))
# Display information
print('You played the stock market in {} from {} to {} with {} shares.\n'.format(
self.symbol, start_date, end_date, nshares))
print('When the model predicted an increase, the price increased {:.2f}% of the time.'.format(increase_accuracy))
print('When the model predicted a decrease, the price decreased {:.2f}% of the time.\n'.format(decrease_accuracy))
# Display some friendly information about the perils of playing the stock market
print('The total profit using the Prophet model = ${:.2f}.'.format(np.sum(prediction_profit)))
print('The Buy and Hold strategy profit = ${:.2f}.'.format(float(test.loc[test.index[-1], 'hold_profit'])))
print('\nThanks for playing the stock market!\n')
# Plot the predicted and actual profits over time
# Final profit and final smart used for locating text
final_profit = test.loc[test.index[-1], 'pred_profit']
final_smart = test.loc[test.index[-1], 'hold_profit']
# text location
last_date = test.loc[test.index[-1], 'ds']
text_location = (last_date - pd.DateOffset(months = 1))
return test
def plot1_s4(self, const='G', freq='S4_sig1', sbas=False):
if self._check_noNull_values(const, freq):
# Get file UTC date
figure_name = self._figure_name()
fecha = figure_name[5:] # e.g. 200926
fecha2 = datetime.datetime.strptime(fecha, "%y%m%d")
fecha3 = datetime.datetime.strftime(fecha2, "%Y/%m/%d")
fecha2_tomorrow = fecha2 + pd.DateOffset(days=1)
fecha2_tomorrow = fecha2_tomorrow.to_pydatetime()
# Get UTC day range, to add a vertical strip
fecha_morning_first = fecha2 + pd.DateOffset(hours=11)
fecha_morning_first = fecha_morning_first.to_pydatetime()
fecha_morning_last = fecha2 + pd.DateOffset(hours=23)
fecha_morning_last = fecha_morning_last.to_pydatetime()
# Get the PRNs
PRNs = self.extract_prns(const, freq)
# Include SBAS data if corresponds
if sbas: PRNs = self._append_sbas_prns(const, freq, PRNs)
# Create the figure with the subplots
n_rows = (len(PRNs) + 1) // 2
n_cols = 2
fig, axs = plt.subplots(n_rows,
n_cols,
figsize=(7 * n_cols, 1 * n_rows),
sharex="col",
sharey="row",
gridspec_kw={
'hspace': 0,
'wspace': 0
})
j = 0
for ax in axs.T.reshape(
-1): # Plot up to down, rather than left to right
# ax -> s4
# ax2 -> elevation
ax2 = ax.twinx()
if j < len(PRNs):
# Plot s4 info
prn_value = PRNs[j]
# -> Get the correct freq if sbas==True
if sbas and prn_value[0] == 'S':
freq_n = self._change_frequency(const, freq)
else:
freq_n = freq
df3_s4 = self.get_s4(prn_value, freq_n)
color1 = "blue" # This color is used in y axis labels, ticks and border
colors1 = ["lightsteelblue", "cornflowerblue",
"navy"] # These colors are used for the plots
for k in range(3):
df4_s4 = df3_s4[k + 1]
ax.plot(df4_s4.index,
df4_s4.values,
'.',
color=colors1[k],
markersize=2)
ax.set_facecolor(color="lightgrey")
ax.axvspan(fecha_morning_first,
fecha_morning_last,
color="white") # strip morning/night
# Plot elevation info
df3_elev = self.get_elevation(PRNs[j], freq)
color2 = "orange"
ax2.plot(df3_elev.index,
df3_elev.values,
'.',
color=color2,
markersize=1)
# Annotate the prn in the subplot
x_location = fecha2 + pd.Timedelta(minutes=30)
ax2.text(x_location,
35,
self._convert2SVID(PRNs[j]),
fontsize=15,
weight='roman') # 0.375
# Set axis limits
ax.set_xlim([fecha2, fecha2_tomorrow])
ax.set_ylim([0, 1])
ax2.set_ylim([0, 90])
# Set ticks and tick labels
# Set y axis format, labels odds subplots only
len_half_ax = len(axs.T.reshape(-1)) / 2
if j >= len_half_ax: # change only for the 2nd column
k = j - len_half_ax
# Set y labels only to even subplots
ax.yaxis.set_minor_locator(AutoMinorLocator(4))
ax.set_yticks([0, 1])
ax2.yaxis.set_minor_locator(AutoMinorLocator(4))
ax2.set_yticks([0, 90])
if k % 2 == 0:
ax.set_yticklabels([0, 1])
ax2.set_yticklabels([0, 90])
else:
ax.set_yticklabels(['', ''])
ax2.set_yticklabels(['', ''])
# Set yellow color to the right y axis
for axis in ['top', 'bottom', 'left']:
ax.spines[axis].set_linewidth(2)
ax2.spines[axis].set_linewidth(2)
ax.spines['right'].set_color(color2)
ax.spines['right'].set_linewidth(2)
ax2.spines['right'].set_color(color2)
ax2.spines['right'].set_linewidth(2)
ax2.tick_params(axis='y', which='both', colors=color2)
else: # apply some changes to the 1st column
# remove y tick labels for elevation
ax2.yaxis.set_minor_locator(AutoMinorLocator(4))
ax2.set_yticks([0, 90])
ax2.set_yticklabels(['', ''])
# set linewidth to top, bottom and right borders of the subplot
for axis in ['top', 'bottom', 'right']:
ax.spines[axis].set_linewidth(2)
ax2.spines[axis].set_linewidth(2)
# Set blue color to the left y axis
ax.spines['left'].set_color(color1)
ax.spines['left'].set_linewidth(2)
ax2.spines['left'].set_color(color1)
ax2.spines['left'].set_linewidth(2)
ax.tick_params(axis='y', which='both', colors=color1)
# set x axis format
hours = mdates.HourLocator(interval=2)
ax.xaxis.set_major_locator(hours) # ticks interval: 2h
ax.xaxis.set_minor_locator(
AutoMinorLocator(2)) # minor tick division: 2
myFmt = DateFormatter("%H")
ax.xaxis.set_major_formatter(myFmt) # x format: hours
# set the ticks style
ax.xaxis.set_tick_params(width=2,
length=8,
which='major',
direction='out')
ax.xaxis.set_tick_params(width=1,
length=4,
which='minor',
direction='out')
ax.yaxis.set_tick_params(width=2,
length=15,
which='major',
direction='inout')
ax.yaxis.set_tick_params(width=1,
length=4,
which='minor',
direction='out')
ax2.yaxis.set_tick_params(width=2,
length=15,
which='major',
direction='inout')
ax2.yaxis.set_tick_params(width=1,
length=4,
which='minor',
direction='out')
# set the label ticks
ax.tick_params(axis='x', which='major', labelsize=12)
ax.tick_params(axis='y', labelsize=12)
ax2.tick_params(axis='y', labelsize=12)
# set grid
ax.grid(which='major', axis='both', ls=':', linewidth=1.2)
ax.grid(which='minor', axis='both', ls=':', alpha=0.5)
# Set title and axis labels
aux = self.get_freq_name(const, int(freq[-1]))
frequency_name = aux["name"]
frequency_value = aux["value"] + "MHz"
# -> Title
if j == 0: # Subplot on Upper left
fig.text(0,
1,
fecha3,
ha='left',
va='bottom',
fontsize=17,
weight='semibold',
transform=ax.transAxes)
fig.text(0.5,
1,
'Jicamarca',
ha='left',
va='bottom',
fontsize=17,
weight='semibold',
transform=ax.transAxes)
if j == n_rows - 1: # Subplot on Lower left
pass
if j == n_rows: # Subplot on Upper right
fig.text(0,
1,
'S4',
ha='center',
va='bottom',
fontsize=17,
weight='semibold',
transform=ax.transAxes)
fig.text(0.4,
1,
frequency_value,
ha='center',
va='bottom',
fontsize=17,
weight='semibold',
transform=ax.transAxes)
fig.text(
1,
1,
f"{frequency_name} | {self.get_const_name(const)}",
ha='right',
va='bottom',
fontsize=17,
weight='semibold',
transform=ax.transAxes)
# -> Labels
if j == n_rows * n_cols - 1: # x axis label, Subplot on Lower right
fig.text(0,
-0.6,
'Time UTC',
ha='center',
va='center',
fontsize=14,
transform=ax.transAxes)
if j == int(n_rows / 2): # y axis label on the left
k = (n_rows % 2) * 0.5
fig.text(-0.1,
1 - k,
'S4',
ha='center',
va='center',
rotation='vertical',
fontsize=14,
color='b',
transform=ax.transAxes)
if j == int(n_rows * n_cols -
n_rows / 2): # y axis label on the right
k = (n_rows % 2) * 0.5
fig.text(1.1,
1 - k,
'Elevation Angle',
ha='center',
va='center',
rotation=-90,
fontsize=14,
color=color2,
transform=ax.transAxes)
j += 1
# Create directory for output files
new_directory = output_files_path + figure_name + "/plot_2/"
if not os.path.exists(new_directory):
os.makedirs(new_directory)
# Save figure as pdf
#figure_name2 = figure_name + f"_s4_{self.get_const_name(const)}_{frequency_name}.pdf"
#plt.savefig(new_directory + figure_name2, bbox_inches='tight')
#pdf.savefig(fig)
print(
f"Plotted successfully; for const: {const}, and freq: {freq}!")
return fig
else:
print(
f"There is only Null data; for const: {const}, and freq: {freq}!"
)
return 0
'max_demand_ind': max_demand_ind,
'max_part_peak_demand_ind': max_part_peak_demand_ind,
'max_peak_demand_ind': max_peak_demand_ind
}
return retval
def charge_max(index, arrival_time, departure_time, limit_kw):
retval = np.zeros(len(index))
# retval[(index > arrival_time) & (index < departure_time)] = limit_kw
retval[(index > arrival_time)] = limit_kw
return retval
start = pd.Timestamp("2020-03-09 00:00", tz="US/Pacific") # Monday
index = pd.date_range(start, start + pd.DateOffset(hours=24),
freq="15min")[:-1]
names = ["EV1", "EV2", "EV3", "EV4", "EV5", "EV6", "EV7", "EV8", "EV9", "EV10"]
departures = [
pd.Timestamp("2020-03-09 11:17", tz="US/Pacific"),
pd.Timestamp("2020-03-09 17:44", tz="US/Pacific"),
pd.Timestamp("2020-03-09 16:22", tz="US/Pacific"),
pd.Timestamp("2020-03-09 17:19", tz="US/Pacific"),
pd.Timestamp("2020-03-09 17:20", tz="US/Pacific"),
pd.Timestamp("2020-03-09 12:23", tz="US/Pacific"),
pd.Timestamp("2020-03-09 13:38", tz="US/Pacific"),
pd.Timestamp("2020-03-09 14:42", tz="US/Pacific"),
pd.Timestamp("2020-03-09 16:28", tz="US/Pacific"),
pd.Timestamp("2020-03-09 19:01", tz="US/Pacific")
]
def create_dataset(self, len_closeness=3, len_period=3, PeriodInterval=1, len_trend=3, TrendInterval=7, len_y=3):
"""current version
"""
# offset_week = pd.DateOffset(days=7)
offset_frame = pd.DateOffset(minutes=24 * 60 // self.T)
XC = []
XCS=[list() for i in range(7)]
XP = []
XT = []
XCY = []
Y = []
timestamps_Y = []
cnm=0
depends = [[-6 * PeriodInterval * self.T - j for j in range(cnm, len_closeness + 1)[::-1]],
[-5 * PeriodInterval * self.T - j for j in range(cnm, len_closeness + 1)[::-1]],
[-4 * PeriodInterval * self.T - j for j in range(cnm, len_closeness + 1)[::-1]],
[-3 * PeriodInterval * self.T - j for j in range(cnm, len_closeness + 1)[::-1]],
[-2 * PeriodInterval * self.T - j for j in range(cnm, len_closeness + 1)[::-1]],
[-1 * PeriodInterval * self.T - j for j in range(cnm, len_closeness + 1)[::-1]],
[-0 * PeriodInterval * self.T - j for j in range(cnm, len_closeness + 1)[::-1]],
# [j for j in range(len_y)],
[0]]
i = max(self.T * TrendInterval * len_trend, self.T * PeriodInterval * len_period, len_closeness)
while i < (len(self.pd_timestamps) - (len_y - 1)):
Flag = True
for depend in depends:
if Flag is False:
break
# Flag = self.check_it([self.pd_timestamps[i] + j * offset_frame for j in depend])
if Flag is False:
i += 1
continue
x_c6 = [self.get_matrix(self.pd_timestamps[i] + j * offset_frame) for j in depends[0]]
x_c5 = [self.get_matrix(self.pd_timestamps[i] + j * offset_frame) for j in depends[1]]
x_c4 = [self.get_matrix(self.pd_timestamps[i] + j * offset_frame) for j in depends[2]]
x_c3 = [self.get_matrix(self.pd_timestamps[i] + j * offset_frame) for j in depends[3]]
x_c2 = [self.get_matrix(self.pd_timestamps[i] + j * offset_frame) for j in depends[4]]
x_c1 = [self.get_matrix(self.pd_timestamps[i] + j * offset_frame) for j in depends[5]]
x_c0 = [self.get_matrix(self.pd_timestamps[i] + j * offset_frame) for j in depends[6]]
# x_c_y = [self.get_matrix(self.pd_timestamps[i] + j * offset_frame) for j in a]
y = [self.get_matrix(self.pd_timestamps[i] + j * offset_frame) for j in depends[-1]]
if len_closeness > 0:
XCS[0].append(x_c6)
XCS[1].append(x_c5)
XCS[2].append(x_c4)
XCS[3].append(x_c3)
XCS[4].append(x_c2)
XCS[5].append(x_c1)
XCS[6].append(x_c0)
if len_period > 0:
XP.append((x_c2))
if len_trend > 0:
XT.append((x_c3))
# if len_y > 0:
# XCY.append((x_c_y))
Y.append(y)
timestamps_Y.append(self.timestamps[i])
i += 1
XC = np.asarray(XC)
XCS=[np.asarray(XC) for XC in XCS]
XP = np.asarray(XP)
XT = np.asarray(XT)
XCY = np.asarray(XCY)
Y = np.asarray(Y)
print("STMatrix XC shape: ", XC.shape, "XP shape: ", XP.shape, "XT shape: ", XT.shape, "XCY shape: ",
XCY.shape,
"Y shape:", Y.shape)
return XCS, XP, XT, XCY, Y, timestamps_Y
def __init__(self, return_calculator=None, options=None):
"""A portfolio selector for bond indexes
"""
self.options = options
self.return_calculator = return_calculator
self.unnalocated_symbol = 'UNNALOCATED_SYMBOL'
self.concentration_rules = dict()
# now checking the options
if 'MAX_MATURITY' in options:
self.max_maturity = options['MAX_MATURITY']
else:
self.max_maturity = pd.DateOffset(years=200)
if 'MIN_MATURITY' in options:
self.min_maturity = options['MIN_MATURITY']
else:
self.min_maturity = pd.DateOffset(days=0)
if 'MIN_ELIGIBLE_MATURITY' in options:
# Bonds with maturity closer than 'MIN_ELIGIBLE_MATURITY' will not enter the portfolio if they are not
# already in.
self.min_eligible_maturity = options['MIN_ELIGIBLE_MATURITY']
else:
self.min_eligible_maturity = None
if 'SELL_DEFAULTED' in options:
self.sell_defaulted = options['SELL_DEFAULTED']
else:
self.sell_defaulted = False
if 'CORPORATE_MIN_OUTSTANDING' in options:
self.corp_min_outstanding = options['CORPORATE_MIN_OUTSTANDING']
else:
self.corp_min_outstanding = 0
if 'GOVT_MIN_OUTSTANDING' in options:
self.govt_min_outstanding = options['GOVT_MIN_OUTSTANDING']
else:
self.govt_min_outstanding = 0
if 'CORP_WEIGHT' in options:
self.corp_weight = options['CORP_WEIGHT']
else:
self.corp_weight = 0.8
if 'GOVT_WEIGHT' in options:
self.govt_weight = options['GOVT_WEIGHT']
else:
self.govt_weight = 1 - self.corp_weight
if 'MAX_TOLERANCE_AMONG_PORTFOLIOS' in options:
self.max_tolerance_among_portfolios = options[
'MAX_TOLERANCE_AMONG_PORTFOLIOS']
else:
self.max_tolerance_among_portfolios = 0.0
if 'MAX_TOLERANCE_AMONG_SECURITIES' in options:
self.max_tolerance_among_securities = options[
'MAX_TOLERANCE_AMONG_SECURITIES']
else:
self.max_tolerance_among_securities = 0.0
# Now checking the concentration rules
if any('CONCENTRATION_RULES' in x for x in options.keys()):
# Building concentration_rules dict
for key, value in options.items():
if 'CONCENTRATION_RULES' in key:
# Remove the first two words, which are CONCENTRATION and RULES
arguments = list(key.split('_'))[2:]
current_dict = self.concentration_rules
if len(arguments) >= 2:
for arg in arguments[:-1]:
try:
converted_arg = float(arg)
except:
converted_arg = arg
if converted_arg in current_dict.keys():
pass
else:
current_dict[converted_arg] = dict()
current_dict = current_dict[converted_arg]
last_arg = arguments[-1]
try:
last_arg = float(last_arg)
except:
pass
current_dict[last_arg] = value
print('Successfully instantiated BondIndex Class with options:')
print('max maturity: ' + str(self.max_maturity))
print('min maturity: ' + str(self.min_maturity))
print('min eligible maturity: {}'.format(self.min_eligible_maturity))
print('sell defaulted : ' + str(self.sell_defaulted))
print('min govt outstanding: {}'.format(self.govt_min_outstanding))
print('corp weight: {}'.format(self.corp_weight))
print('govt weight: {}'.format(self.govt_weight))
print('rebalancing tolerance between portfolios: {}'.format(
self.max_tolerance_among_portfolios))
print('rebalancing tolerance between securities: {}'.format(
self.max_tolerance_among_securities))
print('Concentration rules:')
print(self.concentration_rules)
str_to_convert = "%.6f" % as_float
# have to do this because of leap seconds
time_string, dot, microseconds = str_to_convert.partition(".")
utc_time_tuple = time.strptime(str_to_convert, LONG_DATE_FORMAT)
as_datetime = datetime.datetime(1970, 1, 1) + datetime.timedelta(
seconds=calendar.timegm(utc_time_tuple))
as_datetime = as_datetime.replace(
microsecond=datetime.datetime.strptime(microseconds, "%f").microsecond)
return as_datetime
NOTIONAL_CLOSING_TIME = dict(hours=23, minutes=0, seconds=0)
NOTIONAL_CLOSING_TIME_AS_PD_OFFSET = pd.DateOffset(
hours=NOTIONAL_CLOSING_TIME['hours'],
minutes=NOTIONAL_CLOSING_TIME['minutes'],
seconds=NOTIONAL_CLOSING_TIME['seconds'])
def adjust_timestamp_to_include_notional_close_and_time_offset(
timestamp: datetime.datetime,
actual_close: pd.DateOffset = NOTIONAL_CLOSING_TIME_AS_PD_OFFSET,
original_close: pd.DateOffset = pd.DateOffset(hours=23,
minutes=0,
seconds=0),
time_offset: pd.DateOffset = pd.DateOffset(hours=0),
) -> datetime.datetime:
if timestamp.hour == 0 and timestamp.minute == 0 and timestamp.second == 0:
new_datetime = timestamp.date() + actual_close
elif time_matches(timestamp, original_close):
def predict_future(self, days=30):
# Use past self.training_years years for training
train = self.stock[self.stock['Date'] > (max(self.stock['Date']) - pd.DateOffset(years=self.training_years)).date()]
model = self.create_model()
model.fit(train)
# Future dataframe with specified number of days to predict
future = model.make_future_dataframe(periods=days, freq='D')
future = model.predict(future)
# Only concerned with future dates
future = future[future['ds'] >= max(self.stock['Date']).date()]
# Remove the weekends
future = self.remove_weekends(future)
# Calculate whether increase or not
future['diff'] = future['yhat'].diff()
future = future.dropna()
# Find the prediction direction and create separate dataframes
future['direction'] = (future['diff'] > 0) * 1
# Rename the columns for presentation
future = future.rename(columns={'ds': 'Date', 'yhat': 'estimate', 'diff': 'change',
'yhat_upper': 'upper', 'yhat_lower': 'lower'})
future_increase = future[future['direction'] == 1]
future_decrease = future[future['direction'] == 0]
print('\nPredicted Increase: \n')
print(future_increase[['Date', 'estimate', 'change', 'upper', 'lower']])
print('\nPredicted Decrease: \n')
print(future_decrease[['Date', 'estimate', 'change', 'upper', 'lower']])
self.reset_plot()
# Set up plot
plt.style.use('fivethirtyeight')
matplotlib.rcParams['axes.labelsize'] = 10
matplotlib.rcParams['xtick.labelsize'] = 8
matplotlib.rcParams['ytick.labelsize'] = 8
matplotlib.rcParams['axes.titlesize'] = 12
# Plot the predictions and indicate if increase or decrease
fig, ax = plt.subplots(1, 1, figsize=(8, 6))
# Plot the estimates
ax.plot(future_increase['Date'], future_increase['estimate'], 'g^', ms = 12, label = 'Pred. Increase')
ax.plot(future_decrease['Date'], future_decrease['estimate'], 'rv', ms = 12, label = 'Pred. Decrease')
# Plot errorbars
ax.errorbar(future['Date'].dt.to_pydatetime(), future['estimate'],
yerr = future['upper'] - future['lower'],
capthick=1.4, color = 'k',linewidth = 2,
ecolor='darkblue', capsize = 4, elinewidth = 1, label = 'Pred with Range')
# Plot formatting
plt.legend(loc = 2, prop={'size': 10});
plt.xticks(rotation = '45')
plt.ylabel('Predicted Stock Price (US $)');
plt.xlabel('Date'); plt.title('Predictions for %s' % self.symbol);
plt.show()
return future
# Plot of training and testing average errors
self.reset_plot()
plt.plot(results['cps'], results['train_err'], 'bo-', ms = 8, label = 'Train Error')
plt.plot(results['cps'], results['test_err'], 'r*-', ms = 8, label = 'Test Error')
plt.xlabel('Changepoint Prior Scale'); plt.ylabel('Avg. Absolute Error ($)');
plt.title('Training and Testing Curves as Function of CPS')
plt.grid(color='k', alpha=0.3)
plt.xticks(results['cps'], results['cps'])
plt.legend(prop={'size':10})
plt.show();
# Plot of training and testing average uncertainty
self.reset_plot()
plt.plot(results['cps'], results['train_range'], 'bo-', ms = 8, label = 'Train Range')
plt.plot(results['cps'], results['test_range'], 'r*-', ms = 8, label = 'Test Range')
plt.xlabel('Changepoint Prior Scale'); plt.ylabel('Avg. Uncertainty ($)');
plt.title('Uncertainty in Estimate as Function of CPS')
plt.grid(color='k', alpha=0.3)
plt.xticks(results['cps'], results['cps'])
plt.legend(prop={'size':10})
plt.show();
sam3['EArray_norm'] = sam3['Subarray 1 DC power gross | (kW)'] / norm_factor_SAM3
# In[31]:
#Add prefixes, Update YEAR to same and MERGE
sam1foo = sam1.add_prefix('sam_')
sam2foo = sam2.add_prefix('sam_')
sam3foo = sam3.add_prefix('sam_')
pvsyst1foo = pvsyst1.add_prefix('pvsyst_')
pvsyst2foo = pvsyst2.add_prefix('pvsyst_')
pvsyst3foo = pvsyst3.add_prefix('pvsyst_')
pvsyst1foo.index = pvsyst1foo.index + pd.DateOffset(year=2020)
pvsyst2foo.index = pvsyst2foo.index + pd.DateOffset(year=2020)
pvsyst3foo.index = pvsyst3foo.index + pd.DateOffset(year=2020)
case1 = pd.concat([sam1foo, pvsyst1foo], axis=1)
case2 = pd.concat([sam2foo, pvsyst2foo], axis=1)
case3 = pd.concat([sam3foo, pvsyst3foo], axis=1)
# ### Input Irradiances comparison
#
# It is recommended to check days before and after summer-time hour shift (JIC), and also days that can and CANT be exchanged by months (MM/DD vs DD/MM).
#
# PvSyst is saved as DD/MM, SAM is saved as MM/DD
# In[32]:
