def _spear(x1, x2, m):
n = x1.shape[0]
xix = np.empty(n)*np.nan
ny = np.maximum(crtf.fst_nan(x1), crtf.fst_nan(x2))
if ny+m < n:
for i in range(ny+m, n):
xix[i] = _spearman(x1[i-m:i], x2[i-m:i])
xix_ = crtf.fish_inv_trans(crtf.lrbeta(crtf.cumsum_special(crtf.fish_trans(xix)), 7, lg=False))
xix1 = np.empty(n)*np.nan
ny = crtf.fst_nan(xix_)
xix1[ny+7*3:] = xix_[ny+7*3:]
return xix1
else:
return xix
def _smoother(x, m):
return crtf.fish_inv_trans(crtf.lrbeta(crtf.cumsum_special(crtf.fish_trans(x)), m, lg=False))
window = 241
window1 = int((3*window-1)/2)
window2 = int((2*window+1)/3)
for i in range(window1, n):
# i = n
test_c1[i] = stats.spearmanr(testr1[i-window2:i], testr2[i-window2:i])[0]
test_c2[i] = stats.spearmanr(testr1[i-window:i], testr2[i-window:i])[0]
test_c3[i] = stats.spearmanr(testr1[i-window1:i], testr2[i-window1:i])[0]
dt = testc['Date'].values
dt = dt[test_idx]
crup.plot_ts(dt, crtf.fish_trans(test_c1))
crup.plot_ts(dt, crtf.fish_trans(test_c2))
crup.plot_ts(dt, crtf.fish_trans(test_c3))
test_c4= crtf.fish_inv_trans(crtf.lrbeta(crtf.cumsum_special(crtf.fish_trans(test_c2)), 7, lg=False))
crup.plot_ts(dt, test_c4)
test_c5 = crtf.fish_inv_trans(crtf.lrbeta(crtf.cumsum_special(crtf.fish_trans(3*test_c2-2*test_c3)), 7, lg=False))
crup.plot_ts(dt, test_c5)
#------------------------------------
test = d_comb[6].retrieve('Close')
test1 = crtf.ret(test['SPY'].values)
test2 = crtf.ret(test['TLT'].values)
testidx = ~np.isnan(test1) & ~np.isnan(test2)
test1 = test1[testidx]
test2 = test2[testidx]
testc = test1*test2/np.sqrt((test1**2)*(test2**2))
dt = test['Date'].values