def calculateStatistics(self, other=None): ''' calculate spread statistics, save internally ''' res = {} res['micro'] = rank(self.returns[-1], self.returns) res['macro'] = rank(self.value[-1], self.value) res['last'] = self.value[-1] if other is not None: res['corr'] = self.returns.corr(returns(other)) return Series(res, name=self.name)
def calculateStatistics(self,other=None): ''' calculate spread statistics, save internally ''' res = {} res['micro'] = rank(self.returns[-1],self.returns) res['macro'] = rank(self.value[-1], self.value) res['last'] = self.value[-1] if other is not None: res['corr'] = self.returns.corr(returns(other)) return Series(res,name=self.name)
def change(self): return (returns(self.histClose) * self.params['capital']).sum(axis=1)
def returns(self): return (returns(self.histPrice) * self.params['capital']).sum(axis=1)
def returns(self): return (returns(self.histPrice)*self.params['capital']).sum(axis=1)
def change(self): return (returns(self.histClose)*self.params['capital']).sum(axis=1)