def _refresh_stats(x):
_d_comb = x
comb_prices_c = _d_comb.retrieve('Close')
comb_prices_o = _d_comb.retrieve('Open')
comb_prices_h = _d_comb.retrieve('High')
comb_prices_l = _d_comb.retrieve('Low')
# store the leverage
for j in range(0, 4):
jj = 30*(2**j)
jjstr = str(jj)
comb_vol = comb_prices_c.copy()
for i in comb_vol.tick_cols():
comb_vol[i] = crtf.vol_pb(comb_prices_o[i].values, comb_prices_h[i].values, comb_prices_l[i].values,
comb_prices_c[i].values, jj)
# comb_vol[i] = crtf.vol_cc(comb_prices[i].values, jj) # changed it back
comb_lev = comb_vol.copy()
for i in comb_lev.tick_cols():
comb_lev[i] = crtf.lrma(0.01/comb_vol[i].values, 30, lg=True) # replace this by qrma_multi(3, 5)
_d_comb.store('Lev_CC_'+jjstr+'D', comb_lev)
for i in comb_vol.tick_cols():
comb_vol[i] = crtf.lrma(comb_vol[i].values, 30, lg=True) # replace this by qrma_multi(3, 5)
_d_comb.store('Vol_CC_'+jjstr+'D', comb_vol)
return None
# prod_ = 1
prod_ = 1.33456825
for i in test_.tick_cols():
# i = test_.tick_cols()[0]
test = test_[i].values
testo = testo_[i].values
testh = testh_[i].values
testl = testl_[i].values
testr = crtf.ret(test)
test1cc = crtf.vol_cc(test, n, zl=True)
test1tr = crtf.vol_ewma(test, n)
test1p = crtf.vol_p(testo, testh, testl, test, n, zl=True)
test1gk3 = crtf.vol_gk3(testo, test, n, zl=True)
test1pb = crtf.vol_pb(testo, testh, testl, test, n, zl=True)
test1rs = crtf.vol_rs(testo, testh, testl, test, n, zl=True)
test1gk = crtf.vol_gk(testo, testh, testl, test, n, zl=True)
test1yz = crtf.vol_yz(testo, testh, testl, test, n, zl=True)
tmp = chk_vol(testr, test1cc*prod_)
if ~np.isnan(tmp):
res1cc += tmp
cnt1cc += 1
tmp = chk_vol(testr, test1tr)
if ~np.isnan(tmp):
res1tr += tmp
cnt1tr += 1
tmp = chk_vol(testr, test1p*prod_)
if ~np.isnan(tmp):
res1p += tmp
cnt1p += 1