Python apply_box_filter примеры использования

Пример #1

Файл: apply_fde_filters_to_price_series.py Проект: zzzandyyuruuu/baruch-mfe-lab

    x_axis = np.arange(Ndelay, len(prices))

    axarr[0, 0].set_title("Ideal delay")
    axarr[0, 0].plot(x_axis, y_fde[Ndelay:])
    axarr[0, 0].plot(x_axis,
                     y_convolution[Ndelay:],
                     'o',
                     markerfacecolor='none')

    # b) Box

    Nbox = 32
    lag = 1

    y_fde = apply_box_filter(prices, Nbox)
    h_box = box(Nbox, Nwindow)
    candidate = np.convolve(prices - prices[0], h_box) + prices[0]
    y_convolution = candidate[:len(prices)]

    axarr[0, 1].set_title("Box")
    axarr[0, 1].plot(y_fde)
    axarr[0, 1].plot(y_convolution, 'o', markerfacecolor='none')

    # c) Ema

    Neff = 32
    lag = 1

    y_fde = apply_ema_filter(prices, Neff)
    h_ema = ema(Neff, Nwindow)

Пример #2

Файл: verify_fde_impulse_responses.py Проект: zzzandyyuruuu/baruch-mfe-lab

impulse_response_direct = delta(Ndelay, Nwindow)

axarr[0, 0].set_ylim(0, 1.1)
axarr[0, 0].set_title("Ideal delay")
axarr[0, 0].plot(impulse_response_fde)
axarr[0, 0].plot(impulse_response_direct, 'o', markerfacecolor='none')

# b) Box

Nbox = 32
lag = 1

impulse = np.zeros(Nwindow)
impulse[lag] = 1

candidate = apply_box_filter(impulse, Nbox)
impulse_response_fde = candidate[lag:]
impulse_response_direct = box(Nbox, Nwindow)

axarr[0, 1].set_title("Box")
axarr[0, 1].plot(impulse_response_fde)
axarr[0, 1].plot(impulse_response_direct, 'o', markerfacecolor='none')

# c) Ema

Neff = 32
lag = 1

impulse = np.zeros(Nwindow)
impulse[lag] = 1

Пример #3

Файл: verify_fde_impulse_responses.py Проект: ShengQuanZhou/baruch-mfe-lab

impulse_response_direct = delta(Ndelay, Nwindow)

axarr[0, 0].set_ylim(0, 1.1)
axarr[0, 0].set_title("Ideal delay")
axarr[0, 0].plot(impulse_response_fde)
axarr[0, 0].plot(impulse_response_direct, 'o', markerfacecolor='none')

# b) Box

Nbox = 32
lag = 1

impulse = np.zeros(Nwindow)
impulse[lag] = 1

candidate = apply_box_filter(impulse, Nbox)
impulse_response_fde = candidate[lag:]
impulse_response_direct = box(Nbox, Nwindow)

axarr[0, 1].set_title("Box")
axarr[0, 1].plot(impulse_response_fde)
axarr[0, 1].plot(impulse_response_direct, 'o',markerfacecolor='none')

# c) Ema

Neff = 32
lag = 1

impulse = np.zeros(Nwindow)
impulse[lag] = 1

Пример #4

Файл: apply_fde_filters_to_price_series.py Проект: ShengQuanZhou/baruch-mfe-lab

    h_delta = delta(Ndelay, Nwindow)
    candidate = np.convolve(prices, h_delta)
    y_convolution = candidate[:len(prices)]

    x_axis = np.arange(Ndelay, len(prices))

    axarr[0, 0].set_title("Ideal delay")
    axarr[0, 0].plot(x_axis, y_fde[Ndelay:])
    axarr[0, 0].plot(x_axis, y_convolution[Ndelay:], 'o', markerfacecolor='none')
    
    # b) Box

    Nbox = 32
    lag = 1

    y_fde = apply_box_filter(prices, Nbox)
    h_box = box(Nbox, Nwindow)
    candidate = np.convolve(prices - prices[0], h_box) + prices[0]
    y_convolution = candidate[:len(prices)]

    axarr[0, 1].set_title("Box")
    axarr[0, 1].plot(y_fde)
    axarr[0, 1].plot(y_convolution, 'o', markerfacecolor='none')
    
    # c) Ema

    Neff = 32
    lag = 1

    y_fde = apply_ema_filter(prices, Neff)
    h_ema = ema(Neff, Nwindow)