def _update_pca(x):
window = 200
_d_comb, _d_pca_rw = x
comb_ret = _d_comb.retrieve('Returns')
n = comb_ret.shape[0]
tick_cols = comb_ret.tick_cols()
f_list_cur = _d_pca_rw.listdir()
f_dates_new = [i.__str__()[0:10].replace('-', '') for i in comb_ret['Date', list]]
f_dates_new = [i for i in f_dates_new if i > max(f_list_cur)]
f_dates_new_idx = [i for i, j in enumerate(comb_ret['Date', list]) if j.__str__()[0:10].replace('-', '') in
f_dates_new]
for i in f_dates_new_idx:
comb_ret_ext = comb_ret[i-window+1:i, :]
y1 = np.all(~np.isnan(comb_ret_ext[tick_cols].values), axis=0).tolist()
ticks = [k for k, j in zip(tick_cols, y1) if j]
# handle cases where the return are zero all throughout
comb_ret_ext__ = comb_ret_ext[ticks].values
comb_ret_ext__sn = np.std(comb_ret_ext__, axis=0)
bad_ticks_idx = list(np.where(comb_ret_ext__sn < 0.00001)[0])
ticks = [j for k, j in enumerate(ticks) if k not in bad_ticks_idx]
# now do the pca
comb_ret_ext_ = np.transpose(comb_ret_ext[ticks].values)
pca_wgt, pca_ret = crtp.compute_fast_pca(comb_ret_ext_)
f_name = comb_ret_ext['Date', list][-1]
f_name = f_name.__str__()[0:10].replace('-', '')
_d_pca_rw.save(f_name, ticks, pca_wgt, pca_ret)
def _refresh_pca(x):
window = 200
_d_comb, _d_pca_rw = x
comb_ret = _d_comb.retrieve('Returns')
n = comb_ret.shape[0]
tick_cols = comb_ret.tick_cols()
for i in range(window+1, n+1): # new change here
# i = 744
comb_ret_ext = comb_ret[i-window:i-1, :]
y1 = np.all(~np.isnan(comb_ret_ext[tick_cols].values), axis=0).tolist()
ticks = [k for k, j in zip(tick_cols, y1) if j]
# handle cases where the return are zero all throughout
comb_ret_ext__ = comb_ret_ext[ticks].values
comb_ret_ext__sn = np.std(comb_ret_ext__, axis=0)
bad_ticks_idx = list(np.where(comb_ret_ext__sn < 0.00001)[0])
ticks = [j for k, j in enumerate(ticks) if k not in bad_ticks_idx]
if len(ticks) >= 50:
# now do the pca
comb_ret_ext_ = np.transpose(comb_ret_ext[ticks].values)
pca_wgt, pca_ret = crtp.compute_fast_pca(comb_ret_ext_)
f_name = comb_ret_ext['Date', list][-1]
f_name = f_name.__str__()[0:10].replace('-', '')
_d_pca_rw.save(f_name, ticks, pca_wgt, pca_ret)