Пример #1
0
    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)
Пример #2
0
    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)    
Пример #3
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 def change(self):
     return (returns(self.histClose) * self.params['capital']).sum(axis=1)
Пример #4
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 def returns(self):
     return (returns(self.histPrice) * self.params['capital']).sum(axis=1)
Пример #5
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 def returns(self):
     return (returns(self.histPrice)*self.params['capital']).sum(axis=1)
Пример #6
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 def change(self):
     return (returns(self.histClose)*self.params['capital']).sum(axis=1)