Created on Nov 22, 2012
@author: alex
'''
import pandas as pd
import matplotlib.pylab as plt
import statsmodels.api as sm
from scipy import stats
import numpy as np
from datetime import datetime as dt
from functions import efa
# Clean up data
import foundation as fd
fx_data = fd.getFxRates()
fx_data = fx_data[['Currency', 'SPOT']]
# Subsetting data into foreign currencies
foreign = fx_data.ix[fx_data.Currency != 'USD',:]
foreign = foreign.set_index('Currency', append = True)
foreign = foreign.groupby(level = 1).apply(lambda x: x.fillna(method = 'ffill',limit = 30 ))
foreign['spot_rets'] = foreign.groupby(level = 1).SPOT.pct_change()
TI = pd.DataFrame()
for name, rets in foreign.groupby(level = 1).spot_rets:
if TI.empty:
TI = pd.DataFrame(index = [i[0] for i in rets.index])
TI[name] = rets.values
else:
TI = TI.join(pd.Series(rets.values, index = [i[0] for i in rets.index], name = name))
import numpy as np import pandas as pd import scipy as stats import foundation as fd from functions import efa fxData=fd.getFxRates() fxData = fxData[fxData.Currency!='USD'] fxData = fxData.reset_index() fxData = fxData[['Date','Currency', 'SPOT']].set_index(['Currency','Date']) fxData = fxData.groupby(level = 0).apply(lambda x: x.fillna(method = 'ffill',limit = 30 )) emafxData = fxData.groupby(level = 0).SPOT.apply(lambda x: efa(x,0.97,300)) fxData = fxData.groupby(level = 0).SPOT.values signal = fxData - emafxData print signal
