diff options
| -rw-r--r-- | python/mark_backtest_underpar.py | 15 |
1 files changed, 9 insertions, 6 deletions
diff --git a/python/mark_backtest_underpar.py b/python/mark_backtest_underpar.py index 35226aa9..3d1239a2 100644 --- a/python/mark_backtest_underpar.py +++ b/python/mark_backtest_underpar.py @@ -27,11 +27,11 @@ df_long = df_long.reset_index() df_long = df_long.dropna(subset=['price','mark']) #filtering -#filter = 2 +diff_threshold = 5 begindate = '2013-01-01' -enddate = '2017-01-01' -df_long = df_long[df_long.identifier.str.len()==9] -df_long = df_long[(df_long['trade_date']>begindate) & (df_long['trade_date']<enddate)] +enddate = '2018-01-01' +df_long = df_long[df_long.identifier.str.len() == 9] +df_long = df_long[(df_long['trade_date'] > begindate) & (df_long['trade_date'] < enddate)] #difference= df_long[df_long['<filter].groupby('level_0').[.mean(), columns=['Average']) #difference['Std Dev'] = df_long[df_long<filter].std() @@ -45,7 +45,7 @@ sb.set_context("notebook") regplot = sb.lmplot(x='mark', y='price', hue = 'source', data=df_long, fit_reg=False, legend_out=True, aspect = 2.1, size = 4, scatter_kws={"s": df_long['dotsize']}) regplot.set(ylim=(0, 105), xlim=(0, 105)) #plt.legend(bbox_to_anchor=(1.05, 1), loc=2, borderaxespad=0.) -regplot.fig.savefig("/home/serenitas/edwin/fig1.png") +#regplot.fig.savefig("/home/serenitas/edwin/fig1.png") #plt.switch_backend('Qt4Agg') @@ -59,4 +59,7 @@ ax.fig.savefig("/home/serenitas/edwin/fig2.png") #fit all the models at once params = (df_long. groupby('source'). - apply(lambda df: gls('price~mark', df).fit().params))
\ No newline at end of file + apply(lambda df: gls('price~mark', df).fit().params)) +df_long['diff'] = (df_long['price'] - df_long['mark'])/df_long['mark'] +error = [df_long[df_long['diff'] < diff_threshold].groupby('source').mean()['diff'], + df_long[df_long['diff'] < diff_threshold].groupby('source').std()['diff']] |