{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "%matplotlib inline\n",
    "\n",
    "import os\n",
    "import sys\n",
    "sys.path.append(os.path.join(os.environ['CODE_DIR'], 'python', 'exploration'))\n",
    "sys.path.append(os.path.join(os.environ['CODE_DIR'], 'python'))\n",
    "import beta_trade\n",
    "import matplotlib.pyplot as plt\n",
    "from scipy.stats.mstats import zscore"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "betas = beta_trade.calc_betas()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "plt.plot(betas[0], label = 'EWMA20')\n",
    "plt.xlabel('date')\n",
    "plt.ylabel('beta')\n",
    "plt.legend()\n",
    "betas[0][-1]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "plt.plot(betas[1], label = 'EWMA5')\n",
    "plt.xlabel('date')\n",
    "plt.ylabel('beta')\n",
    "plt.legend()\n",
    "betas[1][-1]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#now look at spread rato\n",
    "spreads = beta_trade.spreads_ratio()\n",
    "spreads['ratio'].plot()\n",
    "spreads['ratio'][-1]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "z = zscore(spreads.ratio)\n",
    "plt.plot(z)\n",
    "z[-1]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
 ],
 "metadata": {
  "kernelspec": {
   "display_name": "Python 3",
   "language": "python",
   "name": "python3"
  },
  "language_info": {
   "codemirror_mode": {
    "name": "ipython",
    "version": 3
   },
   "file_extension": ".py",
   "mimetype": "text/x-python",
   "name": "python",
   "nbconvert_exporter": "python",
   "pygments_lexer": "ipython3",
   "version": "3.6.1"
  }
 },
 "nbformat": 4,
 "nbformat_minor": 2
}