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New blog post on Kaggle competition
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Bradlee Speice
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@ -71,6 +82,8 @@
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<div class="container content archive">
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<h2><a href="https://bspeice.github.io/archives.html"></a></h2>
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<dl class="dl-horizontal">
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<dt>Sat 05 March 2016</dt>
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<dd><a href="https://bspeice.github.io/predicting-santander-customer-happiness.html">Predicting Santander Customer Happiness</a></dd>
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<dt>Fri 26 February 2016</dt>
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<dd><a href="https://bspeice.github.io/profitability-using-the-investment-formula.html">Profitability using the Investment Formula</a></dd>
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<dt>Wed 03 February 2016</dt>
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<div class="container content archive">
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<h2><a href="https://bspeice.github.io/author/bradlee-speice.html"></a></h2>
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<dl class="dl-horizontal">
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<dt>Sat 05 March 2016</dt>
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<dd><a href="https://bspeice.github.io/predicting-santander-customer-happiness.html">Predicting Santander Customer Happiness</a></dd>
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<dt>Fri 26 February 2016</dt>
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<dd><a href="https://bspeice.github.io/profitability-using-the-investment-formula.html">Profitability using the Investment Formula</a></dd>
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<dt>Wed 03 February 2016</dt>
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@ -71,6 +82,8 @@
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<div class="container content archive">
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<h2><a href="https://bspeice.github.io/author/bradlee-speice.html">Bradlee Speice</a></h2>
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<dl class="dl-horizontal">
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<dt>Sat 05 March 2016</dt>
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<dd><a href="https://bspeice.github.io/predicting-santander-customer-happiness.html">Predicting Santander Customer Happiness</a></dd>
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<dt>Fri 26 February 2016</dt>
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<dd><a href="https://bspeice.github.io/profitability-using-the-investment-formula.html">Profitability using the Investment Formula</a></dd>
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<dt>Wed 03 February 2016</dt>
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@ -84,7 +95,7 @@ Because these are all very similar, we decided to demonstrate all 3 products at
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<div class="prompt input_prompt">In [1]:</div>
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<div class="inner_cell">
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<div class="input_area">
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<div class=" highlight hl-julia"><pre><span class="k">using</span> <span class="n">Gadfly</span>
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<div class=" highlight hl-julia"><pre><span></span><span class="k">using</span> <span class="n">Gadfly</span>
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</pre></div>
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</div>
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@ -120,7 +131,7 @@ Because these are all very similar, we decided to demonstrate all 3 products at
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<div class="prompt input_prompt">In [2]:</div>
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<div class="inner_cell">
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<div class="input_area">
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<div class=" highlight hl-julia"><pre><span class="n">S0</span> <span class="o">=</span> <span class="mf">102.2</span>
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<div class=" highlight hl-julia"><pre><span></span><span class="n">S0</span> <span class="o">=</span> <span class="mf">102.2</span>
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<span class="n">nominal</span> <span class="o">=</span> <span class="mi">100</span>
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<span class="n">q</span> <span class="o">=</span> <span class="mf">2.84</span> <span class="o">/</span> <span class="mi">100</span>
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<span class="n">σ</span> <span class="o">=</span> <span class="mf">15.37</span> <span class="o">/</span> <span class="mi">100</span>
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@ -176,7 +187,7 @@ Because these are all very similar, we decided to demonstrate all 3 products at
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<div class="prompt input_prompt">In [3]:</div>
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<div class="inner_cell">
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<div class="input_area">
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<div class=" highlight hl-julia"><pre><span class="n">simulate_gbm</span> <span class="o">=</span> <span class="n">function</span><span class="p">(</span><span class="n">S0</span><span class="p">,</span> <span class="n">μ</span><span class="p">,</span> <span class="n">σ</span><span class="p">,</span> <span class="n">T</span><span class="p">,</span> <span class="n">n</span><span class="p">)</span>
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<div class=" highlight hl-julia"><pre><span></span><span class="n">simulate_gbm</span> <span class="o">=</span> <span class="n">function</span><span class="p">(</span><span class="n">S0</span><span class="p">,</span> <span class="n">μ</span><span class="p">,</span> <span class="n">σ</span><span class="p">,</span> <span class="n">T</span><span class="p">,</span> <span class="n">n</span><span class="p">)</span>
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<span class="c"># Set the initial state</span>
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<span class="n">m</span> <span class="o">=</span> <span class="n">length</span><span class="p">(</span><span class="n">S0</span><span class="p">)</span>
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<span class="n">t</span> <span class="o">=</span> <span class="n">T</span> <span class="o">/</span> <span class="n">n</span>
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@ -247,7 +258,7 @@ Because these are all very similar, we decided to demonstrate all 3 products at
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<div class="prompt input_prompt">In [4]:</div>
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<div class="inner_cell">
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<div class="input_area">
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<div class=" highlight hl-julia"><pre><span class="n">initial</span> <span class="o">=</span> <span class="n">ones</span><span class="p">(</span><span class="mi">5</span><span class="p">)</span> <span class="o">*</span> <span class="n">S0</span>
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<div class=" highlight hl-julia"><pre><span></span><span class="n">initial</span> <span class="o">=</span> <span class="n">ones</span><span class="p">(</span><span class="mi">5</span><span class="p">)</span> <span class="o">*</span> <span class="n">S0</span>
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<span class="c"># Using μ=0, T=.25 for now, we'll use the proper values later</span>
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<span class="n">motion</span> <span class="o">=</span> <span class="n">simulate_gbm</span><span class="p">(</span><span class="n">initial</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="n">σ</span><span class="p">,</span> <span class="o">.</span><span class="mi">25</span><span class="p">,</span> <span class="mi">200</span><span class="p">)</span>
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@ -1855,7 +1866,7 @@ fig.select("#fig-3a6dd25ad25c4037a166889ee51bb151-element-20")
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<div class="prompt input_prompt">In [5]:</div>
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<div class="inner_cell">
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<div class="input_area">
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<div class=" highlight hl-julia"><pre><span class="n">forward_term</span> <span class="o">=</span> <span class="n">function</span><span class="p">(</span><span class="n">yearly_term</span><span class="p">)</span>
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<div class=" highlight hl-julia"><pre><span></span><span class="n">forward_term</span> <span class="o">=</span> <span class="n">function</span><span class="p">(</span><span class="n">yearly_term</span><span class="p">)</span>
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<span class="c"># It is assumed that we have a yearly term structure passed in, and starts at year 0</span>
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<span class="c"># This implies a nominal rate above 0 for the first year!</span>
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<span class="n">years</span> <span class="o">=</span> <span class="n">length</span><span class="p">(</span><span class="n">term</span><span class="p">)</span><span class="o">-</span><span class="mi">1</span> <span class="c"># because we start at 0</span>
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@ -1885,14 +1896,14 @@ fig.select("#fig-3a6dd25ad25c4037a166889ee51bb151-element-20")
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<div class="prompt input_prompt">In [6]:</div>
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<div class="inner_cell">
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<div class="input_area">
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<div class=" highlight hl-julia"><pre><span class="c"># Example term structure taken from:</span>
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<div class=" highlight hl-julia"><pre><span></span><span class="c"># Example term structure taken from:</span>
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<span class="c"># http://www.treasury.gov/resource-center/data-chart-center/interest-rates/Pages/TextView.aspx?data=yield</span>
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<span class="c"># Linear interpolation used years in-between periods, assuming real-dollar</span>
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<span class="c"># interest rates</span>
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<span class="n">forward_yield</span> <span class="o">=</span> <span class="n">forward_term</span><span class="p">(</span><span class="n">term</span><span class="p">)</span>
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<span class="n">calculated_term2</span> <span class="o">=</span> <span class="n">term</span><span class="p">[</span><span class="mi">1</span><span class="p">]</span> <span class="o">*</span> <span class="n">forward_yield</span><span class="p">[</span><span class="mi">1</span><span class="p">]</span>
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<span class="n">println</span><span class="p">(</span><span class="s">"Actual term[2]: </span><span class="si">$</span><span class="s">(term[2]); Calculated term[2]: </span><span class="si">$(calculated_term2)</span><span class="s">"</span><span class="p">)</span>
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<span class="n">println</span><span class="p">(</span><span class="s">"Actual term[2]: </span><span class="si">$(term[2])</span><span class="s">; Calculated term[2]: </span><span class="si">$(calculated_term2)</span><span class="s">"</span><span class="p">)</span>
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</pre></div>
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</div>
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@ -1929,7 +1940,7 @@ fig.select("#fig-3a6dd25ad25c4037a166889ee51bb151-element-20")
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<div class="prompt input_prompt">In [7]:</div>
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<div class="inner_cell">
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<div class="input_area">
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<div class=" highlight hl-julia"><pre><span class="n">full_motion</span> <span class="o">=</span> <span class="n">ones</span><span class="p">(</span><span class="mi">5</span><span class="p">)</span> <span class="o">*</span> <span class="n">S0</span>
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<div class=" highlight hl-julia"><pre><span></span><span class="n">full_motion</span> <span class="o">=</span> <span class="n">ones</span><span class="p">(</span><span class="mi">5</span><span class="p">)</span> <span class="o">*</span> <span class="n">S0</span>
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<span class="n">full_term</span> <span class="o">=</span> <span class="n">vcat</span><span class="p">(</span><span class="n">term</span><span class="p">[</span><span class="mi">1</span><span class="p">],</span> <span class="n">forward_yield</span><span class="p">)</span>
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<span class="k">for</span> <span class="n">i</span><span class="o">=</span><span class="mi">1</span><span class="p">:</span><span class="n">T</span>
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<span class="n">μ</span> <span class="o">=</span> <span class="p">(</span><span class="n">full_term</span><span class="p">[</span><span class="n">i</span><span class="p">]</span> <span class="o">-</span> <span class="mi">1</span> <span class="o">-</span> <span class="n">q</span><span class="p">)</span>
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@ -3490,7 +3501,7 @@ fig.select("#fig-0378e04b897742b597befd2e8e1c169e-element-20")
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<div class="prompt input_prompt">In [8]:</div>
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<div class="inner_cell">
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<div class="input_area">
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<div class=" highlight hl-julia"><pre><span class="n">full_simulation</span> <span class="o">=</span> <span class="n">function</span><span class="p">(</span><span class="n">S0</span><span class="p">,</span> <span class="n">T</span><span class="p">,</span> <span class="n">n</span><span class="p">,</span> <span class="n">m</span><span class="p">,</span> <span class="n">term</span><span class="p">)</span>
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<div class=" highlight hl-julia"><pre><span></span><span class="n">full_simulation</span> <span class="o">=</span> <span class="n">function</span><span class="p">(</span><span class="n">S0</span><span class="p">,</span> <span class="n">T</span><span class="p">,</span> <span class="n">n</span><span class="p">,</span> <span class="n">m</span><span class="p">,</span> <span class="n">term</span><span class="p">)</span>
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<span class="n">forward</span> <span class="o">=</span> <span class="n">vcat</span><span class="p">(</span><span class="n">term</span><span class="p">[</span><span class="mi">1</span><span class="p">],</span> <span class="n">forward_term</span><span class="p">(</span><span class="n">term</span><span class="p">))</span>
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<span class="c"># And an S0 to kick things off.</span>
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@ -3506,7 +3517,7 @@ fig.select("#fig-0378e04b897742b597befd2e8e1c169e-element-20")
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<span class="n">tic</span><span class="p">()</span>
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<span class="n">full_simulation</span><span class="p">(</span><span class="n">S0</span><span class="p">,</span> <span class="n">T</span><span class="p">,</span> <span class="n">n</span><span class="p">,</span> <span class="n">m</span><span class="p">,</span> <span class="n">term</span><span class="p">)</span>
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<span class="n">time</span> <span class="o">=</span> <span class="n">toq</span><span class="p">()</span>
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<span class="p">@</span><span class="n">printf</span><span class="p">(</span><span class="s">"Time to run simulation: %.2fs"</span><span class="p">,</span> <span class="n">time</span><span class="p">)</span>
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<span class="p">@</span><span class="n">printf</span><span class="p">(</span><span class="s">"Time to run simulation: </span><span class="si">%.2f</span><span class="s">s"</span><span class="p">,</span> <span class="n">time</span><span class="p">)</span>
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</pre></div>
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</div>
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@ -3551,7 +3562,7 @@ fig.select("#fig-0378e04b897742b597befd2e8e1c169e-element-20")
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<div class="prompt input_prompt">In [9]:</div>
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<div class="inner_cell">
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<div class="input_area">
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<div class=" highlight hl-julia"><pre><span class="n">call_barrier</span> <span class="o">=</span> <span class="n">S0</span>
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<div class=" highlight hl-julia"><pre><span></span><span class="n">call_barrier</span> <span class="o">=</span> <span class="n">S0</span>
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<span class="n">strike</span> <span class="o">=</span> <span class="n">S0</span>
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<span class="n">protection_barrier</span> <span class="o">=</span> <span class="n">S0</span> <span class="o">*</span> <span class="o">.</span><span class="mi">6</span>
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<span class="n">coupon</span> <span class="o">=</span> <span class="n">nominal</span> <span class="o">*</span> <span class="o">.</span><span class="mi">07</span>
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@ -3595,13 +3606,13 @@ fig.select("#fig-0378e04b897742b597befd2e8e1c169e-element-20")
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<span class="n">tic</span><span class="p">()</span>
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<span class="n">mean_payoffs</span><span class="p">[</span><span class="n">i</span><span class="p">]</span> <span class="o">=</span> <span class="n">athena</span><span class="p">()</span>
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<span class="n">time</span> <span class="o">=</span> <span class="n">toq</span><span class="p">()</span>
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<span class="p">@</span><span class="n">printf</span><span class="p">(</span><span class="s">"Mean of simulation %i: \</span><span class="si">$</span><span class="s">%.4f; Simulation time: %.2fs</span><span class="se">\n</span><span class="s">"</span><span class="p">,</span> <span class="n">i</span><span class="p">,</span> <span class="n">mean_payoffs</span><span class="p">[</span><span class="n">i</span><span class="p">],</span> <span class="n">time</span><span class="p">)</span>
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<span class="p">@</span><span class="n">printf</span><span class="p">(</span><span class="s">"Mean of simulation </span><span class="si">%i</span><span class="s">: \$</span><span class="si">%.4f</span><span class="s">; Simulation time: </span><span class="si">%.2f</span><span class="s">s</span><span class="se">\n</span><span class="s">"</span><span class="p">,</span> <span class="n">i</span><span class="p">,</span> <span class="n">mean_payoffs</span><span class="p">[</span><span class="n">i</span><span class="p">],</span> <span class="n">time</span><span class="p">)</span>
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<span class="k">end</span>
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<span class="n">final_mean</span> <span class="o">=</span> <span class="n">mean</span><span class="p">(</span><span class="n">mean_payoffs</span><span class="p">)</span>
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<span class="n">println</span><span class="p">(</span><span class="s">"Mean over </span><span class="si">$</span><span class="s">num_simulations simulations: </span><span class="si">$</span><span class="s">(mean(mean_payoffs))"</span><span class="p">)</span>
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<span class="n">println</span><span class="p">(</span><span class="s">"Mean over </span><span class="si">$num_simulations</span><span class="s"> simulations: </span><span class="si">$(mean(mean_payoffs))</span><span class="s">"</span><span class="p">)</span>
|
||||
<span class="n">pv</span> <span class="o">=</span> <span class="n">final_mean</span> <span class="o">*</span> <span class="p">(</span><span class="n">exp</span><span class="p">(</span><span class="o">-</span><span class="p">(</span><span class="n">prod</span><span class="p">(</span><span class="n">forward_structure</span><span class="p">)</span><span class="o">-</span><span class="mi">1</span><span class="p">)</span><span class="o">*</span><span class="n">T</span><span class="p">))</span>
|
||||
<span class="p">@</span><span class="n">printf</span><span class="p">(</span><span class="s">"Present value of Athena note: \</span><span class="si">$</span><span class="s">%.2f, notional: \</span><span class="si">$</span><span class="s">%.2f"</span><span class="p">,</span> <span class="n">pv</span><span class="p">,</span> <span class="n">nominal</span><span class="p">)</span>
|
||||
<span class="p">@</span><span class="n">printf</span><span class="p">(</span><span class="s">"Present value of Athena note: \$</span><span class="si">%.2f</span><span class="s">, notional: \$</span><span class="si">%.2f</span><span class="s">"</span><span class="p">,</span> <span class="n">pv</span><span class="p">,</span> <span class="n">nominal</span><span class="p">)</span>
|
||||
</pre></div>
|
||||
|
||||
</div>
|
||||
@ -3662,7 +3673,7 @@ Present value of Athena note: $95.00, notional: $100.00</pre>
|
||||
<div class="prompt input_prompt">In [10]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-julia"><pre><span class="n">call_barrier</span> <span class="o">=</span> <span class="n">S0</span>
|
||||
<div class=" highlight hl-julia"><pre><span></span><span class="n">call_barrier</span> <span class="o">=</span> <span class="n">S0</span>
|
||||
<span class="n">coupon_barrier</span> <span class="o">=</span> <span class="n">S0</span> <span class="o">*</span> <span class="o">.</span><span class="mi">8</span>
|
||||
<span class="n">protection_barrier</span> <span class="o">=</span> <span class="n">S0</span> <span class="o">*</span> <span class="o">.</span><span class="mi">6</span>
|
||||
<span class="n">coupon</span> <span class="o">=</span> <span class="n">nominal</span> <span class="o">*</span> <span class="o">.</span><span class="mi">06</span>
|
||||
@ -3709,13 +3720,13 @@ Present value of Athena note: $95.00, notional: $100.00</pre>
|
||||
<span class="n">tic</span><span class="p">()</span>
|
||||
<span class="n">mean_payoffs</span><span class="p">[</span><span class="n">i</span><span class="p">]</span> <span class="o">=</span> <span class="n">phoenix_no_memory</span><span class="p">()</span>
|
||||
<span class="n">time</span> <span class="o">=</span> <span class="n">toq</span><span class="p">()</span>
|
||||
<span class="p">@</span><span class="n">printf</span><span class="p">(</span><span class="s">"Mean of simulation %i: \</span><span class="si">$</span><span class="s">%.4f; Simulation time: %.2fs</span><span class="se">\n</span><span class="s">"</span><span class="p">,</span> <span class="n">i</span><span class="p">,</span> <span class="n">mean_payoffs</span><span class="p">[</span><span class="n">i</span><span class="p">],</span> <span class="n">time</span><span class="p">)</span>
|
||||
<span class="p">@</span><span class="n">printf</span><span class="p">(</span><span class="s">"Mean of simulation </span><span class="si">%i</span><span class="s">: \$</span><span class="si">%.4f</span><span class="s">; Simulation time: </span><span class="si">%.2f</span><span class="s">s</span><span class="se">\n</span><span class="s">"</span><span class="p">,</span> <span class="n">i</span><span class="p">,</span> <span class="n">mean_payoffs</span><span class="p">[</span><span class="n">i</span><span class="p">],</span> <span class="n">time</span><span class="p">)</span>
|
||||
<span class="k">end</span>
|
||||
|
||||
<span class="n">final_mean</span> <span class="o">=</span> <span class="n">mean</span><span class="p">(</span><span class="n">mean_payoffs</span><span class="p">)</span>
|
||||
<span class="n">println</span><span class="p">(</span><span class="s">"Mean over </span><span class="si">$</span><span class="s">num_simulations simulations: </span><span class="si">$</span><span class="s">(mean(mean_payoffs))"</span><span class="p">)</span>
|
||||
<span class="n">println</span><span class="p">(</span><span class="s">"Mean over </span><span class="si">$num_simulations</span><span class="s"> simulations: </span><span class="si">$(mean(mean_payoffs))</span><span class="s">"</span><span class="p">)</span>
|
||||
<span class="n">pv</span> <span class="o">=</span> <span class="n">final_mean</span> <span class="o">*</span> <span class="n">exp</span><span class="p">(</span><span class="o">-</span><span class="p">(</span><span class="n">prod</span><span class="p">(</span><span class="n">forward_structure</span><span class="p">)</span><span class="o">-</span><span class="mi">1</span><span class="p">)</span><span class="o">*</span><span class="p">(</span><span class="n">T</span><span class="p">))</span>
|
||||
<span class="p">@</span><span class="n">printf</span><span class="p">(</span><span class="s">"Present value of Phoenix without memory note: \</span><span class="si">$</span><span class="s">%.2f"</span><span class="p">,</span> <span class="n">pv</span><span class="p">)</span>
|
||||
<span class="p">@</span><span class="n">printf</span><span class="p">(</span><span class="s">"Present value of Phoenix without memory note: \$</span><span class="si">%.2f</span><span class="s">"</span><span class="p">,</span> <span class="n">pv</span><span class="p">)</span>
|
||||
</pre></div>
|
||||
|
||||
</div>
|
||||
@ -3762,7 +3773,7 @@ Present value of Phoenix without memory note: $97.44</pre>
|
||||
<div class="prompt input_prompt">In [11]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-julia"><pre><span class="n">call_barrier</span> <span class="o">=</span> <span class="n">S0</span>
|
||||
<div class=" highlight hl-julia"><pre><span></span><span class="n">call_barrier</span> <span class="o">=</span> <span class="n">S0</span>
|
||||
<span class="n">coupon_barrier</span> <span class="o">=</span> <span class="n">S0</span> <span class="o">*</span> <span class="o">.</span><span class="mi">8</span>
|
||||
<span class="n">protection_barrier</span> <span class="o">=</span> <span class="n">S0</span> <span class="o">*</span> <span class="o">.</span><span class="mi">6</span>
|
||||
<span class="n">coupon</span> <span class="o">=</span> <span class="n">nominal</span> <span class="o">*</span> <span class="o">.</span><span class="mi">07</span>
|
||||
@ -3816,14 +3827,14 @@ Present value of Phoenix without memory note: $97.44</pre>
|
||||
<span class="n">tic</span><span class="p">()</span>
|
||||
<span class="n">mean_payoffs</span><span class="p">[</span><span class="n">i</span><span class="p">]</span> <span class="o">=</span> <span class="n">phoenix_with_memory</span><span class="p">()</span>
|
||||
<span class="n">time</span> <span class="o">=</span> <span class="n">toq</span><span class="p">()</span>
|
||||
<span class="p">@</span><span class="n">printf</span><span class="p">(</span><span class="s">"Mean of simulation %i: \</span><span class="si">$</span><span class="s">%.4f; Simulation time: %.2fs</span><span class="se">\n</span><span class="s">"</span><span class="p">,</span>
|
||||
<span class="p">@</span><span class="n">printf</span><span class="p">(</span><span class="s">"Mean of simulation </span><span class="si">%i</span><span class="s">: \$</span><span class="si">%.4f</span><span class="s">; Simulation time: </span><span class="si">%.2f</span><span class="s">s</span><span class="se">\n</span><span class="s">"</span><span class="p">,</span>
|
||||
<span class="n">i</span><span class="p">,</span> <span class="n">mean_payoffs</span><span class="p">[</span><span class="n">i</span><span class="p">],</span> <span class="n">time</span><span class="p">)</span>
|
||||
<span class="k">end</span>
|
||||
|
||||
<span class="n">final_mean</span> <span class="o">=</span> <span class="n">mean</span><span class="p">(</span><span class="n">mean_payoffs</span><span class="p">)</span>
|
||||
<span class="n">println</span><span class="p">(</span><span class="s">"Mean over </span><span class="si">$</span><span class="s">num_simulations simulations: </span><span class="si">$</span><span class="s">(mean(mean_payoffs))"</span><span class="p">)</span>
|
||||
<span class="n">println</span><span class="p">(</span><span class="s">"Mean over </span><span class="si">$num_simulations</span><span class="s"> simulations: </span><span class="si">$(mean(mean_payoffs))</span><span class="s">"</span><span class="p">)</span>
|
||||
<span class="n">pv</span> <span class="o">=</span> <span class="n">final_mean</span> <span class="o">*</span> <span class="n">exp</span><span class="p">(</span><span class="o">-</span><span class="p">(</span><span class="n">prod</span><span class="p">(</span><span class="n">forward_structure</span><span class="p">)</span><span class="o">-</span><span class="mi">1</span><span class="p">)</span><span class="o">*</span><span class="p">(</span><span class="n">T</span><span class="p">))</span>
|
||||
<span class="p">@</span><span class="n">printf</span><span class="p">(</span><span class="s">"Present value of Phoenix with memory note: \</span><span class="si">$</span><span class="s">%.2f"</span><span class="p">,</span> <span class="n">pv</span><span class="p">)</span>
|
||||
<span class="p">@</span><span class="n">printf</span><span class="p">(</span><span class="s">"Present value of Phoenix with memory note: \$</span><span class="si">%.2f</span><span class="s">"</span><span class="p">,</span> <span class="n">pv</span><span class="p">)</span>
|
||||
</pre></div>
|
||||
|
||||
</div>
|
||||
@ -3857,6 +3868,20 @@ MathJax.Hub.Config({tex2jax: {inlineMath: [['$','$'], ['\(','\)']]}});
|
||||
<script async src='https://cdn.mathjax.org/mathjax/latest/MathJax.js?config=TeX-AMS_CHTML'></script>
|
||||
|
||||
|
||||
<div class="comments">
|
||||
<div id="disqus_thread"></div>
|
||||
<script type="text/javascript">
|
||||
var disqus_shortname = 'bradleespeice';
|
||||
var disqus_identifier = 'autocallable-bonds.html';
|
||||
var disqus_url = 'https://bspeice.github.io/autocallable-bonds.html';
|
||||
(function() {
|
||||
var dsq = document.createElement('script'); dsq.type = 'text/javascript'; dsq.async = true;
|
||||
dsq.src = '//' + disqus_shortname + '.disqus.com/embed.js';
|
||||
(document.getElementsByTagName('head')[0] || document.getElementsByTagName('body')[0]).appendChild(dsq);
|
||||
})();
|
||||
</script>
|
||||
<noscript>Please enable JavaScript to view the comments.</noscript>
|
||||
</div>
|
||||
|
||||
</div>
|
||||
<!-- /Content -->
|
||||
|
||||
@ -27,6 +27,17 @@
|
||||
<script src="https://oss.maxcdn.com/respond/1.4.2/respond.min.js"></script>
|
||||
<![endif]-->
|
||||
|
||||
<!-- Google Analytics -->
|
||||
<script>
|
||||
(function(i,s,o,g,r,a,m){i['GoogleAnalyticsObject']=r;i[r]=i[r]||function(){
|
||||
(i[r].q=i[r].q||[]).push(arguments)},i[r].l=1*new Date();a=s.createElement(o),
|
||||
m=s.getElementsByTagName(o)[0];a.async=1;a.src=g;m.parentNode.insertBefore(a,m)
|
||||
})(window,document,'script','//www.google-analytics.com/analytics.js','ga');
|
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|
||||
ga('create', 'UA-74711362-1', 'auto');
|
||||
ga('send', 'pageview');
|
||||
</script>
|
||||
<!-- /Google Analytics -->
|
||||
|
||||
|
||||
</head>
|
||||
@ -71,6 +82,8 @@
|
||||
<div class="container content archive">
|
||||
<h2><a href="https://bspeice.github.io/category/blog.html">Blog</a></h2>
|
||||
<dl class="dl-horizontal">
|
||||
<dt>Sat 05 March 2016</dt>
|
||||
<dd><a href="https://bspeice.github.io/predicting-santander-customer-happiness.html">Predicting Santander Customer Happiness</a></dd>
|
||||
<dt>Fri 26 February 2016</dt>
|
||||
<dd><a href="https://bspeice.github.io/profitability-using-the-investment-formula.html">Profitability using the Investment Formula</a></dd>
|
||||
<dt>Wed 03 February 2016</dt>
|
||||
|
||||
@ -28,6 +28,17 @@
|
||||
<script src="https://oss.maxcdn.com/respond/1.4.2/respond.min.js"></script>
|
||||
<![endif]-->
|
||||
|
||||
<!-- Google Analytics -->
|
||||
<script>
|
||||
(function(i,s,o,g,r,a,m){i['GoogleAnalyticsObject']=r;i[r]=i[r]||function(){
|
||||
(i[r].q=i[r].q||[]).push(arguments)},i[r].l=1*new Date();a=s.createElement(o),
|
||||
m=s.getElementsByTagName(o)[0];a.async=1;a.src=g;m.parentNode.insertBefore(a,m)
|
||||
})(window,document,'script','//www.google-analytics.com/analytics.js','ga');
|
||||
|
||||
ga('create', 'UA-74711362-1', 'auto');
|
||||
ga('send', 'pageview');
|
||||
</script>
|
||||
<!-- /Google Analytics -->
|
||||
|
||||
|
||||
</head>
|
||||
@ -72,6 +83,8 @@
|
||||
<div class="container content archive">
|
||||
<h2><a href="https://bspeice.github.io/category/blog.html">Blog</a></h2>
|
||||
<dl class="dl-horizontal">
|
||||
<dt>Sat 05 March 2016</dt>
|
||||
<dd><a href="https://bspeice.github.io/predicting-santander-customer-happiness.html">Predicting Santander Customer Happiness</a></dd>
|
||||
<dt>Fri 26 February 2016</dt>
|
||||
<dd><a href="https://bspeice.github.io/profitability-using-the-investment-formula.html">Profitability using the Investment Formula</a></dd>
|
||||
<dt>Wed 03 February 2016</dt>
|
||||
|
||||
@ -28,6 +28,17 @@
|
||||
<script src="https://oss.maxcdn.com/respond/1.4.2/respond.min.js"></script>
|
||||
<![endif]-->
|
||||
|
||||
<!-- Google Analytics -->
|
||||
<script>
|
||||
(function(i,s,o,g,r,a,m){i['GoogleAnalyticsObject']=r;i[r]=i[r]||function(){
|
||||
(i[r].q=i[r].q||[]).push(arguments)},i[r].l=1*new Date();a=s.createElement(o),
|
||||
m=s.getElementsByTagName(o)[0];a.async=1;a.src=g;m.parentNode.insertBefore(a,m)
|
||||
})(window,document,'script','//www.google-analytics.com/analytics.js','ga');
|
||||
|
||||
ga('create', 'UA-74711362-1', 'auto');
|
||||
ga('send', 'pageview');
|
||||
</script>
|
||||
<!-- /Google Analytics -->
|
||||
|
||||
|
||||
</head>
|
||||
@ -81,7 +92,7 @@
|
||||
<div class="prompt input_prompt">In [1]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="kn">import</span> <span class="nn">pickle</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="kn">import</span> <span class="nn">pickle</span>
|
||||
<span class="kn">import</span> <span class="nn">pandas</span> <span class="k">as</span> <span class="nn">pd</span>
|
||||
<span class="kn">import</span> <span class="nn">numpy</span> <span class="k">as</span> <span class="nn">np</span>
|
||||
<span class="kn">from</span> <span class="nn">bokeh.plotting</span> <span class="k">import</span> <span class="n">output_notebook</span><span class="p">,</span> <span class="n">figure</span><span class="p">,</span> <span class="n">show</span>
|
||||
@ -348,7 +359,7 @@
|
||||
<div class="prompt input_prompt">In [2]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="n">city_forecasts</span> <span class="o">=</span> <span class="n">pickle</span><span class="o">.</span><span class="n">load</span><span class="p">(</span><span class="nb">open</span><span class="p">(</span><span class="s1">'city_forecasts.p'</span><span class="p">,</span> <span class="s1">'rb'</span><span class="p">))</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="n">city_forecasts</span> <span class="o">=</span> <span class="n">pickle</span><span class="o">.</span><span class="n">load</span><span class="p">(</span><span class="nb">open</span><span class="p">(</span><span class="s1">'city_forecasts.p'</span><span class="p">,</span> <span class="s1">'rb'</span><span class="p">))</span>
|
||||
<span class="n">forecasts_df</span> <span class="o">=</span> <span class="n">pd</span><span class="o">.</span><span class="n">DataFrame</span><span class="o">.</span><span class="n">from_dict</span><span class="p">(</span><span class="n">city_forecasts</span><span class="p">)</span>
|
||||
</pre></div>
|
||||
|
||||
@ -362,7 +373,7 @@
|
||||
<div class="prompt input_prompt">In [3]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="n">cities</span> <span class="o">=</span> <span class="p">[</span><span class="s1">'binghamton'</span><span class="p">,</span> <span class="s1">'cary'</span><span class="p">,</span> <span class="s1">'nyc'</span><span class="p">,</span> <span class="s1">'seattle'</span><span class="p">]</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="n">cities</span> <span class="o">=</span> <span class="p">[</span><span class="s1">'binghamton'</span><span class="p">,</span> <span class="s1">'cary'</span><span class="p">,</span> <span class="s1">'nyc'</span><span class="p">,</span> <span class="s1">'seattle'</span><span class="p">]</span>
|
||||
<span class="n">city_colors</span> <span class="o">=</span> <span class="p">{</span><span class="n">cities</span><span class="p">[</span><span class="n">i</span><span class="p">]:</span> <span class="n">Palette</span><span class="p">[</span><span class="n">i</span><span class="p">]</span> <span class="k">for</span> <span class="n">i</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="mi">0</span><span class="p">,</span> <span class="mi">4</span><span class="p">)}</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">safe_cover</span><span class="p">(</span><span class="n">frame</span><span class="p">):</span>
|
||||
@ -393,7 +404,7 @@
|
||||
<div class="prompt input_prompt">In [4]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="n">years</span> <span class="o">=</span> <span class="nb">range</span><span class="p">(</span><span class="mi">1990</span><span class="p">,</span> <span class="mi">2016</span><span class="p">)</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="n">years</span> <span class="o">=</span> <span class="nb">range</span><span class="p">(</span><span class="mi">1990</span><span class="p">,</span> <span class="mi">2016</span><span class="p">)</span>
|
||||
<span class="k">def</span> <span class="nf">city_avg_cc</span><span class="p">(</span><span class="n">city</span><span class="p">,</span> <span class="n">month</span><span class="p">):</span>
|
||||
<span class="k">return</span> <span class="p">[</span><span class="n">monthly_avg_cloudcover</span><span class="p">(</span><span class="n">city</span><span class="p">,</span> <span class="n">y</span><span class="p">,</span> <span class="n">month</span><span class="p">)</span> <span class="k">for</span> <span class="n">y</span> <span class="ow">in</span> <span class="n">years</span><span class="p">]</span>
|
||||
|
||||
@ -407,7 +418,7 @@
|
||||
|
||||
<span class="k">for</span> <span class="n">month</span><span class="p">,</span> <span class="n">month_id</span> <span class="ow">in</span> <span class="n">months</span><span class="p">:</span>
|
||||
<span class="n">month_averages</span> <span class="o">=</span> <span class="p">{</span><span class="n">city</span><span class="p">:</span> <span class="n">city_avg_cc</span><span class="p">(</span><span class="n">city</span><span class="p">,</span> <span class="n">month_id</span><span class="p">)</span> <span class="k">for</span> <span class="n">city</span> <span class="ow">in</span> <span class="n">cities</span><span class="p">}</span>
|
||||
<span class="n">f</span> <span class="o">=</span> <span class="n">figure</span><span class="p">(</span><span class="n">title</span><span class="o">=</span><span class="s2">"{} Average Cloud Cover"</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">month</span><span class="p">),</span>
|
||||
<span class="n">f</span> <span class="o">=</span> <span class="n">figure</span><span class="p">(</span><span class="n">title</span><span class="o">=</span><span class="s2">"</span><span class="si">{}</span><span class="s2"> Average Cloud Cover"</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">month</span><span class="p">),</span>
|
||||
<span class="n">x_axis_label</span><span class="o">=</span><span class="s1">'Year'</span><span class="p">,</span>
|
||||
<span class="n">y_axis_label</span><span class="o">=</span><span class="s1">'Cloud Cover Percentage'</span><span class="p">)</span>
|
||||
<span class="k">for</span> <span class="n">city</span> <span class="ow">in</span> <span class="n">cities</span><span class="p">:</span>
|
||||
@ -598,7 +609,7 @@
|
||||
<div class="prompt input_prompt">In [5]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="k">def</span> <span class="nf">safe_precip</span><span class="p">(</span><span class="n">frame</span><span class="p">):</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="k">def</span> <span class="nf">safe_precip</span><span class="p">(</span><span class="n">frame</span><span class="p">):</span>
|
||||
<span class="k">if</span> <span class="n">frame</span> <span class="ow">and</span> <span class="s1">'precipProbability'</span> <span class="ow">in</span> <span class="n">frame</span><span class="p">:</span>
|
||||
<span class="k">return</span> <span class="n">frame</span><span class="p">[</span><span class="s1">'precipProbability'</span><span class="p">]</span>
|
||||
<span class="k">else</span><span class="p">:</span>
|
||||
@ -620,7 +631,7 @@
|
||||
|
||||
<span class="k">for</span> <span class="n">month</span><span class="p">,</span> <span class="n">month_id</span> <span class="ow">in</span> <span class="n">months</span><span class="p">:</span>
|
||||
<span class="n">month_averages</span> <span class="o">=</span> <span class="p">{</span><span class="n">city</span><span class="p">:</span> <span class="n">city_avg_cc</span><span class="p">(</span><span class="n">city</span><span class="p">,</span> <span class="n">month_id</span><span class="p">)</span> <span class="k">for</span> <span class="n">city</span> <span class="ow">in</span> <span class="n">cities</span><span class="p">}</span>
|
||||
<span class="n">f</span> <span class="o">=</span> <span class="n">figure</span><span class="p">(</span><span class="n">title</span><span class="o">=</span><span class="s2">"{} Average Precipitation Chance"</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">month</span><span class="p">),</span>
|
||||
<span class="n">f</span> <span class="o">=</span> <span class="n">figure</span><span class="p">(</span><span class="n">title</span><span class="o">=</span><span class="s2">"</span><span class="si">{}</span><span class="s2"> Average Precipitation Chance"</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">month</span><span class="p">),</span>
|
||||
<span class="n">x_axis_label</span><span class="o">=</span><span class="s1">'Year'</span><span class="p">,</span>
|
||||
<span class="n">y_axis_label</span><span class="o">=</span><span class="s1">'Precipitation Chance Percentage'</span><span class="p">)</span>
|
||||
<span class="k">for</span> <span class="n">city</span> <span class="ow">in</span> <span class="n">cities</span><span class="p">:</span>
|
||||
@ -814,6 +825,20 @@ MathJax.Hub.Config({tex2jax: {inlineMath: [['$','$'], ['\(','\)']]}});
|
||||
<script async src='https://cdn.mathjax.org/mathjax/latest/MathJax.js?config=TeX-AMS_CHTML'></script>
|
||||
|
||||
|
||||
<div class="comments">
|
||||
<div id="disqus_thread"></div>
|
||||
<script type="text/javascript">
|
||||
var disqus_shortname = 'bradleespeice';
|
||||
var disqus_identifier = 'cloudy-in-seattle.html';
|
||||
var disqus_url = 'https://bspeice.github.io/cloudy-in-seattle.html';
|
||||
(function() {
|
||||
var dsq = document.createElement('script'); dsq.type = 'text/javascript'; dsq.async = true;
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
<noscript>Please enable JavaScript to view the comments.</noscript>
|
||||
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|
||||
|
||||
</div>
|
||||
<!-- /Content -->
|
||||
|
||||
@ -28,6 +28,17 @@
|
||||
<script src="https://oss.maxcdn.com/respond/1.4.2/respond.min.js"></script>
|
||||
<![endif]-->
|
||||
|
||||
<!-- Google Analytics -->
|
||||
<script>
|
||||
(function(i,s,o,g,r,a,m){i['GoogleAnalyticsObject']=r;i[r]=i[r]||function(){
|
||||
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||||
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|
||||
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|
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|
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|
||||
|
||||
</head>
|
||||
@ -81,7 +92,7 @@
|
||||
<div class="prompt input_prompt">In [1]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="kn">from</span> <span class="nn">bokeh.plotting</span> <span class="k">import</span> <span class="n">figure</span><span class="p">,</span> <span class="n">output_notebook</span><span class="p">,</span> <span class="n">show</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="kn">from</span> <span class="nn">bokeh.plotting</span> <span class="k">import</span> <span class="n">figure</span><span class="p">,</span> <span class="n">output_notebook</span><span class="p">,</span> <span class="n">show</span>
|
||||
<span class="kn">from</span> <span class="nn">bokeh.palettes</span> <span class="k">import</span> <span class="n">PuBuGn9</span> <span class="k">as</span> <span class="n">Palette</span>
|
||||
<span class="kn">import</span> <span class="nn">pandas</span> <span class="k">as</span> <span class="nn">pd</span>
|
||||
<span class="kn">import</span> <span class="nn">numpy</span> <span class="k">as</span> <span class="nn">np</span>
|
||||
@ -341,7 +352,7 @@
|
||||
<div class="prompt input_prompt">In [2]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="n">city_forecasts</span> <span class="o">=</span> <span class="n">pickle</span><span class="o">.</span><span class="n">load</span><span class="p">(</span><span class="nb">open</span><span class="p">(</span><span class="s1">'city_forecasts.p'</span><span class="p">,</span> <span class="s1">'rb'</span><span class="p">))</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="n">city_forecasts</span> <span class="o">=</span> <span class="n">pickle</span><span class="o">.</span><span class="n">load</span><span class="p">(</span><span class="nb">open</span><span class="p">(</span><span class="s1">'city_forecasts.p'</span><span class="p">,</span> <span class="s1">'rb'</span><span class="p">))</span>
|
||||
<span class="n">forecast_df</span> <span class="o">=</span> <span class="n">pd</span><span class="o">.</span><span class="n">DataFrame</span><span class="o">.</span><span class="n">from_dict</span><span class="p">(</span><span class="n">city_forecasts</span><span class="p">)</span>
|
||||
</pre></div>
|
||||
|
||||
@ -355,7 +366,7 @@
|
||||
<div class="prompt input_prompt">In [3]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="n">cary_forecast</span> <span class="o">=</span> <span class="n">forecast_df</span><span class="p">[</span><span class="s1">'cary'</span><span class="p">]</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="n">cary_forecast</span> <span class="o">=</span> <span class="n">forecast_df</span><span class="p">[</span><span class="s1">'cary'</span><span class="p">]</span>
|
||||
<span class="n">years</span> <span class="o">=</span> <span class="nb">range</span><span class="p">(</span><span class="mi">1990</span><span class="p">,</span> <span class="mi">2016</span><span class="p">)</span>
|
||||
<span class="n">months</span> <span class="o">=</span> <span class="nb">range</span><span class="p">(</span><span class="mi">7</span><span class="p">,</span> <span class="mi">12</span><span class="p">)</span>
|
||||
<span class="n">months_str</span> <span class="o">=</span> <span class="p">[</span><span class="s1">'July'</span><span class="p">,</span> <span class="s1">'August'</span><span class="p">,</span> <span class="s1">'September'</span><span class="p">,</span> <span class="s1">'October'</span><span class="p">,</span> <span class="s1">'November'</span><span class="p">]</span>
|
||||
@ -443,7 +454,7 @@
|
||||
<div class="prompt input_prompt">In [4]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="k">def</span> <span class="nf">monthly_cloudy_days</span><span class="p">(</span><span class="n">year</span><span class="p">,</span> <span class="n">month</span><span class="p">):</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="k">def</span> <span class="nf">monthly_cloudy_days</span><span class="p">(</span><span class="n">year</span><span class="p">,</span> <span class="n">month</span><span class="p">):</span>
|
||||
<span class="n">dates</span> <span class="o">=</span> <span class="n">pd</span><span class="o">.</span><span class="n">DatetimeIndex</span><span class="p">(</span><span class="n">start</span><span class="o">=</span><span class="n">datetime</span><span class="p">(</span><span class="n">year</span><span class="p">,</span> <span class="n">month</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="mi">12</span><span class="p">),</span>
|
||||
<span class="n">end</span><span class="o">=</span><span class="n">datetime</span><span class="p">(</span><span class="n">year</span><span class="p">,</span> <span class="n">month</span> <span class="o">+</span> <span class="mi">1</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="mi">12</span><span class="p">),</span>
|
||||
<span class="n">freq</span><span class="o">=</span><span class="s1">'D'</span><span class="p">,</span> <span class="n">closed</span><span class="o">=</span><span class="s1">'left'</span><span class="p">)</span>
|
||||
@ -559,7 +570,7 @@
|
||||
<div class="prompt input_prompt">In [5]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="k">def</span> <span class="nf">safe_precip</span><span class="p">(</span><span class="n">frame</span><span class="p">):</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="k">def</span> <span class="nf">safe_precip</span><span class="p">(</span><span class="n">frame</span><span class="p">):</span>
|
||||
<span class="k">if</span> <span class="n">frame</span> <span class="ow">and</span> <span class="s1">'precipProbability'</span> <span class="ow">in</span> <span class="n">frame</span><span class="p">:</span>
|
||||
<span class="k">return</span> <span class="n">frame</span><span class="p">[</span><span class="s1">'precipProbability'</span><span class="p">]</span>
|
||||
<span class="k">else</span><span class="p">:</span>
|
||||
@ -640,7 +651,7 @@
|
||||
<div class="prompt input_prompt">In [6]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="k">def</span> <span class="nf">monthly_rainy_days</span><span class="p">(</span><span class="n">year</span><span class="p">,</span> <span class="n">month</span><span class="p">):</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="k">def</span> <span class="nf">monthly_rainy_days</span><span class="p">(</span><span class="n">year</span><span class="p">,</span> <span class="n">month</span><span class="p">):</span>
|
||||
<span class="n">dates</span> <span class="o">=</span> <span class="n">pd</span><span class="o">.</span><span class="n">DatetimeIndex</span><span class="p">(</span><span class="n">start</span><span class="o">=</span><span class="n">datetime</span><span class="p">(</span><span class="n">year</span><span class="p">,</span> <span class="n">month</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="mi">12</span><span class="p">),</span>
|
||||
<span class="n">end</span><span class="o">=</span><span class="n">datetime</span><span class="p">(</span><span class="n">year</span><span class="p">,</span> <span class="n">month</span> <span class="o">+</span> <span class="mi">1</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="mi">12</span><span class="p">),</span>
|
||||
<span class="n">freq</span><span class="o">=</span><span class="s1">'D'</span><span class="p">,</span> <span class="n">closed</span><span class="o">=</span><span class="s1">'left'</span><span class="p">)</span>
|
||||
@ -759,7 +770,7 @@
|
||||
<div class="inner_cell">
|
||||
<div class="text_cell_render border-box-sizing rendered_html">
|
||||
<h1 id="Generating-the-Forecast-file">Generating the Forecast file<a class="anchor-link" href="#Generating-the-Forecast-file">¶</a></h1><p>The following code was generates the file that was used throughout the blog post. Please note that I'm retrieving data for other cities to use in a future blog post, only Cary data was used for this post.</p>
|
||||
<div class="highlight"><pre><span class="kn">import</span> <span class="nn">pandas</span> <span class="kn">as</span> <span class="nn">pd</span>
|
||||
<div class="highlight"><pre><span></span><span class="kn">import</span> <span class="nn">pandas</span> <span class="kn">as</span> <span class="nn">pd</span>
|
||||
<span class="kn">from</span> <span class="nn">functools</span> <span class="kn">import</span> <span class="nb">reduce</span>
|
||||
<span class="kn">import</span> <span class="nn">requests</span>
|
||||
<span class="kn">from</span> <span class="nn">datetime</span> <span class="kn">import</span> <span class="n">datetime</span>
|
||||
@ -834,6 +845,20 @@ MathJax.Hub.Config({tex2jax: {inlineMath: [['$','$'], ['\(','\)']]}});
|
||||
<script async src='https://cdn.mathjax.org/mathjax/latest/MathJax.js?config=TeX-AMS_CHTML'></script>
|
||||
|
||||
|
||||
<div class="comments">
|
||||
<div id="disqus_thread"></div>
|
||||
<script type="text/javascript">
|
||||
var disqus_shortname = 'bradleespeice';
|
||||
var disqus_identifier = 'complaining-about-the-weather.html';
|
||||
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|
||||
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|
||||
var dsq = document.createElement('script'); dsq.type = 'text/javascript'; dsq.async = true;
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|
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|
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|
||||
<noscript>Please enable JavaScript to view the comments.</noscript>
|
||||
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|
||||
|
||||
</div>
|
||||
<!-- /Content -->
|
||||
|
||||
1062
feeds/all.atom.xml
1062
feeds/all.atom.xml
File diff suppressed because it is too large
Load Diff
1062
feeds/blog.atom.xml
1062
feeds/blog.atom.xml
File diff suppressed because it is too large
Load Diff
@ -28,6 +28,17 @@
|
||||
<script src="https://oss.maxcdn.com/respond/1.4.2/respond.min.js"></script>
|
||||
<![endif]-->
|
||||
|
||||
<!-- Google Analytics -->
|
||||
<script>
|
||||
(function(i,s,o,g,r,a,m){i['GoogleAnalyticsObject']=r;i[r]=i[r]||function(){
|
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|
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|
||||
})(window,document,'script','//www.google-analytics.com/analytics.js','ga');
|
||||
|
||||
ga('create', 'UA-74711362-1', 'auto');
|
||||
ga('send', 'pageview');
|
||||
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|
||||
<!-- /Google Analytics -->
|
||||
|
||||
|
||||
</head>
|
||||
@ -82,7 +93,7 @@
|
||||
<div class="inner_cell">
|
||||
<div class="text_cell_render border-box-sizing rendered_html">
|
||||
<h3 id="If-you-can-see-into-the-future,-that-is.">If you can see into the future, that is.<a class="anchor-link" href="#If-you-can-see-into-the-future,-that-is.">¶</a></h3><p>My previous class in Stochastic Calculus covered a lot of interesting topics, and the important one for today
|
||||
is the <a href="https://en.wikipedia.org/wiki/Gambler's_ruin">Gambler's Ruin</a> problem. If you're interested in some of the theory behind it, also make sure to check out
|
||||
is the <a href="https://en.wikipedia.org/wiki/Gambler's_ruin">Gambler's Ruin</a> problem. If you're interested in some of the theory behind it, also make sure to check out
|
||||
<a href="https://en.wikipedia.org/wiki/Random_walk">random walks</a>. The important bit is that we studied the <a href="https://en.wikipedia.org/wiki/Martingale_%28betting_system%29">Martingale Betting Strategy</a>, which describes for us
|
||||
a <strong>guaranteed way</strong> to <span style='font-size: x-small'>eventually</span> make money.</p>
|
||||
<p>The strategy goes like this: You are going to toss a fair coin with a friend. If you guess heads or tails correctly, you get back double the money you bet. If you guess incorrectly, you lose money. How should you bet?</p>
|
||||
@ -142,7 +153,7 @@ d_n &> \frac{o_n}{c_n - o_n} \sum_{i=1}^{n-1} d_i(1 - \frac{1}{o_i})
|
||||
<div class="prompt input_prompt">In [1]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-julia"><pre><span class="k">using</span> <span class="n">Quandl</span>
|
||||
<div class=" highlight hl-julia"><pre><span></span><span class="k">using</span> <span class="n">Quandl</span>
|
||||
<span class="n">api_key</span> <span class="o">=</span> <span class="s">""</span>
|
||||
<span class="n">daily_investment</span> <span class="o">=</span> <span class="n">function</span><span class="p">(</span><span class="n">current_open</span><span class="p">,</span> <span class="n">current_close</span><span class="p">,</span> <span class="n">purchase_history</span><span class="p">,</span> <span class="n">open_history</span><span class="p">)</span>
|
||||
<span class="c"># We're not going to safeguard against divide by 0 - that's the user's responsibility</span>
|
||||
@ -172,7 +183,7 @@ d_n &> \frac{o_n}{c_n - o_n} \sum_{i=1}^{n-1} d_i(1 - \frac{1}{o_i})
|
||||
<div class="prompt input_prompt">In [2]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-julia"><pre><span class="n">is_profitable</span> <span class="o">=</span> <span class="n">function</span><span class="p">(</span><span class="n">current_price</span><span class="p">,</span> <span class="n">purchase_history</span><span class="p">,</span> <span class="n">open_history</span><span class="p">)</span>
|
||||
<div class=" highlight hl-julia"><pre><span></span><span class="n">is_profitable</span> <span class="o">=</span> <span class="n">function</span><span class="p">(</span><span class="n">current_price</span><span class="p">,</span> <span class="n">purchase_history</span><span class="p">,</span> <span class="n">open_history</span><span class="p">)</span>
|
||||
<span class="n">shares</span> <span class="o">=</span> <span class="n">sum</span><span class="p">(</span><span class="n">purchase_history</span> <span class="o">./</span> <span class="n">open_history</span><span class="p">)</span>
|
||||
<span class="k">return</span> <span class="n">current_price</span><span class="o">*</span><span class="n">shares</span> <span class="o">></span> <span class="n">sum</span><span class="p">(</span><span class="n">purchase_history</span><span class="p">)</span>
|
||||
<span class="k">end</span>
|
||||
@ -207,8 +218,8 @@ d_n &> \frac{o_n}{c_n - o_n} \sum_{i=1}^{n-1} d_i(1 - \frac{1}{o_i})
|
||||
<span class="n">leverages</span> <span class="o">=</span> <span class="p">[</span><span class="n">sum</span><span class="p">(</span><span class="n">investments</span><span class="p">[</span><span class="mi">1</span><span class="p">:</span><span class="n">i</span><span class="p">])</span> <span class="k">for</span> <span class="n">i</span><span class="o">=</span><span class="mi">1</span><span class="p">:</span><span class="n">length</span><span class="p">(</span><span class="n">investments</span><span class="p">)]</span>
|
||||
<span class="n">max_leverage</span> <span class="o">=</span> <span class="n">maximum</span><span class="p">(</span><span class="n">leverages</span><span class="p">)</span> <span class="o">/</span> <span class="n">investments</span><span class="p">[</span><span class="mi">1</span><span class="p">]</span>
|
||||
<span class="n">println</span><span class="p">(</span><span class="s">"Max leverage: </span><span class="si">$(max_leverage)</span><span class="s">"</span><span class="p">)</span>
|
||||
<span class="n">println</span><span class="p">(</span><span class="s">"Days invested: </span><span class="si">$</span><span class="s">(length(investments))"</span><span class="p">)</span>
|
||||
<span class="n">println</span><span class="p">(</span><span class="s">"Profit: </span><span class="si">$</span><span class="s">profit"</span><span class="p">)</span>
|
||||
<span class="n">println</span><span class="p">(</span><span class="s">"Days invested: </span><span class="si">$(length(investments))</span><span class="s">"</span><span class="p">)</span>
|
||||
<span class="n">println</span><span class="p">(</span><span class="s">"Profit: </span><span class="si">$profit</span><span class="s">"</span><span class="p">)</span>
|
||||
<span class="k">end</span><span class="p">;</span>
|
||||
</pre></div>
|
||||
|
||||
@ -235,7 +246,7 @@ d_n &> \frac{o_n}{c_n - o_n} \sum_{i=1}^{n-1} d_i(1 - \frac{1}{o_i})
|
||||
<div class="prompt input_prompt">In [3]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-julia"><pre><span class="n">investments</span><span class="p">,</span> <span class="n">profit</span> <span class="o">=</span> <span class="n">simulate</span><span class="p">(</span><span class="s">"YAHOO/LMT"</span><span class="p">,</span> <span class="n">Date</span><span class="p">(</span><span class="mi">2015</span><span class="p">,</span> <span class="mi">11</span><span class="p">,</span> <span class="mi">29</span><span class="p">),</span> <span class="mi">100</span><span class="p">,</span> <span class="mf">1.01</span><span class="p">,</span> <span class="mi">10</span><span class="p">)</span>
|
||||
<div class=" highlight hl-julia"><pre><span></span><span class="n">investments</span><span class="p">,</span> <span class="n">profit</span> <span class="o">=</span> <span class="n">simulate</span><span class="p">(</span><span class="s">"YAHOO/LMT"</span><span class="p">,</span> <span class="n">Date</span><span class="p">(</span><span class="mi">2015</span><span class="p">,</span> <span class="mi">11</span><span class="p">,</span> <span class="mi">29</span><span class="p">),</span> <span class="mi">100</span><span class="p">,</span> <span class="mf">1.01</span><span class="p">,</span> <span class="mi">10</span><span class="p">)</span>
|
||||
<span class="n">sim_summary</span><span class="p">(</span><span class="n">investments</span><span class="p">,</span> <span class="n">profit</span><span class="p">)</span>
|
||||
</pre></div>
|
||||
|
||||
@ -278,7 +289,7 @@ Profit: 0.6894803101560001
|
||||
<div class="prompt input_prompt">In [4]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-julia"><pre><span class="n">investments</span><span class="p">,</span> <span class="n">profit</span> <span class="o">=</span> <span class="n">simulate</span><span class="p">(</span><span class="s">"YAHOO/LMT"</span><span class="p">,</span> <span class="n">Date</span><span class="p">(</span><span class="mi">2015</span><span class="p">,</span> <span class="mi">11</span><span class="p">,</span> <span class="mi">29</span><span class="p">),</span> <span class="mi">100</span><span class="p">,</span> <span class="mf">1.02</span><span class="p">,</span> <span class="mi">10</span><span class="p">)</span>
|
||||
<div class=" highlight hl-julia"><pre><span></span><span class="n">investments</span><span class="p">,</span> <span class="n">profit</span> <span class="o">=</span> <span class="n">simulate</span><span class="p">(</span><span class="s">"YAHOO/LMT"</span><span class="p">,</span> <span class="n">Date</span><span class="p">(</span><span class="mi">2015</span><span class="p">,</span> <span class="mi">11</span><span class="p">,</span> <span class="mi">29</span><span class="p">),</span> <span class="mi">100</span><span class="p">,</span> <span class="mf">1.02</span><span class="p">,</span> <span class="mi">10</span><span class="p">)</span>
|
||||
<span class="n">sim_summary</span><span class="p">(</span><span class="n">investments</span><span class="p">,</span> <span class="n">profit</span><span class="p">)</span>
|
||||
</pre></div>
|
||||
|
||||
@ -341,6 +352,20 @@ MathJax.Hub.Config({tex2jax: {inlineMath: [['$','$'], ['\(','\)']]}});
|
||||
<script async src='https://cdn.mathjax.org/mathjax/latest/MathJax.js?config=TeX-AMS_CHTML'></script>
|
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|
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|
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|
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|
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<script type="text/javascript">
|
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var disqus_shortname = 'bradleespeice';
|
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var disqus_identifier = 'guaranteed-money-maker.html';
|
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var disqus_url = 'https://bspeice.github.io/guaranteed-money-maker.html';
|
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|
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var dsq = document.createElement('script'); dsq.type = 'text/javascript'; dsq.async = true;
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|
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|
||||
|
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|
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<!-- /Content -->
|
||||
|
||||
13
index.html
13
index.html
@ -27,6 +27,17 @@
|
||||
<script src="https://oss.maxcdn.com/respond/1.4.2/respond.min.js"></script>
|
||||
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(function(i,s,o,g,r,a,m){i['GoogleAnalyticsObject']=r;i[r]=i[r]||function(){
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m=s.getElementsByTagName(o)[0];a.async=1;a.src=g;m.parentNode.insertBefore(a,m)
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|
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</head>
|
||||
@ -72,6 +83,8 @@
|
||||
<div class="container content archive">
|
||||
<h2><a href="https://bspeice.github.io/index.html"> </a></h2>
|
||||
<dl class="dl-horizontal">
|
||||
<dt>Sat 05 March 2016</dt>
|
||||
<dd><a href="https://bspeice.github.io/predicting-santander-customer-happiness.html">Predicting Santander Customer Happiness</a></dd>
|
||||
<dt>Fri 26 February 2016</dt>
|
||||
<dd><a href="https://bspeice.github.io/profitability-using-the-investment-formula.html">Profitability using the Investment Formula</a></dd>
|
||||
<dt>Wed 03 February 2016</dt>
|
||||
|
||||
1063
predicting-santander-customer-happiness.html
Normal file
1063
predicting-santander-customer-happiness.html
Normal file
File diff suppressed because it is too large
Load Diff
@ -28,6 +28,17 @@
|
||||
<script src="https://oss.maxcdn.com/respond/1.4.2/respond.min.js"></script>
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|
||||
</head>
|
||||
@ -107,7 +118,7 @@
|
||||
<div class="prompt input_prompt">In [19]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="kn">import</span> <span class="nn">numpy</span> <span class="k">as</span> <span class="nn">np</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="kn">import</span> <span class="nn">numpy</span> <span class="k">as</span> <span class="nn">np</span>
|
||||
<span class="kn">import</span> <span class="nn">pandas</span> <span class="k">as</span> <span class="nn">pd</span>
|
||||
<span class="kn">import</span> <span class="nn">matplotlib.pyplot</span> <span class="k">as</span> <span class="nn">plt</span>
|
||||
<span class="kn">from</span> <span class="nn">Quandl</span> <span class="k">import</span> <span class="n">get</span> <span class="k">as</span> <span class="n">qget</span>
|
||||
@ -206,7 +217,7 @@
|
||||
<div class="prompt input_prompt">In [7]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="n">fang_df</span> <span class="o">=</span> <span class="n">simulate_tickers</span><span class="p">([</span><span class="s2">"YAHOO/FB"</span><span class="p">,</span> <span class="s2">"YAHOO/AAPL"</span><span class="p">,</span> <span class="s2">"YAHOO/NFLX"</span><span class="p">,</span> <span class="s2">"YAHOO/GOOG"</span><span class="p">])</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="n">fang_df</span> <span class="o">=</span> <span class="n">simulate_tickers</span><span class="p">([</span><span class="s2">"YAHOO/FB"</span><span class="p">,</span> <span class="s2">"YAHOO/AAPL"</span><span class="p">,</span> <span class="s2">"YAHOO/NFLX"</span><span class="p">,</span> <span class="s2">"YAHOO/GOOG"</span><span class="p">])</span>
|
||||
</pre></div>
|
||||
|
||||
</div>
|
||||
@ -219,7 +230,7 @@
|
||||
<div class="prompt input_prompt">In [8]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="n">fang_df</span><span class="o">.</span><span class="n">xs</span><span class="p">(</span><span class="s1">'days'</span><span class="p">,</span> <span class="n">axis</span><span class="o">=</span><span class="mi">1</span><span class="p">,</span> <span class="n">level</span><span class="o">=</span><span class="mi">1</span><span class="p">)</span><span class="o">.</span><span class="n">hist</span><span class="p">()</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="n">fang_df</span><span class="o">.</span><span class="n">xs</span><span class="p">(</span><span class="s1">'days'</span><span class="p">,</span> <span class="n">axis</span><span class="o">=</span><span class="mi">1</span><span class="p">,</span> <span class="n">level</span><span class="o">=</span><span class="mi">1</span><span class="p">)</span><span class="o">.</span><span class="n">hist</span><span class="p">()</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">gcf</span><span class="p">()</span><span class="o">.</span><span class="n">set_size_inches</span><span class="p">(</span><span class="mi">18</span><span class="p">,</span> <span class="mi">8</span><span class="p">);</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">gcf</span><span class="p">()</span><span class="o">.</span><span class="n">suptitle</span><span class="p">(</span><span class="s2">"Distribution of Days Until Profitability"</span><span class="p">,</span> <span class="n">fontsize</span><span class="o">=</span><span class="mi">18</span><span class="p">);</span>
|
||||
</pre></div>
|
||||
@ -693,7 +704,7 @@ kiSpNScYJEmSJElSa04wSJIkSZKk1pxgkCRJkiRJrf1/uiw9D8O0d6EAAAAASUVORK5CYII=
|
||||
<div class="prompt input_prompt">In [10]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="n">fang_df</span><span class="o">.</span><span class="n">xs</span><span class="p">(</span><span class="s1">'score'</span><span class="p">,</span> <span class="n">axis</span><span class="o">=</span><span class="mi">1</span><span class="p">,</span> <span class="n">level</span><span class="o">=</span><span class="mi">1</span><span class="p">)</span><span class="o">.</span><span class="n">plot</span><span class="p">()</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="n">fang_df</span><span class="o">.</span><span class="n">xs</span><span class="p">(</span><span class="s1">'score'</span><span class="p">,</span> <span class="n">axis</span><span class="o">=</span><span class="mi">1</span><span class="p">,</span> <span class="n">level</span><span class="o">=</span><span class="mi">1</span><span class="p">)</span><span class="o">.</span><span class="n">plot</span><span class="p">()</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">gcf</span><span class="p">()</span><span class="o">.</span><span class="n">set_size_inches</span><span class="p">(</span><span class="mi">18</span><span class="p">,</span> <span class="mi">6</span><span class="p">)</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">gcf</span><span class="p">()</span><span class="o">.</span><span class="n">suptitle</span><span class="p">(</span><span class="s2">"Profitability score over time"</span><span class="p">,</span> <span class="n">fontsize</span><span class="o">=</span><span class="mi">18</span><span class="p">);</span>
|
||||
</pre></div>
|
||||
@ -2332,7 +2343,7 @@ EZIkSZIkSZIkSZIk6RIpIiRJkiRJkiRJkiRJ0iX+D91jLOlExGw8AAAAAElFTkSuQmCC
|
||||
<div class="prompt input_prompt">In [13]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="n">cyclic_df</span> <span class="o">=</span> <span class="n">simulate_tickers</span><span class="p">([</span><span class="s2">"YAHOO/X"</span><span class="p">,</span> <span class="s2">"YAHOO/CAT"</span><span class="p">,</span> <span class="s2">"YAHOO/NFLX"</span><span class="p">,</span> <span class="s2">"YAHOO/GOOG"</span><span class="p">])</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="n">cyclic_df</span> <span class="o">=</span> <span class="n">simulate_tickers</span><span class="p">([</span><span class="s2">"YAHOO/X"</span><span class="p">,</span> <span class="s2">"YAHOO/CAT"</span><span class="p">,</span> <span class="s2">"YAHOO/NFLX"</span><span class="p">,</span> <span class="s2">"YAHOO/GOOG"</span><span class="p">])</span>
|
||||
</pre></div>
|
||||
|
||||
</div>
|
||||
@ -2345,7 +2356,7 @@ EZIkSZIkSZIkSZIk6RIpIiRJkiRJkiRJkiRJ0iX+D91jLOlExGw8AAAAAElFTkSuQmCC
|
||||
<div class="prompt input_prompt">In [14]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="n">cyclic_df</span><span class="o">.</span><span class="n">xs</span><span class="p">(</span><span class="s1">'days'</span><span class="p">,</span> <span class="n">axis</span><span class="o">=</span><span class="mi">1</span><span class="p">,</span> <span class="n">level</span><span class="o">=</span><span class="mi">1</span><span class="p">)</span><span class="o">.</span><span class="n">hist</span><span class="p">()</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="n">cyclic_df</span><span class="o">.</span><span class="n">xs</span><span class="p">(</span><span class="s1">'days'</span><span class="p">,</span> <span class="n">axis</span><span class="o">=</span><span class="mi">1</span><span class="p">,</span> <span class="n">level</span><span class="o">=</span><span class="mi">1</span><span class="p">)</span><span class="o">.</span><span class="n">hist</span><span class="p">()</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">gcf</span><span class="p">()</span><span class="o">.</span><span class="n">set_size_inches</span><span class="p">(</span><span class="mi">18</span><span class="p">,</span> <span class="mi">8</span><span class="p">);</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">gcf</span><span class="p">()</span><span class="o">.</span><span class="n">suptitle</span><span class="p">(</span><span class="s2">"Distribution of Days Until Profitability"</span><span class="p">,</span> <span class="n">fontsize</span><span class="o">=</span><span class="mi">18</span><span class="p">);</span>
|
||||
</pre></div>
|
||||
@ -2833,7 +2844,7 @@ JEmSJEnSwGwwSJIkSZKkgdlgkCRJkiRJA7PBIEmSJEmSBvb/AfKAew4+oiojAAAAAElFTkSuQmCC
|
||||
<div class="prompt input_prompt">In [15]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="n">cyclic_df</span><span class="o">.</span><span class="n">xs</span><span class="p">(</span><span class="s1">'score'</span><span class="p">,</span> <span class="n">axis</span><span class="o">=</span><span class="mi">1</span><span class="p">,</span> <span class="n">level</span><span class="o">=</span><span class="mi">1</span><span class="p">)</span><span class="o">.</span><span class="n">plot</span><span class="p">()</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="n">cyclic_df</span><span class="o">.</span><span class="n">xs</span><span class="p">(</span><span class="s1">'score'</span><span class="p">,</span> <span class="n">axis</span><span class="o">=</span><span class="mi">1</span><span class="p">,</span> <span class="n">level</span><span class="o">=</span><span class="mi">1</span><span class="p">)</span><span class="o">.</span><span class="n">plot</span><span class="p">()</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">gcf</span><span class="p">()</span><span class="o">.</span><span class="n">set_size_inches</span><span class="p">(</span><span class="mi">18</span><span class="p">,</span> <span class="mi">6</span><span class="p">)</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">gcf</span><span class="p">()</span><span class="o">.</span><span class="n">suptitle</span><span class="p">(</span><span class="s2">"Profitability score over time"</span><span class="p">,</span> <span class="n">fontsize</span><span class="o">=</span><span class="mi">18</span><span class="p">);</span>
|
||||
</pre></div>
|
||||
@ -4618,7 +4629,7 @@ hUKhUCgUpor/A9AnO0PoIItTAAAAAElFTkSuQmCC
|
||||
<div class="prompt input_prompt">In [21]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="n">biotech_df</span> <span class="o">=</span> <span class="n">simulate_tickers</span><span class="p">([</span><span class="s1">'YAHOO/REGN'</span><span class="p">,</span> <span class="s1">'YAHOO/CELG'</span><span class="p">,</span> <span class="s1">'GOOG/NASDAQ_BIB'</span><span class="p">,</span> <span class="s1">'GOOG/NASDAQ_IBB'</span><span class="p">])</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="n">biotech_df</span> <span class="o">=</span> <span class="n">simulate_tickers</span><span class="p">([</span><span class="s1">'YAHOO/REGN'</span><span class="p">,</span> <span class="s1">'YAHOO/CELG'</span><span class="p">,</span> <span class="s1">'GOOG/NASDAQ_BIB'</span><span class="p">,</span> <span class="s1">'GOOG/NASDAQ_IBB'</span><span class="p">])</span>
|
||||
</pre></div>
|
||||
|
||||
</div>
|
||||
@ -4631,7 +4642,7 @@ hUKhUCgUpor/A9AnO0PoIItTAAAAAElFTkSuQmCC
|
||||
<div class="prompt input_prompt">In [22]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="n">biotech_df</span><span class="o">.</span><span class="n">xs</span><span class="p">(</span><span class="s1">'days'</span><span class="p">,</span> <span class="n">axis</span><span class="o">=</span><span class="mi">1</span><span class="p">,</span> <span class="n">level</span><span class="o">=</span><span class="mi">1</span><span class="p">)</span><span class="o">.</span><span class="n">hist</span><span class="p">()</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="n">biotech_df</span><span class="o">.</span><span class="n">xs</span><span class="p">(</span><span class="s1">'days'</span><span class="p">,</span> <span class="n">axis</span><span class="o">=</span><span class="mi">1</span><span class="p">,</span> <span class="n">level</span><span class="o">=</span><span class="mi">1</span><span class="p">)</span><span class="o">.</span><span class="n">hist</span><span class="p">()</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">gcf</span><span class="p">()</span><span class="o">.</span><span class="n">set_size_inches</span><span class="p">(</span><span class="mi">18</span><span class="p">,</span> <span class="mi">8</span><span class="p">);</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">gcf</span><span class="p">()</span><span class="o">.</span><span class="n">suptitle</span><span class="p">(</span><span class="s2">"Distribution of Days Until Profitability"</span><span class="p">,</span> <span class="n">fontsize</span><span class="o">=</span><span class="mi">18</span><span class="p">);</span>
|
||||
</pre></div>
|
||||
@ -5184,7 +5195,7 @@ WKBTQVcCAAAAAElFTkSuQmCC
|
||||
<div class="prompt input_prompt">In [23]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="n">biotech_df</span><span class="o">.</span><span class="n">xs</span><span class="p">(</span><span class="s1">'score'</span><span class="p">,</span> <span class="n">axis</span><span class="o">=</span><span class="mi">1</span><span class="p">,</span> <span class="n">level</span><span class="o">=</span><span class="mi">1</span><span class="p">)</span><span class="o">.</span><span class="n">plot</span><span class="p">()</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="n">biotech_df</span><span class="o">.</span><span class="n">xs</span><span class="p">(</span><span class="s1">'score'</span><span class="p">,</span> <span class="n">axis</span><span class="o">=</span><span class="mi">1</span><span class="p">,</span> <span class="n">level</span><span class="o">=</span><span class="mi">1</span><span class="p">)</span><span class="o">.</span><span class="n">plot</span><span class="p">()</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">gcf</span><span class="p">()</span><span class="o">.</span><span class="n">set_size_inches</span><span class="p">(</span><span class="mi">18</span><span class="p">,</span> <span class="mi">6</span><span class="p">)</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">gcf</span><span class="p">()</span><span class="o">.</span><span class="n">suptitle</span><span class="p">(</span><span class="s2">"Profitability score over time"</span><span class="p">,</span> <span class="n">fontsize</span><span class="o">=</span><span class="mi">18</span><span class="p">);</span>
|
||||
</pre></div>
|
||||
@ -6951,6 +6962,20 @@ MathJax.Hub.Config({tex2jax: {inlineMath: [['$','$'], ['\\(','\\)']]}});
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<p class="header-subtitle header-subtitle-homepage"> #machine learning</p>
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<dt>Sat 05 March 2016</dt>
|
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<dd><a href="https://bspeice.github.io/predicting-santander-customer-happiness.html">Predicting Santander Customer Happiness</a></dd>
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17
tags.html
17
tags.html
@ -27,6 +27,17 @@
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@ -73,7 +84,7 @@
|
||||
<dl class="dl-horizontal">
|
||||
<dt><span class="label label-default">1</span> article </dt>
|
||||
<dd><a href="https://bspeice.github.io/tag/algorithmic-trading.html">algorithmic-trading</a></dd>
|
||||
<dt><span class="label label-default">2</span> articles </dt>
|
||||
<dt><span class="label label-default">3</span> articles </dt>
|
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<dd><a href="https://bspeice.github.io/tag/data-science.html">data science</a></dd>
|
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<dt><span class="label label-default">1</span> article </dt>
|
||||
<dd><a href="https://bspeice.github.io/tag/finance.html">finance</a></dd>
|
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@ -82,6 +93,10 @@
|
||||
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|
||||
<dd><a href="https://bspeice.github.io/tag/introduction.html">introduction</a></dd>
|
||||
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|
||||
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|
||||
<dt><span class="label label-default">1</span> article </dt>
|
||||
<dd><a href="https://bspeice.github.io/tag/machine-learning.html">machine learning</a></dd>
|
||||
<dt><span class="label label-default">1</span> article </dt>
|
||||
<dd><a href="https://bspeice.github.io/tag/martingale.html">martingale</a></dd>
|
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<dt><span class="label label-default">1</span> article </dt>
|
||||
<dd><a href="https://bspeice.github.io/tag/monte-carlo.html">monte carlo</a></dd>
|
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@ -28,6 +28,17 @@
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|
||||
@ -81,7 +92,7 @@
|
||||
<div class="prompt input_prompt">In [1]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="kn">import</span> <span class="nn">requests</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="kn">import</span> <span class="nn">requests</span>
|
||||
<span class="kn">import</span> <span class="nn">pandas</span> <span class="k">as</span> <span class="nn">pd</span>
|
||||
<span class="kn">import</span> <span class="nn">numpy</span> <span class="k">as</span> <span class="nn">np</span>
|
||||
<span class="kn">from</span> <span class="nn">dateutil</span> <span class="k">import</span> <span class="n">parser</span> <span class="k">as</span> <span class="n">dtparser</span>
|
||||
@ -116,7 +127,7 @@
|
||||
<div class="prompt input_prompt">In [2]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="k">class</span> <span class="nc">ArticleListParser</span><span class="p">(</span><span class="n">HTMLParser</span><span class="p">):</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="k">class</span> <span class="nc">ArticleListParser</span><span class="p">(</span><span class="n">HTMLParser</span><span class="p">):</span>
|
||||
<span class="sd">"""Given a web page with articles on it, parse out the article links"""</span>
|
||||
|
||||
<span class="n">articles</span> <span class="o">=</span> <span class="p">[]</span>
|
||||
@ -129,7 +140,7 @@
|
||||
<span class="bp">self</span><span class="o">.</span><span class="n">articles</span><span class="o">.</span><span class="n">append</span><span class="p">(</span><span class="n">href</span><span class="p">)</span>
|
||||
|
||||
<span class="n">base_url</span> <span class="o">=</span> <span class="s2">"http://seekingalpha.com/author/wall-street-breakfast/articles"</span>
|
||||
<span class="n">article_page_urls</span> <span class="o">=</span> <span class="p">[</span><span class="n">base_url</span><span class="p">]</span> <span class="o">+</span> <span class="p">[</span><span class="n">base_url</span> <span class="o">+</span> <span class="s1">'/{}'</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">i</span><span class="p">)</span> <span class="k">for</span> <span class="n">i</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="mi">2</span><span class="p">,</span> <span class="mi">20</span><span class="p">)]</span>
|
||||
<span class="n">article_page_urls</span> <span class="o">=</span> <span class="p">[</span><span class="n">base_url</span><span class="p">]</span> <span class="o">+</span> <span class="p">[</span><span class="n">base_url</span> <span class="o">+</span> <span class="s1">'/</span><span class="si">{}</span><span class="s1">'</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">i</span><span class="p">)</span> <span class="k">for</span> <span class="n">i</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="mi">2</span><span class="p">,</span> <span class="mi">20</span><span class="p">)]</span>
|
||||
|
||||
<span class="n">global_articles</span> <span class="o">=</span> <span class="p">[]</span>
|
||||
<span class="k">for</span> <span class="n">page</span> <span class="ow">in</span> <span class="n">article_page_urls</span><span class="p">:</span>
|
||||
@ -151,7 +162,7 @@
|
||||
<div class="prompt input_prompt">In [3]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="k">class</span> <span class="nc">ArticleReturnParser</span><span class="p">(</span><span class="n">HTMLParser</span><span class="p">):</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="k">class</span> <span class="nc">ArticleReturnParser</span><span class="p">(</span><span class="n">HTMLParser</span><span class="p">):</span>
|
||||
<span class="s2">"Given an article, parse out the futures returns in it"</span>
|
||||
|
||||
<span class="n">record_font_tags</span> <span class="o">=</span> <span class="kc">False</span>
|
||||
@ -238,7 +249,7 @@
|
||||
<div class="prompt input_prompt">In [4]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="c1"># article_df is sorted by date, so we get the first row.</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="c1"># article_df is sorted by date, so we get the first row.</span>
|
||||
<span class="n">start_date</span> <span class="o">=</span> <span class="n">article_df</span><span class="o">.</span><span class="n">sort_values</span><span class="p">(</span><span class="n">by</span><span class="o">=</span><span class="s1">'date'</span><span class="p">)</span><span class="o">.</span><span class="n">iloc</span><span class="p">[</span><span class="mi">0</span><span class="p">][</span><span class="s1">'date'</span><span class="p">]</span> <span class="o">-</span> <span class="n">relativedelta</span><span class="p">(</span><span class="n">days</span><span class="o">=</span><span class="mi">1</span><span class="p">)</span>
|
||||
<span class="n">SPY</span> <span class="o">=</span> <span class="n">Quandl</span><span class="o">.</span><span class="n">get</span><span class="p">(</span><span class="s2">"GOOG/NYSE_SPY"</span><span class="p">,</span> <span class="n">trim_start</span><span class="o">=</span><span class="n">start_date</span><span class="p">)</span>
|
||||
<span class="n">DJIA</span> <span class="o">=</span> <span class="n">Quandl</span><span class="o">.</span><span class="n">get</span><span class="p">(</span><span class="s2">"GOOG/AMS_DIA"</span><span class="p">,</span> <span class="n">trim_start</span><span class="o">=</span><span class="n">start_date</span><span class="p">)</span>
|
||||
@ -267,7 +278,7 @@
|
||||
<div class="prompt input_prompt">In [5]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="k">def</span> <span class="nf">calculate_opening_ret</span><span class="p">(</span><span class="n">frame</span><span class="p">):</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="k">def</span> <span class="nf">calculate_opening_ret</span><span class="p">(</span><span class="n">frame</span><span class="p">):</span>
|
||||
<span class="c1"># I'm not a huge fan of the appending for loop,</span>
|
||||
<span class="c1"># but it's a bit verbose for a comprehension</span>
|
||||
<span class="n">data</span> <span class="o">=</span> <span class="p">{}</span>
|
||||
@ -380,7 +391,7 @@ S&P 0.604478 0.597015 0.811808 0.848708
|
||||
<div class="prompt input_prompt">In [6]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="k">def</span> <span class="nf">calculate_closing_ret</span><span class="p">(</span><span class="n">frame</span><span class="p">):</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="k">def</span> <span class="nf">calculate_closing_ret</span><span class="p">(</span><span class="n">frame</span><span class="p">):</span>
|
||||
<span class="c1"># I'm not a huge fan of the appending for loop,</span>
|
||||
<span class="c1"># but it's a bit verbose for a comprehension</span>
|
||||
<span class="n">data</span> <span class="o">=</span> <span class="p">{}</span>
|
||||
@ -501,6 +512,20 @@ MathJax.Hub.Config({tex2jax: {inlineMath: [['$','$'], ['\(','\)']]}});
|
||||
<script async src='https://cdn.mathjax.org/mathjax/latest/MathJax.js?config=TeX-AMS_CHTML'></script>
|
||||
|
||||
|
||||
<div class="comments">
|
||||
<div id="disqus_thread"></div>
|
||||
<script type="text/javascript">
|
||||
var disqus_shortname = 'bradleespeice';
|
||||
var disqus_identifier = 'testing-cramer.html';
|
||||
var disqus_url = 'https://bspeice.github.io/testing-cramer.html';
|
||||
(function() {
|
||||
var dsq = document.createElement('script'); dsq.type = 'text/javascript'; dsq.async = true;
|
||||
dsq.src = '//' + disqus_shortname + '.disqus.com/embed.js';
|
||||
(document.getElementsByTagName('head')[0] || document.getElementsByTagName('body')[0]).appendChild(dsq);
|
||||
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|
||||
</script>
|
||||
<noscript>Please enable JavaScript to view the comments.</noscript>
|
||||
</div>
|
||||
|
||||
</div>
|
||||
<!-- /Content -->
|
||||
|
||||
@ -28,6 +28,17 @@
|
||||
<script src="https://oss.maxcdn.com/respond/1.4.2/respond.min.js"></script>
|
||||
<![endif]-->
|
||||
|
||||
<!-- Google Analytics -->
|
||||
<script>
|
||||
(function(i,s,o,g,r,a,m){i['GoogleAnalyticsObject']=r;i[r]=i[r]||function(){
|
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(i[r].q=i[r].q||[]).push(arguments)},i[r].l=1*new Date();a=s.createElement(o),
|
||||
m=s.getElementsByTagName(o)[0];a.async=1;a.src=g;m.parentNode.insertBefore(a,m)
|
||||
})(window,document,'script','//www.google-analytics.com/analytics.js','ga');
|
||||
|
||||
ga('create', 'UA-74711362-1', 'auto');
|
||||
ga('send', 'pageview');
|
||||
</script>
|
||||
<!-- /Google Analytics -->
|
||||
|
||||
|
||||
</head>
|
||||
@ -146,7 +157,7 @@ to make some tweaks over the coming weeks, and do another forward test in Januar
|
||||
<div class="prompt input_prompt">In [1]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="kn">from</span> <span class="nn">IPython.display</span> <span class="k">import</span> <span class="n">display</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="kn">from</span> <span class="nn">IPython.display</span> <span class="k">import</span> <span class="n">display</span>
|
||||
<span class="kn">import</span> <span class="nn">Quandl</span>
|
||||
<span class="kn">from</span> <span class="nn">datetime</span> <span class="k">import</span> <span class="n">datetime</span><span class="p">,</span> <span class="n">timedelta</span>
|
||||
|
||||
@ -155,7 +166,7 @@ to make some tweaks over the coming weeks, and do another forward test in Januar
|
||||
<span class="n">lookback</span> <span class="o">=</span> <span class="mi">30</span>
|
||||
<span class="n">d_col</span> <span class="o">=</span> <span class="s1">'Close'</span>
|
||||
|
||||
<span class="n">data</span> <span class="o">=</span> <span class="p">{</span><span class="n">tick</span><span class="p">:</span> <span class="n">Quandl</span><span class="o">.</span><span class="n">get</span><span class="p">(</span><span class="s1">'YAHOO/{}'</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">tick</span><span class="p">))[</span><span class="o">-</span><span class="n">lookback</span><span class="p">:]</span> <span class="k">for</span> <span class="n">tick</span> <span class="ow">in</span> <span class="n">tickers</span><span class="p">}</span>
|
||||
<span class="n">data</span> <span class="o">=</span> <span class="p">{</span><span class="n">tick</span><span class="p">:</span> <span class="n">Quandl</span><span class="o">.</span><span class="n">get</span><span class="p">(</span><span class="s1">'YAHOO/</span><span class="si">{}</span><span class="s1">'</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">tick</span><span class="p">))[</span><span class="o">-</span><span class="n">lookback</span><span class="p">:]</span> <span class="k">for</span> <span class="n">tick</span> <span class="ow">in</span> <span class="n">tickers</span><span class="p">}</span>
|
||||
<span class="n">market</span> <span class="o">=</span> <span class="n">Quandl</span><span class="o">.</span><span class="n">get</span><span class="p">(</span><span class="n">market_ticker</span><span class="p">)</span>
|
||||
</pre></div>
|
||||
|
||||
@ -179,7 +190,7 @@ to make some tweaks over the coming weeks, and do another forward test in Januar
|
||||
<div class="prompt input_prompt">In [2]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="n">returns</span> <span class="o">=</span> <span class="p">{</span><span class="n">tick</span><span class="p">:</span> <span class="n">data</span><span class="p">[</span><span class="n">tick</span><span class="p">][</span><span class="n">d_col</span><span class="p">]</span><span class="o">.</span><span class="n">pct_change</span><span class="p">()</span> <span class="k">for</span> <span class="n">tick</span> <span class="ow">in</span> <span class="n">tickers</span><span class="p">}</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="n">returns</span> <span class="o">=</span> <span class="p">{</span><span class="n">tick</span><span class="p">:</span> <span class="n">data</span><span class="p">[</span><span class="n">tick</span><span class="p">][</span><span class="n">d_col</span><span class="p">]</span><span class="o">.</span><span class="n">pct_change</span><span class="p">()</span> <span class="k">for</span> <span class="n">tick</span> <span class="ow">in</span> <span class="n">tickers</span><span class="p">}</span>
|
||||
|
||||
<span class="n">display</span><span class="p">({</span><span class="n">tick</span><span class="p">:</span> <span class="n">returns</span><span class="p">[</span><span class="n">tick</span><span class="p">]</span><span class="o">.</span><span class="n">mean</span><span class="p">()</span> <span class="k">for</span> <span class="n">tick</span> <span class="ow">in</span> <span class="n">tickers</span><span class="p">})</span>
|
||||
</pre></div>
|
||||
@ -225,7 +236,7 @@ to make some tweaks over the coming weeks, and do another forward test in Januar
|
||||
<div class="prompt input_prompt">In [3]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="n">market_returns</span> <span class="o">=</span> <span class="n">market</span><span class="o">.</span><span class="n">pct_change</span><span class="p">()</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="n">market_returns</span> <span class="o">=</span> <span class="n">market</span><span class="o">.</span><span class="n">pct_change</span><span class="p">()</span>
|
||||
|
||||
<span class="n">sharpe</span> <span class="o">=</span> <span class="k">lambda</span> <span class="n">ret</span><span class="p">:</span> <span class="p">(</span><span class="n">ret</span><span class="o">.</span><span class="n">mean</span><span class="p">()</span> <span class="o">-</span> <span class="n">market_returns</span><span class="p">[</span><span class="n">d_col</span><span class="p">]</span><span class="o">.</span><span class="n">mean</span><span class="p">())</span> <span class="o">/</span> <span class="n">ret</span><span class="o">.</span><span class="n">std</span><span class="p">()</span>
|
||||
<span class="n">sharpes</span> <span class="o">=</span> <span class="p">{</span><span class="n">tick</span><span class="p">:</span> <span class="n">sharpe</span><span class="p">(</span><span class="n">returns</span><span class="p">[</span><span class="n">tick</span><span class="p">])</span> <span class="k">for</span> <span class="n">tick</span> <span class="ow">in</span> <span class="n">tickers</span><span class="p">}</span>
|
||||
@ -273,7 +284,7 @@ to make some tweaks over the coming weeks, and do another forward test in Januar
|
||||
<div class="prompt input_prompt">In [4]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="n">drawdown</span> <span class="o">=</span> <span class="k">lambda</span> <span class="n">ret</span><span class="p">:</span> <span class="n">ret</span><span class="o">.</span><span class="n">abs</span><span class="p">()</span><span class="o">.</span><span class="n">max</span><span class="p">()</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="n">drawdown</span> <span class="o">=</span> <span class="k">lambda</span> <span class="n">ret</span><span class="p">:</span> <span class="n">ret</span><span class="o">.</span><span class="n">abs</span><span class="p">()</span><span class="o">.</span><span class="n">max</span><span class="p">()</span>
|
||||
<span class="n">drawdowns</span> <span class="o">=</span> <span class="p">{</span><span class="n">tick</span><span class="p">:</span> <span class="n">drawdown</span><span class="p">(</span><span class="n">returns</span><span class="p">[</span><span class="n">tick</span><span class="p">])</span> <span class="k">for</span> <span class="n">tick</span> <span class="ow">in</span> <span class="n">tickers</span><span class="p">}</span>
|
||||
|
||||
<span class="n">display</span><span class="p">(</span><span class="n">drawdowns</span><span class="p">)</span>
|
||||
@ -326,7 +337,7 @@ s.t.\ \ & \vec{1} \omega = 1\\
|
||||
<div class="prompt input_prompt">In [5]:</div>
|
||||
<div class="inner_cell">
|
||||
<div class="input_area">
|
||||
<div class=" highlight hl-ipython3"><pre><span class="kn">import</span> <span class="nn">numpy</span> <span class="k">as</span> <span class="nn">np</span>
|
||||
<div class=" highlight hl-ipython3"><pre><span></span><span class="kn">import</span> <span class="nn">numpy</span> <span class="k">as</span> <span class="nn">np</span>
|
||||
<span class="kn">from</span> <span class="nn">scipy.optimize</span> <span class="k">import</span> <span class="n">minimize</span>
|
||||
|
||||
<span class="c1">#sharpe_limit = .1</span>
|
||||
@ -380,13 +391,13 @@ s.t.\ \ & \vec{1} \omega = 1\\
|
||||
<span class="c1"># Optimization time!</span>
|
||||
<span class="n">display</span><span class="p">(</span><span class="n">optimal</span><span class="o">.</span><span class="n">message</span><span class="p">)</span>
|
||||
|
||||
<span class="n">display</span><span class="p">(</span><span class="s2">"Holdings: {}"</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="nb">list</span><span class="p">(</span><span class="nb">zip</span><span class="p">(</span><span class="n">tickers</span><span class="p">,</span> <span class="n">optimal</span><span class="o">.</span><span class="n">x</span><span class="p">))))</span>
|
||||
<span class="n">display</span><span class="p">(</span><span class="s2">"Holdings: </span><span class="si">{}</span><span class="s2">"</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="nb">list</span><span class="p">(</span><span class="nb">zip</span><span class="p">(</span><span class="n">tickers</span><span class="p">,</span> <span class="n">optimal</span><span class="o">.</span><span class="n">x</span><span class="p">))))</span>
|
||||
|
||||
<span class="n">expected_return</span> <span class="o">=</span> <span class="n">optimal</span><span class="o">.</span><span class="n">fun</span> <span class="o">*</span> <span class="o">-</span><span class="mi">100</span> <span class="c1"># multiply by -100 to scale, and compensate for minimizing</span>
|
||||
<span class="n">display</span><span class="p">(</span><span class="s2">"Expected Return: {:.3f}%"</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">expected_return</span><span class="p">))</span>
|
||||
<span class="n">display</span><span class="p">(</span><span class="s2">"Expected Return: </span><span class="si">{:.3f}</span><span class="s2">%"</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">expected_return</span><span class="p">))</span>
|
||||
|
||||
<span class="n">expected_drawdown</span> <span class="o">=</span> <span class="nb">sum</span><span class="p">(</span><span class="nb">abs</span><span class="p">(</span><span class="n">optimal</span><span class="o">.</span><span class="n">x</span><span class="p">)</span> <span class="o">*</span> <span class="n">dd_a</span><span class="p">)</span> <span class="o">/</span> <span class="nb">sum</span><span class="p">(</span><span class="nb">abs</span><span class="p">(</span><span class="n">optimal</span><span class="o">.</span><span class="n">x</span><span class="p">))</span> <span class="o">*</span> <span class="mi">100</span>
|
||||
<span class="n">display</span><span class="p">(</span><span class="s2">"Expected Max Drawdown: {0:.2f}%"</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">expected_drawdown</span><span class="p">))</span>
|
||||
<span class="n">display</span><span class="p">(</span><span class="s2">"Expected Max Drawdown: </span><span class="si">{0:.2f}</span><span class="s2">%"</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">expected_drawdown</span><span class="p">))</span>
|
||||
|
||||
<span class="c1"># TODO: Calculate expected Sharpe</span>
|
||||
</pre></div>
|
||||
@ -446,6 +457,20 @@ MathJax.Hub.Config({tex2jax: {inlineMath: [['$','$'], ['\(','\)']]}});
|
||||
<script async src='https://cdn.mathjax.org/mathjax/latest/MathJax.js?config=TeX-AMS_CHTML'></script>
|
||||
|
||||
|
||||
<div class="comments">
|
||||
<div id="disqus_thread"></div>
|
||||
<script type="text/javascript">
|
||||
var disqus_shortname = 'bradleespeice';
|
||||
var disqus_identifier = 'welcome-and-an-algorithm.html';
|
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var disqus_url = 'https://bspeice.github.io/welcome-and-an-algorithm.html';
|
||||
(function() {
|
||||
var dsq = document.createElement('script'); dsq.type = 'text/javascript'; dsq.async = true;
|
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|
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|
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|
||||
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|
||||
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|
||||
|
||||
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|
||||
<!-- /Content -->
|
||||
|
||||
Loading…
Reference in New Issue
Block a user