quantitative-finance

问题 I am trying to implement a vectorized exponentially weighted moving standard deviation using R. Is this the correct approach? ewma <- function (x, alpha) { c(stats::filter(x * ratio, 1 - ratio, "recursive", init = x[1])) } ewmsd <- function(x, alpha) { sqerror <- na.omit((x - lag(ewma(x, ratio)))^2) ewmvar <- c(stats::filter(sqerror * ratio, 1 - ratio, "recursive", init = 0)) c(NA, sqrt(ewmvar)) } I'm guessing it's not, since its output is different from Python's pandas.Series.ewm.std()

问题 I am trying to implement a vectorized exponentially weighted moving standard deviation using R. Is this the correct approach? ewma <- function (x, alpha) { c(stats::filter(x * ratio, 1 - ratio, "recursive", init = x[1])) } ewmsd <- function(x, alpha) { sqerror <- na.omit((x - lag(ewma(x, ratio)))^2) ewmvar <- c(stats::filter(sqerror * ratio, 1 - ratio, "recursive", init = 0)) c(NA, sqrt(ewmvar)) } I'm guessing it's not, since its output is different from Python's pandas.Series.ewm.std()

问题 I'm having a hard time trying to do this efficiently. I have some stocks and daily P&L info in a dataframe. In reality, I have millions of rows of data so efficiency matters a lot! The Dataframe looks like : ------------------------------- | Date | Security | P&L | ------------------------------- | 2016-01-01 | AAPL | 100 | ------------------------------- | 2016-01-02 | AAPL | 200 | ------------------------------- | 2016-01-03 | AAPL | 300 | ------------------------------- | 2016-01-04 | AAPL

问题 Trying to do a simple pip install TA-lib but am getting errors, in install Microsoft visual studios 14 but still the problem persists. error code http://pastebin.com/h4jHWd1m I tried to install it manually but get this: setup.py:77: UserWarning: Cannot find ta-lib library, installation may fail. warnings.warn('Cannot find ta-lib library, installation may fail.') running install running build running build_py running build_ext building 'talib.common' extension C:\Program Files (x86)\Microsoft

问题 Trying to do a simple pip install TA-lib but am getting errors, in install Microsoft visual studios 14 but still the problem persists. error code http://pastebin.com/h4jHWd1m I tried to install it manually but get this: setup.py:77: UserWarning: Cannot find ta-lib library, installation may fail. warnings.warn('Cannot find ta-lib library, installation may fail.') running install running build running build_py running build_ext building 'talib.common' extension C:\Program Files (x86)\Microsoft

问题 My algorithm stepped up from 35 seconds to 15 minutes runtime when implementing this feature over a daily timeframe. The algo retrieves daily history in bulk and iterates over a subset of the dataframe (from t0 to tX where tX is the current row of iteration). It does this to emulate what would happen during the real time operations of the algo. I know there are ways of improving it by utilizing memory between frame calculations but I was wondering if there was a more pandas-ish implementation

问题 I just don't understand what is going on here. I'm a bit new to wrappers and IB. Here is my function that overrides and parses the XML. Should the XML be parsed in the main? I just want to get the fundamental data for all the symbols in my CSV file. When I comment out the loop and run an individual request it works, sometimes. What's going on here? class TestApp(EWrapper, EClient): def __init__(self): EWrapper.__init__(self) EClient.__init__(self, wrapper=self) self.csv = pd.read_csv('getfund

问题 I just don't understand what is going on here. I'm a bit new to wrappers and IB. Here is my function that overrides and parses the XML. Should the XML be parsed in the main? I just want to get the fundamental data for all the symbols in my CSV file. When I comment out the loop and run an individual request it works, sometimes. What's going on here? class TestApp(EWrapper, EClient): def __init__(self): EWrapper.__init__(self) EClient.__init__(self, wrapper=self) self.csv = pd.read_csv('getfund

问题 What I'm trying to achieve is a "gap" of a few candles, say 4 in this case before the next trade happens Here nexT is the number of bars, before which the next trade should not take place But the value of nextT always resets to 0, everytime the code runs. What can be a possible modification to the code that the value of nexT does not reset automatically. //@version=4 strategy("RSI Strategy", overlay=true) //timeframe //timframe FromMonth = input(defval = 9, title = "From Month", minval = 1)

问题 I am trying to calculate and draw the trendlines for stock prices. I did some searches and thought for a whole day, there is no a really good idea on how to do. I have daily price history and want to find the cross point between trendline and price line. Could you provide some ideas or guidances? Thank you so much!!! 回答1: import pandas as pd import quandl as qdl from scipy.stats import linregress # get AAPL 10 years data data = qdl.get("WIKI/AAPL", start_date="2007-01-01", end_date="2017-05