virgo-modules 0.2.8__py3-none-any.whl → 0.2.10__py3-none-any.whl

virgo_modules/src/re_utils.py

@@ -1211,18 +1211,26 @@ class produce_plotly_plots:
         if self.return_figs:
             return fig, messages
         
-    def produce_forecasting_plot(self,predictions):
+    def produce_forecasting_plot(self,predictions, window=30):
         """
         display forecasting plots
 
         Parameters
         ----------
         predictions (pd.DataFrame): asset predictions
+        window (int): historical data to display
 
         Returns
         -------
         None
         """
+        def qs(x):
+            return x.quantile(0.05)
+        def qm(x):
+            return x.quantile(0.50)
+        def ql(x):
+            return x.quantile(0.95)
+        
         result_json_name = 'forecast_plot.json'
         hmm_n_clust = self.settings['settings']['hmm']['n_clusters']
         model_type = self.settings.get('model_type',False)
@@ -1238,8 +1246,6 @@ class produce_plotly_plots:
                 [{"type": "scatter"}, {"type": "scatter"}]],
             subplot_titles = [f'asset returns {lags} lags', 'closing prices', 'hidden states']
         )
-
-
         predictions = predictions[predictions.StockCode == self.ticket_name]
         if len(predictions) > 1: 
 
@@ -1255,12 +1261,18 @@ class produce_plotly_plots:
             last_exe_prediction_date = predictions.ExecutionDate.unique()
             last_date = max(last_exe_prediction_date)
 
-            history = predictions[(predictions.Type == 'History') & (predictions.ExecutionDate == last_date)]
+            history = self.data_frame.sort_values('Date').iloc[-window:,:]
             cut_date = history.loc[history.iloc[-1:,:].index[0]:,'Date'].item()
-
             prediction = predictions[predictions.Type == 'Prediction']
 
             ## log returns
+            def add_intervals(data,feature,i,w=5):
+                df_qs = data.sort_values('Date')[['Date',feature]].rolling(3,min_periods = 1,on='Date').apply(qs).groupby('Date',as_index=False)[feature].max()
+                df_qm = data.sort_values('Date')[['Date',feature]].rolling(3,min_periods = 1,on='Date').apply(qm).groupby('Date',as_index=False)[feature].max()
+                df_ql = data.sort_values('Date')[['Date',feature]].rolling(3,min_periods = 1,on='Date').apply(ql).groupby('Date',as_index=False)[feature].max()
+                fig.add_trace(go.Scatter(x=df_qs.Date, y=df_qs[feature], mode='lines',marker_color ='#D0D0D0',showlegend=False,opacity=0.05),row=1, col=i)
+                fig.add_trace(go.Scatter(x=df_qm.Date, y=df_qm[feature], mode='lines',marker_color ='#D0D0D0',showlegend=False,opacity=0.05, fill='tonexty'),row=1, col=i)
+                fig.add_trace(go.Scatter(x=df_ql.Date, y=df_ql[feature], mode='lines',marker_color ='#D0D0D0',showlegend=False,opacity=0.05, fill='tonexty'),row=1, col=i)
 
             fig.add_trace(go.Scatter(x=history.Date, y=history.log_return, mode='lines',marker_color ='blue',showlegend=False),row=1, col=1)
 
@@ -1272,9 +1284,9 @@ class produce_plotly_plots:
             fig.add_trace(go.Scatter(x=df.Date, y=df.log_return, mode='lines',marker_color ='#ff7f0e',showlegend=False),row=1, col=1)
             fig.add_trace(go.Scatter(x=df.Date, y=df.log_return, mode='markers',marker_color ='#ff7f0e',showlegend=False),row=1, col=1)
             fig.add_hline(y=0, line_width=2, line_dash="dash", line_color="grey",col = 1, row = 1)
+            add_intervals(data=prediction,feature='log_return',i=1)
 
             ## closing prices
-
             fig.add_trace(go.Scatter(x=history.Date, y=history.Close, mode='lines',marker_color ='blue',showlegend=False),row=1, col=2)
             for i,datex in enumerate([x for x in last_exe_prediction_date if x != last_date]):
                 df = prediction[prediction.ExecutionDate == datex]
@@ -1284,6 +1296,7 @@ class produce_plotly_plots:
             fig.add_trace(go.Scatter(x=df.Date, y=df.Close, mode='lines',marker_color ='#ff7f0e',showlegend=False),row=1, col=2)
             fig.add_trace(go.Scatter(x=df.Date, y=df.Close, mode='markers',marker_color ='#ff7f0e',showlegend=False),row=1, col=2)
             fig.update_layout(height=height_plot, width=1600, title_text = f'forecasts: {self.ticket_name}')
+            add_intervals(data=prediction,feature='Close',i=2)
         else:
             print('no forecasting history')
             

virgo_modules/src/ticketer_source.py

@@ -1287,7 +1287,7 @@ class stock_eda_panel(object):
                 
             setattr(self,f'settings_{name_attr}_pricefeature' , {'type_func': type_func, 'window': window, 'distance': distance})
 
-    def pair_index_feature(self, pair_symbol, feature_label, window, threshold, plot = False, save_features = False):
+    def pair_index_feature(self, pair_symbol, feature_label,threshold, window = None,ta_method='ROC',param_set=False,plot = False, save_features = False):
         """
         perform additional asset ROC feature, then a new feature is created in the main dataframe
 
@@ -1295,8 +1295,10 @@ class stock_eda_panel(object):
         ----------
         pair_symbol (str): symbol of the asset to extract the data
         feature_label (str): name of the resulting feature
-        window (int): window to apply to the feature
+        window (int): window to apply to the feature as default (this parameter is going to be deprecated)
         threshold (float): alpha or z thrsholds for the normalized feature
+        param_set (dict): parameter set in case ta_method is other than ROC
+        ta_method (str): method to use, available RSI, ROC, VORTEX, STOCH 
         plot (boolean): True to display plot
         save_features (boolean): True to save feature configuration and feature names
         
@@ -1326,7 +1328,20 @@ class stock_eda_panel(object):
         self.pair_index_df = self.pair_index_df.fillna(method = 'bfill')
         self.pair_index_df = self.pair_index_df.fillna(method = 'ffill')
 
-        self.pair_index_df[feature_label] = ROCIndicator(close = self.pair_index_df['Close'], window = window).roc()
+        if ta_method == 'ROC':
+            window = window if window else param_set.get('window')
+            roc = ROCIndicator(close = self.pair_index_df['Close'], window = window).roc()
+            self.pair_index_df[feature_label] = roc.replace([np.inf, -np.inf], 0).fillna(method = 'ffill')
+        elif ta_method == 'RSI':
+            rsi = RSIIndicator(close = self.pair_index_df['Close'], **param_set).rsi()
+            self.pair_index_df[feature_label] = rsi.replace([np.inf, -np.inf], 0).fillna(method = 'ffill')
+        elif ta_method == 'VORTEX':
+            vortex = VortexIndicator(close = self.pair_index_df['Close'], high = self.pair_index_df['High'], low = self.pair_index_df['Low'], **param_set).vortex_indicator_diff()
+            self.pair_index_df[feature_label] = vortex.replace([np.inf, -np.inf], 0).fillna(method = 'ffill')
+        elif ta_method == 'STOCH':
+            stoch = StochRSIIndicator(close = self.pair_index_df['Close'], **param_set).stochrsi()
+            self.pair_index_df[feature_label] = stoch.replace([np.inf, -np.inf], 0).fillna(method = 'ffill')
+
         df_to_merge = self.pair_index_df[['Date',feature_label]]
         self.df = self.df.merge(df_to_merge, on ='Date',how = 'left')
 

{virgo_modules-0.2.8.dist-info → virgo_modules-0.2.10.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: virgo-modules
-Version: 0.2.8
+Version: 0.2.10
 Summary: data processing and statistical modeling using stock market data
 Home-page: https://github.com/miguelmayhem92/virgo_module
 Author: Miguel Mayhuire
@@ -12,23 +12,6 @@ Classifier: Operating System :: OS Independent
 Requires-Python: >=3.9, <3.10
 Description-Content-Type: text/markdown
 License-File: LICENSE
-Requires-Dist: feature-engine ==1.6.1
-Requires-Dist: matplotlib ==3.6.3
-Requires-Dist: mlflow ==2.1.1
-Requires-Dist: numpy ==1.23.5
-Requires-Dist: optuna ==3.1.0
-Requires-Dist: pandas ==1.5.3
-Requires-Dist: plotly ==5.15.0
-Requires-Dist: rsa ==4.9
-Requires-Dist: scikit-learn ==1.2.1
-Requires-Dist: scipy ==1.10.0
-Requires-Dist: seaborn ==0.12.2
-Requires-Dist: starlette ==0.22.0
-Requires-Dist: statsmodels ==0.13.5
-Requires-Dist: ta ==0.10.2
-Requires-Dist: yfinance ==0.2.9
-Requires-Dist: hmmlearn ==0.3.0
-Requires-Dist: boto3
 Provides-Extra: dev
 Requires-Dist: pytest >=7.0 ; extra == 'dev'
 

{virgo_modules-0.2.8.dist-info → virgo_modules-0.2.10.dist-info}/RECORD

@@ -5,11 +5,11 @@ virgo_modules/src/backtester.py,sha256=OhiWyzDX0PthXGuhChyWUmDN3cLkzVYe95zS4nGti
 virgo_modules/src/edge_utils.py,sha256=XN2oEOwADXF9IGNUGx0Ai8B1yDAiU2WDateLnEJh5FE,14243
 virgo_modules/src/hmm_utils.py,sha256=fFWxmh9q3rjiKRHnxNk9k7O4fDrxVxkmp3pbpLvktjc,21116
 virgo_modules/src/pull_artifacts.py,sha256=5OPrgR7pcMSdpbevDRhf0ebk7g7ZRjff4NpTIIWAKjE,1989
-virgo_modules/src/re_utils.py,sha256=3epzYRujEK7DZYd3ca8q9F-fWl8UAZjUuTfKuC1t2Hs,73485
-virgo_modules/src/ticketer_source.py,sha256=joJUoaga5M0OOAiOJ8TFR_sGd6eckbHlN1fxLIklXSM,98785
+virgo_modules/src/re_utils.py,sha256=PoHFqYiccUrKZJ2wvDbisrK1Uo9ekX8laAeGc2XxLxY,74852
+virgo_modules/src/ticketer_source.py,sha256=4vT8YweRtS28Zs66DBUG2rZ5EcFk9S0hiqNS_fz_I1c,100017
 virgo_modules/src/transformer_utils.py,sha256=LLwKYZRq5hrPVimnq3taD0Lh-q3Bq21fy1I4Icbnxi8,7677
-virgo_modules-0.2.8.dist-info/LICENSE,sha256=pNgFyCYgmimaw0o6V20JupZLROycAnOA_HDDh1tX2V4,1097
-virgo_modules-0.2.8.dist-info/METADATA,sha256=qt74JQ2qmy78BrVRmcNbYMyAGyet5sT_ccvlKnWImDA,1428
-virgo_modules-0.2.8.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
-virgo_modules-0.2.8.dist-info/top_level.txt,sha256=ZjI-qEkDtT-8mFwGAWnXfqPOKEGlIhWRW1es1VyXc60,14
-virgo_modules-0.2.8.dist-info/RECORD,,
+virgo_modules-0.2.10.dist-info/LICENSE,sha256=pNgFyCYgmimaw0o6V20JupZLROycAnOA_HDDh1tX2V4,1097
+virgo_modules-0.2.10.dist-info/METADATA,sha256=-9U5ff9siZLh3T97ZAieJooEJKYfTVMpIM3nw7PiZeA,884
+virgo_modules-0.2.10.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
+virgo_modules-0.2.10.dist-info/top_level.txt,sha256=ZjI-qEkDtT-8mFwGAWnXfqPOKEGlIhWRW1es1VyXc60,14
+virgo_modules-0.2.10.dist-info/RECORD,,