virgo-modules 0.3.6__py3-none-any.whl → 0.4.0__py3-none-any.whl

virgo_modules/src/edge_utils/edge_utils.py

@@ -414,4 +414,52 @@ def edge_probas_lines(data, threshold, plot = False, look_back = 750):
     fig.update_layout(title_text="sirius - edge probabilities",width=1200,height = 500)
     if plot:
         fig.show()
+    return fig
+
+def get_rolling_probs(data, window = 3,plot = False, look_back = 750):
+    """
+    produce a plotly plot of smoothed edges and closing prices
+
+            Parameters:
+                    data (pd.DataFrame): asset data with edge probabilities
+                    window (int): window size
+                    plot (boolean): if true, display plot
+                    look_back (int): number of rows back to display
+
+            Returns:
+                    fig (obj): plotly go object
+    """
+    prob_cols = ['proba_target_down','proba_target_up']
+    df = data[prob_cols+['Date','log_return','Close']].iloc[-look_back:]
+    for colx in prob_cols:
+        df[f'roll_{colx}'] = df.sort_values('Date')[colx].rolling(window, min_periods=1).mean()
+    df['roll_edge'] = np.where(df['roll_proba_target_up'] > df['roll_proba_target_down'],'up','down')
+    #order chaining
+    df['lag'] = df['roll_edge'].shift(1)
+    df['change'] = np.where(df['roll_edge']!=df['lag'],1,np.nan)
+    df['rn'] = df.sort_values('Date').groupby('change').cumcount() + 1
+    df['rn'] = np.where(df['change']==1,df['rn'],np.nan)
+    df['chain'] = df.sort_values('Date')['rn'].fillna(method='ffill')
+    df['chain_id'] = df.sort_values(['Date']).groupby(['chain','chain']).cumcount() + 1
+    
+    colors = {'up':'blue','down':'red'}
+    fig = make_subplots(
+        rows=2, cols=2,shared_xaxes=False,vertical_spacing=0.08,
+        specs=[[{"colspan": 2, "secondary_y":True}, None],[{}, {}]],
+            subplot_titles=("Smooth edge probabilities", "expected log return", "Duration"))
+    fig.add_trace(go.Scatter(x=df.Date, y=df.Close,mode='lines+markers',name='Close price'))
+    fig.add_trace(go.Scatter(x=df.Date, y=df.roll_proba_target_down,mode='lines',marker = dict(color = 'coral'),name='go down'),secondary_y=True,col=1,row=1)
+    fig.add_trace(go.Scatter(x=df.Date, y=df.roll_proba_target_up,mode='lines',marker = dict(opacity=0.1,size=80), name='go up'),secondary_y=True,col=1,row=1)
+
+    for re in df['roll_edge'].unique():
+         fig.add_trace(go.Box(x=df[df['roll_edge']==re]["log_return"],name=re,marker_color=colors.get(re),showlegend=False),col=1,row=2)
+
+    df_ = df.groupby(['roll_edge','chain'],as_index=False).agg(max_duration = ('chain_id','max'))
+    for re in df_['roll_edge'].unique():
+        fig.add_trace(go.Box(x=df_[df_['roll_edge']==re]["max_duration"],name=re,marker_color=colors.get(re),showlegend=False),col=2,row=2)
+        
+    fig.update_layout(title_text="sirius - smooth edge probabilities",width=1200,height = 1000)
+    if plot:
+        fig.show()
+    
     return fig

virgo_modules/src/re_utils.py

@@ -749,6 +749,7 @@ def get_data(ticker_name:str, ticket_settings:dict, n_days:int = False, hmm_avai
     if len(discrete_features) > 0:
         for feature_name in discrete_features:
             object_stock.produce_order_features(feature_name)
+            object_stock.get_order_feature_nosignal(feature_name)
 
     if hmm_available:
         object_stock.cluster_hmm_analysis( n_clusters = None, 
@@ -1400,6 +1401,7 @@ def extract_data_traintest(object_stock,features_to_search,configs, target_confi
         getattr(object_stock, method_to_use)(**arguments_to_use, plot = False, save_features = False)
         if method_to_use not in ['minmax_pricefeature']:
             object_stock.produce_order_features(feature_name)
+            object_stock.get_order_feature_nosignal(feature_name)
         last_signal_featlist = configs.get('custom_transformations',{}).get('compute_last_signal', False)
         if last_signal_featlist:
                 last_signal_featlist = last_signal_featlist

{virgo_modules-0.3.6.dist-info → virgo_modules-0.4.0.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: virgo-modules
-Version: 0.3.6
+Version: 0.4.0
 Summary: data processing and statistical modeling using stock market data
 Home-page: https://github.com/miguelmayhem92/virgo_module
 Author: Miguel Mayhuire

{virgo_modules-0.3.6.dist-info → virgo_modules-0.4.0.dist-info}/RECORD

@@ -4,15 +4,15 @@ virgo_modules/src/aws_utils.py,sha256=q0l7D7ofo09Lu1QQjv-esheQ06uiSy1Pdq3xMul8zv
 virgo_modules/src/backtester.py,sha256=OhiWyzDX0PthXGuhChyWUmDN3cLkzVYe95zS4nGtia8,22106
 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=Exqe5eVGOpyb2j3veAsnFzXh-hXMwHe1zGTa_hO0wjI,73970
+virgo_modules/src/re_utils.py,sha256=_wkDIKwUQFX_OT0kNA_zgDgoe808aEvSc4ZtviY2FMY,74104
 virgo_modules/src/ticketer_source.py,sha256=jxP-OOeoyN2JxRQg-mX6t6WNJXiIrhWKDywDxpYANxU,101977
 virgo_modules/src/transformer_utils.py,sha256=LLwKYZRq5hrPVimnq3taD0Lh-q3Bq21fy1I4Icbnxi8,7677
 virgo_modules/src/edge_utils/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 virgo_modules/src/edge_utils/conformal_utils.py,sha256=4gAOh2vxeWGR7iMF3TKnfQcLHlaH9M5B2lcmzo7V8AY,3755
-virgo_modules/src/edge_utils/edge_utils.py,sha256=U3GVyLgz0gEaR7AGjWseFcWt-IOusZvXJjwpBFknxNs,15643
+virgo_modules/src/edge_utils/edge_utils.py,sha256=2K7-Ve8f0ywUeQCwOTDR8v0p7-ow3qV_2ME0w9oB3oc,18273
 virgo_modules/src/edge_utils/shap_utils.py,sha256=OMKVO-4gtOng9GeSuhEgAEQe4FF3AtqXjm-GUBLqYFc,3349
-virgo_modules-0.3.6.dist-info/LICENSE,sha256=pNgFyCYgmimaw0o6V20JupZLROycAnOA_HDDh1tX2V4,1097
-virgo_modules-0.3.6.dist-info/METADATA,sha256=yCCV7zH-x7ht6hIFlwwp5VSZKp3Wt78G9mAGSIciDVM,883
-virgo_modules-0.3.6.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
-virgo_modules-0.3.6.dist-info/top_level.txt,sha256=ZjI-qEkDtT-8mFwGAWnXfqPOKEGlIhWRW1es1VyXc60,14
-virgo_modules-0.3.6.dist-info/RECORD,,
+virgo_modules-0.4.0.dist-info/LICENSE,sha256=pNgFyCYgmimaw0o6V20JupZLROycAnOA_HDDh1tX2V4,1097
+virgo_modules-0.4.0.dist-info/METADATA,sha256=eovX4zgi_zHRVzaCXQk66cu62CuLUu9-Oq4LhZ5gcTA,883
+virgo_modules-0.4.0.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
+virgo_modules-0.4.0.dist-info/top_level.txt,sha256=ZjI-qEkDtT-8mFwGAWnXfqPOKEGlIhWRW1es1VyXc60,14
+virgo_modules-0.4.0.dist-info/RECORD,,