virgo-modules 0.8.1__py3-none-any.whl → 0.8.3__py3-none-any.whl

virgo_modules/src/edge_utils/edge_utils.py

@@ -450,7 +450,7 @@ def edge_probas_lines(data, threshold, plot = False, look_back = 750):
         fig.show()
     return fig
 
-def get_rolling_probs(data, window = 3,plot = False, look_back = 750):
+def get_rolling_probs(data, window = 3,plot = False, look_back = 750, rets_eval=7):
     """
     produce a plotly plot of smoothed edges and closing prices
 
@@ -465,6 +465,7 @@ def get_rolling_probs(data, window = 3,plot = False, look_back = 750):
     """
     prob_cols = ['proba_target_down','proba_target_up']
     df = data[prob_cols+['Date','log_return','Close']].iloc[-look_back:]
+    df["eval_rets"] = (df["Close"]/df["Close"].shift(rets_eval)-1)*100
     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')
@@ -480,14 +481,14 @@ def get_rolling_probs(data, window = 3,plot = False, look_back = 750):
     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"))
+            subplot_titles=("Smooth edge probabilities", f"expected return {rets_eval} days", "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)
-
+         fig.add_trace(go.Box(x=df[df['roll_edge']==re]["eval_rets"],name=re,marker_color=colors.get(re),showlegend=False),col=1,row=2)
+         fig.add_vline(x=0, line_width=2, line_dash="dash", line_color="grey", 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)

virgo_modules/src/re_utils.py

@@ -1421,6 +1421,11 @@ def extract_data_traintest(object_stock,features_to_search,configs, target_confi
                 last_signal_featlist = last_signal_featlist.split('//')
                 if feature_name in last_signal_featlist:
                     object_stock.compute_last_signal(feature_name, False)
+    volatility_features = configs.get('custom_transformations',{}).get('volatility_features', False)
+    if volatility_features:
+        for al in volatility_features:
+            object_stock.lag_log_return(lags = al, feature="Close", feature_name=f"asset_{al}_logreturn")
+            object_stock.produce_log_volatility(trad_days=al,feature=f"asset_{al}_logreturn",feature_name=f"asset_{al}_volatility")
     market_interaction_features = configs.get('custom_transformations',{}).get('market_interaction_features', False)
     if market_interaction_features:
         for stage in market_interaction_features.keys():

virgo_modules/src/ticketer_source.py

@@ -142,6 +142,8 @@ class stock_eda_panel(object):
         extract new asset data and merge it to the main asset data
     lag_log_return(lags=int, feature=str, feature_name=str):
         compute log return given some lags
+    produce_log_volatility(trad_days=int, feature=str, feature_name=str):
+        compute volatility
     signal_plotter(feature_name=str):
         display analysis plot of a feature with high and low signals
     log_features_standard(feature_name=str):
@@ -727,6 +729,23 @@ class stock_eda_panel(object):
 
         feature_name = feature_name if feature_name else f"{feature}_log_return"
         self.df[feature_name] = np.log(self.df[feature]/self.df[feature].shift(lags))
+    
+    def produce_log_volatility(self, trad_days, feature, feature_name=False):
+        """
+        compute log return given some lags
+
+        Parameters
+        ----------
+        trad_days (int): window function to calculate standard deviation
+        feature (str): feature to apply computation
+        feature_name (str): resulting feature name
+
+        Returns
+        -------
+        None
+        """
+        feature_name = feature_name if feature_name else f"{feature}_log_return_{trad_days}"
+        self.df[feature_name] = self.df.sort_values("Date")[feature].rolling(window = trad_days).std()*np.sqrt(252)
 
     def signal_plotter(self, feature_name):
 

{virgo_modules-0.8.1.dist-info → virgo_modules-0.8.3.dist-info}/METADATA

@@ -1,12 +1,11 @@
-Metadata-Version: 2.1
-Name: virgo-modules
-Version: 0.8.1
+Metadata-Version: 2.4
+Name: virgo_modules
+Version: 0.8.3
 Summary: data processing and statistical modeling using stock market data
 Home-page: https://github.com/miguelmayhem92/virgo_module
 Author: Miguel Mayhuire
 Author-email: miguelmayhem92@gmail.com
 License: MIT
-Platform: UNKNOWN
 Classifier: License :: OSI Approved :: MIT License
 Classifier: Programming Language :: Python :: 3.9
 Classifier: Operating System :: OS Independent
@@ -14,7 +13,18 @@ Requires-Python: >=3.9
 Description-Content-Type: text/markdown
 License-File: LICENSE
 Provides-Extra: dev
-Requires-Dist: pytest (>=7.0) ; extra == 'dev'
+Requires-Dist: pytest>=7.0; extra == "dev"
+Dynamic: author
+Dynamic: author-email
+Dynamic: classifier
+Dynamic: description
+Dynamic: description-content-type
+Dynamic: home-page
+Dynamic: license
+Dynamic: license-file
+Dynamic: provides-extra
+Dynamic: requires-python
+Dynamic: summary
 
 # Virgo Package
 
@@ -35,4 +45,3 @@ obj = stock_eda_panel(stock_code = 'PEP', n_days = 20)
 obj.get_data()
 print(obj.df.shape)
 ```
-

{virgo_modules-0.8.1.dist-info → virgo_modules-0.8.3.dist-info}/RECORD

@@ -4,19 +4,19 @@ virgo_modules/src/aws_utils.py,sha256=QCyxJwZ6bNCkMpuuxzxkNxejj-hJf4kj2arb1SQPNu
 virgo_modules/src/backtester.py,sha256=OhiWyzDX0PthXGuhChyWUmDN3cLkzVYe95zS4nGtia8,22106
 virgo_modules/src/hmm_utils.py,sha256=D7axAnCdSe1_1EgRyli2PAnM2f6699hTY9GcxjPXG-o,21221
 virgo_modules/src/pull_artifacts.py,sha256=5OPrgR7pcMSdpbevDRhf0ebk7g7ZRjff4NpTIIWAKjE,1989
-virgo_modules/src/re_utils.py,sha256=GZCkAfgw2tVJRJ_Gw5Yewc14ebiE9wSImPiYQN8FsW0,75095
-virgo_modules/src/ticketer_source.py,sha256=528WhGoANOm4IKnxGSWsbQxxUh3-qlZfvGRNAafMMcE,103883
+virgo_modules/src/re_utils.py,sha256=AQlhyO0cvU-G42dolhedz5E-sniRzeFhf40RD5QVYpo,75506
+virgo_modules/src/ticketer_source.py,sha256=ig6kgR6qSPhyFePRuO52pNmVsYawpgUXCn7RIO3xf5E,104623
 virgo_modules/src/transformer_utils.py,sha256=SnYdtsFPnSF6u4UFIat0-X3-qVuUWvv_T46kiB-H0Sk,13682
 virgo_modules/src/edge_utils/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 virgo_modules/src/edge_utils/conformal_utils.py,sha256=cKm4KSM261Eu1FJn4oowKYiKIesW81VbqITIvopGSVk,5410
-virgo_modules/src/edge_utils/edge_utils.py,sha256=4uXVWthzJDzkJ4Uq19ZYL9aPcA6CDUS3xYD4FY-a2AM,20018
+virgo_modules/src/edge_utils/edge_utils.py,sha256=8xdcmeEPyfD76c-mcdfkHqWjwtJOPoUsit5UH3cRJTg,20207
 virgo_modules/src/edge_utils/feature_selection.py,sha256=HYbQ0JLPDiRYhn-5-C438YEKbuNduDmuvboFC_VkHww,2453
 virgo_modules/src/edge_utils/shap_utils.py,sha256=FgcHkfddvdFSeUqEubYa2ExRGVAWSthqK4b-eKagEmo,2333
 virgo_modules/src/edge_utils/stack_model.py,sha256=QqE91uLo2KauGEj91AVNANB1xE7J4Fa49YOX7k5mFng,4257
 virgo_modules/src/market/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 virgo_modules/src/market/market_tools.py,sha256=vBt66_7E3ANz7avzfeNw_RHMGvG9lh5PRhxmcf_Oyjc,6880
-virgo_modules-0.8.1.dist-info/LICENSE,sha256=pNgFyCYgmimaw0o6V20JupZLROycAnOA_HDDh1tX2V4,1097
-virgo_modules-0.8.1.dist-info/METADATA,sha256=2RrX9eUV6HHFhoW0osSzUJNEmXaWeTg65U1y-mmlC_g,899
-virgo_modules-0.8.1.dist-info/WHEEL,sha256=2wepM1nk4DS4eFpYrW1TTqPcoGNfHhhO_i5m4cOimbo,92
-virgo_modules-0.8.1.dist-info/top_level.txt,sha256=ZjI-qEkDtT-8mFwGAWnXfqPOKEGlIhWRW1es1VyXc60,14
-virgo_modules-0.8.1.dist-info/RECORD,,
+virgo_modules-0.8.3.dist-info/licenses/LICENSE,sha256=pNgFyCYgmimaw0o6V20JupZLROycAnOA_HDDh1tX2V4,1097
+virgo_modules-0.8.3.dist-info/METADATA,sha256=an7Yx_L5o_jC_P_cVGwdndeQGAfYGeCzIeGubxK_z4Y,1122
+virgo_modules-0.8.3.dist-info/WHEEL,sha256=lTU6B6eIfYoiQJTZNc-fyaR6BpL6ehTzU3xGYxn2n8k,91
+virgo_modules-0.8.3.dist-info/top_level.txt,sha256=ZjI-qEkDtT-8mFwGAWnXfqPOKEGlIhWRW1es1VyXc60,14
+virgo_modules-0.8.3.dist-info/RECORD,,

{virgo_modules-0.8.1.dist-info → virgo_modules-0.8.3.dist-info}/WHEEL

@@ -1,5 +1,5 @@
 Wheel-Version: 1.0
-Generator: bdist_wheel (0.38.4)
+Generator: setuptools (78.1.1)
 Root-Is-Purelib: true
 Tag: py3-none-any