virgo-modules 0.8.2__py3-none-any.whl → 0.8.3__py3-none-any.whl

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-0.8.2.dist-info → virgo_modules-0.8.3.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: virgo_modules
-Version: 0.8.2
+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

{virgo_modules-0.8.2.dist-info → virgo_modules-0.8.3.dist-info}/RECORD

@@ -4,8 +4,8 @@ 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
@@ -15,8 +15,8 @@ virgo_modules/src/edge_utils/shap_utils.py,sha256=FgcHkfddvdFSeUqEubYa2ExRGVAWSt
 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-0.8.2.dist-info/licenses/LICENSE,sha256=pNgFyCYgmimaw0o6V20JupZLROycAnOA_HDDh1tX2V4,1097
-virgo_modules-0.8.2.dist-info/METADATA,sha256=XU1VhD9yFBTwoHukEDwy4TaEZ2_SI2IW4rJstkqAu7M,1122
-virgo_modules-0.8.2.dist-info/WHEEL,sha256=lTU6B6eIfYoiQJTZNc-fyaR6BpL6ehTzU3xGYxn2n8k,91
-virgo_modules-0.8.2.dist-info/top_level.txt,sha256=ZjI-qEkDtT-8mFwGAWnXfqPOKEGlIhWRW1es1VyXc60,14
-virgo_modules-0.8.2.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,,