virgo-modules 0.8.2__tar.gz → 0.8.3__tar.gz

{virgo_modules-0.8.2 → virgo_modules-0.8.3}/PKG-INFO

@@ -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 → virgo_modules-0.8.3}/setup.py

@@ -5,7 +5,7 @@ with open("virgo_app/README.md", "r") as f:
 
 setup(
     name="virgo_modules",
-    version="0.8.2",
+    version="0.8.3",
     description="data processing and statistical modeling using stock market data",
     package_dir={"": "virgo_app"},
     packages=find_packages(where="virgo_app"),

{virgo_modules-0.8.2 → virgo_modules-0.8.3}/virgo_app/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-0.8.2 → virgo_modules-0.8.3}/virgo_app/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 → virgo_modules-0.8.3}/virgo_app/virgo_modules.egg-info/PKG-INFO

@@ -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