QuickStart Samples

# Variable Transformations QuickStart Sample (IronPython)

Illustrates how to perform a range of transformations on statistical data in IronPython.

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import numerics from System import DateTime from Extreme.Mathematics import * from Extreme.Statistics import * from Extreme.Statistics.TimeSeriesAnalysis import * #/ Illustrates various kinds of transformations of numerical variables #/ by showing how to compute several financial indicators. # We use a TimeSeriesCollection to load the data. import clr clr.AddReference("System.Data") from System.Data import * from System.Data.OleDb import * def LoadTimeSeriesData(): filename = r'..\Data\MicrosoftStock.xls' connectionString = r'Provider=Microsoft.Jet.OLEDB.4.0;Data Source='+filename+';Extended Properties="Excel 8.0;HDR=Yes;IMEX=1"' cnn = None ds = DataSet() try: cnn = OleDbConnection(connectionString) cnn.Open() adapter = OleDbDataAdapter("Select * from [MicrosoftStock$]", cnn) adapter.Fill(ds) except OleDbException as ex: print ex.InnerException finally: if cnn != None: cnn.Close() return ds.Tables[0] seriesTable = LoadTimeSeriesData() timeSeries = TimeSeriesCollection(seriesTable) open = timeSeries["Open"] close = timeSeries["Close"] high = timeSeries["High"] low = timeSeries["Low"] volume = timeSeries["Volume"] # # Arithmetic operations # # The NumericalVariable class defines the standard # arithmetic operators. Operands can be either # numerical variables or constants. # The Typical Price (TP) is the average of the day's high, low and close: TP = (high + low + close) / 3 # Exponentiation is available through the Power method: inverseVolume = NumericalVariable.Power(volume, -1) # # Simple transformations # # The Transforms property of a numerical variable gives access # to a large number of transformations. # The GetLag method returns a variable whose observations # are moved ahead by the specified amount: close1 = close.Transforms.GetLag(1) # You can get cumulative sums and products: cumVolume = volume.Transforms.GetCumulativeSum() # # Indicators of change # # You can get the absolute change, percent change, # or (exponential) growth rate of a variable. The optional # parameter is the number of periods to go back. # The default is 1. closeChange = close.Transforms.GetChange(10) # You can extrapolate the change to a longer number of periods. # The additional argument is the number of large periods. monthyChange = close.Transforms.GetExtrapolatedChange(10, 20) # # Moving averages # # You can get simple, exponential, and weighted moving averages. MA20 = close.Transforms.GetMovingAverage(20) # Weighted moving averages can use either a fixed array or vector # to specify the weight. The weights are automatically normalized. weights = Vector([ 1.0, 2.0, 3.0 ]) WMA3 = close.Transforms.GetWeightedMovingAverage(weights) # You can also specify another variable for the weights. # In this case, the corresponding observations are used. # For example, to obtain the volume weighted average # of the close price over a 14 day period, you can write: VWA14 = close.Transforms.GetWeightedMovingAverage(14, volume) # Other statistics, such as maximum, minimum and standard # deviation are also available. # # Misc. transforms # # The Box-Cox transform is often used to reduce the effects # of non-normality of a variable. It takes one parameter, # which must be between 0 and 1. bcVolume = volume.Transforms.GetBoxCoxTransform(0.4) # # Creating more complicated indicators # # All these transformations can be combined to create # more compicated transformations. We give some examples # of common Technical Analysis indicators. # The Accumulation Distribution is a leading indicator of price movements. # It is used in many other indicators. # The formula uses only arithmetic operations: AD = (close - open) / (high - low) * volume # The Chaikin oscillator is used to monitor the flow of money into # and out of a market. It is the difference between a 3 day and a 10 day # moving average of the Accumulation Distribution. # We use the GetExponentialMovingAverage method for this purpose. CO = AD.Transforms.GetExponentialMovingAverage(3) \ - AD.Transforms.GetExponentialMovingAverage(10) # Bollinger bands provide an envelope around the price that indicates # whether the current price level is relatively high or low. # It uses a 20 day simple average as a central line: TPMA20 = TP.Transforms.GetMovingAverage(20) # The actual bands are at 2 standard deviations (over the same period) # from the central line. We have to pass the moving average # over the same period as the second parameter. SD20 = TP.Transforms.GetMovingStandardDeviation(20, TPMA20) BOLU = MA20 + 2*SD20 BOLD = MA20 - 2*SD20 # The Relative Strength Index is an index that compares # the average price gain to the average loss. # The GetPositiveToNegativeIndex method performs this # calculation in one operation. The first argument is the period. # The second argument is the variable that determines # if an observation counts towards the plus or the minus side. change = close.Transforms.GetChange(1) RSI = change.Transforms.GetPositiveToNegativeIndex(14, change) # Finally, let's print some of our results: index = timeSeries.GetRowIndex(DateTime(2002, 9, 17)) print "Data for September 17, 2002:" print "Accumulation Distribution (in millions): {0:.2f}".format(AD[index] / 1000000) print "Chaikin Oscillator (in millions): {0:.2f}".format(CO[index] / 1000000) print "Bollinger Band (Upper): {0:.2f}".format(BOLU[index]) print "Bollinger Band (Central): {0:.2f}".format(TPMA20[index]) print "Bollinger Band (Lower): {0:.2f}".format(BOLD[index]) print "Relative Strength Index: {0:.2f}".format(RSI[index])

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