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clinestanford / USUInvest18-19

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Find all Pairs #1

Open Bryson14 opened 5 years ago

Bryson14 commented 5 years ago

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@Author Bryson Meiling

input is two tickers. The output is a correlation factor between -1 and 1

makes the two list the same length for the correlation calculation between -1 and 1

if one is longer, it will cut off the oldest data of the longer set

from statsmodels.tsa.stattools import coint import math

def pearson_coor(data1: list, data2: list) -> float: # find the correlation of 2 list of even length

x, y = data1, data2
assert len(x) == len(y)
n = len(x)
assert n > 0
avg_x = average(x)
avg_y = average(y)
diffprod = 0
xdiff2 = 0
ydiff2 = 0
for idx in range(n):
    xdiff = x[idx] - avg_x
    ydiff = y[idx] - avg_y
    diffprod += xdiff * ydiff
    xdiff2 += xdiff * xdiff
    ydiff2 += ydiff * ydiff
return diffprod / math.sqrt(xdiff2 * ydiff2)

def average(x: list) -> float: assert len(x) > 0 return float(sum(x)) / len(x)

def coint_test(ticker1: list, ticker2: list) -> float: return coint(ticker1, ticker2)

def ticker_list(file) -> list: with open(file, 'r') as fil: data = fil.readlines() for i in range(len(data)): data[i] = data[i].strip() return data

warning this function will take around 40 - 60 minutes to complete if comparing ~500 securities

def find_all_pairs(days: int, data_dir: str): symbols = ticker_list()

symbols = symbols[:10] # testing not 124000 possibilities

correlated = []
cointegrated = []
for i in range(len(symbols)):
    for j in range(i + 1, len(symbols)):
        if .95 < pearson_coor(Stock(symbols[i]).ranged_data_list('close', days),
                        Stock(symbols[j]).ranged_data_list('close', days)):
            correlated.append([symbols[i], symbols[j]])

for i in range(len(correlated)):
    pvalue = coint(Stock(correlated[i][0]).ranged_data_list('close', days),
             Stock(correlated[i][1]).ranged_data_list('close', days))[1]

    if pvalue < .005:
        cointegrated.append([pvalue, correlated[i][0],correlated[i][1]])

return cointegrated

`

in function find_all_pairs, the only thing that needs to be changed is the way it accesses the data. I was using a class named Stock and that could return the last n days of close or open prices in a list.

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This is the file where it pulls the names of the stocks to compare THanks! Lmk how it works

JAMMFam commented 5 years ago

Test