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if pd.isnull(cf_at_time_max):
cf_at_time_max = cf[team][cf[team].Time == end].CumCF.max()
if i == 0:
ax2.axvspan(start, end, ymin=cf_at_time_min / ymax,
ymax=cf_at_time_max / ymax, alpha=0.5, facecolor=colors_to_use[team],
label='{0:s} {1:s}'.format(team, pptype))
else:
ax2.axvspan(start, end, ymin=cf_at_time_min / ymax,
ymax=cf_at_time_max / ymax, alpha=0.5, facecolor=colors[team])
ax2.axvspan(start, end + 1, ymin=0, ymax=0.05, alpha=0.5, facecolor=colors_to_use[team])
# Set limits
ax2.set_xlim(0, cf[hname].Time.max())
ax2.set_ylim(0, ymax)
ax.set_ylabel('Cumulative CF')
plt.legend(loc=2, framealpha=0.5, fontsize=8)
# Ticks every 10 min on bottom axis; none on top axis
ax.set_xlim(0, cf[hname].Time.max() / 60)
ax.set_xticks(range(0, cf[hname].Time.max() // 60 + 1, 10))
ax.set_xlabel('Time elapsed in game (min)')
ax2.set_xticks([])
# Set title
plt.title(_get_corsi_timeline_title(season, game))
plt.gcf().canvas.set_window_title('{0:d} {1:d} TL.png'.format(season, game))
if save_file is None:
plt.show()
elif save_file == 'fig':
return plt.gcf()
print(50 * '=')
print('Section: Projecting samples onto the new feature space')
print(50 * '-')
X_train_lda = X_train_std.dot(w)
colors = ['r', 'b', 'g']
markers = ['s', 'x', 'o']
for l, c, m in zip(np.unique(y_train), colors, markers):
plt.scatter(X_train_lda[y_train == l, 0] * (-1),
X_train_lda[y_train == l, 1] * (-1),
c=c, label=l, marker=m)
plt.xlabel('LD 1')
plt.ylabel('LD 2')
plt.legend(loc='lower right')
# plt.tight_layout()
# plt.savefig('./figures/lda2.png', dpi=300)
plt.show()
#############################################################################
print(50 * '=')
print('Section: LDA via scikit-learn')
print(50 * '-')
lda = LDA(n_components=2)
X_train_lda = lda.fit_transform(X_train_std, y_train)
lr = LogisticRegression()
lr = lr.fit(X_train_lda, y_train)
x.append((xlim[1]+5e0)*eV)
# Now draws lines.
lines.append(lines[-1])
if defect.is_interstitial: linestyle, color = '-', _colors[i % len(_colors)]
elif defect.is_substitution: linestyle, color = '--', _colors[i % len(_colors)]
elif defect.is_vacancy: linestyle, color = '-.', _colors[i % len(_colors)]
else: linestyle, color = ':', _colors[i % len(_colors)]
y = [u[0] + u[1] * xx for u, xx in zip(lines, x)]
plt.plot(x, y, label=defect.latex_label, color=color, linestyle=linestyle, **kwargs)
# plot vbm and cbm
plt.axvline(material.vbm, color='black')
plt.axvline(material.cbm, color='black')
plt.legend()
ylim = ylim[0] - (ylim[1]-ylim[0]) * 0.05, ylim[1] + (ylim[1]-ylim[0]) * 0.05
xlim = xlim[0] - (xlim[1]-xlim[0]) * 0.05, xlim[1] + (xlim[1]-xlim[0]) * 0.05
plt.xlim(xlim)
plt.ylim(ylim)
plt.xlabel("Fermi Energy [in eV]")
plt.ylabel("$\Delta H_{D,q}(E_F)$ [in eV]")
plt.draw()
np.mean([min(cumwid),
max(cumwid)+list(wid)[-1]]),
1.01*max(cumwid)+list(wid)[-1]])
#if cost curve breakdown is provided
#add legends to the right
if len(y2)>0:
plt.text(1.1*max(cumwid)+list(wid)[-1],
list(y1)[-1]/2,notes[0],
verticalalignment='center', horizontalalignment='center')
plt.text(1.1*max(cumwid)+list(wid)[-1],
list(y1)[-1]+list(y2)[-1]/2,notes[1],
verticalalignment='center', horizontalalignment='center')
#legends of cost curve for different entities is plotted below the chart
plt.legend(loc=6,bbox_to_anchor=(0.12, -0.4), ncol=4)
plt.show()
def _plot_bucket_values(buckets, title=None, class_labels={0: '0', 1: '1'}):
class_0 = [tup[1][0] for tup in buckets]
class_1 = [tup[1][1] for tup in buckets]
label = [str(tup[0]).replace(')', ']') for tup in buckets]
ind = np.arange(len(class_0))
w = 0.5
plt.bar(ind, class_0, w, label=class_labels[0])
plt.bar(ind, class_1, w, bottom=class_0, color='g', label=class_labels[1])
plt.xticks(ind + w / 2., label, size=16, rotation=75)
plt.yticks(size=16)
plt.legend(fontsize=16)
if title:
plt.title(title, size=16)
plt.xlabel('bucket', size=18)
plt.ylabel('bucket value', size=18)
portfolio['total asset'].plot(c='#594f4f',alpha=0.5,label='Total Asset')
ax.plot(portfolio.loc[portfolio['signals']>0].index,portfolio['total asset'][portfolio['signals']>0],
lw=0,marker='^',c='#2a3457',label='LONG',markersize=10,alpha=0.5)
ax.plot(portfolio.loc[portfolio['signals']<0].index,portfolio['total asset'][portfolio['signals']<0],
lw=0,marker='v',c='#720017',label='The Big Short',markersize=15,alpha=0.5)
ax.fill_between(portfolio['2017-11-20':'2017-12-20'].index,
(portfolio['total asset']+np.std(portfolio['total asset']))['2017-11-20':'2017-12-20'],
(portfolio['total asset']-np.std(portfolio['total asset']))['2017-11-20':'2017-12-20'],
alpha=0.2, color='#547980')
plt.text(pd.to_datetime('2017-12-20'),
(portfolio['total asset']+np.std(portfolio['total asset'])).loc['2017-12-20'],
'What if we use MACD here?')
plt.axvline('2017/11/15',linestyle=':',label='Exit',c='#ff847c')
plt.legend()
plt.title('Portfolio Performance')
plt.ylabel('Asset Value')
plt.xlabel('Date')
plt.show()
#surprising when our model is valid for prediction
#its difficult to make money from thresholds oscillating
#when actual price goes beyond stop order boundary
#that is basically the most profitable trade ever
#best to follow up with a momentum strategy
#maybe this is not a statistical arbitrage after all
#the model is a trend following entry indicator
# In[17]:
def part1_scatter():
import matplotlib.pyplot as plt
get_ipython().magic('matplotlib notebook')
plt.figure()
plt.scatter(X_train, y_train, label='training data')
plt.scatter(X_test, y_test, label='test data')
plt.legend(loc=4);
# rl_df_sell['datetime'] = pd.to_datetime(rl_data_sell.t_i * 10 ** 9)
# rl_df_sell['RL_sell'] = rl_data_sell.v_curr
# common_buy = pd.merge(bollinger_df_buy, rl_df_buy, how='inner', on=['int_datetime'])
# plot
plt.plot_date(x=raw.datetime, y=raw.market, fmt='k-')
plt.plot_date(x=bollinger_df_buy.datetime, y=bollinger_df_buy.Bollinger_buy, fmt='ro')
plt.plot_date(x=bollinger_df_sell.datetime, y=bollinger_df_sell.Bollinger_sell, fmt='bo')
# plt.plot_date(x=rl_df_buy.datetime, y=rl_df_buy.RL_buy, fmt='rx')
# plt.plot_date(x=rl_df_sell.datetime, y=rl_df_sell.RL_sell, fmt='bx')
# plt.plot_date(x=common_buy.datetime, y=common_buy.price, fmt='g^')
plt.legend(loc='upper left')
plt.xlabel("date")
plt.ylabel("share price")
plt.grid(True)
# manager = plt.get_current_fig_manager()
# manager.window.showMaximized()
img_dir = SAVE_DIR+"/results_"+method+"_strategy/val_plots"
if not os.path.exists(img_dir):
os.makedirs(img_dir)
plt.savefig(img_dir+"/{}_epoch_{}_day.png".format(epoch, file_num))
plt.close()
callbacks=[checkpointer])
test_score = model.evaluate(cqt_test, midi_test, verbose=0)
print("test score:")
print("[loss (rmse), root_mse, mae, r2_coeff_determination]")
print(test_score)
done_beep()
# summarize history for loss
# https://machinelearningmastery.com/display-deep-learning-model-training-history-in-keras/
plt.plot(history_for_plotting.history['loss'])
plt.plot(history_for_plotting.history['val_loss'])
plt.title('model loss')
plt.ylabel('loss')
plt.xlabel('epoch')
plt.legend(['train rmse', 'validation rmse'], loc='upper right')
plt.show()
edgecolors=node_outline_colors)
nx.draw_networkx_labels(G, pos, labels, font_size=10, ax=ax)
nx.draw_networkx_edges(G, pos, edge_color=edge_colors,
alpha=edge_alpha, width=edge_weights, ax=ax)
# create legend
if colors and legend:
handles = []
for color in colors.values():
handles += [plt.Line2D([0], [0], marker='o', color=color,
linestyle='', markersize=10)]
# needed in case '_' is the first character
lbls = [" {}".format(l) for l in colors]
plt.legend(handles, lbls, ncol=max(int(len(handles) / 20), 1),
loc='center left', bbox_to_anchor=(1, 0.5))
if return_fig:
return fig
else:
plt.show()