48 lines
1.5 KiB
Python
48 lines
1.5 KiB
Python
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"""Reference forecasts every other model has to beat."""
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from dataclasses import dataclass
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from typing import ClassVar
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import numpy as np
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import pandas as pd
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from ..data import log_returns
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from ..forecast import Forecast
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@dataclass(frozen=True)
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class RandomWalk:
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"""
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Zero-drift random walk in log price: "it stays about here, give or take".
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Volatility is the trailing standard deviation of daily log returns.
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"""
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name: ClassVar[str] = "random_walk"
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vol_window: int = 365
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def forecast(self, history: pd.DataFrame, horizons: np.ndarray) -> Forecast:
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sigma = log_returns(history).iloc[-self.vol_window :].std()
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mean = np.log(history["close"].iloc[-1])
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return Forecast.normal(history.index[-1], horizons, mean, sigma * np.sqrt(horizons))
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@dataclass(frozen=True)
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class DriftRandomWalk:
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"""
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Random walk whose drift is the mean daily log return over the trailing
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`drift_window` days (one halving cycle by default): "it keeps doing what it
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did last cycle".
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"""
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name: ClassVar[str] = "drift_rw"
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drift_window: int = 1460
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vol_window: int = 365
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def forecast(self, history: pd.DataFrame, horizons: np.ndarray) -> Forecast:
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returns = log_returns(history)
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mu = returns.iloc[-self.drift_window :].mean()
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sigma = returns.iloc[-self.vol_window :].std()
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mean = np.log(history["close"].iloc[-1]) + mu * horizons
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return Forecast.normal(history.index[-1], horizons, mean, sigma * np.sqrt(horizons))
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