{
"cells": [
{
"cell_type": "code",
"execution_count": 1,
"id": "cd59315b",
"metadata": {},
"outputs": [],
"source": [
"# Created by: Sergiu Iatco / 2021.10.01\n",
"# https://github.com/itsergiu/Predict-S-P-500-correction-with-Shiller-PE-Ratio\n",
"# How to predict S&P 500 correction\n",
"\n",
"# Nadeem Walayat - The Market Oracle\n",
"# http://www.marketoracle.co.uk/Article69423.html\n",
"\n",
"# Vitaliy Katsenelson \n",
"# https://contrarianedge.com/sideways-market/\n",
"\n",
"# https://www.marketwatch.com/story/market-analysts-cant-agree-on-where-stocks-are-going-next-so-double-check-the-data-before-you-buy-or-sell-11632447577\n",
"\n",
"# Purpose: to build a machine learning model to predict S&P 500 correction within next 6 months"
]
},
{
"cell_type": "markdown",
"id": "cb086286",
"metadata": {},
"source": [
"Disclaimer:\n",
"\n",
"Author do not assume and hereby disclaim any liability to any party for any loss, damage, or disruption caused by errors or omissions, whether such errors or omissions result from negligence, accident, or any other cause. The software is provided \"as is\", without warranty of any kind, express or implied, including but not limited to the warranties of merchantability, fitness for a particular purpose and noninfringement.\n",
"\n",
"The below is a matter of opinion provided for general information purposes only and is not intended as investment advice. Information and analysis above are derived from sources and utilising methods believed to be reliable, but I cannot accept responsibility for any trading losses you may incur as a result of this analysis. Individuals should consult with their personal financial advisors before engaging in any trading activities."
]
},
{
"cell_type": "code",
"execution_count": 2,
"id": "c589f872",
"metadata": {},
"outputs": [],
"source": [
"# !pip install pandas\n",
"# !pip install dateparser\n",
"# !pip install xgboost\n",
"# !pip install sklearn\n",
"# !pip install numpy\n",
"# !pip install plotly_express\n",
"# !pip install fredapi"
]
},
{
"cell_type": "code",
"execution_count": 3,
"id": "11aeffbf",
"metadata": {},
"outputs": [],
"source": [
"import pandas as pd\n",
"# import dateparser\n",
"import xgboost as xgb\n",
"from sklearn import model_selection\n",
"from sklearn.metrics import r2_score\n",
"import numpy as np\n",
"from fredapi import Fred\n",
"import plotly.express as px\n",
"from IPython.display import display"
]
},
{
"cell_type": "code",
"execution_count": 4,
"id": "80127d24",
"metadata": {},
"outputs": [],
"source": [
"url_per='https://www.multpl.com/shiller-pe/table/by-month'"
]
},
{
"cell_type": "code",
"execution_count": 5,
"id": "53e93d08",
"metadata": {},
"outputs": [],
"source": [
"ls_tables = pd.read_html(url_per)"
]
},
{
"cell_type": "code",
"execution_count": 6,
"id": "67622917",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"list"
]
},
"execution_count": 6,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"type(ls_tables)"
]
},
{
"cell_type": "code",
"execution_count": 7,
"id": "7705f269",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"1"
]
},
"execution_count": 7,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"len(ls_tables)"
]
},
{
"cell_type": "code",
"execution_count": 8,
"id": "40737471",
"metadata": {},
"outputs": [
{
"data": {
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"4 May 1, 2021 36.62\n",
"... ... ...\n",
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"\n",
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},
"execution_count": 8,
"metadata": {},
"output_type": "execute_result"
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"source": [
"ls_tables[0]"
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},
{
"cell_type": "code",
"execution_count": 9,
"id": "b1d25959",
"metadata": {},
"outputs": [],
"source": [
"df_per=ls_tables[0]"
]
},
{
"cell_type": "code",
"execution_count": 10,
"id": "446abb4b",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"Date object\n",
"Value Value float64\n",
"dtype: object"
]
},
"execution_count": 10,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"df_per.dtypes"
]
},
{
"cell_type": "code",
"execution_count": 11,
"id": "90fd8321",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"['Date', 'Value Value']"
]
},
"execution_count": 11,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"cols = df_per.columns.tolist()\n",
"cols"
]
},
{
"cell_type": "code",
"execution_count": 12,
"id": "b86cecc5",
"metadata": {},
"outputs": [],
"source": [
"df_per.rename(\n",
" columns=({ cols[1]: 'PER'}), \n",
" inplace=True,)"
]
},
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"execution_count": 13,
"id": "e7e7c386",
"metadata": {},
"outputs": [
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"execution_count": 13,
"metadata": {},
"output_type": "execute_result"
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"source": [
"df_per.head()"
]
},
{
"cell_type": "code",
"execution_count": 14,
"id": "f79dc51e",
"metadata": {},
"outputs": [],
"source": [
"url_sp='https://www.multpl.com/s-p-500-historical-prices/table/by-month'"
]
},
{
"cell_type": "code",
"execution_count": 15,
"id": "d9a9425a",
"metadata": {},
"outputs": [],
"source": [
"ls_tables = pd.read_html(url_sp)"
]
},
{
"cell_type": "code",
"execution_count": 16,
"id": "fc0e89f4",
"metadata": {},
"outputs": [
{
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},
"execution_count": 16,
"metadata": {},
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"source": [
"len(ls_tables)"
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"execution_count": 17,
"id": "b3722252",
"metadata": {},
"outputs": [
{
"data": {
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"metadata": {},
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],
"source": [
"df_sp=ls_tables[0]\n",
"df_sp.head()"
]
},
{
"cell_type": "code",
"execution_count": 18,
"id": "5c491856",
"metadata": {},
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"metadata": {},
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{
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"metadata": {},
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{
"data": {
"text/plain": [
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" RangeIndex(start=0, stop=1809, step=1))"
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},
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"id": "e617af59",
"metadata": {},
"outputs": [
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"metadata": {},
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"df"
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},
{
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"id": "cd7d49a5",
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"id": "8001ff05",
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\n",
" \n",
" | 2021-08-01 | \n",
" 38.44 | \n",
" 4450.37 | \n",
" 2021-08-01 | \n",
"
\n",
" \n",
" | 2021-07-01 | \n",
" 37.68 | \n",
" 4358.13 | \n",
" 2021-07-01 | \n",
"
\n",
" \n",
" | 2021-06-01 | \n",
" 36.86 | \n",
" 4238.49 | \n",
" 2021-06-01 | \n",
"
\n",
" \n",
" | 2021-05-01 | \n",
" 36.62 | \n",
" 4167.85 | \n",
" 2021-05-01 | \n",
"
\n",
" \n",
" | ... | \n",
" ... | \n",
" ... | \n",
" ... | \n",
"
\n",
" \n",
" | 1871-06-01 | \n",
" 12.59 | \n",
" 4.82 | \n",
" 1871-06-01 | \n",
"
\n",
" \n",
" | 1871-05-01 | \n",
" 12.59 | \n",
" 4.86 | \n",
" 1871-05-01 | \n",
"
\n",
" \n",
" | 1871-04-01 | \n",
" 12.05 | \n",
" 4.74 | \n",
" 1871-04-01 | \n",
"
\n",
" \n",
" | 1871-03-01 | \n",
" 11.19 | \n",
" 4.61 | \n",
" 1871-03-01 | \n",
"
\n",
" \n",
" | 1871-02-01 | \n",
" 10.92 | \n",
" 4.50 | \n",
" 1871-02-01 | \n",
"
\n",
" \n",
"
\n",
"
1808 rows × 3 columns
\n",
"
"
],
"text/plain": [
" PER Price Date\n",
"Date \n",
"2021-10-01 37.63 4357.04 2021-10-01\n",
"2021-08-01 38.44 4450.37 2021-08-01\n",
"2021-07-01 37.68 4358.13 2021-07-01\n",
"2021-06-01 36.86 4238.49 2021-06-01\n",
"2021-05-01 36.62 4167.85 2021-05-01\n",
"... ... ... ...\n",
"1871-06-01 12.59 4.82 1871-06-01\n",
"1871-05-01 12.59 4.86 1871-05-01\n",
"1871-04-01 12.05 4.74 1871-04-01\n",
"1871-03-01 11.19 4.61 1871-03-01\n",
"1871-02-01 10.92 4.50 1871-02-01\n",
"\n",
"[1808 rows x 3 columns]"
]
},
"execution_count": 26,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"df.set_index(['Date'], inplace=True)\n",
"df['Date']=df.index\n",
"df"
]
},
{
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"execution_count": 27,
"id": "2c559fb8",
"metadata": {},
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"df_per = pd.melt(df, id_vars=['Date'], value_vars=['PER'])\n",
"px.line(df_per, x='Date', y='value', color='variable')"
]
},
{
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"execution_count": 28,
"id": "bb794873",
"metadata": {},
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\n",
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" \n",
" | \n",
" PER | \n",
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\n",
" \n",
" \n",
" \n",
" | count | \n",
" 1808.000000 | \n",
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},
{
"cell_type": "code",
"execution_count": 29,
"id": "48364adc",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"PER float64\n",
"Price float64\n",
"Date datetime64[ns]\n",
"dtype: object"
]
},
"execution_count": 29,
"metadata": {},
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],
"source": [
"df.dtypes"
]
},
{
"cell_type": "code",
"execution_count": 30,
"id": "e6f38512",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"['Price0F', 'Price1F', 'Price2F', 'Price3F', 'Price4F', 'Price5F', 'Price6F']"
]
},
"execution_count": 30,
"metadata": {},
"output_type": "execute_result"
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],
"source": [
"ls_price_p = ['Price'+str(i)+'F' for i in range(7)]\n",
"ls_price_p"
]
},
{
"cell_type": "code",
"execution_count": 31,
"id": "ea0ae7f3",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"['Price1F', 'Price2F', 'Price3F', 'Price4F', 'Price5F', 'Price6F']"
]
},
"execution_count": 31,
"metadata": {},
"output_type": "execute_result"
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],
"source": [
"ls_price_p[1:]"
]
},
{
"cell_type": "code",
"execution_count": 32,
"id": "573de1ed",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"'Price0F'"
]
},
"execution_count": 32,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"ls_price_p[0]"
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},
{
"cell_type": "code",
"execution_count": 33,
"id": "d3d05748",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"['PER', 'Price', 'Date']"
]
},
"execution_count": 33,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"df.columns.tolist()"
]
},
{
"cell_type": "code",
"execution_count": 34,
"id": "4af47687",
"metadata": {},
"outputs": [
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"data": {
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"\n",
"
\n",
" \n",
" \n",
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" 36.86 | \n",
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" 2021-06-01 | \n",
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\n",
" \n",
" | 2021-05-01 | \n",
" 36.62 | \n",
" 4167.85 | \n",
" 2021-05-01 | \n",
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\n",
" \n",
" | 2021-04-01 | \n",
" 36.72 | \n",
" 4141.18 | \n",
" 2021-04-01 | \n",
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\n",
" \n",
" | 2021-03-01 | \n",
" 35.04 | \n",
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" 2021-03-01 | \n",
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" PER Price Date\n",
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"2021-10-01 37.63 4357.04 2021-10-01\n",
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"2021-07-01 37.68 4358.13 2021-07-01\n",
"2021-06-01 36.86 4238.49 2021-06-01\n",
"2021-05-01 36.62 4167.85 2021-05-01\n",
"2021-04-01 36.72 4141.18 2021-04-01\n",
"2021-03-01 35.04 3910.51 2021-03-01\n",
"2021-02-01 35.10 3883.43 2021-02-01\n",
"2021-01-01 34.51 3793.75 2021-01-01\n",
"2020-12-01 33.77 3695.31 2020-12-01"
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"metadata": {},
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"execution_count": 35,
"id": "394f98b0",
"metadata": {},
"outputs": [
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" \n",
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"execution_count": 36,
"id": "f2067658",
"metadata": {},
"outputs": [],
"source": [
"for i,e in enumerate(ls_price_p):\n",
" df[e]=df.Price.shift(i) "
]
},
{
"cell_type": "code",
"execution_count": 37,
"id": "ed19bd10",
"metadata": {},
"outputs": [],
"source": [
"df['Price1P'] = df['Price'].shift(-1)\n",
"df['Price_Var']=df['Price']/df['Price1P']-1"
]
},
{
"cell_type": "code",
"execution_count": 38,
"id": "7b7bd9a9",
"metadata": {},
"outputs": [
{
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" PER Price Date Price0F Price1F Price2F Price3F \\\n",
"Date \n",
"2021-10-01 37.63 4357.04 2021-10-01 4357.04 NaN NaN NaN \n",
"2021-08-01 38.44 4450.37 2021-08-01 4450.37 4357.04 NaN NaN \n",
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"2020-12-01 33.77 3695.31 2020-12-01 3695.31 3793.75 3883.43 3910.51 \n",
"\n",
" Price4F Price5F Price6F Price1P Price_Var \n",
"Date \n",
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"metadata": {},
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"source": [
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},
{
"cell_type": "code",
"execution_count": 39,
"id": "5e64e4bf",
"metadata": {},
"outputs": [],
"source": [
"df['PriceFmin']=df[ls_price_p].min(axis=1)"
]
},
{
"cell_type": "code",
"execution_count": 40,
"id": "7f2da36b",
"metadata": {},
"outputs": [
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" PER Price Date Price0F Price1F Price2F Price3F \\\n",
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"metadata": {},
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"source": [
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{
"cell_type": "code",
"execution_count": 41,
"id": "fe718f3d",
"metadata": {},
"outputs": [],
"source": [
"col_y = 'Price_Corr_6M'\n",
"df[col_y]=1-df['PriceFmin']/df['Price0F']"
]
},
{
"cell_type": "code",
"execution_count": 42,
"id": "c543089f",
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" PER Price Date Price0F Price1F Price2F Price3F \\\n",
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"2021-07-01 37.68 4358.13 2021-07-01 4358.13 4450.37 4357.04 NaN \n",
"2021-06-01 36.86 4238.49 2021-06-01 4238.49 4358.13 4450.37 4357.04 \n",
"2021-05-01 36.62 4167.85 2021-05-01 4167.85 4238.49 4358.13 4450.37 \n",
"2021-04-01 36.72 4141.18 2021-04-01 4141.18 4167.85 4238.49 4358.13 \n",
"2021-03-01 35.04 3910.51 2021-03-01 3910.51 4141.18 4167.85 4238.49 \n",
"2021-02-01 35.10 3883.43 2021-02-01 3883.43 3910.51 4141.18 4167.85 \n",
"2021-01-01 34.51 3793.75 2021-01-01 3793.75 3883.43 3910.51 4141.18 \n",
"2020-12-01 33.77 3695.31 2020-12-01 3695.31 3793.75 3883.43 3910.51 \n",
"\n",
" Price4F Price5F Price6F Price1P Price_Var PriceFmin \\\n",
"Date \n",
"2021-10-01 NaN NaN NaN 4450.37 -0.020971 4357.04 \n",
"2021-08-01 NaN NaN NaN 4358.13 0.021165 4357.04 \n",
"2021-07-01 NaN NaN NaN 4238.49 0.028227 4357.04 \n",
"2021-06-01 NaN NaN NaN 4167.85 0.016949 4238.49 \n",
"2021-05-01 4357.04 NaN NaN 4141.18 0.006440 4167.85 \n",
"2021-04-01 4450.37 4357.04 NaN 3910.51 0.058987 4141.18 \n",
"2021-03-01 4358.13 4450.37 4357.04 3883.43 0.006973 3910.51 \n",
"2021-02-01 4238.49 4358.13 4450.37 3793.75 0.023639 3883.43 \n",
"2021-01-01 4167.85 4238.49 4358.13 3695.31 0.026639 3793.75 \n",
"2020-12-01 4141.18 4167.85 4238.49 3548.99 0.041229 3695.31 \n",
"\n",
" Price_Corr_6M \n",
"Date \n",
"2021-10-01 0.000000 \n",
"2021-08-01 0.020971 \n",
"2021-07-01 0.000250 \n",
"2021-06-01 0.000000 \n",
"2021-05-01 0.000000 \n",
"2021-04-01 0.000000 \n",
"2021-03-01 0.000000 \n",
"2021-02-01 0.000000 \n",
"2021-01-01 0.000000 \n",
"2020-12-01 0.000000 "
]
},
"execution_count": 42,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"df.head(10)"
]
},
{
"cell_type": "code",
"execution_count": 43,
"id": "9fc94002",
"metadata": {},
"outputs": [
{
"data": {
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" Price0F | \n",
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" | 2021-05-01 | \n",
" 36.62 | \n",
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" 4238.49 | \n",
" 4358.13 | \n",
" 4450.37 | \n",
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" | 2021-04-01 | \n",
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" \n",
" | 1871-02-01 | \n",
" 10.92 | \n",
" 4.50 | \n",
" 1871-02-01 | \n",
" 4.50 | \n",
" 4.61 | \n",
" 4.74 | \n",
" 4.86 | \n",
" 4.82 | \n",
" 4.73 | \n",
" 4.79 | \n",
" NaN | \n",
" NaN | \n",
" 4.50 | \n",
" 0.000000 | \n",
"
\n",
" \n",
"
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"text/plain": [
" PER Price Date Price0F Price1F Price2F Price3F \\\n",
"Date \n",
"2021-10-01 37.63 4357.04 2021-10-01 4357.04 NaN NaN NaN \n",
"2021-08-01 38.44 4450.37 2021-08-01 4450.37 4357.04 NaN NaN \n",
"2021-07-01 37.68 4358.13 2021-07-01 4358.13 4450.37 4357.04 NaN \n",
"2021-06-01 36.86 4238.49 2021-06-01 4238.49 4358.13 4450.37 4357.04 \n",
"2021-05-01 36.62 4167.85 2021-05-01 4167.85 4238.49 4358.13 4450.37 \n",
"2021-04-01 36.72 4141.18 2021-04-01 4141.18 4167.85 4238.49 4358.13 \n",
"1871-02-01 10.92 4.50 1871-02-01 4.50 4.61 4.74 4.86 \n",
"\n",
" Price4F Price5F Price6F Price1P Price_Var PriceFmin \\\n",
"Date \n",
"2021-10-01 NaN NaN NaN 4450.37 -0.020971 4357.04 \n",
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"2021-04-01 4450.37 4357.04 NaN 3910.51 0.058987 4141.18 \n",
"1871-02-01 4.82 4.73 4.79 NaN NaN 4.50 \n",
"\n",
" Price_Corr_6M \n",
"Date \n",
"2021-10-01 0.000000 \n",
"2021-08-01 0.020971 \n",
"2021-07-01 0.000250 \n",
"2021-06-01 0.000000 \n",
"2021-05-01 0.000000 \n",
"2021-04-01 0.000000 \n",
"1871-02-01 0.000000 "
]
},
"execution_count": 43,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"df[df.isna().any(axis=1)]"
]
},
{
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"execution_count": 44,
"id": "d3d7a944",
"metadata": {},
"outputs": [
{
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" PER Price Date Price0F Price1F Price2F Price3F \\\n",
"Date \n",
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"2021-08-01 38.44 4450.37 2021-08-01 4450.37 4357.04 NaN NaN \n",
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"\n",
" Price4F Price5F Price6F Price1P Price_Var PriceFmin \\\n",
"Date \n",
"2021-10-01 NaN NaN NaN 4450.37 -0.020971 4357.04 \n",
"2021-08-01 NaN NaN NaN 4358.13 0.021165 4357.04 \n",
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"2021-04-01 4450.37 4357.04 NaN 3910.51 0.058987 4141.18 \n",
"1871-02-01 4.82 4.73 4.79 NaN NaN 4.50 \n",
"\n",
" Price_Corr_6M \n",
"Date \n",
"2021-10-01 NaN \n",
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"2021-07-01 NaN \n",
"2021-06-01 NaN \n",
"2021-05-01 NaN \n",
"2021-04-01 NaN \n",
"1871-02-01 NaN "
]
},
"execution_count": 44,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"df.loc[df.isna().any(axis=1),col_y]=np.nan # set to zero corrections with Nan rows\n",
"df[df.isna().any(axis=1)]"
]
},
{
"cell_type": "code",
"execution_count": 45,
"id": "dabaa03b",
"metadata": {},
"outputs": [],
"source": [
"df_initial=df.copy()"
]
},
{
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"execution_count": 46,
"id": "8cdcd6d1",
"metadata": {},
"outputs": [
{
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" Price0F | \n",
" Price1F | \n",
" Price2F | \n",
" Price3F | \n",
" Price4F | \n",
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" Price1P | \n",
" Price_Var | \n",
" PriceFmin | \n",
" Price_Corr_6M | \n",
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" 2021-10-01 | \n",
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" NaN | \n",
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" 4450.37 | \n",
" 4357.04 | \n",
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" 36.86 | \n",
" 4238.49 | \n",
" 2021-06-01 | \n",
" 4238.49 | \n",
" 4358.13 | \n",
" 4450.37 | \n",
" 4357.04 | \n",
" NaN | \n",
" NaN | \n",
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" 4167.85 | \n",
" 0.016949 | \n",
" 4238.49 | \n",
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" \n",
" | 2021-05-01 | \n",
" 36.62 | \n",
" 4167.85 | \n",
" 2021-05-01 | \n",
" 4167.85 | \n",
" 4238.49 | \n",
" 4358.13 | \n",
" 4450.37 | \n",
" 4357.04 | \n",
" NaN | \n",
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" PER Price Date Price0F Price1F Price2F Price3F \\\n",
"Date \n",
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"2021-08-01 38.44 4450.37 2021-08-01 4450.37 4357.04 NaN NaN \n",
"2021-07-01 37.68 4358.13 2021-07-01 4358.13 4450.37 4357.04 NaN \n",
"2021-06-01 36.86 4238.49 2021-06-01 4238.49 4358.13 4450.37 4357.04 \n",
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"\n",
" Price4F Price5F Price6F Price1P Price_Var PriceFmin \\\n",
"Date \n",
"2021-10-01 NaN NaN NaN 4450.37 -0.020971 4357.04 \n",
"2021-08-01 NaN NaN NaN 4358.13 0.021165 4357.04 \n",
"2021-07-01 NaN NaN NaN 4238.49 0.028227 4357.04 \n",
"2021-06-01 NaN NaN NaN 4167.85 0.016949 4238.49 \n",
"2021-05-01 4357.04 NaN NaN 4141.18 0.006440 4167.85 \n",
"\n",
" Price_Corr_6M \n",
"Date \n",
"2021-10-01 NaN \n",
"2021-08-01 NaN \n",
"2021-07-01 NaN \n",
"2021-06-01 NaN \n",
"2021-05-01 NaN "
]
},
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"metadata": {},
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}
],
"source": [
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]
},
{
"cell_type": "code",
"execution_count": 47,
"id": "7a7139f4",
"metadata": {},
"outputs": [],
"source": [
"df.dropna(axis=0, how='any', inplace=True) # remove NaN rowss"
]
},
{
"cell_type": "code",
"execution_count": 48,
"id": "48a091aa",
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"\n",
"\n",
"
\n",
" \n",
" \n",
" | \n",
" PER | \n",
" Price | \n",
" Price0F | \n",
" Price1F | \n",
" Price2F | \n",
" Price3F | \n",
" Price4F | \n",
" Price5F | \n",
" Price6F | \n",
" Price1P | \n",
" Price_Var | \n",
" PriceFmin | \n",
" Price_Corr_6M | \n",
"
\n",
" \n",
" \n",
" \n",
" | count | \n",
" 1165.000000 | \n",
" 1165.000000 | \n",
" 1165.000000 | \n",
" 1165.000000 | \n",
" 1165.000000 | \n",
" 1165.000000 | \n",
" 1165.000000 | \n",
" 1165.000000 | \n",
" 1165.000000 | \n",
" 1165.000000 | \n",
" 1165.000000 | \n",
" 1165.000000 | \n",
" 1165.000000 | \n",
"
\n",
" \n",
" | mean | \n",
" 16.717880 | \n",
" 269.130712 | \n",
" 269.130712 | \n",
" 266.352798 | \n",
" 264.965476 | \n",
" 264.704695 | \n",
" 264.783270 | \n",
" 265.672489 | \n",
" 266.778481 | \n",
" 268.215039 | \n",
" -0.000321 | \n",
" 250.402266 | \n",
" 0.073373 | \n",
"
\n",
" \n",
" | std | \n",
" 6.885325 | \n",
" 577.596722 | \n",
" 577.596722 | \n",
" 571.992545 | \n",
" 569.557731 | \n",
" 569.693467 | \n",
" 570.415241 | \n",
" 573.627227 | \n",
" 577.305673 | \n",
" 573.246742 | \n",
" 0.041202 | \n",
" 537.571101 | \n",
" 0.074285 | \n",
"
\n",
" \n",
" | min | \n",
" 4.780000 | \n",
" 2.940000 | \n",
" 2.940000 | \n",
" 2.730000 | \n",
" 2.730000 | \n",
" 2.730000 | \n",
" 2.730000 | \n",
" 2.730000 | \n",
" 2.730000 | \n",
" 2.940000 | \n",
" -0.239709 | \n",
" 2.730000 | \n",
" 0.000244 | \n",
"
\n",
" \n",
" | 25% | \n",
" 11.690000 | \n",
" 7.090000 | \n",
" 7.090000 | \n",
" 6.850000 | \n",
" 6.800000 | \n",
" 6.700000 | \n",
" 6.680000 | \n",
" 6.700000 | \n",
" 6.780000 | \n",
" 7.180000 | \n",
" -0.020408 | \n",
" 6.260000 | \n",
" 0.020737 | \n",
"
\n",
" \n",
" | 50% | \n",
" 15.810000 | \n",
" 14.820000 | \n",
" 14.820000 | \n",
" 14.600000 | \n",
" 14.330000 | \n",
" 14.330000 | \n",
" 14.300000 | \n",
" 14.100000 | \n",
" 13.970000 | \n",
" 14.860000 | \n",
" 0.001581 | \n",
" 13.870000 | \n",
" 0.050343 | \n",
"
\n",
" \n",
" | 75% | \n",
" 19.920000 | \n",
" 107.700000 | \n",
" 107.700000 | \n",
" 107.200000 | \n",
" 106.500000 | \n",
" 106.500000 | \n",
" 107.200000 | \n",
" 107.400000 | \n",
" 107.200000 | \n",
" 107.400000 | \n",
" 0.023299 | \n",
" 103.000000 | \n",
" 0.101518 | \n",
"
\n",
" \n",
" | max | \n",
" 44.190000 | \n",
" 3391.710000 | \n",
" 3391.710000 | \n",
" 3365.520000 | \n",
" 3418.700000 | \n",
" 3548.990000 | \n",
" 3695.310000 | \n",
" 3793.750000 | \n",
" 3883.430000 | \n",
" 3278.200000 | \n",
" 0.502994 | \n",
" 3365.520000 | \n",
" 0.469682 | \n",
"
\n",
" \n",
"
\n",
"
"
],
"text/plain": [
" PER Price Price0F Price1F Price2F \\\n",
"count 1165.000000 1165.000000 1165.000000 1165.000000 1165.000000 \n",
"mean 16.717880 269.130712 269.130712 266.352798 264.965476 \n",
"std 6.885325 577.596722 577.596722 571.992545 569.557731 \n",
"min 4.780000 2.940000 2.940000 2.730000 2.730000 \n",
"25% 11.690000 7.090000 7.090000 6.850000 6.800000 \n",
"50% 15.810000 14.820000 14.820000 14.600000 14.330000 \n",
"75% 19.920000 107.700000 107.700000 107.200000 106.500000 \n",
"max 44.190000 3391.710000 3391.710000 3365.520000 3418.700000 \n",
"\n",
" Price3F Price4F Price5F Price6F Price1P \\\n",
"count 1165.000000 1165.000000 1165.000000 1165.000000 1165.000000 \n",
"mean 264.704695 264.783270 265.672489 266.778481 268.215039 \n",
"std 569.693467 570.415241 573.627227 577.305673 573.246742 \n",
"min 2.730000 2.730000 2.730000 2.730000 2.940000 \n",
"25% 6.700000 6.680000 6.700000 6.780000 7.180000 \n",
"50% 14.330000 14.300000 14.100000 13.970000 14.860000 \n",
"75% 106.500000 107.200000 107.400000 107.200000 107.400000 \n",
"max 3548.990000 3695.310000 3793.750000 3883.430000 3278.200000 \n",
"\n",
" Price_Var PriceFmin Price_Corr_6M \n",
"count 1165.000000 1165.000000 1165.000000 \n",
"mean -0.000321 250.402266 0.073373 \n",
"std 0.041202 537.571101 0.074285 \n",
"min -0.239709 2.730000 0.000244 \n",
"25% -0.020408 6.260000 0.020737 \n",
"50% 0.001581 13.870000 0.050343 \n",
"75% 0.023299 103.000000 0.101518 \n",
"max 0.502994 3365.520000 0.469682 "
]
},
"execution_count": 48,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"df[df[col_y]>0].describe()"
]
},
{
"cell_type": "code",
"execution_count": 49,
"id": "2cbccefc",
"metadata": {},
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"source": [
"last_months=240\n",
"df_per = pd.melt(df.head(last_months), id_vars='Date', value_vars=['Price'])\n",
"px.line(df_per, x='Date', y='value', color='variable')"
]
},
{
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"text/html": [
"\n",
"\n",
"
\n",
" \n",
" \n",
" | \n",
" PER | \n",
" Price | \n",
" Date | \n",
" Price0F | \n",
" Price1F | \n",
" Price2F | \n",
" Price3F | \n",
" Price4F | \n",
" Price5F | \n",
" Price6F | \n",
" Price1P | \n",
" Price_Var | \n",
" PriceFmin | \n",
" Price_Corr_6M | \n",
"
\n",
" \n",
" | Date | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
"
\n",
" \n",
" \n",
" \n",
" | 2020-02-01 | \n",
" 30.73 | \n",
" 3277.31 | \n",
" 2020-02-01 | \n",
" 3277.31 | \n",
" 2652.39 | \n",
" 2761.98 | \n",
" 2919.61 | \n",
" 3104.66 | \n",
" 3207.62 | \n",
" 3391.71 | \n",
" 3278.20 | \n",
" -0.000271 | \n",
" 2652.39 | \n",
" 0.190681 | \n",
"
\n",
" \n",
" | 2020-01-01 | \n",
" 30.99 | \n",
" 3278.20 | \n",
" 2020-01-01 | \n",
" 3278.20 | \n",
" 3277.31 | \n",
" 2652.39 | \n",
" 2761.98 | \n",
" 2919.61 | \n",
" 3104.66 | \n",
" 3207.62 | \n",
" 3176.75 | \n",
" 0.031935 | \n",
" 2652.39 | \n",
" 0.190900 | \n",
"
\n",
" \n",
" | 2019-12-01 | \n",
" 30.33 | \n",
" 3176.75 | \n",
" 2019-12-01 | \n",
" 3176.75 | \n",
" 3278.20 | \n",
" 3277.31 | \n",
" 2652.39 | \n",
" 2761.98 | \n",
" 2919.61 | \n",
" 3104.66 | \n",
" 3104.90 | \n",
" 0.023141 | \n",
" 2652.39 | \n",
" 0.165062 | \n",
"
\n",
" \n",
" | 2008-10-01 | \n",
" 16.39 | \n",
" 968.80 | \n",
" 2008-10-01 | \n",
" 968.80 | \n",
" 883.04 | \n",
" 877.56 | \n",
" 865.58 | \n",
" 805.23 | \n",
" 757.13 | \n",
" 848.15 | \n",
" 1216.95 | \n",
" -0.203911 | \n",
" 757.13 | \n",
" 0.218487 | \n",
"
\n",
" \n",
" | 2008-09-01 | \n",
" 20.36 | \n",
" 1216.95 | \n",
" 2008-09-01 | \n",
" 1216.95 | \n",
" 968.80 | \n",
" 883.04 | \n",
" 877.56 | \n",
" 865.58 | \n",
" 805.23 | \n",
" 757.13 | \n",
" 1281.47 | \n",
" -0.050348 | \n",
" 757.13 | \n",
" 0.377846 | \n",
"
\n",
" \n",
" | 2008-08-01 | \n",
" 21.40 | \n",
" 1281.47 | \n",
" 2008-08-01 | \n",
" 1281.47 | \n",
" 1216.95 | \n",
" 968.80 | \n",
" 883.04 | \n",
" 877.56 | \n",
" 865.58 | \n",
" 805.23 | \n",
" 1257.33 | \n",
" 0.019199 | \n",
" 805.23 | \n",
" 0.371636 | \n",
"
\n",
" \n",
" | 2008-07-01 | \n",
" 20.91 | \n",
" 1257.33 | \n",
" 2008-07-01 | \n",
" 1257.33 | \n",
" 1281.47 | \n",
" 1216.95 | \n",
" 968.80 | \n",
" 883.04 | \n",
" 877.56 | \n",
" 865.58 | \n",
" 1341.25 | \n",
" -0.062568 | \n",
" 865.58 | \n",
" 0.311573 | \n",
"
\n",
" \n",
" | 2008-06-01 | \n",
" 22.42 | \n",
" 1341.25 | \n",
" 2008-06-01 | \n",
" 1341.25 | \n",
" 1257.33 | \n",
" 1281.47 | \n",
" 1216.95 | \n",
" 968.80 | \n",
" 883.04 | \n",
" 877.56 | \n",
" 1403.22 | \n",
" -0.044163 | \n",
" 877.56 | \n",
" 0.345715 | \n",
"
\n",
" \n",
" | 2008-05-01 | \n",
" 23.70 | \n",
" 1403.22 | \n",
" 2008-05-01 | \n",
" 1403.22 | \n",
" 1341.25 | \n",
" 1257.33 | \n",
" 1281.47 | \n",
" 1216.95 | \n",
" 968.80 | \n",
" 883.04 | \n",
" 1370.47 | \n",
" 0.023897 | \n",
" 883.04 | \n",
" 0.370705 | \n",
"
\n",
" \n",
" | 2008-04-01 | \n",
" 23.36 | \n",
" 1370.47 | \n",
" 2008-04-01 | \n",
" 1370.47 | \n",
" 1403.22 | \n",
" 1341.25 | \n",
" 1257.33 | \n",
" 1281.47 | \n",
" 1216.95 | \n",
" 968.80 | \n",
" 1316.94 | \n",
" 0.040647 | \n",
" 968.80 | \n",
" 0.293089 | \n",
"
\n",
" \n",
"
\n",
"
"
],
"text/plain": [
" PER Price Date Price0F Price1F Price2F Price3F \\\n",
"Date \n",
"2020-02-01 30.73 3277.31 2020-02-01 3277.31 2652.39 2761.98 2919.61 \n",
"2020-01-01 30.99 3278.20 2020-01-01 3278.20 3277.31 2652.39 2761.98 \n",
"2019-12-01 30.33 3176.75 2019-12-01 3176.75 3278.20 3277.31 2652.39 \n",
"2008-10-01 16.39 968.80 2008-10-01 968.80 883.04 877.56 865.58 \n",
"2008-09-01 20.36 1216.95 2008-09-01 1216.95 968.80 883.04 877.56 \n",
"2008-08-01 21.40 1281.47 2008-08-01 1281.47 1216.95 968.80 883.04 \n",
"2008-07-01 20.91 1257.33 2008-07-01 1257.33 1281.47 1216.95 968.80 \n",
"2008-06-01 22.42 1341.25 2008-06-01 1341.25 1257.33 1281.47 1216.95 \n",
"2008-05-01 23.70 1403.22 2008-05-01 1403.22 1341.25 1257.33 1281.47 \n",
"2008-04-01 23.36 1370.47 2008-04-01 1370.47 1403.22 1341.25 1257.33 \n",
"\n",
" Price4F Price5F Price6F Price1P Price_Var PriceFmin \\\n",
"Date \n",
"2020-02-01 3104.66 3207.62 3391.71 3278.20 -0.000271 2652.39 \n",
"2020-01-01 2919.61 3104.66 3207.62 3176.75 0.031935 2652.39 \n",
"2019-12-01 2761.98 2919.61 3104.66 3104.90 0.023141 2652.39 \n",
"2008-10-01 805.23 757.13 848.15 1216.95 -0.203911 757.13 \n",
"2008-09-01 865.58 805.23 757.13 1281.47 -0.050348 757.13 \n",
"2008-08-01 877.56 865.58 805.23 1257.33 0.019199 805.23 \n",
"2008-07-01 883.04 877.56 865.58 1341.25 -0.062568 865.58 \n",
"2008-06-01 968.80 883.04 877.56 1403.22 -0.044163 877.56 \n",
"2008-05-01 1216.95 968.80 883.04 1370.47 0.023897 883.04 \n",
"2008-04-01 1281.47 1216.95 968.80 1316.94 0.040647 968.80 \n",
"\n",
" Price_Corr_6M \n",
"Date \n",
"2020-02-01 0.190681 \n",
"2020-01-01 0.190900 \n",
"2019-12-01 0.165062 \n",
"2008-10-01 0.218487 \n",
"2008-09-01 0.377846 \n",
"2008-08-01 0.371636 \n",
"2008-07-01 0.311573 \n",
"2008-06-01 0.345715 \n",
"2008-05-01 0.370705 \n",
"2008-04-01 0.293089 "
]
},
"execution_count": 50,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"# min_correction=0.15\n",
"min_correction=0.15 # take a look at big corrections\n",
"df[df[col_y]>min_correction].head(10)"
]
},
{
"cell_type": "code",
"execution_count": 51,
"id": "e0cc41cd",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"count 147.000000\n",
"mean 0.229457\n",
"std 0.072282\n",
"min 0.150127\n",
"25% 0.177002\n",
"50% 0.205638\n",
"75% 0.257215\n",
"max 0.469682\n",
"Name: Price_Corr_6M, dtype: float64"
]
},
"execution_count": 51,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"df[df[col_y]>min_correction][col_y].describe()"
]
},
{
"cell_type": "code",
"execution_count": 52,
"id": "8ecfcda4",
"metadata": {},
"outputs": [],
"source": [
"# plot PER & Price_correction"
]
},
{
"cell_type": "code",
"execution_count": 53,
"id": "faa3e844",
"metadata": {},
"outputs": [],
"source": [
"min_correction=0.05 # force learning above ?\n",
"# min_correction=0\n",
"if min_correction!=0:\n",
" df[col_y] = df[col_y].apply(lambda x: 0 if xDate=%{x}
value=%{y}",
"legendgroup": "PER",
"line": {
"color": "#636efa",
"dash": "solid"
},
"mode": "lines",
"name": "PER",
"showlegend": true,
"type": "scattergl",
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" PER Price Date Price0F Price1F Price2F Price3F \\\n",
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"2021-02-01 35.10 3883.43 2021-02-01 3883.43 3910.51 4141.18 4167.85 \n",
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"2020-11-01 32.47 3548.99 2020-11-01 3548.99 3695.31 3793.75 3883.43 \n",
"2020-10-01 31.28 3418.70 2020-10-01 3418.70 3548.99 3695.31 3793.75 \n",
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"2020-06-01 28.84 3104.66 2020-06-01 3104.66 3207.62 3391.71 3365.52 \n",
"\n",
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"2021-03-01 4358.13 4450.37 4357.04 3883.43 0.006973 3910.51 \n",
"2021-02-01 4238.49 4358.13 4450.37 3793.75 0.023639 3883.43 \n",
"2021-01-01 4167.85 4238.49 4358.13 3695.31 0.026639 3793.75 \n",
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"2020-06-01 3418.70 3548.99 3695.31 2919.61 0.063382 3104.66 \n",
"\n",
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" 3365.52 | \n",
" 3277.31 | \n",
" -0.190681 | \n",
" 2652.39 | \n",
" 0.000000 | \n",
"
\n",
" \n",
" | 2020-02-01 | \n",
" 30.73 | \n",
" 3277.31 | \n",
" 2020-02-01 | \n",
" 3277.31 | \n",
" 2652.39 | \n",
" 2761.98 | \n",
" 2919.61 | \n",
" 3104.66 | \n",
" 3207.62 | \n",
" 3391.71 | \n",
" 3278.20 | \n",
" -0.000271 | \n",
" 2652.39 | \n",
" 0.190681 | \n",
"
\n",
" \n",
" | 2020-01-01 | \n",
" 30.99 | \n",
" 3278.20 | \n",
" 2020-01-01 | \n",
" 3278.20 | \n",
" 3277.31 | \n",
" 2652.39 | \n",
" 2761.98 | \n",
" 2919.61 | \n",
" 3104.66 | \n",
" 3207.62 | \n",
" 3176.75 | \n",
" 0.031935 | \n",
" 2652.39 | \n",
" 0.190900 | \n",
"
\n",
" \n",
" | 2019-12-01 | \n",
" 30.33 | \n",
" 3176.75 | \n",
" 2019-12-01 | \n",
" 3176.75 | \n",
" 3278.20 | \n",
" 3277.31 | \n",
" 2652.39 | \n",
" 2761.98 | \n",
" 2919.61 | \n",
" 3104.66 | \n",
" 3104.90 | \n",
" 0.023141 | \n",
" 2652.39 | \n",
" 0.165062 | \n",
"
\n",
" \n",
" | 2019-11-01 | \n",
" 29.84 | \n",
" 3104.90 | \n",
" 2019-11-01 | \n",
" 3104.90 | \n",
" 3176.75 | \n",
" 3278.20 | \n",
" 3277.31 | \n",
" 2652.39 | \n",
" 2761.98 | \n",
" 2919.61 | \n",
" 2977.68 | \n",
" 0.042725 | \n",
" 2652.39 | \n",
" 0.145741 | \n",
"
\n",
" \n",
" | 2019-10-01 | \n",
" 28.84 | \n",
" 2977.68 | \n",
" 2019-10-01 | \n",
" 2977.68 | \n",
" 3104.90 | \n",
" 3176.75 | \n",
" 3278.20 | \n",
" 3277.31 | \n",
" 2652.39 | \n",
" 2761.98 | \n",
" 2982.16 | \n",
" -0.001502 | \n",
" 2652.39 | \n",
" 0.109243 | \n",
"
\n",
" \n",
" | 2019-09-01 | \n",
" 29.23 | \n",
" 2982.16 | \n",
" 2019-09-01 | \n",
" 2982.16 | \n",
" 2977.68 | \n",
" 3104.90 | \n",
" 3176.75 | \n",
" 3278.20 | \n",
" 3277.31 | \n",
" 2652.39 | \n",
" 2897.50 | \n",
" 0.029218 | \n",
" 2652.39 | \n",
" 0.110581 | \n",
"
\n",
" \n",
" | 2019-08-01 | \n",
" 28.71 | \n",
" 2897.50 | \n",
" 2019-08-01 | \n",
" 2897.50 | \n",
" 2982.16 | \n",
" 2977.68 | \n",
" 3104.90 | \n",
" 3176.75 | \n",
" 3278.20 | \n",
" 3277.31 | \n",
" 2996.11 | \n",
" -0.032913 | \n",
" 2897.50 | \n",
" 0.000000 | \n",
"
\n",
" \n",
" | 2019-07-01 | \n",
" 29.99 | \n",
" 2996.11 | \n",
" 2019-07-01 | \n",
" 2996.11 | \n",
" 2897.50 | \n",
" 2982.16 | \n",
" 2977.68 | \n",
" 3104.90 | \n",
" 3176.75 | \n",
" 3278.20 | \n",
" 2890.17 | \n",
" 0.036655 | \n",
" 2897.50 | \n",
" 0.000000 | \n",
"
\n",
" \n",
" | 2019-06-01 | \n",
" 29.28 | \n",
" 2890.17 | \n",
" 2019-06-01 | \n",
" 2890.17 | \n",
" 2996.11 | \n",
" 2897.50 | \n",
" 2982.16 | \n",
" 2977.68 | \n",
" 3104.90 | \n",
" 3176.75 | \n",
" 2854.71 | \n",
" 0.012422 | \n",
" 2890.17 | \n",
" 0.000000 | \n",
"
\n",
" \n",
" | 2019-05-01 | \n",
" 29.24 | \n",
" 2854.71 | \n",
" 2019-05-01 | \n",
" 2854.71 | \n",
" 2890.17 | \n",
" 2996.11 | \n",
" 2897.50 | \n",
" 2982.16 | \n",
" 2977.68 | \n",
" 3104.90 | \n",
" 2903.80 | \n",
" -0.016905 | \n",
" 2854.71 | \n",
" 0.000000 | \n",
"
\n",
" \n",
" | 2019-04-01 | \n",
" 30.13 | \n",
" 2903.80 | \n",
" 2019-04-01 | \n",
" 2903.80 | \n",
" 2854.71 | \n",
" 2890.17 | \n",
" 2996.11 | \n",
" 2897.50 | \n",
" 2982.16 | \n",
" 2977.68 | \n",
" 2803.98 | \n",
" 0.035599 | \n",
" 2854.71 | \n",
" 0.000000 | \n",
"
\n",
" \n",
" | 2019-03-01 | \n",
" 29.58 | \n",
" 2803.98 | \n",
" 2019-03-01 | \n",
" 2803.98 | \n",
" 2903.80 | \n",
" 2854.71 | \n",
" 2890.17 | \n",
" 2996.11 | \n",
" 2897.50 | \n",
" 2982.16 | \n",
" 2754.86 | \n",
" 0.017830 | \n",
" 2803.98 | \n",
" 0.000000 | \n",
"
\n",
" \n",
" | 2019-02-01 | \n",
" 29.54 | \n",
" 2754.86 | \n",
" 2019-02-01 | \n",
" 2754.86 | \n",
" 2803.98 | \n",
" 2903.80 | \n",
" 2854.71 | \n",
" 2890.17 | \n",
" 2996.11 | \n",
" 2897.50 | \n",
" 2607.39 | \n",
" 0.056558 | \n",
" 2754.86 | \n",
" 0.000000 | \n",
"
\n",
" \n",
" | 2019-01-01 | \n",
" 28.38 | \n",
" 2607.39 | \n",
" 2019-01-01 | \n",
" 2607.39 | \n",
" 2754.86 | \n",
" 2803.98 | \n",
" 2903.80 | \n",
" 2854.71 | \n",
" 2890.17 | \n",
" 2996.11 | \n",
" 2567.31 | \n",
" 0.015612 | \n",
" 2607.39 | \n",
" 0.000000 | \n",
"
\n",
" \n",
" | 2018-12-01 | \n",
" 28.29 | \n",
" 2567.31 | \n",
" 2018-12-01 | \n",
" 2567.31 | \n",
" 2607.39 | \n",
" 2754.86 | \n",
" 2803.98 | \n",
" 2903.80 | \n",
" 2854.71 | \n",
" 2890.17 | \n",
" 2723.23 | \n",
" -0.057256 | \n",
" 2567.31 | \n",
" 0.000000 | \n",
"
\n",
" \n",
" | 2018-11-01 | \n",
" 30.20 | \n",
" 2723.23 | \n",
" 2018-11-01 | \n",
" 2723.23 | \n",
" 2567.31 | \n",
" 2607.39 | \n",
" 2754.86 | \n",
" 2803.98 | \n",
" 2903.80 | \n",
" 2854.71 | \n",
" 2785.46 | \n",
" -0.022341 | \n",
" 2567.31 | \n",
" 0.057256 | \n",
"
\n",
" \n",
" | 2018-10-01 | \n",
" 31.04 | \n",
" 2785.46 | \n",
" 2018-10-01 | \n",
" 2785.46 | \n",
" 2723.23 | \n",
" 2567.31 | \n",
" 2607.39 | \n",
" 2754.86 | \n",
" 2803.98 | \n",
" 2903.80 | \n",
" 2901.50 | \n",
" -0.039993 | \n",
" 2567.31 | \n",
" 0.078317 | \n",
"
\n",
" \n",
" | 2018-09-01 | \n",
" 32.62 | \n",
" 2901.50 | \n",
" 2018-09-01 | \n",
" 2901.50 | \n",
" 2785.46 | \n",
" 2723.23 | \n",
" 2567.31 | \n",
" 2607.39 | \n",
" 2754.86 | \n",
" 2803.98 | \n",
" 2857.82 | \n",
" 0.015284 | \n",
" 2567.31 | \n",
" 0.115178 | \n",
"
\n",
" \n",
" | 2018-08-01 | \n",
" 32.39 | \n",
" 2857.82 | \n",
" 2018-08-01 | \n",
" 2857.82 | \n",
" 2901.50 | \n",
" 2785.46 | \n",
" 2723.23 | \n",
" 2567.31 | \n",
" 2607.39 | \n",
" 2754.86 | \n",
" 2793.64 | \n",
" 0.022974 | \n",
" 2567.31 | \n",
" 0.101654 | \n",
"
\n",
" \n",
" | 2018-07-01 | \n",
" 31.89 | \n",
" 2793.64 | \n",
" 2018-07-01 | \n",
" 2793.64 | \n",
" 2857.82 | \n",
" 2901.50 | \n",
" 2785.46 | \n",
" 2723.23 | \n",
" 2567.31 | \n",
" 2607.39 | \n",
" 2754.35 | \n",
" 0.014265 | \n",
" 2567.31 | \n",
" 0.081016 | \n",
"
\n",
" \n",
" | 2018-06-01 | \n",
" 31.63 | \n",
" 2754.35 | \n",
" 2018-06-01 | \n",
" 2754.35 | \n",
" 2793.64 | \n",
" 2857.82 | \n",
" 2901.50 | \n",
" 2785.46 | \n",
" 2723.23 | \n",
" 2567.31 | \n",
" 2701.49 | \n",
" 0.019567 | \n",
" 2567.31 | \n",
" 0.067907 | \n",
"
\n",
" \n",
" | 2018-05-01 | \n",
" 31.24 | \n",
" 2701.49 | \n",
" 2018-05-01 | \n",
" 2701.49 | \n",
" 2754.35 | \n",
" 2793.64 | \n",
" 2857.82 | \n",
" 2901.50 | \n",
" 2785.46 | \n",
" 2723.23 | \n",
" 2653.63 | \n",
" 0.018036 | \n",
" 2701.49 | \n",
" 0.000000 | \n",
"
\n",
" \n",
" | 2018-04-01 | \n",
" 30.97 | \n",
" 2653.63 | \n",
" 2018-04-01 | \n",
" 2653.63 | \n",
" 2701.49 | \n",
" 2754.35 | \n",
" 2793.64 | \n",
" 2857.82 | \n",
" 2901.50 | \n",
" 2785.46 | \n",
" 2702.77 | \n",
" -0.018181 | \n",
" 2653.63 | \n",
" 0.000000 | \n",
"
\n",
" \n",
"
\n",
"
"
],
"text/plain": [
" PER Price Date Price0F Price1F Price2F Price3F \\\n",
"Date \n",
"2021-03-01 35.04 3910.51 2021-03-01 3910.51 4141.18 4167.85 4238.49 \n",
"2021-02-01 35.10 3883.43 2021-02-01 3883.43 3910.51 4141.18 4167.85 \n",
"2021-01-01 34.51 3793.75 2021-01-01 3793.75 3883.43 3910.51 4141.18 \n",
"2020-12-01 33.77 3695.31 2020-12-01 3695.31 3793.75 3883.43 3910.51 \n",
"2020-11-01 32.47 3548.99 2020-11-01 3548.99 3695.31 3793.75 3883.43 \n",
"2020-10-01 31.28 3418.70 2020-10-01 3418.70 3548.99 3695.31 3793.75 \n",
"2020-09-01 30.84 3365.52 2020-09-01 3365.52 3418.70 3548.99 3695.31 \n",
"2020-08-01 31.16 3391.71 2020-08-01 3391.71 3365.52 3418.70 3548.99 \n",
"2020-07-01 29.60 3207.62 2020-07-01 3207.62 3391.71 3365.52 3418.70 \n",
"2020-06-01 28.84 3104.66 2020-06-01 3104.66 3207.62 3391.71 3365.52 \n",
"2020-05-01 27.33 2919.61 2020-05-01 2919.61 3104.66 3207.62 3391.71 \n",
"2020-04-01 25.93 2761.98 2020-04-01 2761.98 2919.61 3104.66 3207.62 \n",
"2020-03-01 24.82 2652.39 2020-03-01 2652.39 2761.98 2919.61 3104.66 \n",
"2020-02-01 30.73 3277.31 2020-02-01 3277.31 2652.39 2761.98 2919.61 \n",
"2020-01-01 30.99 3278.20 2020-01-01 3278.20 3277.31 2652.39 2761.98 \n",
"2019-12-01 30.33 3176.75 2019-12-01 3176.75 3278.20 3277.31 2652.39 \n",
"2019-11-01 29.84 3104.90 2019-11-01 3104.90 3176.75 3278.20 3277.31 \n",
"2019-10-01 28.84 2977.68 2019-10-01 2977.68 3104.90 3176.75 3278.20 \n",
"2019-09-01 29.23 2982.16 2019-09-01 2982.16 2977.68 3104.90 3176.75 \n",
"2019-08-01 28.71 2897.50 2019-08-01 2897.50 2982.16 2977.68 3104.90 \n",
"2019-07-01 29.99 2996.11 2019-07-01 2996.11 2897.50 2982.16 2977.68 \n",
"2019-06-01 29.28 2890.17 2019-06-01 2890.17 2996.11 2897.50 2982.16 \n",
"2019-05-01 29.24 2854.71 2019-05-01 2854.71 2890.17 2996.11 2897.50 \n",
"2019-04-01 30.13 2903.80 2019-04-01 2903.80 2854.71 2890.17 2996.11 \n",
"2019-03-01 29.58 2803.98 2019-03-01 2803.98 2903.80 2854.71 2890.17 \n",
"2019-02-01 29.54 2754.86 2019-02-01 2754.86 2803.98 2903.80 2854.71 \n",
"2019-01-01 28.38 2607.39 2019-01-01 2607.39 2754.86 2803.98 2903.80 \n",
"2018-12-01 28.29 2567.31 2018-12-01 2567.31 2607.39 2754.86 2803.98 \n",
"2018-11-01 30.20 2723.23 2018-11-01 2723.23 2567.31 2607.39 2754.86 \n",
"2018-10-01 31.04 2785.46 2018-10-01 2785.46 2723.23 2567.31 2607.39 \n",
"2018-09-01 32.62 2901.50 2018-09-01 2901.50 2785.46 2723.23 2567.31 \n",
"2018-08-01 32.39 2857.82 2018-08-01 2857.82 2901.50 2785.46 2723.23 \n",
"2018-07-01 31.89 2793.64 2018-07-01 2793.64 2857.82 2901.50 2785.46 \n",
"2018-06-01 31.63 2754.35 2018-06-01 2754.35 2793.64 2857.82 2901.50 \n",
"2018-05-01 31.24 2701.49 2018-05-01 2701.49 2754.35 2793.64 2857.82 \n",
"2018-04-01 30.97 2653.63 2018-04-01 2653.63 2701.49 2754.35 2793.64 \n",
"\n",
" Price4F Price5F Price6F Price1P Price_Var PriceFmin \\\n",
"Date \n",
"2021-03-01 4358.13 4450.37 4357.04 3883.43 0.006973 3910.51 \n",
"2021-02-01 4238.49 4358.13 4450.37 3793.75 0.023639 3883.43 \n",
"2021-01-01 4167.85 4238.49 4358.13 3695.31 0.026639 3793.75 \n",
"2020-12-01 4141.18 4167.85 4238.49 3548.99 0.041229 3695.31 \n",
"2020-11-01 3910.51 4141.18 4167.85 3418.70 0.038111 3548.99 \n",
"2020-10-01 3883.43 3910.51 4141.18 3365.52 0.015801 3418.70 \n",
"2020-09-01 3793.75 3883.43 3910.51 3391.71 -0.007722 3365.52 \n",
"2020-08-01 3695.31 3793.75 3883.43 3207.62 0.057391 3365.52 \n",
"2020-07-01 3548.99 3695.31 3793.75 3104.66 0.033163 3207.62 \n",
"2020-06-01 3418.70 3548.99 3695.31 2919.61 0.063382 3104.66 \n",
"2020-05-01 3365.52 3418.70 3548.99 2761.98 0.057071 2919.61 \n",
"2020-04-01 3391.71 3365.52 3418.70 2652.39 0.041317 2761.98 \n",
"2020-03-01 3207.62 3391.71 3365.52 3277.31 -0.190681 2652.39 \n",
"2020-02-01 3104.66 3207.62 3391.71 3278.20 -0.000271 2652.39 \n",
"2020-01-01 2919.61 3104.66 3207.62 3176.75 0.031935 2652.39 \n",
"2019-12-01 2761.98 2919.61 3104.66 3104.90 0.023141 2652.39 \n",
"2019-11-01 2652.39 2761.98 2919.61 2977.68 0.042725 2652.39 \n",
"2019-10-01 3277.31 2652.39 2761.98 2982.16 -0.001502 2652.39 \n",
"2019-09-01 3278.20 3277.31 2652.39 2897.50 0.029218 2652.39 \n",
"2019-08-01 3176.75 3278.20 3277.31 2996.11 -0.032913 2897.50 \n",
"2019-07-01 3104.90 3176.75 3278.20 2890.17 0.036655 2897.50 \n",
"2019-06-01 2977.68 3104.90 3176.75 2854.71 0.012422 2890.17 \n",
"2019-05-01 2982.16 2977.68 3104.90 2903.80 -0.016905 2854.71 \n",
"2019-04-01 2897.50 2982.16 2977.68 2803.98 0.035599 2854.71 \n",
"2019-03-01 2996.11 2897.50 2982.16 2754.86 0.017830 2803.98 \n",
"2019-02-01 2890.17 2996.11 2897.50 2607.39 0.056558 2754.86 \n",
"2019-01-01 2854.71 2890.17 2996.11 2567.31 0.015612 2607.39 \n",
"2018-12-01 2903.80 2854.71 2890.17 2723.23 -0.057256 2567.31 \n",
"2018-11-01 2803.98 2903.80 2854.71 2785.46 -0.022341 2567.31 \n",
"2018-10-01 2754.86 2803.98 2903.80 2901.50 -0.039993 2567.31 \n",
"2018-09-01 2607.39 2754.86 2803.98 2857.82 0.015284 2567.31 \n",
"2018-08-01 2567.31 2607.39 2754.86 2793.64 0.022974 2567.31 \n",
"2018-07-01 2723.23 2567.31 2607.39 2754.35 0.014265 2567.31 \n",
"2018-06-01 2785.46 2723.23 2567.31 2701.49 0.019567 2567.31 \n",
"2018-05-01 2901.50 2785.46 2723.23 2653.63 0.018036 2701.49 \n",
"2018-04-01 2857.82 2901.50 2785.46 2702.77 -0.018181 2653.63 \n",
"\n",
" Price_Corr_6M \n",
"Date \n",
"2021-03-01 0.000000 \n",
"2021-02-01 0.000000 \n",
"2021-01-01 0.000000 \n",
"2020-12-01 0.000000 \n",
"2020-11-01 0.000000 \n",
"2020-10-01 0.000000 \n",
"2020-09-01 0.000000 \n",
"2020-08-01 0.000000 \n",
"2020-07-01 0.000000 \n",
"2020-06-01 0.000000 \n",
"2020-05-01 0.000000 \n",
"2020-04-01 0.000000 \n",
"2020-03-01 0.000000 \n",
"2020-02-01 0.190681 \n",
"2020-01-01 0.190900 \n",
"2019-12-01 0.165062 \n",
"2019-11-01 0.145741 \n",
"2019-10-01 0.109243 \n",
"2019-09-01 0.110581 \n",
"2019-08-01 0.000000 \n",
"2019-07-01 0.000000 \n",
"2019-06-01 0.000000 \n",
"2019-05-01 0.000000 \n",
"2019-04-01 0.000000 \n",
"2019-03-01 0.000000 \n",
"2019-02-01 0.000000 \n",
"2019-01-01 0.000000 \n",
"2018-12-01 0.000000 \n",
"2018-11-01 0.057256 \n",
"2018-10-01 0.078317 \n",
"2018-09-01 0.115178 \n",
"2018-08-01 0.101654 \n",
"2018-07-01 0.081016 \n",
"2018-06-01 0.067907 \n",
"2018-05-01 0.000000 \n",
"2018-04-01 0.000000 "
]
},
"execution_count": 56,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"df.head(36)"
]
},
{
"cell_type": "code",
"execution_count": 57,
"id": "a717ab08",
"metadata": {},
"outputs": [],
"source": [
"def gen_features(df,cols, ref_period, band):\n",
" features = []\n",
" \n",
" features.append(df['Date'].iloc[ref_period])\n",
" for col in cols:\n",
" segment = df[col].iloc[ref_period:ref_period+band]\n",
" features.append(segment.min()) \n",
" features.append(segment.max())\n",
"\n",
" for i in range(2,99,10):\n",
" features.append(np.quantile(segment, i/100))\n",
"\n",
" features.append(segment.mean())\n",
" features.append(segment.std())\n",
" features.append(segment.mad())\n",
" features.append(segment.skew())\n",
" features.append(segment.kurtosis())\n",
"\n",
" features.append(np.sqrt(np.mean(segment**2)))\n",
"\n",
" features.append(np.abs(segment).mean())\n",
" features.append(np.abs(segment).std())\n",
"\n",
" features.append(np.abs(np.diff(segment)).mean())\n",
" features.append(np.abs(np.diff(segment)).std())\n",
" \n",
" return pd.Series(features)"
]
},
{
"cell_type": "code",
"execution_count": 58,
"id": "5459e181",
"metadata": {},
"outputs": [],
"source": [
"def generate_dataset(df_f, cols, band=60, start_date='2000-01-01', periods = 0):\n",
"# global cols\n",
" df = df_f.copy()\n",
" X_train = pd.DataFrame()\n",
"\n",
" y_train = pd.Series(dtype='float64', name=col_y)\n",
"# cols =['PER', 'Price', 'Price_Var']\n",
"\n",
" if periods>0:\n",
" ref_periods = periods\n",
" else:\n",
" ref_periods = df[df.index>=start_date].shape[0]\n",
" \n",
" for ref_period in range(ref_periods):\n",
" X = gen_features(df,cols, ref_period, band)\n",
" X_train = X_train.append(X, ignore_index=True)\n",
" y_train = y_train.append(pd.Series(df[col_y][ref_period], index=[df.index[ref_period]], name=col_y))\n",
"\n",
" X_train = X_train.rename({0:'Date'}, axis='columns')\n",
" X_train = X_train.set_index('Date')\n",
" return X_train, y_train"
]
},
{
"cell_type": "code",
"execution_count": 59,
"id": "0e57c0ae",
"metadata": {},
"outputs": [],
"source": [
"start_date = '1950-01-01' # set your own date\n",
"band=60 # how many months from past to use to generate statistics"
]
},
{
"cell_type": "code",
"execution_count": 60,
"id": "e5214c99",
"metadata": {},
"outputs": [],
"source": [
"cols_features = ['PER', 'Price', 'Price_Var']\n",
"X_train, y_train = generate_dataset(df, cols_features, band, start_date)"
]
},
{
"cell_type": "code",
"execution_count": 61,
"id": "5f254824",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"((855,), (855, 66))"
]
},
"execution_count": 61,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"y_train.shape, X_train.shape"
]
},
{
"cell_type": "code",
"execution_count": 62,
"id": "c619cf40",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"DatetimeIndex(['2021-03-01', '2021-02-01', '2021-01-01', '2020-12-01',\n",
" '2020-11-01', '2020-10-01', '2020-09-01', '2020-08-01',\n",
" '2020-07-01', '2020-06-01',\n",
" ...\n",
" '1950-10-01', '1950-09-01', '1950-08-01', '1950-07-01',\n",
" '1950-06-01', '1950-05-01', '1950-04-01', '1950-03-01',\n",
" '1950-02-01', '1950-01-01'],\n",
" dtype='datetime64[ns]', length=855, freq=None)"
]
},
"execution_count": 62,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"y_train.index"
]
},
{
"cell_type": "code",
"execution_count": 63,
"id": "a7becf1f",
"metadata": {
"scrolled": true
},
"outputs": [
{
"data": {
"text/plain": [
"DatetimeIndex(['2021-03-01', '2021-02-01', '2021-01-01', '2020-12-01',\n",
" '2020-11-01', '2020-10-01', '2020-09-01', '2020-08-01',\n",
" '2020-07-01', '2020-06-01',\n",
" ...\n",
" '1950-10-01', '1950-09-01', '1950-08-01', '1950-07-01',\n",
" '1950-06-01', '1950-05-01', '1950-04-01', '1950-03-01',\n",
" '1950-02-01', '1950-01-01'],\n",
" dtype='datetime64[ns]', name='Date', length=855, freq=None)"
]
},
"execution_count": 63,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"X_train.index"
]
},
{
"cell_type": "code",
"execution_count": 64,
"id": "97b5d249",
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"\n",
"\n",
"
\n",
" \n",
" \n",
" | \n",
" Price_Corr_6M | \n",
" 1 | \n",
" 2 | \n",
" 3 | \n",
" 4 | \n",
" 5 | \n",
" 6 | \n",
" 7 | \n",
" 8 | \n",
" 9 | \n",
" 10 | \n",
" 11 | \n",
" 12 | \n",
" 13 | \n",
" 14 | \n",
" 15 | \n",
" 16 | \n",
" 17 | \n",
" 18 | \n",
" 19 | \n",
" 20 | \n",
" 21 | \n",
" 22 | \n",
" 23 | \n",
" 24 | \n",
" 25 | \n",
" 26 | \n",
" 27 | \n",
" 28 | \n",
" 29 | \n",
" 30 | \n",
" 31 | \n",
" 32 | \n",
" 33 | \n",
" 34 | \n",
" 35 | \n",
" 36 | \n",
" 37 | \n",
" 38 | \n",
" 39 | \n",
" 40 | \n",
" 41 | \n",
" 42 | \n",
" 43 | \n",
" 44 | \n",
" 45 | \n",
" 46 | \n",
" 47 | \n",
" 48 | \n",
" 49 | \n",
" 50 | \n",
" 51 | \n",
" 52 | \n",
" 53 | \n",
" 54 | \n",
" 55 | \n",
" 56 | \n",
" 57 | \n",
" 58 | \n",
" 59 | \n",
" 60 | \n",
" 61 | \n",
" 62 | \n",
" 63 | \n",
" 64 | \n",
" 65 | \n",
" 66 | \n",
"
\n",
" \n",
" \n",
" \n",
" | count | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
"
\n",
" \n",
" | mean | \n",
" 0.029442 | \n",
" 14.431240 | \n",
" 23.570515 | \n",
" 14.777573 | \n",
" 16.034851 | \n",
" 17.090664 | \n",
" 17.821839 | \n",
" 18.497175 | \n",
" 19.202284 | \n",
" 19.946066 | \n",
" 20.755240 | \n",
" 21.613502 | \n",
" 22.575595 | \n",
" 19.098472 | \n",
" 2.512827 | \n",
" 2.085288 | \n",
" -0.071771 | \n",
" -0.390522 | \n",
" 19.285351 | \n",
" 19.098472 | \n",
" 2.512827 | \n",
" 0.488542 | \n",
" 0.410447 | \n",
" 384.463696 | \n",
" 713.743170 | \n",
" 394.766837 | \n",
" 432.420474 | \n",
" 468.538994 | \n",
" 495.908749 | \n",
" 522.235080 | \n",
" 548.910676 | \n",
" 577.287777 | \n",
" 606.409720 | \n",
" 638.616928 | \n",
" 675.973329 | \n",
" 545.985865 | \n",
" 91.298120 | \n",
" 76.474606 | \n",
" 0.025165 | \n",
" -0.619295 | \n",
" 554.023079 | \n",
" 545.985865 | \n",
" 91.298120 | \n",
" 14.235237 | \n",
" 12.290918 | \n",
" -0.100539 | \n",
" 0.084752 | \n",
" -0.068381 | \n",
" -0.028274 | \n",
" -0.014489 | \n",
" -0.005086 | \n",
" 0.003000 | \n",
" 0.011045 | \n",
" 0.018097 | \n",
" 0.025443 | \n",
" 0.034079 | \n",
" 0.045030 | \n",
" 0.006668 | \n",
" 0.033679 | \n",
" 0.025427 | \n",
" -0.578491 | \n",
" 1.979578 | \n",
" 0.034516 | \n",
" 0.026610 | \n",
" 0.022078 | \n",
" 0.032378 | \n",
" 0.026856 | \n",
"
\n",
" \n",
" | std | \n",
" 0.059236 | \n",
" 5.390596 | \n",
" 9.032074 | \n",
" 5.425410 | \n",
" 5.810988 | \n",
" 6.207451 | \n",
" 6.437289 | \n",
" 6.735476 | \n",
" 7.136561 | \n",
" 7.559777 | \n",
" 8.092159 | \n",
" 8.437071 | \n",
" 8.744541 | \n",
" 7.055263 | \n",
" 1.576082 | \n",
" 1.386864 | \n",
" 0.670917 | \n",
" 1.033676 | \n",
" 7.159203 | \n",
" 7.055263 | \n",
" 1.576082 | \n",
" 0.211380 | \n",
" 0.185295 | \n",
" 475.162320 | \n",
" 856.443386 | \n",
" 486.178252 | \n",
" 528.791032 | \n",
" 568.013175 | \n",
" 599.941679 | \n",
" 631.712107 | \n",
" 663.510627 | \n",
" 696.218222 | \n",
" 729.225963 | \n",
" 765.972484 | \n",
" 808.886759 | \n",
" 658.069139 | \n",
" 110.280034 | \n",
" 93.514936 | \n",
" 0.540819 | \n",
" 0.647425 | \n",
" 666.609814 | \n",
" 658.069139 | \n",
" 110.280034 | \n",
" 17.021054 | \n",
" 15.669683 | \n",
" 0.040727 | \n",
" 0.021875 | \n",
" 0.023598 | \n",
" 0.011524 | \n",
" 0.008447 | \n",
" 0.006091 | \n",
" 0.005691 | \n",
" 0.005557 | \n",
" 0.005355 | \n",
" 0.004835 | \n",
" 0.005320 | \n",
" 0.007283 | \n",
" 0.004992 | \n",
" 0.006853 | \n",
" 0.004935 | \n",
" 0.660493 | \n",
" 2.311267 | \n",
" 0.006286 | \n",
" 0.004484 | \n",
" 0.004871 | \n",
" 0.005854 | \n",
" 0.005227 | \n",
"
\n",
" \n",
" | min | \n",
" 0.000000 | \n",
" 6.640000 | \n",
" 10.010000 | \n",
" 6.649000 | \n",
" 7.390800 | \n",
" 7.839800 | \n",
" 8.444000 | \n",
" 8.757800 | \n",
" 8.843600 | \n",
" 8.979000 | \n",
" 9.084800 | \n",
" 9.260000 | \n",
" 9.535600 | \n",
" 8.579167 | \n",
" 0.732325 | \n",
" 0.594017 | \n",
" -2.482265 | \n",
" -1.599860 | \n",
" 8.619747 | \n",
" 8.579167 | \n",
" 0.732325 | \n",
" 0.221186 | \n",
" 0.173401 | \n",
" 13.930000 | \n",
" 18.700000 | \n",
" 13.945400 | \n",
" 14.607200 | \n",
" 14.780000 | \n",
" 14.907600 | \n",
" 15.153400 | \n",
" 15.337600 | \n",
" 15.765800 | \n",
" 16.129200 | \n",
" 16.842800 | \n",
" 18.028400 | \n",
" 15.689500 | \n",
" 1.234354 | \n",
" 0.991400 | \n",
" -1.408928 | \n",
" -1.727077 | \n",
" 15.738145 | \n",
" 15.689500 | \n",
" 1.234354 | \n",
" 0.455932 | \n",
" 0.322354 | \n",
" -0.203911 | \n",
" 0.046303 | \n",
" -0.113697 | \n",
" -0.058984 | \n",
" -0.037086 | \n",
" -0.021644 | \n",
" -0.009407 | \n",
" -0.003258 | \n",
" 0.005858 | \n",
" 0.015197 | \n",
" 0.023998 | \n",
" 0.029321 | \n",
" -0.005692 | \n",
" 0.018549 | \n",
" 0.014381 | \n",
" -3.194508 | \n",
" -0.619530 | \n",
" 0.020565 | \n",
" 0.015005 | \n",
" 0.013153 | \n",
" 0.018028 | \n",
" 0.015464 | \n",
"
\n",
" \n",
" | 25% | \n",
" 0.000000 | \n",
" 9.070000 | \n",
" 18.330000 | \n",
" 9.624400 | \n",
" 10.062600 | \n",
" 10.854900 | \n",
" 11.632000 | \n",
" 12.143900 | \n",
" 12.651000 | \n",
" 13.566600 | \n",
" 14.505800 | \n",
" 15.853200 | \n",
" 17.248200 | \n",
" 13.149917 | \n",
" 1.609897 | \n",
" 1.306261 | \n",
" -0.505305 | \n",
" -1.057436 | \n",
" 13.392315 | \n",
" 13.149917 | \n",
" 1.609897 | \n",
" 0.357627 | \n",
" 0.299752 | \n",
" 61.340000 | \n",
" 95.810000 | \n",
" 64.122700 | \n",
" 70.159800 | \n",
" 75.275800 | \n",
" 80.003600 | \n",
" 82.402100 | \n",
" 84.944600 | \n",
" 86.487700 | \n",
" 88.739400 | \n",
" 91.449900 | \n",
" 92.779600 | \n",
" 82.501500 | \n",
" 8.457500 | \n",
" 6.809078 | \n",
" -0.396932 | \n",
" -1.094689 | \n",
" 82.970865 | \n",
" 82.501500 | \n",
" 8.457500 | \n",
" 1.763644 | \n",
" 1.388085 | \n",
" -0.116780 | \n",
" 0.068898 | \n",
" -0.085138 | \n",
" -0.034946 | \n",
" -0.020583 | \n",
" -0.008601 | \n",
" -0.001513 | \n",
" 0.006866 | \n",
" 0.015007 | \n",
" 0.021134 | \n",
" 0.030060 | \n",
" 0.039719 | \n",
" 0.003053 | \n",
" 0.028540 | \n",
" 0.021893 | \n",
" -0.998518 | \n",
" 0.615426 | \n",
" 0.029960 | \n",
" 0.023818 | \n",
" 0.018208 | \n",
" 0.028348 | \n",
" 0.023768 | \n",
"
\n",
" \n",
" | 50% | \n",
" 0.000000 | \n",
" 13.670000 | \n",
" 22.170000 | \n",
" 14.067800 | \n",
" 15.870000 | \n",
" 17.027200 | \n",
" 17.535600 | \n",
" 18.011200 | \n",
" 18.463600 | \n",
" 19.491800 | \n",
" 20.304400 | \n",
" 20.608600 | \n",
" 21.084800 | \n",
" 18.702833 | \n",
" 2.085849 | \n",
" 1.680956 | \n",
" -0.136785 | \n",
" -0.603029 | \n",
" 18.789576 | \n",
" 18.702833 | \n",
" 2.085849 | \n",
" 0.453051 | \n",
" 0.371721 | \n",
" 109.400000 | \n",
" 192.500000 | \n",
" 109.700000 | \n",
" 117.380000 | \n",
" 126.446000 | \n",
" 132.228000 | \n",
" 135.414000 | \n",
" 151.644000 | \n",
" 157.658000 | \n",
" 164.644000 | \n",
" 166.628000 | \n",
" 180.684000 | \n",
" 146.948333 | \n",
" 23.385346 | \n",
" 20.608333 | \n",
" 0.002311 | \n",
" -0.703772 | \n",
" 148.766839 | \n",
" 146.948333 | \n",
" 23.385346 | \n",
" 3.781356 | \n",
" 3.189377 | \n",
" -0.105555 | \n",
" 0.073924 | \n",
" -0.059120 | \n",
" -0.026887 | \n",
" -0.013355 | \n",
" -0.004159 | \n",
" 0.003470 | \n",
" 0.011680 | \n",
" 0.017729 | \n",
" 0.026024 | \n",
" 0.033624 | \n",
" 0.044658 | \n",
" 0.007230 | \n",
" 0.032639 | \n",
" 0.025095 | \n",
" -0.526425 | \n",
" 1.129819 | \n",
" 0.033443 | \n",
" 0.026435 | \n",
" 0.021073 | \n",
" 0.031874 | \n",
" 0.025729 | \n",
"
\n",
" \n",
" | 75% | \n",
" 0.052333 | \n",
" 19.365000 | \n",
" 27.550000 | \n",
" 19.691300 | \n",
" 20.400800 | \n",
" 21.068700 | \n",
" 21.621600 | \n",
" 22.564300 | \n",
" 23.678600 | \n",
" 24.915200 | \n",
" 25.747400 | \n",
" 26.457800 | \n",
" 27.291200 | \n",
" 23.367000 | \n",
" 2.680915 | \n",
" 2.299289 | \n",
" 0.352199 | \n",
" -0.054330 | \n",
" 23.579368 | \n",
" 23.367000 | \n",
" 2.680915 | \n",
" 0.528390 | \n",
" 0.438316 | \n",
" 757.130000 | \n",
" 1485.460000 | \n",
" 812.955600 | \n",
" 904.097200 | \n",
" 992.479800 | \n",
" 1073.387200 | \n",
" 1105.174600 | \n",
" 1136.067200 | \n",
" 1190.914700 | \n",
" 1273.358400 | \n",
" 1354.531600 | \n",
" 1423.463000 | \n",
" 1133.277167 | \n",
" 182.130724 | \n",
" 148.246117 | \n",
" 0.386897 | \n",
" -0.268461 | \n",
" 1147.898600 | \n",
" 1133.277167 | \n",
" 182.130724 | \n",
" 29.947203 | \n",
" 24.505543 | \n",
" -0.065957 | \n",
" 0.108439 | \n",
" -0.051697 | \n",
" -0.020761 | \n",
" -0.006811 | \n",
" -0.000925 | \n",
" 0.007640 | \n",
" 0.014019 | \n",
" 0.021943 | \n",
" 0.028942 | \n",
" 0.038760 | \n",
" 0.049991 | \n",
" 0.009902 | \n",
" 0.038566 | \n",
" 0.028974 | \n",
" -0.205180 | \n",
" 3.044290 | \n",
" 0.039175 | \n",
" 0.029874 | \n",
" 0.025503 | \n",
" 0.036072 | \n",
" 0.029917 | \n",
"
\n",
" \n",
" | max | \n",
" 0.377846 | \n",
" 27.670000 | \n",
" 44.190000 | \n",
" 28.657400 | \n",
" 30.306800 | \n",
" 32.317000 | \n",
" 32.895200 | \n",
" 34.569200 | \n",
" 36.970400 | \n",
" 38.803200 | \n",
" 41.334400 | \n",
" 42.320600 | \n",
" 43.212800 | \n",
" 36.634500 | \n",
" 7.976569 | \n",
" 7.214517 | \n",
" 2.050546 | \n",
" 7.139904 | \n",
" 36.966912 | \n",
" 36.634500 | \n",
" 7.976569 | \n",
" 1.190508 | \n",
" 0.917348 | \n",
" 2065.550000 | \n",
" 3910.510000 | \n",
" 2077.043000 | \n",
" 2177.004400 | \n",
" 2394.779400 | \n",
" 2566.072800 | \n",
" 2693.317000 | \n",
" 2759.701600 | \n",
" 2856.513800 | \n",
" 2947.483600 | \n",
" 3188.480600 | \n",
" 3455.181200 | \n",
" 2778.860500 | \n",
" 463.023817 | \n",
" 356.773533 | \n",
" 1.612620 | \n",
" 3.178645 | \n",
" 2816.537511 | \n",
" 2778.860500 | \n",
" 463.023817 | \n",
" 76.767288 | \n",
" 86.528188 | \n",
" -0.035747 | \n",
" 0.120217 | \n",
" -0.016349 | \n",
" -0.007115 | \n",
" -0.000274 | \n",
" 0.010087 | \n",
" 0.015437 | \n",
" 0.024440 | \n",
" 0.030495 | \n",
" 0.036719 | \n",
" 0.045736 | \n",
" 0.062069 | \n",
" 0.019740 | \n",
" 0.050296 | \n",
" 0.037867 | \n",
" 1.828116 | \n",
" 16.683022 | \n",
" 0.049884 | \n",
" 0.037836 | \n",
" 0.033161 | \n",
" 0.047505 | \n",
" 0.039672 | \n",
"
\n",
" \n",
"
\n",
"
"
],
"text/plain": [
" Price_Corr_6M 1 2 3 4 \\\n",
"count 855.000000 855.000000 855.000000 855.000000 855.000000 \n",
"mean 0.029442 14.431240 23.570515 14.777573 16.034851 \n",
"std 0.059236 5.390596 9.032074 5.425410 5.810988 \n",
"min 0.000000 6.640000 10.010000 6.649000 7.390800 \n",
"25% 0.000000 9.070000 18.330000 9.624400 10.062600 \n",
"50% 0.000000 13.670000 22.170000 14.067800 15.870000 \n",
"75% 0.052333 19.365000 27.550000 19.691300 20.400800 \n",
"max 0.377846 27.670000 44.190000 28.657400 30.306800 \n",
"\n",
" 5 6 7 8 9 10 \\\n",
"count 855.000000 855.000000 855.000000 855.000000 855.000000 855.000000 \n",
"mean 17.090664 17.821839 18.497175 19.202284 19.946066 20.755240 \n",
"std 6.207451 6.437289 6.735476 7.136561 7.559777 8.092159 \n",
"min 7.839800 8.444000 8.757800 8.843600 8.979000 9.084800 \n",
"25% 10.854900 11.632000 12.143900 12.651000 13.566600 14.505800 \n",
"50% 17.027200 17.535600 18.011200 18.463600 19.491800 20.304400 \n",
"75% 21.068700 21.621600 22.564300 23.678600 24.915200 25.747400 \n",
"max 32.317000 32.895200 34.569200 36.970400 38.803200 41.334400 \n",
"\n",
" 11 12 13 14 15 16 \\\n",
"count 855.000000 855.000000 855.000000 855.000000 855.000000 855.000000 \n",
"mean 21.613502 22.575595 19.098472 2.512827 2.085288 -0.071771 \n",
"std 8.437071 8.744541 7.055263 1.576082 1.386864 0.670917 \n",
"min 9.260000 9.535600 8.579167 0.732325 0.594017 -2.482265 \n",
"25% 15.853200 17.248200 13.149917 1.609897 1.306261 -0.505305 \n",
"50% 20.608600 21.084800 18.702833 2.085849 1.680956 -0.136785 \n",
"75% 26.457800 27.291200 23.367000 2.680915 2.299289 0.352199 \n",
"max 42.320600 43.212800 36.634500 7.976569 7.214517 2.050546 \n",
"\n",
" 17 18 19 20 21 22 \\\n",
"count 855.000000 855.000000 855.000000 855.000000 855.000000 855.000000 \n",
"mean -0.390522 19.285351 19.098472 2.512827 0.488542 0.410447 \n",
"std 1.033676 7.159203 7.055263 1.576082 0.211380 0.185295 \n",
"min -1.599860 8.619747 8.579167 0.732325 0.221186 0.173401 \n",
"25% -1.057436 13.392315 13.149917 1.609897 0.357627 0.299752 \n",
"50% -0.603029 18.789576 18.702833 2.085849 0.453051 0.371721 \n",
"75% -0.054330 23.579368 23.367000 2.680915 0.528390 0.438316 \n",
"max 7.139904 36.966912 36.634500 7.976569 1.190508 0.917348 \n",
"\n",
" 23 24 25 26 27 \\\n",
"count 855.000000 855.000000 855.000000 855.000000 855.000000 \n",
"mean 384.463696 713.743170 394.766837 432.420474 468.538994 \n",
"std 475.162320 856.443386 486.178252 528.791032 568.013175 \n",
"min 13.930000 18.700000 13.945400 14.607200 14.780000 \n",
"25% 61.340000 95.810000 64.122700 70.159800 75.275800 \n",
"50% 109.400000 192.500000 109.700000 117.380000 126.446000 \n",
"75% 757.130000 1485.460000 812.955600 904.097200 992.479800 \n",
"max 2065.550000 3910.510000 2077.043000 2177.004400 2394.779400 \n",
"\n",
" 28 29 30 31 32 \\\n",
"count 855.000000 855.000000 855.000000 855.000000 855.000000 \n",
"mean 495.908749 522.235080 548.910676 577.287777 606.409720 \n",
"std 599.941679 631.712107 663.510627 696.218222 729.225963 \n",
"min 14.907600 15.153400 15.337600 15.765800 16.129200 \n",
"25% 80.003600 82.402100 84.944600 86.487700 88.739400 \n",
"50% 132.228000 135.414000 151.644000 157.658000 164.644000 \n",
"75% 1073.387200 1105.174600 1136.067200 1190.914700 1273.358400 \n",
"max 2566.072800 2693.317000 2759.701600 2856.513800 2947.483600 \n",
"\n",
" 33 34 35 36 37 \\\n",
"count 855.000000 855.000000 855.000000 855.000000 855.000000 \n",
"mean 638.616928 675.973329 545.985865 91.298120 76.474606 \n",
"std 765.972484 808.886759 658.069139 110.280034 93.514936 \n",
"min 16.842800 18.028400 15.689500 1.234354 0.991400 \n",
"25% 91.449900 92.779600 82.501500 8.457500 6.809078 \n",
"50% 166.628000 180.684000 146.948333 23.385346 20.608333 \n",
"75% 1354.531600 1423.463000 1133.277167 182.130724 148.246117 \n",
"max 3188.480600 3455.181200 2778.860500 463.023817 356.773533 \n",
"\n",
" 38 39 40 41 42 \\\n",
"count 855.000000 855.000000 855.000000 855.000000 855.000000 \n",
"mean 0.025165 -0.619295 554.023079 545.985865 91.298120 \n",
"std 0.540819 0.647425 666.609814 658.069139 110.280034 \n",
"min -1.408928 -1.727077 15.738145 15.689500 1.234354 \n",
"25% -0.396932 -1.094689 82.970865 82.501500 8.457500 \n",
"50% 0.002311 -0.703772 148.766839 146.948333 23.385346 \n",
"75% 0.386897 -0.268461 1147.898600 1133.277167 182.130724 \n",
"max 1.612620 3.178645 2816.537511 2778.860500 463.023817 \n",
"\n",
" 43 44 45 46 47 48 \\\n",
"count 855.000000 855.000000 855.000000 855.000000 855.000000 855.000000 \n",
"mean 14.235237 12.290918 -0.100539 0.084752 -0.068381 -0.028274 \n",
"std 17.021054 15.669683 0.040727 0.021875 0.023598 0.011524 \n",
"min 0.455932 0.322354 -0.203911 0.046303 -0.113697 -0.058984 \n",
"25% 1.763644 1.388085 -0.116780 0.068898 -0.085138 -0.034946 \n",
"50% 3.781356 3.189377 -0.105555 0.073924 -0.059120 -0.026887 \n",
"75% 29.947203 24.505543 -0.065957 0.108439 -0.051697 -0.020761 \n",
"max 76.767288 86.528188 -0.035747 0.120217 -0.016349 -0.007115 \n",
"\n",
" 49 50 51 52 53 54 \\\n",
"count 855.000000 855.000000 855.000000 855.000000 855.000000 855.000000 \n",
"mean -0.014489 -0.005086 0.003000 0.011045 0.018097 0.025443 \n",
"std 0.008447 0.006091 0.005691 0.005557 0.005355 0.004835 \n",
"min -0.037086 -0.021644 -0.009407 -0.003258 0.005858 0.015197 \n",
"25% -0.020583 -0.008601 -0.001513 0.006866 0.015007 0.021134 \n",
"50% -0.013355 -0.004159 0.003470 0.011680 0.017729 0.026024 \n",
"75% -0.006811 -0.000925 0.007640 0.014019 0.021943 0.028942 \n",
"max -0.000274 0.010087 0.015437 0.024440 0.030495 0.036719 \n",
"\n",
" 55 56 57 58 59 60 \\\n",
"count 855.000000 855.000000 855.000000 855.000000 855.000000 855.000000 \n",
"mean 0.034079 0.045030 0.006668 0.033679 0.025427 -0.578491 \n",
"std 0.005320 0.007283 0.004992 0.006853 0.004935 0.660493 \n",
"min 0.023998 0.029321 -0.005692 0.018549 0.014381 -3.194508 \n",
"25% 0.030060 0.039719 0.003053 0.028540 0.021893 -0.998518 \n",
"50% 0.033624 0.044658 0.007230 0.032639 0.025095 -0.526425 \n",
"75% 0.038760 0.049991 0.009902 0.038566 0.028974 -0.205180 \n",
"max 0.045736 0.062069 0.019740 0.050296 0.037867 1.828116 \n",
"\n",
" 61 62 63 64 65 66 \n",
"count 855.000000 855.000000 855.000000 855.000000 855.000000 855.000000 \n",
"mean 1.979578 0.034516 0.026610 0.022078 0.032378 0.026856 \n",
"std 2.311267 0.006286 0.004484 0.004871 0.005854 0.005227 \n",
"min -0.619530 0.020565 0.015005 0.013153 0.018028 0.015464 \n",
"25% 0.615426 0.029960 0.023818 0.018208 0.028348 0.023768 \n",
"50% 1.129819 0.033443 0.026435 0.021073 0.031874 0.025729 \n",
"75% 3.044290 0.039175 0.029874 0.025503 0.036072 0.029917 \n",
"max 16.683022 0.049884 0.037836 0.033161 0.047505 0.039672 "
]
},
"execution_count": 64,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"dataset = pd.concat([y_train, X_train], axis=1, join=\"inner\") # align to avoid random shifting\n",
"dataset.describe()"
]
},
{
"cell_type": "code",
"execution_count": 65,
"id": "77b09817",
"metadata": {
"scrolled": false
},
"outputs": [],
"source": [
"Y=dataset.pop(col_y) # target to predict"
]
},
{
"cell_type": "code",
"execution_count": 66,
"id": "46d2be0d",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"count 855.000000\n",
"mean 0.029442\n",
"std 0.059236\n",
"min 0.000000\n",
"25% 0.000000\n",
"50% 0.000000\n",
"75% 0.052333\n",
"max 0.377846\n",
"Name: Price_Corr_6M, dtype: float64"
]
},
"execution_count": 66,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"Y.describe()"
]
},
{
"cell_type": "code",
"execution_count": 67,
"id": "ada10543",
"metadata": {},
"outputs": [
{
"data": {
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" 855.000000 | \n",
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" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
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" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
" 855.000000 | \n",
"
\n",
" \n",
" | mean | \n",
" 14.431240 | \n",
" 23.570515 | \n",
" 14.777573 | \n",
" 16.034851 | \n",
" 17.090664 | \n",
" 17.821839 | \n",
" 18.497175 | \n",
" 19.202284 | \n",
" 19.946066 | \n",
" 20.755240 | \n",
" 21.613502 | \n",
" 22.575595 | \n",
" 19.098472 | \n",
" 2.512827 | \n",
" 2.085288 | \n",
" -0.071771 | \n",
" -0.390522 | \n",
" 19.285351 | \n",
" 19.098472 | \n",
" 2.512827 | \n",
" 0.488542 | \n",
" 0.410447 | \n",
" 384.463696 | \n",
" 713.743170 | \n",
" 394.766837 | \n",
" 432.420474 | \n",
" 468.538994 | \n",
" 495.908749 | \n",
" 522.235080 | \n",
" 548.910676 | \n",
" 577.287777 | \n",
" 606.409720 | \n",
" 638.616928 | \n",
" 675.973329 | \n",
" 545.985865 | \n",
" 91.298120 | \n",
" 76.474606 | \n",
" 0.025165 | \n",
" -0.619295 | \n",
" 554.023079 | \n",
" 545.985865 | \n",
" 91.298120 | \n",
" 14.235237 | \n",
" 12.290918 | \n",
" -0.100539 | \n",
" 0.084752 | \n",
" -0.068381 | \n",
" -0.028274 | \n",
" -0.014489 | \n",
" -0.005086 | \n",
" 0.003000 | \n",
" 0.011045 | \n",
" 0.018097 | \n",
" 0.025443 | \n",
" 0.034079 | \n",
" 0.045030 | \n",
" 0.006668 | \n",
" 0.033679 | \n",
" 0.025427 | \n",
" -0.578491 | \n",
" 1.979578 | \n",
" 0.034516 | \n",
" 0.026610 | \n",
" 0.022078 | \n",
" 0.032378 | \n",
" 0.026856 | \n",
"
\n",
" \n",
" | std | \n",
" 5.390596 | \n",
" 9.032074 | \n",
" 5.425410 | \n",
" 5.810988 | \n",
" 6.207451 | \n",
" 6.437289 | \n",
" 6.735476 | \n",
" 7.136561 | \n",
" 7.559777 | \n",
" 8.092159 | \n",
" 8.437071 | \n",
" 8.744541 | \n",
" 7.055263 | \n",
" 1.576082 | \n",
" 1.386864 | \n",
" 0.670917 | \n",
" 1.033676 | \n",
" 7.159203 | \n",
" 7.055263 | \n",
" 1.576082 | \n",
" 0.211380 | \n",
" 0.185295 | \n",
" 475.162320 | \n",
" 856.443386 | \n",
" 486.178252 | \n",
" 528.791032 | \n",
" 568.013175 | \n",
" 599.941679 | \n",
" 631.712107 | \n",
" 663.510627 | \n",
" 696.218222 | \n",
" 729.225963 | \n",
" 765.972484 | \n",
" 808.886759 | \n",
" 658.069139 | \n",
" 110.280034 | \n",
" 93.514936 | \n",
" 0.540819 | \n",
" 0.647425 | \n",
" 666.609814 | \n",
" 658.069139 | \n",
" 110.280034 | \n",
" 17.021054 | \n",
" 15.669683 | \n",
" 0.040727 | \n",
" 0.021875 | \n",
" 0.023598 | \n",
" 0.011524 | \n",
" 0.008447 | \n",
" 0.006091 | \n",
" 0.005691 | \n",
" 0.005557 | \n",
" 0.005355 | \n",
" 0.004835 | \n",
" 0.005320 | \n",
" 0.007283 | \n",
" 0.004992 | \n",
" 0.006853 | \n",
" 0.004935 | \n",
" 0.660493 | \n",
" 2.311267 | \n",
" 0.006286 | \n",
" 0.004484 | \n",
" 0.004871 | \n",
" 0.005854 | \n",
" 0.005227 | \n",
"
\n",
" \n",
" | min | \n",
" 6.640000 | \n",
" 10.010000 | \n",
" 6.649000 | \n",
" 7.390800 | \n",
" 7.839800 | \n",
" 8.444000 | \n",
" 8.757800 | \n",
" 8.843600 | \n",
" 8.979000 | \n",
" 9.084800 | \n",
" 9.260000 | \n",
" 9.535600 | \n",
" 8.579167 | \n",
" 0.732325 | \n",
" 0.594017 | \n",
" -2.482265 | \n",
" -1.599860 | \n",
" 8.619747 | \n",
" 8.579167 | \n",
" 0.732325 | \n",
" 0.221186 | \n",
" 0.173401 | \n",
" 13.930000 | \n",
" 18.700000 | \n",
" 13.945400 | \n",
" 14.607200 | \n",
" 14.780000 | \n",
" 14.907600 | \n",
" 15.153400 | \n",
" 15.337600 | \n",
" 15.765800 | \n",
" 16.129200 | \n",
" 16.842800 | \n",
" 18.028400 | \n",
" 15.689500 | \n",
" 1.234354 | \n",
" 0.991400 | \n",
" -1.408928 | \n",
" -1.727077 | \n",
" 15.738145 | \n",
" 15.689500 | \n",
" 1.234354 | \n",
" 0.455932 | \n",
" 0.322354 | \n",
" -0.203911 | \n",
" 0.046303 | \n",
" -0.113697 | \n",
" -0.058984 | \n",
" -0.037086 | \n",
" -0.021644 | \n",
" -0.009407 | \n",
" -0.003258 | \n",
" 0.005858 | \n",
" 0.015197 | \n",
" 0.023998 | \n",
" 0.029321 | \n",
" -0.005692 | \n",
" 0.018549 | \n",
" 0.014381 | \n",
" -3.194508 | \n",
" -0.619530 | \n",
" 0.020565 | \n",
" 0.015005 | \n",
" 0.013153 | \n",
" 0.018028 | \n",
" 0.015464 | \n",
"
\n",
" \n",
" | 25% | \n",
" 9.070000 | \n",
" 18.330000 | \n",
" 9.624400 | \n",
" 10.062600 | \n",
" 10.854900 | \n",
" 11.632000 | \n",
" 12.143900 | \n",
" 12.651000 | \n",
" 13.566600 | \n",
" 14.505800 | \n",
" 15.853200 | \n",
" 17.248200 | \n",
" 13.149917 | \n",
" 1.609897 | \n",
" 1.306261 | \n",
" -0.505305 | \n",
" -1.057436 | \n",
" 13.392315 | \n",
" 13.149917 | \n",
" 1.609897 | \n",
" 0.357627 | \n",
" 0.299752 | \n",
" 61.340000 | \n",
" 95.810000 | \n",
" 64.122700 | \n",
" 70.159800 | \n",
" 75.275800 | \n",
" 80.003600 | \n",
" 82.402100 | \n",
" 84.944600 | \n",
" 86.487700 | \n",
" 88.739400 | \n",
" 91.449900 | \n",
" 92.779600 | \n",
" 82.501500 | \n",
" 8.457500 | \n",
" 6.809078 | \n",
" -0.396932 | \n",
" -1.094689 | \n",
" 82.970865 | \n",
" 82.501500 | \n",
" 8.457500 | \n",
" 1.763644 | \n",
" 1.388085 | \n",
" -0.116780 | \n",
" 0.068898 | \n",
" -0.085138 | \n",
" -0.034946 | \n",
" -0.020583 | \n",
" -0.008601 | \n",
" -0.001513 | \n",
" 0.006866 | \n",
" 0.015007 | \n",
" 0.021134 | \n",
" 0.030060 | \n",
" 0.039719 | \n",
" 0.003053 | \n",
" 0.028540 | \n",
" 0.021893 | \n",
" -0.998518 | \n",
" 0.615426 | \n",
" 0.029960 | \n",
" 0.023818 | \n",
" 0.018208 | \n",
" 0.028348 | \n",
" 0.023768 | \n",
"
\n",
" \n",
" | 50% | \n",
" 13.670000 | \n",
" 22.170000 | \n",
" 14.067800 | \n",
" 15.870000 | \n",
" 17.027200 | \n",
" 17.535600 | \n",
" 18.011200 | \n",
" 18.463600 | \n",
" 19.491800 | \n",
" 20.304400 | \n",
" 20.608600 | \n",
" 21.084800 | \n",
" 18.702833 | \n",
" 2.085849 | \n",
" 1.680956 | \n",
" -0.136785 | \n",
" -0.603029 | \n",
" 18.789576 | \n",
" 18.702833 | \n",
" 2.085849 | \n",
" 0.453051 | \n",
" 0.371721 | \n",
" 109.400000 | \n",
" 192.500000 | \n",
" 109.700000 | \n",
" 117.380000 | \n",
" 126.446000 | \n",
" 132.228000 | \n",
" 135.414000 | \n",
" 151.644000 | \n",
" 157.658000 | \n",
" 164.644000 | \n",
" 166.628000 | \n",
" 180.684000 | \n",
" 146.948333 | \n",
" 23.385346 | \n",
" 20.608333 | \n",
" 0.002311 | \n",
" -0.703772 | \n",
" 148.766839 | \n",
" 146.948333 | \n",
" 23.385346 | \n",
" 3.781356 | \n",
" 3.189377 | \n",
" -0.105555 | \n",
" 0.073924 | \n",
" -0.059120 | \n",
" -0.026887 | \n",
" -0.013355 | \n",
" -0.004159 | \n",
" 0.003470 | \n",
" 0.011680 | \n",
" 0.017729 | \n",
" 0.026024 | \n",
" 0.033624 | \n",
" 0.044658 | \n",
" 0.007230 | \n",
" 0.032639 | \n",
" 0.025095 | \n",
" -0.526425 | \n",
" 1.129819 | \n",
" 0.033443 | \n",
" 0.026435 | \n",
" 0.021073 | \n",
" 0.031874 | \n",
" 0.025729 | \n",
"
\n",
" \n",
" | 75% | \n",
" 19.365000 | \n",
" 27.550000 | \n",
" 19.691300 | \n",
" 20.400800 | \n",
" 21.068700 | \n",
" 21.621600 | \n",
" 22.564300 | \n",
" 23.678600 | \n",
" 24.915200 | \n",
" 25.747400 | \n",
" 26.457800 | \n",
" 27.291200 | \n",
" 23.367000 | \n",
" 2.680915 | \n",
" 2.299289 | \n",
" 0.352199 | \n",
" -0.054330 | \n",
" 23.579368 | \n",
" 23.367000 | \n",
" 2.680915 | \n",
" 0.528390 | \n",
" 0.438316 | \n",
" 757.130000 | \n",
" 1485.460000 | \n",
" 812.955600 | \n",
" 904.097200 | \n",
" 992.479800 | \n",
" 1073.387200 | \n",
" 1105.174600 | \n",
" 1136.067200 | \n",
" 1190.914700 | \n",
" 1273.358400 | \n",
" 1354.531600 | \n",
" 1423.463000 | \n",
" 1133.277167 | \n",
" 182.130724 | \n",
" 148.246117 | \n",
" 0.386897 | \n",
" -0.268461 | \n",
" 1147.898600 | \n",
" 1133.277167 | \n",
" 182.130724 | \n",
" 29.947203 | \n",
" 24.505543 | \n",
" -0.065957 | \n",
" 0.108439 | \n",
" -0.051697 | \n",
" -0.020761 | \n",
" -0.006811 | \n",
" -0.000925 | \n",
" 0.007640 | \n",
" 0.014019 | \n",
" 0.021943 | \n",
" 0.028942 | \n",
" 0.038760 | \n",
" 0.049991 | \n",
" 0.009902 | \n",
" 0.038566 | \n",
" 0.028974 | \n",
" -0.205180 | \n",
" 3.044290 | \n",
" 0.039175 | \n",
" 0.029874 | \n",
" 0.025503 | \n",
" 0.036072 | \n",
" 0.029917 | \n",
"
\n",
" \n",
" | max | \n",
" 27.670000 | \n",
" 44.190000 | \n",
" 28.657400 | \n",
" 30.306800 | \n",
" 32.317000 | \n",
" 32.895200 | \n",
" 34.569200 | \n",
" 36.970400 | \n",
" 38.803200 | \n",
" 41.334400 | \n",
" 42.320600 | \n",
" 43.212800 | \n",
" 36.634500 | \n",
" 7.976569 | \n",
" 7.214517 | \n",
" 2.050546 | \n",
" 7.139904 | \n",
" 36.966912 | \n",
" 36.634500 | \n",
" 7.976569 | \n",
" 1.190508 | \n",
" 0.917348 | \n",
" 2065.550000 | \n",
" 3910.510000 | \n",
" 2077.043000 | \n",
" 2177.004400 | \n",
" 2394.779400 | \n",
" 2566.072800 | \n",
" 2693.317000 | \n",
" 2759.701600 | \n",
" 2856.513800 | \n",
" 2947.483600 | \n",
" 3188.480600 | \n",
" 3455.181200 | \n",
" 2778.860500 | \n",
" 463.023817 | \n",
" 356.773533 | \n",
" 1.612620 | \n",
" 3.178645 | \n",
" 2816.537511 | \n",
" 2778.860500 | \n",
" 463.023817 | \n",
" 76.767288 | \n",
" 86.528188 | \n",
" -0.035747 | \n",
" 0.120217 | \n",
" -0.016349 | \n",
" -0.007115 | \n",
" -0.000274 | \n",
" 0.010087 | \n",
" 0.015437 | \n",
" 0.024440 | \n",
" 0.030495 | \n",
" 0.036719 | \n",
" 0.045736 | \n",
" 0.062069 | \n",
" 0.019740 | \n",
" 0.050296 | \n",
" 0.037867 | \n",
" 1.828116 | \n",
" 16.683022 | \n",
" 0.049884 | \n",
" 0.037836 | \n",
" 0.033161 | \n",
" 0.047505 | \n",
" 0.039672 | \n",
"
\n",
" \n",
"
\n",
"
"
],
"text/plain": [
" 1 2 3 4 5 6 \\\n",
"count 855.000000 855.000000 855.000000 855.000000 855.000000 855.000000 \n",
"mean 14.431240 23.570515 14.777573 16.034851 17.090664 17.821839 \n",
"std 5.390596 9.032074 5.425410 5.810988 6.207451 6.437289 \n",
"min 6.640000 10.010000 6.649000 7.390800 7.839800 8.444000 \n",
"25% 9.070000 18.330000 9.624400 10.062600 10.854900 11.632000 \n",
"50% 13.670000 22.170000 14.067800 15.870000 17.027200 17.535600 \n",
"75% 19.365000 27.550000 19.691300 20.400800 21.068700 21.621600 \n",
"max 27.670000 44.190000 28.657400 30.306800 32.317000 32.895200 \n",
"\n",
" 7 8 9 10 11 12 \\\n",
"count 855.000000 855.000000 855.000000 855.000000 855.000000 855.000000 \n",
"mean 18.497175 19.202284 19.946066 20.755240 21.613502 22.575595 \n",
"std 6.735476 7.136561 7.559777 8.092159 8.437071 8.744541 \n",
"min 8.757800 8.843600 8.979000 9.084800 9.260000 9.535600 \n",
"25% 12.143900 12.651000 13.566600 14.505800 15.853200 17.248200 \n",
"50% 18.011200 18.463600 19.491800 20.304400 20.608600 21.084800 \n",
"75% 22.564300 23.678600 24.915200 25.747400 26.457800 27.291200 \n",
"max 34.569200 36.970400 38.803200 41.334400 42.320600 43.212800 \n",
"\n",
" 13 14 15 16 17 18 \\\n",
"count 855.000000 855.000000 855.000000 855.000000 855.000000 855.000000 \n",
"mean 19.098472 2.512827 2.085288 -0.071771 -0.390522 19.285351 \n",
"std 7.055263 1.576082 1.386864 0.670917 1.033676 7.159203 \n",
"min 8.579167 0.732325 0.594017 -2.482265 -1.599860 8.619747 \n",
"25% 13.149917 1.609897 1.306261 -0.505305 -1.057436 13.392315 \n",
"50% 18.702833 2.085849 1.680956 -0.136785 -0.603029 18.789576 \n",
"75% 23.367000 2.680915 2.299289 0.352199 -0.054330 23.579368 \n",
"max 36.634500 7.976569 7.214517 2.050546 7.139904 36.966912 \n",
"\n",
" 19 20 21 22 23 \\\n",
"count 855.000000 855.000000 855.000000 855.000000 855.000000 \n",
"mean 19.098472 2.512827 0.488542 0.410447 384.463696 \n",
"std 7.055263 1.576082 0.211380 0.185295 475.162320 \n",
"min 8.579167 0.732325 0.221186 0.173401 13.930000 \n",
"25% 13.149917 1.609897 0.357627 0.299752 61.340000 \n",
"50% 18.702833 2.085849 0.453051 0.371721 109.400000 \n",
"75% 23.367000 2.680915 0.528390 0.438316 757.130000 \n",
"max 36.634500 7.976569 1.190508 0.917348 2065.550000 \n",
"\n",
" 24 25 26 27 28 \\\n",
"count 855.000000 855.000000 855.000000 855.000000 855.000000 \n",
"mean 713.743170 394.766837 432.420474 468.538994 495.908749 \n",
"std 856.443386 486.178252 528.791032 568.013175 599.941679 \n",
"min 18.700000 13.945400 14.607200 14.780000 14.907600 \n",
"25% 95.810000 64.122700 70.159800 75.275800 80.003600 \n",
"50% 192.500000 109.700000 117.380000 126.446000 132.228000 \n",
"75% 1485.460000 812.955600 904.097200 992.479800 1073.387200 \n",
"max 3910.510000 2077.043000 2177.004400 2394.779400 2566.072800 \n",
"\n",
" 29 30 31 32 33 \\\n",
"count 855.000000 855.000000 855.000000 855.000000 855.000000 \n",
"mean 522.235080 548.910676 577.287777 606.409720 638.616928 \n",
"std 631.712107 663.510627 696.218222 729.225963 765.972484 \n",
"min 15.153400 15.337600 15.765800 16.129200 16.842800 \n",
"25% 82.402100 84.944600 86.487700 88.739400 91.449900 \n",
"50% 135.414000 151.644000 157.658000 164.644000 166.628000 \n",
"75% 1105.174600 1136.067200 1190.914700 1273.358400 1354.531600 \n",
"max 2693.317000 2759.701600 2856.513800 2947.483600 3188.480600 \n",
"\n",
" 34 35 36 37 38 \\\n",
"count 855.000000 855.000000 855.000000 855.000000 855.000000 \n",
"mean 675.973329 545.985865 91.298120 76.474606 0.025165 \n",
"std 808.886759 658.069139 110.280034 93.514936 0.540819 \n",
"min 18.028400 15.689500 1.234354 0.991400 -1.408928 \n",
"25% 92.779600 82.501500 8.457500 6.809078 -0.396932 \n",
"50% 180.684000 146.948333 23.385346 20.608333 0.002311 \n",
"75% 1423.463000 1133.277167 182.130724 148.246117 0.386897 \n",
"max 3455.181200 2778.860500 463.023817 356.773533 1.612620 \n",
"\n",
" 39 40 41 42 43 \\\n",
"count 855.000000 855.000000 855.000000 855.000000 855.000000 \n",
"mean -0.619295 554.023079 545.985865 91.298120 14.235237 \n",
"std 0.647425 666.609814 658.069139 110.280034 17.021054 \n",
"min -1.727077 15.738145 15.689500 1.234354 0.455932 \n",
"25% -1.094689 82.970865 82.501500 8.457500 1.763644 \n",
"50% -0.703772 148.766839 146.948333 23.385346 3.781356 \n",
"75% -0.268461 1147.898600 1133.277167 182.130724 29.947203 \n",
"max 3.178645 2816.537511 2778.860500 463.023817 76.767288 \n",
"\n",
" 44 45 46 47 48 49 \\\n",
"count 855.000000 855.000000 855.000000 855.000000 855.000000 855.000000 \n",
"mean 12.290918 -0.100539 0.084752 -0.068381 -0.028274 -0.014489 \n",
"std 15.669683 0.040727 0.021875 0.023598 0.011524 0.008447 \n",
"min 0.322354 -0.203911 0.046303 -0.113697 -0.058984 -0.037086 \n",
"25% 1.388085 -0.116780 0.068898 -0.085138 -0.034946 -0.020583 \n",
"50% 3.189377 -0.105555 0.073924 -0.059120 -0.026887 -0.013355 \n",
"75% 24.505543 -0.065957 0.108439 -0.051697 -0.020761 -0.006811 \n",
"max 86.528188 -0.035747 0.120217 -0.016349 -0.007115 -0.000274 \n",
"\n",
" 50 51 52 53 54 55 \\\n",
"count 855.000000 855.000000 855.000000 855.000000 855.000000 855.000000 \n",
"mean -0.005086 0.003000 0.011045 0.018097 0.025443 0.034079 \n",
"std 0.006091 0.005691 0.005557 0.005355 0.004835 0.005320 \n",
"min -0.021644 -0.009407 -0.003258 0.005858 0.015197 0.023998 \n",
"25% -0.008601 -0.001513 0.006866 0.015007 0.021134 0.030060 \n",
"50% -0.004159 0.003470 0.011680 0.017729 0.026024 0.033624 \n",
"75% -0.000925 0.007640 0.014019 0.021943 0.028942 0.038760 \n",
"max 0.010087 0.015437 0.024440 0.030495 0.036719 0.045736 \n",
"\n",
" 56 57 58 59 60 61 \\\n",
"count 855.000000 855.000000 855.000000 855.000000 855.000000 855.000000 \n",
"mean 0.045030 0.006668 0.033679 0.025427 -0.578491 1.979578 \n",
"std 0.007283 0.004992 0.006853 0.004935 0.660493 2.311267 \n",
"min 0.029321 -0.005692 0.018549 0.014381 -3.194508 -0.619530 \n",
"25% 0.039719 0.003053 0.028540 0.021893 -0.998518 0.615426 \n",
"50% 0.044658 0.007230 0.032639 0.025095 -0.526425 1.129819 \n",
"75% 0.049991 0.009902 0.038566 0.028974 -0.205180 3.044290 \n",
"max 0.062069 0.019740 0.050296 0.037867 1.828116 16.683022 \n",
"\n",
" 62 63 64 65 66 \n",
"count 855.000000 855.000000 855.000000 855.000000 855.000000 \n",
"mean 0.034516 0.026610 0.022078 0.032378 0.026856 \n",
"std 0.006286 0.004484 0.004871 0.005854 0.005227 \n",
"min 0.020565 0.015005 0.013153 0.018028 0.015464 \n",
"25% 0.029960 0.023818 0.018208 0.028348 0.023768 \n",
"50% 0.033443 0.026435 0.021073 0.031874 0.025729 \n",
"75% 0.039175 0.029874 0.025503 0.036072 0.029917 \n",
"max 0.049884 0.037836 0.033161 0.047505 0.039672 "
]
},
"execution_count": 67,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"X=dataset # features for prediction\n",
"X.describe()"
]
},
{
"cell_type": "code",
"execution_count": 68,
"id": "5b2f30c6",
"metadata": {},
"outputs": [],
"source": [
"# PREDICTION"
]
},
{
"cell_type": "code",
"execution_count": 69,
"id": "18f71866",
"metadata": {
"scrolled": true
},
"outputs": [],
"source": [
"def generate_model(df, cols, start_date, verbosity = False):\n",
" best_score = 0\n",
" best_model = None\n",
" best_band = 0\n",
" test_size = 0.3\n",
" bands = 60\n",
" \n",
" for band in range(12,bands+1,12): # [12,24,36,48,60] months\n",
" X_train, y_train = generate_dataset(df, cols, band, start_date)\n",
" dataset = pd.concat([y_train, X_train], axis=1, join=\"inner\") # align to avoid random shifting\n",
" Y=dataset.pop(col_y)\n",
" X=dataset\n",
" X_train, X_test, Y_train, Y_test = model_selection.train_test_split(X, Y, test_size=test_size, shuffle = True)\n",
" model = xgb.XGBRegressor()\n",
" model.fit(X_train,Y_train.values)\n",
" score = model.score(X_test, Y_test)\n",
" if best_score < score:\n",
" best_score = score\n",
" best_model = model\n",
" best_band = band\n",
" X_t = X_test\n",
" Y_t = Y_test\n",
" \n",
"# if verbosity: # verbosit for each band\n",
"# print(score, band)\n",
" if verbosity: # verbosity for best score\n",
" print('retest score:', best_model.score(X_t, Y_t).round(3), best_score.round(3), 'features:', cols, 'X_train.shape:', X_train.shape)# retest best model score\n",
" \n",
" return best_model, best_band, best_score\n"
]
},
{
"cell_type": "code",
"execution_count": 70,
"id": "1e3edca1",
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"retest score: 0.785 0.785 features: ['PER', 'Price', 'Price_Var'] X_train.shape: (430, 66)\n"
]
}
],
"source": [
"start_date = '1970-01-01'\n",
"cols_features =['PER', 'Price', 'Price_Var']\n",
"model, band, score = generate_model(df, cols_features, start_date, True)"
]
},
{
"cell_type": "code",
"execution_count": 71,
"id": "6c888733",
"metadata": {},
"outputs": [],
"source": [
"# model.score(X_t, Y_t), best_score # retest best model score"
]
},
{
"cell_type": "code",
"execution_count": 72,
"id": "5f63d10f",
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"\n",
"\n",
"
\n",
" \n",
" \n",
" | \n",
" PER | \n",
" Price | \n",
" Date | \n",
" Price0F | \n",
" Price1F | \n",
" Price2F | \n",
" Price3F | \n",
" Price4F | \n",
" Price5F | \n",
" Price6F | \n",
" Price1P | \n",
" Price_Var | \n",
" PriceFmin | \n",
" Price_Corr_6M | \n",
" horizon | \n",
"
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" \n",
" | Date | \n",
" | \n",
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\n",
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" | 2021-10-01 | \n",
" 37.63 | \n",
" 4357.04 | \n",
" 2021-10-01 | \n",
" 4357.04 | \n",
" NaN | \n",
" NaN | \n",
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" -0.020971 | \n",
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" future | \n",
"
\n",
" \n",
" | 2021-08-01 | \n",
" 38.44 | \n",
" 4450.37 | \n",
" 2021-08-01 | \n",
" 4450.37 | \n",
" 4357.04 | \n",
" NaN | \n",
" NaN | \n",
" NaN | \n",
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" NaN | \n",
" 4358.13 | \n",
" 0.021165 | \n",
" 4357.04 | \n",
" NaN | \n",
" future | \n",
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\n",
" \n",
" | 2021-07-01 | \n",
" 37.68 | \n",
" 4358.13 | \n",
" 2021-07-01 | \n",
" 4358.13 | \n",
" 4450.37 | \n",
" 4357.04 | \n",
" NaN | \n",
" NaN | \n",
" NaN | \n",
" NaN | \n",
" 4238.49 | \n",
" 0.028227 | \n",
" 4357.04 | \n",
" NaN | \n",
" future | \n",
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\n",
" \n",
" | 2021-06-01 | \n",
" 36.86 | \n",
" 4238.49 | \n",
" 2021-06-01 | \n",
" 4238.49 | \n",
" 4358.13 | \n",
" 4450.37 | \n",
" 4357.04 | \n",
" NaN | \n",
" NaN | \n",
" NaN | \n",
" 4167.85 | \n",
" 0.016949 | \n",
" 4238.49 | \n",
" NaN | \n",
" future | \n",
"
\n",
" \n",
" | 2021-05-01 | \n",
" 36.62 | \n",
" 4167.85 | \n",
" 2021-05-01 | \n",
" 4167.85 | \n",
" 4238.49 | \n",
" 4358.13 | \n",
" 4450.37 | \n",
" 4357.04 | \n",
" NaN | \n",
" NaN | \n",
" 4141.18 | \n",
" 0.006440 | \n",
" 4167.85 | \n",
" NaN | \n",
" future | \n",
"
\n",
" \n",
" | 2021-04-01 | \n",
" 36.72 | \n",
" 4141.18 | \n",
" 2021-04-01 | \n",
" 4141.18 | \n",
" 4167.85 | \n",
" 4238.49 | \n",
" 4358.13 | \n",
" 4450.37 | \n",
" 4357.04 | \n",
" NaN | \n",
" 3910.51 | \n",
" 0.058987 | \n",
" 4141.18 | \n",
" NaN | \n",
" future | \n",
"
\n",
" \n",
" | 2021-03-01 | \n",
" 35.04 | \n",
" 3910.51 | \n",
" 2021-03-01 | \n",
" 3910.51 | \n",
" 4141.18 | \n",
" 4167.85 | \n",
" 4238.49 | \n",
" 4358.13 | \n",
" 4450.37 | \n",
" 4357.04 | \n",
" 3883.43 | \n",
" 0.006973 | \n",
" 3910.51 | \n",
" 0.0 | \n",
" past | \n",
"
\n",
" \n",
" | 2021-02-01 | \n",
" 35.10 | \n",
" 3883.43 | \n",
" 2021-02-01 | \n",
" 3883.43 | \n",
" 3910.51 | \n",
" 4141.18 | \n",
" 4167.85 | \n",
" 4238.49 | \n",
" 4358.13 | \n",
" 4450.37 | \n",
" 3793.75 | \n",
" 0.023639 | \n",
" 3883.43 | \n",
" 0.0 | \n",
" past | \n",
"
\n",
" \n",
" | 2021-01-01 | \n",
" 34.51 | \n",
" 3793.75 | \n",
" 2021-01-01 | \n",
" 3793.75 | \n",
" 3883.43 | \n",
" 3910.51 | \n",
" 4141.18 | \n",
" 4167.85 | \n",
" 4238.49 | \n",
" 4358.13 | \n",
" 3695.31 | \n",
" 0.026639 | \n",
" 3793.75 | \n",
" 0.0 | \n",
" past | \n",
"
\n",
" \n",
" | 2020-12-01 | \n",
" 33.77 | \n",
" 3695.31 | \n",
" 2020-12-01 | \n",
" 3695.31 | \n",
" 3793.75 | \n",
" 3883.43 | \n",
" 3910.51 | \n",
" 4141.18 | \n",
" 4167.85 | \n",
" 4238.49 | \n",
" 3548.99 | \n",
" 0.041229 | \n",
" 3695.31 | \n",
" 0.0 | \n",
" past | \n",
"
\n",
" \n",
"
\n",
"
"
],
"text/plain": [
" PER Price Date Price0F Price1F Price2F Price3F \\\n",
"Date \n",
"2021-10-01 37.63 4357.04 2021-10-01 4357.04 NaN NaN NaN \n",
"2021-08-01 38.44 4450.37 2021-08-01 4450.37 4357.04 NaN NaN \n",
"2021-07-01 37.68 4358.13 2021-07-01 4358.13 4450.37 4357.04 NaN \n",
"2021-06-01 36.86 4238.49 2021-06-01 4238.49 4358.13 4450.37 4357.04 \n",
"2021-05-01 36.62 4167.85 2021-05-01 4167.85 4238.49 4358.13 4450.37 \n",
"2021-04-01 36.72 4141.18 2021-04-01 4141.18 4167.85 4238.49 4358.13 \n",
"2021-03-01 35.04 3910.51 2021-03-01 3910.51 4141.18 4167.85 4238.49 \n",
"2021-02-01 35.10 3883.43 2021-02-01 3883.43 3910.51 4141.18 4167.85 \n",
"2021-01-01 34.51 3793.75 2021-01-01 3793.75 3883.43 3910.51 4141.18 \n",
"2020-12-01 33.77 3695.31 2020-12-01 3695.31 3793.75 3883.43 3910.51 \n",
"\n",
" Price4F Price5F Price6F Price1P Price_Var PriceFmin \\\n",
"Date \n",
"2021-10-01 NaN NaN NaN 4450.37 -0.020971 4357.04 \n",
"2021-08-01 NaN NaN NaN 4358.13 0.021165 4357.04 \n",
"2021-07-01 NaN NaN NaN 4238.49 0.028227 4357.04 \n",
"2021-06-01 NaN NaN NaN 4167.85 0.016949 4238.49 \n",
"2021-05-01 4357.04 NaN NaN 4141.18 0.006440 4167.85 \n",
"2021-04-01 4450.37 4357.04 NaN 3910.51 0.058987 4141.18 \n",
"2021-03-01 4358.13 4450.37 4357.04 3883.43 0.006973 3910.51 \n",
"2021-02-01 4238.49 4358.13 4450.37 3793.75 0.023639 3883.43 \n",
"2021-01-01 4167.85 4238.49 4358.13 3695.31 0.026639 3793.75 \n",
"2020-12-01 4141.18 4167.85 4238.49 3548.99 0.041229 3695.31 \n",
"\n",
" Price_Corr_6M horizon \n",
"Date \n",
"2021-10-01 NaN future \n",
"2021-08-01 NaN future \n",
"2021-07-01 NaN future \n",
"2021-06-01 NaN future \n",
"2021-05-01 NaN future \n",
"2021-04-01 NaN future \n",
"2021-03-01 0.0 past \n",
"2021-02-01 0.0 past \n",
"2021-01-01 0.0 past \n",
"2020-12-01 0.0 past "
]
},
"execution_count": 72,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"df_initial['horizon'] = 'past'\n",
"df_initial.loc[np.isnan(df_initial['Price6F']),['horizon']]='future'\n",
"df_initial.head(10)"
]
},
{
"cell_type": "code",
"execution_count": 73,
"id": "e86be962",
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
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" | 2021-05-01 | \n",
" 36.62 | \n",
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" 4450.37 | \n",
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" | 2021-04-01 | \n",
" 36.72 | \n",
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" 0.058987 | \n",
" 4141.18 | \n",
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" \n",
" | 2021-03-01 | \n",
" 35.04 | \n",
" 3910.51 | \n",
" 2021-03-01 | \n",
" 3910.51 | \n",
" 4141.18 | \n",
" 4167.85 | \n",
" 4238.49 | \n",
" 4358.13 | \n",
" 4450.37 | \n",
" 4357.04 | \n",
" 3883.43 | \n",
" 0.006973 | \n",
" 3910.51 | \n",
" 0.000000 | \n",
" past | \n",
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" \n",
" | 2021-02-01 | \n",
" 35.10 | \n",
" 3883.43 | \n",
" 2021-02-01 | \n",
" 3883.43 | \n",
" 3910.51 | \n",
" 4141.18 | \n",
" 4167.85 | \n",
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" \n",
" | 2021-01-01 | \n",
" 34.51 | \n",
" 3793.75 | \n",
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" 3793.75 | \n",
" 3883.43 | \n",
" 3910.51 | \n",
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" 3793.75 | \n",
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" \n",
" | 2020-12-01 | \n",
" 33.77 | \n",
" 3695.31 | \n",
" 2020-12-01 | \n",
" 3695.31 | \n",
" 3793.75 | \n",
" 3883.43 | \n",
" 3910.51 | \n",
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" | 2020-11-01 | \n",
" 32.47 | \n",
" 3548.99 | \n",
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" | 2020-10-01 | \n",
" 31.28 | \n",
" 3418.70 | \n",
" 2020-10-01 | \n",
" 3418.70 | \n",
" 3548.99 | \n",
" 3695.31 | \n",
" 3793.75 | \n",
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" 3418.70 | \n",
" 0.000000 | \n",
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" \n",
" | 2020-09-01 | \n",
" 30.84 | \n",
" 3365.52 | \n",
" 2020-09-01 | \n",
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" 3548.99 | \n",
" 3695.31 | \n",
" 3793.75 | \n",
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" -0.007722 | \n",
" 3365.52 | \n",
" 0.000000 | \n",
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" \n",
" | 2020-08-01 | \n",
" 31.16 | \n",
" 3391.71 | \n",
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" | 2020-07-01 | \n",
" 29.60 | \n",
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" 2020-07-01 | \n",
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" 3391.71 | \n",
" 3365.52 | \n",
" 3418.70 | \n",
" 3548.99 | \n",
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" 3793.75 | \n",
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" 3207.62 | \n",
" 0.000000 | \n",
" past | \n",
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\n",
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" | 2020-06-01 | \n",
" 28.84 | \n",
" 3104.66 | \n",
" 2020-06-01 | \n",
" 3104.66 | \n",
" 3207.62 | \n",
" 3391.71 | \n",
" 3365.52 | \n",
" 3418.70 | \n",
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" 0.063382 | \n",
" 3104.66 | \n",
" 0.000000 | \n",
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" | 2020-05-01 | \n",
" 27.33 | \n",
" 2919.61 | \n",
" 2020-05-01 | \n",
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" 3104.66 | \n",
" 3207.62 | \n",
" 3391.71 | \n",
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" \n",
" | 2020-04-01 | \n",
" 25.93 | \n",
" 2761.98 | \n",
" 2020-04-01 | \n",
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" 2919.61 | \n",
" 3104.66 | \n",
" 3207.62 | \n",
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" 0.041317 | \n",
" 2761.98 | \n",
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" past | \n",
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" \n",
" | 2020-03-01 | \n",
" 24.82 | \n",
" 2652.39 | \n",
" 2020-03-01 | \n",
" 2652.39 | \n",
" 2761.98 | \n",
" 2919.61 | \n",
" 3104.66 | \n",
" 3207.62 | \n",
" 3391.71 | \n",
" 3365.52 | \n",
" 3277.31 | \n",
" -0.190681 | \n",
" 2652.39 | \n",
" 0.000000 | \n",
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\n",
" \n",
" | 2020-02-01 | \n",
" 30.73 | \n",
" 3277.31 | \n",
" 2020-02-01 | \n",
" 3277.31 | \n",
" 2652.39 | \n",
" 2761.98 | \n",
" 2919.61 | \n",
" 3104.66 | \n",
" 3207.62 | \n",
" 3391.71 | \n",
" 3278.20 | \n",
" -0.000271 | \n",
" 2652.39 | \n",
" 0.190681 | \n",
" past | \n",
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\n",
" \n",
" | 2020-01-01 | \n",
" 30.99 | \n",
" 3278.20 | \n",
" 2020-01-01 | \n",
" 3278.20 | \n",
" 3277.31 | \n",
" 2652.39 | \n",
" 2761.98 | \n",
" 2919.61 | \n",
" 3104.66 | \n",
" 3207.62 | \n",
" 3176.75 | \n",
" 0.031935 | \n",
" 2652.39 | \n",
" 0.190900 | \n",
" past | \n",
"
\n",
" \n",
" | 2019-12-01 | \n",
" 30.33 | \n",
" 3176.75 | \n",
" 2019-12-01 | \n",
" 3176.75 | \n",
" 3278.20 | \n",
" 3277.31 | \n",
" 2652.39 | \n",
" 2761.98 | \n",
" 2919.61 | \n",
" 3104.66 | \n",
" 3104.90 | \n",
" 0.023141 | \n",
" 2652.39 | \n",
" 0.165062 | \n",
" past | \n",
"
\n",
" \n",
" | 2019-11-01 | \n",
" 29.84 | \n",
" 3104.90 | \n",
" 2019-11-01 | \n",
" 3104.90 | \n",
" 3176.75 | \n",
" 3278.20 | \n",
" 3277.31 | \n",
" 2652.39 | \n",
" 2761.98 | \n",
" 2919.61 | \n",
" 2977.68 | \n",
" 0.042725 | \n",
" 2652.39 | \n",
" 0.145741 | \n",
" past | \n",
"
\n",
" \n",
" | 2019-10-01 | \n",
" 28.84 | \n",
" 2977.68 | \n",
" 2019-10-01 | \n",
" 2977.68 | \n",
" 3104.90 | \n",
" 3176.75 | \n",
" 3278.20 | \n",
" 3277.31 | \n",
" 2652.39 | \n",
" 2761.98 | \n",
" 2982.16 | \n",
" -0.001502 | \n",
" 2652.39 | \n",
" 0.109243 | \n",
" past | \n",
"
\n",
" \n",
"
\n",
"
"
],
"text/plain": [
" PER Price Date Price0F Price1F Price2F Price3F \\\n",
"Date \n",
"2021-10-01 37.63 4357.04 2021-10-01 4357.04 NaN NaN NaN \n",
"2021-08-01 38.44 4450.37 2021-08-01 4450.37 4357.04 NaN NaN \n",
"2021-07-01 37.68 4358.13 2021-07-01 4358.13 4450.37 4357.04 NaN \n",
"2021-06-01 36.86 4238.49 2021-06-01 4238.49 4358.13 4450.37 4357.04 \n",
"2021-05-01 36.62 4167.85 2021-05-01 4167.85 4238.49 4358.13 4450.37 \n",
"2021-04-01 36.72 4141.18 2021-04-01 4141.18 4167.85 4238.49 4358.13 \n",
"2021-03-01 35.04 3910.51 2021-03-01 3910.51 4141.18 4167.85 4238.49 \n",
"2021-02-01 35.10 3883.43 2021-02-01 3883.43 3910.51 4141.18 4167.85 \n",
"2021-01-01 34.51 3793.75 2021-01-01 3793.75 3883.43 3910.51 4141.18 \n",
"2020-12-01 33.77 3695.31 2020-12-01 3695.31 3793.75 3883.43 3910.51 \n",
"2020-11-01 32.47 3548.99 2020-11-01 3548.99 3695.31 3793.75 3883.43 \n",
"2020-10-01 31.28 3418.70 2020-10-01 3418.70 3548.99 3695.31 3793.75 \n",
"2020-09-01 30.84 3365.52 2020-09-01 3365.52 3418.70 3548.99 3695.31 \n",
"2020-08-01 31.16 3391.71 2020-08-01 3391.71 3365.52 3418.70 3548.99 \n",
"2020-07-01 29.60 3207.62 2020-07-01 3207.62 3391.71 3365.52 3418.70 \n",
"2020-06-01 28.84 3104.66 2020-06-01 3104.66 3207.62 3391.71 3365.52 \n",
"2020-05-01 27.33 2919.61 2020-05-01 2919.61 3104.66 3207.62 3391.71 \n",
"2020-04-01 25.93 2761.98 2020-04-01 2761.98 2919.61 3104.66 3207.62 \n",
"2020-03-01 24.82 2652.39 2020-03-01 2652.39 2761.98 2919.61 3104.66 \n",
"2020-02-01 30.73 3277.31 2020-02-01 3277.31 2652.39 2761.98 2919.61 \n",
"2020-01-01 30.99 3278.20 2020-01-01 3278.20 3277.31 2652.39 2761.98 \n",
"2019-12-01 30.33 3176.75 2019-12-01 3176.75 3278.20 3277.31 2652.39 \n",
"2019-11-01 29.84 3104.90 2019-11-01 3104.90 3176.75 3278.20 3277.31 \n",
"2019-10-01 28.84 2977.68 2019-10-01 2977.68 3104.90 3176.75 3278.20 \n",
"\n",
" Price4F Price5F Price6F Price1P Price_Var PriceFmin \\\n",
"Date \n",
"2021-10-01 NaN NaN NaN 4450.37 -0.020971 4357.04 \n",
"2021-08-01 NaN NaN NaN 4358.13 0.021165 4357.04 \n",
"2021-07-01 NaN NaN NaN 4238.49 0.028227 4357.04 \n",
"2021-06-01 NaN NaN NaN 4167.85 0.016949 4238.49 \n",
"2021-05-01 4357.04 NaN NaN 4141.18 0.006440 4167.85 \n",
"2021-04-01 4450.37 4357.04 NaN 3910.51 0.058987 4141.18 \n",
"2021-03-01 4358.13 4450.37 4357.04 3883.43 0.006973 3910.51 \n",
"2021-02-01 4238.49 4358.13 4450.37 3793.75 0.023639 3883.43 \n",
"2021-01-01 4167.85 4238.49 4358.13 3695.31 0.026639 3793.75 \n",
"2020-12-01 4141.18 4167.85 4238.49 3548.99 0.041229 3695.31 \n",
"2020-11-01 3910.51 4141.18 4167.85 3418.70 0.038111 3548.99 \n",
"2020-10-01 3883.43 3910.51 4141.18 3365.52 0.015801 3418.70 \n",
"2020-09-01 3793.75 3883.43 3910.51 3391.71 -0.007722 3365.52 \n",
"2020-08-01 3695.31 3793.75 3883.43 3207.62 0.057391 3365.52 \n",
"2020-07-01 3548.99 3695.31 3793.75 3104.66 0.033163 3207.62 \n",
"2020-06-01 3418.70 3548.99 3695.31 2919.61 0.063382 3104.66 \n",
"2020-05-01 3365.52 3418.70 3548.99 2761.98 0.057071 2919.61 \n",
"2020-04-01 3391.71 3365.52 3418.70 2652.39 0.041317 2761.98 \n",
"2020-03-01 3207.62 3391.71 3365.52 3277.31 -0.190681 2652.39 \n",
"2020-02-01 3104.66 3207.62 3391.71 3278.20 -0.000271 2652.39 \n",
"2020-01-01 2919.61 3104.66 3207.62 3176.75 0.031935 2652.39 \n",
"2019-12-01 2761.98 2919.61 3104.66 3104.90 0.023141 2652.39 \n",
"2019-11-01 2652.39 2761.98 2919.61 2977.68 0.042725 2652.39 \n",
"2019-10-01 3277.31 2652.39 2761.98 2982.16 -0.001502 2652.39 \n",
"\n",
" Price_Corr_6M horizon \n",
"Date \n",
"2021-10-01 NaN future \n",
"2021-08-01 NaN future \n",
"2021-07-01 NaN future \n",
"2021-06-01 NaN future \n",
"2021-05-01 NaN future \n",
"2021-04-01 NaN future \n",
"2021-03-01 0.000000 past \n",
"2021-02-01 0.000000 past \n",
"2021-01-01 0.000000 past \n",
"2020-12-01 0.000000 past \n",
"2020-11-01 0.000000 past \n",
"2020-10-01 0.000000 past \n",
"2020-09-01 0.000000 past \n",
"2020-08-01 0.007722 past \n",
"2020-07-01 0.000000 past \n",
"2020-06-01 0.000000 past \n",
"2020-05-01 0.000000 past \n",
"2020-04-01 0.000000 past \n",
"2020-03-01 0.000000 past \n",
"2020-02-01 0.190681 past \n",
"2020-01-01 0.190900 past \n",
"2019-12-01 0.165062 past \n",
"2019-11-01 0.145741 past \n",
"2019-10-01 0.109243 past "
]
},
"execution_count": 73,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"df_initial['Date']=df_initial.index # add required column\n",
"df_initial.head(24)"
]
},
{
"cell_type": "code",
"execution_count": 74,
"id": "b3b75398",
"metadata": {},
"outputs": [
{
"data": {
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" Price0F | \n",
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" 3910.51 | \n",
" 2021-03-01 | \n",
" 3910.51 | \n",
" 4141.18 | \n",
" 4167.85 | \n",
" 4238.49 | \n",
" 4358.13 | \n",
" 4450.37 | \n",
" 4357.04 | \n",
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" 0.006973 | \n",
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" 0.0 | \n",
"
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" | 2021-02-01 | \n",
" 35.10 | \n",
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" | 2021-01-01 | \n",
" 34.51 | \n",
" 3793.75 | \n",
" 2021-01-01 | \n",
" 3793.75 | \n",
" 3883.43 | \n",
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" 3793.75 | \n",
" 0.0 | \n",
"
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" | 2020-12-01 | \n",
" 33.77 | \n",
" 3695.31 | \n",
" 2020-12-01 | \n",
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" 3793.75 | \n",
" 3883.43 | \n",
" 3910.51 | \n",
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" 4238.49 | \n",
" 3548.99 | \n",
" 0.041229 | \n",
" 3695.31 | \n",
" 0.0 | \n",
"
\n",
" \n",
" | 2020-11-01 | \n",
" 32.47 | \n",
" 3548.99 | \n",
" 2020-11-01 | \n",
" 3548.99 | \n",
" 3695.31 | \n",
" 3793.75 | \n",
" 3883.43 | \n",
" 3910.51 | \n",
" 4141.18 | \n",
" 4167.85 | \n",
" 3418.70 | \n",
" 0.038111 | \n",
" 3548.99 | \n",
" 0.0 | \n",
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],
"text/plain": [
" PER Price Date Price0F Price1F Price2F Price3F \\\n",
"Date \n",
"2021-03-01 35.04 3910.51 2021-03-01 3910.51 4141.18 4167.85 4238.49 \n",
"2021-02-01 35.10 3883.43 2021-02-01 3883.43 3910.51 4141.18 4167.85 \n",
"2021-01-01 34.51 3793.75 2021-01-01 3793.75 3883.43 3910.51 4141.18 \n",
"2020-12-01 33.77 3695.31 2020-12-01 3695.31 3793.75 3883.43 3910.51 \n",
"2020-11-01 32.47 3548.99 2020-11-01 3548.99 3695.31 3793.75 3883.43 \n",
"\n",
" Price4F Price5F Price6F Price1P Price_Var PriceFmin \\\n",
"Date \n",
"2021-03-01 4358.13 4450.37 4357.04 3883.43 0.006973 3910.51 \n",
"2021-02-01 4238.49 4358.13 4450.37 3793.75 0.023639 3883.43 \n",
"2021-01-01 4167.85 4238.49 4358.13 3695.31 0.026639 3793.75 \n",
"2020-12-01 4141.18 4167.85 4238.49 3548.99 0.041229 3695.31 \n",
"2020-11-01 3910.51 4141.18 4167.85 3418.70 0.038111 3548.99 \n",
"\n",
" Price_Corr_6M \n",
"Date \n",
"2021-03-01 0.0 \n",
"2021-02-01 0.0 \n",
"2021-01-01 0.0 \n",
"2020-12-01 0.0 \n",
"2020-11-01 0.0 "
]
},
"execution_count": 74,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"df.head()"
]
},
{
"cell_type": "code",
"execution_count": 75,
"id": "56797b7f",
"metadata": {},
"outputs": [
{
"data": {
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" 25.597 | \n",
" 28.446 | \n",
" 29.113 | \n",
" 29.548 | \n",
" 29.945 | \n",
" 30.41 | \n",
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" 3339.324 | \n",
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" 3902.386 | \n",
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" 565.618155 | \n",
" 470.173827 | \n",
" 0.708066 | \n",
" -0.740779 | \n",
" 3350.869568 | \n",
" 3304.132222 | \n",
" 565.618155 | \n",
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" -0.190681 | \n",
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\n",
" \n",
" | 2021-08-01 | \n",
" 24.82 | \n",
" 38.44 | \n",
" 25.597 | \n",
" 28.446 | \n",
" 29.113 | \n",
" 29.548 | \n",
" 29.945 | \n",
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" 3.297733 | \n",
" 2.580741 | \n",
" 0.602872 | \n",
" -0.164667 | \n",
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" 31.221389 | \n",
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" 0.993361 | \n",
" 2567.31 | \n",
" 4450.37 | \n",
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" 2839.491 | \n",
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" 3119.270 | \n",
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" 4181.978 | \n",
" 3263.700556 | \n",
" 539.629090 | \n",
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" 3263.700556 | \n",
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" 24.82 | \n",
" 37.68 | \n",
" 25.597 | \n",
" 28.446 | \n",
" 29.113 | \n",
" 29.548 | \n",
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" -0.041598 | \n",
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"
\n",
" \n",
" | 2021-06-01 | \n",
" 24.82 | \n",
" 36.86 | \n",
" 25.597 | \n",
" 28.446 | \n",
" 29.113 | \n",
" 29.548 | \n",
" 29.945 | \n",
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"
\n",
" \n",
" | 2021-05-01 | \n",
" 24.82 | \n",
" 36.72 | \n",
" 25.597 | \n",
" 28.446 | \n",
" 29.113 | \n",
" 29.548 | \n",
" 29.945 | \n",
" 30.41 | \n",
" 31.025 | \n",
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" 2.006358 | \n",
" 0.398347 | \n",
" 0.425817 | \n",
" 30.859447 | \n",
" 30.747222 | \n",
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" 1.002004 | \n",
" 2567.31 | \n",
" 4167.85 | \n",
" 2595.366 | \n",
" 2754.452 | \n",
" 2791.186 | \n",
" 2864.290 | \n",
" 2903.110 | \n",
" 2984.950 | \n",
" 3155.195 | \n",
" 3295.664 | \n",
" 3509.903 | \n",
" 3888.846 | \n",
" 3134.778889 | \n",
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" 0.976178 | \n",
" 0.042582 | \n",
" 3164.248145 | \n",
" 3134.778889 | \n",
" 436.956849 | \n",
" 105.435429 | \n",
" 104.158001 | \n",
" -0.190681 | \n",
" 0.063382 | \n",
" -0.097283 | \n",
" -0.021254 | \n",
" -0.000641 | \n",
" 0.012790 | \n",
" 0.015744 | \n",
" 0.023007 | \n",
" 0.028445 | \n",
" 0.035811 | \n",
" 0.041291 | \n",
" 0.057135 | \n",
" 0.013176 | \n",
" 0.044925 | \n",
" 0.027881 | \n",
" -2.851609 | \n",
" 11.646643 | \n",
" 0.046215 | \n",
" 0.033709 | \n",
" 0.032064 | \n",
" 0.040713 | \n",
" 0.046590 | \n",
"
\n",
" \n",
"
\n",
"
"
],
"text/plain": [
" 1 2 3 4 5 6 7 8 \\\n",
"Date \n",
"2021-10-01 24.82 38.44 25.597 28.446 29.113 29.548 29.945 30.41 \n",
"2021-08-01 24.82 38.44 25.597 28.446 29.113 29.548 29.945 30.41 \n",
"2021-07-01 24.82 37.68 25.597 28.446 29.113 29.548 29.945 30.41 \n",
"2021-06-01 24.82 36.86 25.597 28.446 29.113 29.548 29.945 30.41 \n",
"2021-05-01 24.82 36.72 25.597 28.446 29.113 29.548 29.945 30.41 \n",
"\n",
" 9 10 11 12 13 14 15 \\\n",
"Date \n",
"2021-10-01 31.025 32.730 35.082 37.014 31.360556 3.460154 2.770772 \n",
"2021-08-01 31.025 32.500 34.881 36.748 31.221389 3.297733 2.580741 \n",
"2021-07-01 31.025 32.406 34.288 36.640 31.053333 3.065322 2.362593 \n",
"2021-06-01 31.025 31.990 33.425 35.404 30.892500 2.852182 2.170694 \n",
"2021-05-01 31.025 31.682 32.575 35.052 30.747222 2.666705 2.006358 \n",
"\n",
" 16 17 18 19 20 21 \\\n",
"Date \n",
"2021-10-01 0.584275 -0.427582 31.545595 31.360556 3.460154 0.918000 \n",
"2021-08-01 0.602872 -0.164667 31.390255 31.221389 3.297733 0.940000 \n",
"2021-07-01 0.531582 -0.041598 31.200075 31.053333 3.065322 0.924857 \n",
"2021-06-01 0.460551 0.144587 31.020244 30.892500 2.852182 0.915714 \n",
"2021-05-01 0.398347 0.425817 30.859447 30.747222 2.666705 0.916286 \n",
"\n",
" 22 23 24 25 26 27 \\\n",
"Date \n",
"2021-10-01 0.987452 2567.31 4450.37 2595.366 2756.284 2839.491 \n",
"2021-08-01 0.993361 2567.31 4450.37 2595.366 2756.284 2839.491 \n",
"2021-07-01 1.000007 2567.31 4358.13 2595.366 2756.284 2839.491 \n",
"2021-06-01 1.002384 2567.31 4238.49 2595.366 2756.284 2800.878 \n",
"2021-05-01 1.002004 2567.31 4167.85 2595.366 2754.452 2791.186 \n",
"\n",
" 28 29 30 31 32 33 \\\n",
"Date \n",
"2021-10-01 2906.962 2991.925 3182.924 3339.324 3578.254 3902.386 \n",
"2021-08-01 2901.960 2980.816 3119.270 3277.933 3444.758 3856.526 \n",
"2021-07-01 2898.300 2960.259 3104.708 3256.403 3397.108 3764.218 \n",
"2021-06-01 2891.636 2914.867 3017.820 3198.359 3370.758 3651.414 \n",
"2021-05-01 2864.290 2903.110 2984.950 3155.195 3295.664 3509.903 \n",
"\n",
" 34 35 36 37 38 39 \\\n",
"Date \n",
"2021-10-01 4262.200 3304.132222 565.618155 470.173827 0.708066 -0.740779 \n",
"2021-08-01 4181.978 3263.700556 539.629090 442.441204 0.816545 -0.462824 \n",
"2021-07-01 4146.514 3219.463056 503.646380 410.922068 0.872566 -0.311079 \n",
"2021-06-01 3956.644 3176.005000 468.885055 380.846944 0.920733 -0.164513 \n",
"2021-05-01 3888.846 3134.778889 436.956849 353.884753 0.976178 0.042582 \n",
"\n",
" 40 41 42 43 44 \\\n",
"Date \n",
"2021-10-01 3350.869568 3304.132222 565.618155 108.654286 102.967154 \n",
"2021-08-01 3306.788774 3263.700556 539.629090 109.303143 102.940094 \n",
"2021-07-01 3257.538325 3219.463056 503.646380 107.915714 103.486517 \n",
"2021-06-01 3209.478762 3176.005000 468.885055 106.331143 103.719202 \n",
"2021-05-01 3164.248145 3134.778889 436.956849 105.435429 104.158001 \n",
"\n",
" 45 46 47 48 49 50 \\\n",
"Date \n",
"2021-10-01 -0.190681 0.063382 -0.097283 -0.022067 -0.003368 0.008063 \n",
"2021-08-01 -0.190681 0.063382 -0.097283 -0.021254 -0.000641 0.012994 \n",
"2021-07-01 -0.190681 0.063382 -0.097283 -0.021254 -0.000641 0.012994 \n",
"2021-06-01 -0.190681 0.063382 -0.097283 -0.021254 -0.000641 0.012790 \n",
"2021-05-01 -0.190681 0.063382 -0.097283 -0.021254 -0.000641 0.012790 \n",
"\n",
" 51 52 53 54 55 56 \\\n",
"Date \n",
"2021-10-01 0.016605 0.023240 0.028921 0.035811 0.041291 0.057135 \n",
"2021-08-01 0.016605 0.023240 0.028921 0.035811 0.041291 0.057135 \n",
"2021-07-01 0.016605 0.023240 0.028921 0.035811 0.041291 0.057135 \n",
"2021-06-01 0.015744 0.023007 0.028445 0.035811 0.041291 0.057135 \n",
"2021-05-01 0.015744 0.023007 0.028445 0.035811 0.041291 0.057135 \n",
"\n",
" 57 58 59 60 61 62 \\\n",
"Date \n",
"2021-10-01 0.012434 0.045339 0.029242 -2.734204 10.917498 0.046402 \n",
"2021-08-01 0.013441 0.044977 0.028058 -2.859490 11.653228 0.046340 \n",
"2021-07-01 0.013491 0.044987 0.028091 -2.861019 11.654473 0.046364 \n",
"2021-06-01 0.013104 0.044917 0.027833 -2.848158 11.637258 0.046186 \n",
"2021-05-01 0.013176 0.044925 0.027881 -2.851609 11.646643 0.046215 \n",
"\n",
" 63 64 65 66 \n",
"Date \n",
"2021-10-01 0.034132 0.031882 0.040542 0.046385 \n",
"2021-08-01 0.033974 0.031963 0.040917 0.046449 \n",
"2021-07-01 0.034024 0.031943 0.040935 0.046436 \n",
"2021-06-01 0.033636 0.032100 0.040862 0.046485 \n",
"2021-05-01 0.033709 0.032064 0.040713 0.046590 "
]
},
"execution_count": 75,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"periods=120 # predicted periods\n",
"df_pred = df_initial.copy()\n",
"cols_features =['PER', 'Price', 'Price_Var']\n",
"X_pred, y_dummy = generate_dataset(df_pred, cols_features, band, periods=periods)\n",
"X_pred.head() # generated features"
]
},
{
"cell_type": "code",
"execution_count": 76,
"id": "6f871bde",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"(120, 66)"
]
},
"execution_count": 76,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"X_pred.shape"
]
},
{
"cell_type": "code",
"execution_count": 77,
"id": "e063ce53",
"metadata": {},
"outputs": [],
"source": [
"# df_pred = df_pred.iloc[:periods]\n",
"# df_pred"
]
},
{
"cell_type": "code",
"execution_count": 78,
"id": "9f90c885",
"metadata": {},
"outputs": [],
"source": [
"y_pred = model.predict(X_pred).round(2) # readable\n",
"# y_pred = model.predict(X_pred)\n",
"# y_pred"
]
},
{
"cell_type": "code",
"execution_count": 79,
"id": "7dc6476d",
"metadata": {},
"outputs": [],
"source": [
"df_pred = df_pred.iloc[:periods].copy()\n",
"df_pred[col_y+'Pred'] = np.clip(y_pred,0,0.5) # replace outliers"
]
},
{
"cell_type": "code",
"execution_count": 80,
"id": "0a9c72fa",
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"\n",
"\n",
"
\n",
" \n",
" \n",
" | \n",
" PER | \n",
" Price | \n",
" Price_Corr_6M | \n",
" horizon | \n",
" Price_Corr_6MPred | \n",
"
\n",
" \n",
" | Date | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
"
\n",
" \n",
" \n",
" \n",
" | 2021-10-01 | \n",
" 37.63 | \n",
" 4357.04 | \n",
" NaN | \n",
" future | \n",
" 0.04 | \n",
"
\n",
" \n",
" | 2021-08-01 | \n",
" 38.44 | \n",
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" NaN | \n",
" future | \n",
" 0.05 | \n",
"
\n",
" \n",
" | 2021-07-01 | \n",
" 37.68 | \n",
" 4358.13 | \n",
" NaN | \n",
" future | \n",
" 0.04 | \n",
"
\n",
" \n",
" | 2021-06-01 | \n",
" 36.86 | \n",
" 4238.49 | \n",
" NaN | \n",
" future | \n",
" 0.03 | \n",
"
\n",
" \n",
" | 2021-05-01 | \n",
" 36.62 | \n",
" 4167.85 | \n",
" NaN | \n",
" future | \n",
" 0.02 | \n",
"
\n",
" \n",
" | 2021-04-01 | \n",
" 36.72 | \n",
" 4141.18 | \n",
" NaN | \n",
" future | \n",
" 0.02 | \n",
"
\n",
" \n",
" | 2021-03-01 | \n",
" 35.04 | \n",
" 3910.51 | \n",
" 0.000000 | \n",
" past | \n",
" 0.00 | \n",
"
\n",
" \n",
" | 2021-02-01 | \n",
" 35.10 | \n",
" 3883.43 | \n",
" 0.000000 | \n",
" past | \n",
" 0.00 | \n",
"
\n",
" \n",
" | 2021-01-01 | \n",
" 34.51 | \n",
" 3793.75 | \n",
" 0.000000 | \n",
" past | \n",
" 0.00 | \n",
"
\n",
" \n",
" | 2020-12-01 | \n",
" 33.77 | \n",
" 3695.31 | \n",
" 0.000000 | \n",
" past | \n",
" 0.00 | \n",
"
\n",
" \n",
" | 2020-11-01 | \n",
" 32.47 | \n",
" 3548.99 | \n",
" 0.000000 | \n",
" past | \n",
" 0.00 | \n",
"
\n",
" \n",
" | 2020-10-01 | \n",
" 31.28 | \n",
" 3418.70 | \n",
" 0.000000 | \n",
" past | \n",
" 0.00 | \n",
"
\n",
" \n",
" | 2020-09-01 | \n",
" 30.84 | \n",
" 3365.52 | \n",
" 0.000000 | \n",
" past | \n",
" 0.00 | \n",
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\n",
" \n",
" | 2020-08-01 | \n",
" 31.16 | \n",
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" 0.00 | \n",
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\n",
" \n",
" | 2020-07-01 | \n",
" 29.60 | \n",
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" 0.000000 | \n",
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\n",
" \n",
" | 2020-06-01 | \n",
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" past | \n",
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\n",
" \n",
" | 2020-05-01 | \n",
" 27.33 | \n",
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" 0.000000 | \n",
" past | \n",
" 0.00 | \n",
"
\n",
" \n",
" | 2020-04-01 | \n",
" 25.93 | \n",
" 2761.98 | \n",
" 0.000000 | \n",
" past | \n",
" 0.00 | \n",
"
\n",
" \n",
" | 2020-03-01 | \n",
" 24.82 | \n",
" 2652.39 | \n",
" 0.000000 | \n",
" past | \n",
" 0.00 | \n",
"
\n",
" \n",
" | 2020-02-01 | \n",
" 30.73 | \n",
" 3277.31 | \n",
" 0.190681 | \n",
" past | \n",
" 0.19 | \n",
"
\n",
" \n",
" | 2020-01-01 | \n",
" 30.99 | \n",
" 3278.20 | \n",
" 0.190900 | \n",
" past | \n",
" 0.19 | \n",
"
\n",
" \n",
" | 2019-12-01 | \n",
" 30.33 | \n",
" 3176.75 | \n",
" 0.165062 | \n",
" past | \n",
" 0.17 | \n",
"
\n",
" \n",
" | 2019-11-01 | \n",
" 29.84 | \n",
" 3104.90 | \n",
" 0.145741 | \n",
" past | \n",
" 0.15 | \n",
"
\n",
" \n",
" | 2019-10-01 | \n",
" 28.84 | \n",
" 2977.68 | \n",
" 0.109243 | \n",
" past | \n",
" 0.11 | \n",
"
\n",
" \n",
" | 2019-09-01 | \n",
" 29.23 | \n",
" 2982.16 | \n",
" 0.110581 | \n",
" past | \n",
" 0.01 | \n",
"
\n",
" \n",
" | 2019-08-01 | \n",
" 28.71 | \n",
" 2897.50 | \n",
" 0.000000 | \n",
" past | \n",
" 0.00 | \n",
"
\n",
" \n",
" | 2019-07-01 | \n",
" 29.99 | \n",
" 2996.11 | \n",
" 0.032913 | \n",
" past | \n",
" 0.00 | \n",
"
\n",
" \n",
" | 2019-06-01 | \n",
" 29.28 | \n",
" 2890.17 | \n",
" 0.000000 | \n",
" past | \n",
" 0.00 | \n",
"
\n",
" \n",
" | 2019-05-01 | \n",
" 29.24 | \n",
" 2854.71 | \n",
" 0.000000 | \n",
" past | \n",
" 0.01 | \n",
"
\n",
" \n",
" | 2019-04-01 | \n",
" 30.13 | \n",
" 2903.80 | \n",
" 0.016905 | \n",
" past | \n",
" 0.03 | \n",
"
\n",
" \n",
" | 2019-03-01 | \n",
" 29.58 | \n",
" 2803.98 | \n",
" 0.000000 | \n",
" past | \n",
" 0.03 | \n",
"
\n",
" \n",
" | 2019-02-01 | \n",
" 29.54 | \n",
" 2754.86 | \n",
" 0.000000 | \n",
" past | \n",
" 0.05 | \n",
"
\n",
" \n",
" | 2019-01-01 | \n",
" 28.38 | \n",
" 2607.39 | \n",
" 0.000000 | \n",
" past | \n",
" 0.04 | \n",
"
\n",
" \n",
" | 2018-12-01 | \n",
" 28.29 | \n",
" 2567.31 | \n",
" 0.000000 | \n",
" past | \n",
" 0.04 | \n",
"
\n",
" \n",
" | 2018-11-01 | \n",
" 30.20 | \n",
" 2723.23 | \n",
" 0.057256 | \n",
" past | \n",
" 0.06 | \n",
"
\n",
" \n",
" | 2018-10-01 | \n",
" 31.04 | \n",
" 2785.46 | \n",
" 0.078317 | \n",
" past | \n",
" 0.08 | \n",
"
\n",
" \n",
"
\n",
"
"
],
"text/plain": [
" PER Price Price_Corr_6M horizon Price_Corr_6MPred\n",
"Date \n",
"2021-10-01 37.63 4357.04 NaN future 0.04\n",
"2021-08-01 38.44 4450.37 NaN future 0.05\n",
"2021-07-01 37.68 4358.13 NaN future 0.04\n",
"2021-06-01 36.86 4238.49 NaN future 0.03\n",
"2021-05-01 36.62 4167.85 NaN future 0.02\n",
"2021-04-01 36.72 4141.18 NaN future 0.02\n",
"2021-03-01 35.04 3910.51 0.000000 past 0.00\n",
"2021-02-01 35.10 3883.43 0.000000 past 0.00\n",
"2021-01-01 34.51 3793.75 0.000000 past 0.00\n",
"2020-12-01 33.77 3695.31 0.000000 past 0.00\n",
"2020-11-01 32.47 3548.99 0.000000 past 0.00\n",
"2020-10-01 31.28 3418.70 0.000000 past 0.00\n",
"2020-09-01 30.84 3365.52 0.000000 past 0.00\n",
"2020-08-01 31.16 3391.71 0.007722 past 0.00\n",
"2020-07-01 29.60 3207.62 0.000000 past 0.00\n",
"2020-06-01 28.84 3104.66 0.000000 past 0.00\n",
"2020-05-01 27.33 2919.61 0.000000 past 0.00\n",
"2020-04-01 25.93 2761.98 0.000000 past 0.00\n",
"2020-03-01 24.82 2652.39 0.000000 past 0.00\n",
"2020-02-01 30.73 3277.31 0.190681 past 0.19\n",
"2020-01-01 30.99 3278.20 0.190900 past 0.19\n",
"2019-12-01 30.33 3176.75 0.165062 past 0.17\n",
"2019-11-01 29.84 3104.90 0.145741 past 0.15\n",
"2019-10-01 28.84 2977.68 0.109243 past 0.11\n",
"2019-09-01 29.23 2982.16 0.110581 past 0.01\n",
"2019-08-01 28.71 2897.50 0.000000 past 0.00\n",
"2019-07-01 29.99 2996.11 0.032913 past 0.00\n",
"2019-06-01 29.28 2890.17 0.000000 past 0.00\n",
"2019-05-01 29.24 2854.71 0.000000 past 0.01\n",
"2019-04-01 30.13 2903.80 0.016905 past 0.03\n",
"2019-03-01 29.58 2803.98 0.000000 past 0.03\n",
"2019-02-01 29.54 2754.86 0.000000 past 0.05\n",
"2019-01-01 28.38 2607.39 0.000000 past 0.04\n",
"2018-12-01 28.29 2567.31 0.000000 past 0.04\n",
"2018-11-01 30.20 2723.23 0.057256 past 0.06\n",
"2018-10-01 31.04 2785.46 0.078317 past 0.08"
]
},
"execution_count": 80,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"cols_pred = ['PER', 'Price', 'Price_Corr_6M', 'horizon', 'Price_Corr_6MPred']\n",
"df_pred[cols_pred].head(36) # one shoot prediction"
]
},
{
"cell_type": "code",
"execution_count": 81,
"id": "f4a9dd82",
"metadata": {},
"outputs": [],
"source": [
"ind_y = df_pred['horizon']=='past'\n",
"# ind_y"
]
},
{
"cell_type": "code",
"execution_count": 82,
"id": "405c67a0",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"0.815055914768403"
]
},
"execution_count": 82,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"model.score(X_pred.loc[ind_y], df_pred.loc[ind_y,col_y]) # score for past - could contain seen data (X_train)"
]
},
{
"cell_type": "code",
"execution_count": 83,
"id": "882e5e9a",
"metadata": {},
"outputs": [],
"source": [
"# ind_y[ind_y==True] # past months for score"
]
},
{
"cell_type": "code",
"execution_count": 84,
"id": "598ef8e8",
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"retest score: 0.77 0.77 features: ['PER', 'Price', 'Price_Var'] X_train.shape: (430, 66)\n",
"score: 0.77 band: 60\n",
"retest score: 0.752 0.752 features: ['PER', 'Price', 'Price_Var'] X_train.shape: (430, 66)\n",
"score: 0.752 band: 36\n",
"retest score: 0.779 0.779 features: ['PER', 'Price', 'Price_Var'] X_train.shape: (430, 66)\n",
"score: 0.779 band: 60\n",
"retest score: 0.767 0.767 features: ['PER', 'Price', 'Price_Var'] X_train.shape: (430, 66)\n",
"score: 0.767 band: 24\n",
"retest score: 0.803 0.803 features: ['PER', 'Price', 'Price_Var'] X_train.shape: (430, 66)\n",
"score: 0.803 band: 60\n",
"retest score: 0.769 0.769 features: ['PER', 'Price', 'Price_Var'] X_train.shape: (430, 66)\n",
"score: 0.769 band: 60\n",
"retest score: 0.818 0.818 features: ['PER', 'Price', 'Price_Var'] X_train.shape: (430, 66)\n",
"score: 0.818 band: 60\n",
"retest score: 0.719 0.719 features: ['PER', 'Price', 'Price_Var'] X_train.shape: (430, 66)\n",
"score: 0.719 band: 60\n",
"retest score: 0.749 0.749 features: ['PER', 'Price', 'Price_Var'] X_train.shape: (430, 66)\n",
"score: 0.749 band: 24\n",
"retest score: 0.71 0.71 features: ['PER', 'Price', 'Price_Var'] X_train.shape: (430, 66)\n",
"score: 0.71 band: 60\n"
]
}
],
"source": [
"# RANDOM CROSS FOLD\n",
"n_times = 10 # build model n times and predict n times\n",
"periods = 6 # predicted last months\n",
"df_pred = df_initial.copy()\n",
"df_pred_iter = df_pred.iloc[:periods].copy()\n",
"ls_pc6m_cols=[]\n",
"ls_score = []\n",
"cols_features =['PER', 'Price', 'Price_Var']\n",
"for i in range(n_times):\n",
" start_date = '1970-01-01'\n",
" model, band, score = generate_model(df, cols_features, start_date, True)\n",
" ls_score.append(score.round(3))\n",
" print('score:',score.round(3), 'band:', band)\n",
" \n",
" X_pred, y_dummy = generate_dataset(df_pred, cols_features, band, periods=periods)\n",
" y_pred = model.predict(X_pred).round(2) # readable\n",
" pc6m_col = 'PC6M'+str(1+i)\n",
" ls_pc6m_cols.append(pc6m_col)\n",
" df_pred_iter[pc6m_col] = y_pred "
]
},
{
"cell_type": "code",
"execution_count": 85,
"id": "4e355c6a",
"metadata": {},
"outputs": [],
"source": [
"cols_iter = ['PER', 'Price', 'Price_Var', 'horizon']\n",
"df_pred_iter=df_pred_iter[cols_iter+ls_pc6m_cols].copy()"
]
},
{
"cell_type": "code",
"execution_count": 86,
"id": "12456cb3",
"metadata": {},
"outputs": [],
"source": [
"df_pred_iter['PC6M_AVG']=df_pred_iter[ls_pc6m_cols].mean(axis=1) # average of all predictions"
]
},
{
"cell_type": "code",
"execution_count": 87,
"id": "3f45fc69",
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"\n",
"\n",
"
\n",
" \n",
" \n",
" | \n",
" PER | \n",
" Price | \n",
" Price_Var | \n",
" horizon | \n",
" PC6M1 | \n",
" PC6M2 | \n",
" PC6M3 | \n",
" PC6M4 | \n",
" PC6M5 | \n",
" PC6M6 | \n",
" PC6M7 | \n",
" PC6M8 | \n",
" PC6M9 | \n",
" PC6M10 | \n",
" PC6M_AVG | \n",
"
\n",
" \n",
" | Date | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
"
\n",
" \n",
" \n",
" \n",
" | 2021-10-01 | \n",
" 37.63 | \n",
" 4357.04 | \n",
" -0.020971 | \n",
" future | \n",
" 0.01 | \n",
" 0.08 | \n",
" 0.02 | \n",
" 0.09 | \n",
" 0.01 | \n",
" 0.02 | \n",
" 0.04 | \n",
" 0.01 | \n",
" 0.05 | \n",
" 0.01 | \n",
" 0.034 | \n",
"
\n",
" \n",
" | 2021-08-01 | \n",
" 38.44 | \n",
" 4450.37 | \n",
" 0.021165 | \n",
" future | \n",
" 0.01 | \n",
" 0.05 | \n",
" 0.02 | \n",
" 0.10 | \n",
" 0.01 | \n",
" 0.02 | \n",
" 0.04 | \n",
" 0.01 | \n",
" 0.02 | \n",
" 0.01 | \n",
" 0.029 | \n",
"
\n",
" \n",
" | 2021-07-01 | \n",
" 37.68 | \n",
" 4358.13 | \n",
" 0.028227 | \n",
" future | \n",
" 0.01 | \n",
" 0.05 | \n",
" 0.02 | \n",
" 0.07 | \n",
" 0.01 | \n",
" 0.02 | \n",
" 0.04 | \n",
" 0.01 | \n",
" 0.02 | \n",
" 0.00 | \n",
" 0.025 | \n",
"
\n",
" \n",
" | 2021-06-01 | \n",
" 36.86 | \n",
" 4238.49 | \n",
" 0.016949 | \n",
" future | \n",
" 0.01 | \n",
" 0.05 | \n",
" 0.02 | \n",
" 0.06 | \n",
" 0.01 | \n",
" 0.02 | \n",
" 0.04 | \n",
" 0.01 | \n",
" 0.02 | \n",
" 0.02 | \n",
" 0.026 | \n",
"
\n",
" \n",
" | 2021-05-01 | \n",
" 36.62 | \n",
" 4167.85 | \n",
" 0.006440 | \n",
" future | \n",
" 0.01 | \n",
" 0.05 | \n",
" 0.00 | \n",
" 0.06 | \n",
" 0.01 | \n",
" 0.02 | \n",
" 0.04 | \n",
" 0.01 | \n",
" 0.02 | \n",
" 0.02 | \n",
" 0.024 | \n",
"
\n",
" \n",
" | 2021-04-01 | \n",
" 36.72 | \n",
" 4141.18 | \n",
" 0.058987 | \n",
" future | \n",
" 0.01 | \n",
" 0.05 | \n",
" 0.00 | \n",
" 0.06 | \n",
" 0.01 | \n",
" 0.02 | \n",
" 0.00 | \n",
" 0.01 | \n",
" 0.00 | \n",
" 0.01 | \n",
" 0.017 | \n",
"
\n",
" \n",
"
\n",
"
"
],
"text/plain": [
" PER Price Price_Var horizon PC6M1 PC6M2 PC6M3 PC6M4 \\\n",
"Date \n",
"2021-10-01 37.63 4357.04 -0.020971 future 0.01 0.08 0.02 0.09 \n",
"2021-08-01 38.44 4450.37 0.021165 future 0.01 0.05 0.02 0.10 \n",
"2021-07-01 37.68 4358.13 0.028227 future 0.01 0.05 0.02 0.07 \n",
"2021-06-01 36.86 4238.49 0.016949 future 0.01 0.05 0.02 0.06 \n",
"2021-05-01 36.62 4167.85 0.006440 future 0.01 0.05 0.00 0.06 \n",
"2021-04-01 36.72 4141.18 0.058987 future 0.01 0.05 0.00 0.06 \n",
"\n",
" PC6M5 PC6M6 PC6M7 PC6M8 PC6M9 PC6M10 PC6M_AVG \n",
"Date \n",
"2021-10-01 0.01 0.02 0.04 0.01 0.05 0.01 0.034 \n",
"2021-08-01 0.01 0.02 0.04 0.01 0.02 0.01 0.029 \n",
"2021-07-01 0.01 0.02 0.04 0.01 0.02 0.00 0.025 \n",
"2021-06-01 0.01 0.02 0.04 0.01 0.02 0.02 0.026 \n",
"2021-05-01 0.01 0.02 0.04 0.01 0.02 0.02 0.024 \n",
"2021-04-01 0.01 0.02 0.00 0.01 0.00 0.01 0.017 "
]
},
"execution_count": 87,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"# RANDOM CROSS FOLD PREDICTION with ['PER', 'Price', 'Price_Var']\n",
"df_pred_iter"
]
},
{
"cell_type": "code",
"execution_count": 88,
"id": "b78c6dbd",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"(0.7636, [0.77, 0.752, 0.779, 0.767, 0.803, 0.769, 0.818, 0.719, 0.749, 0.71])"
]
},
"execution_count": 88,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"np.mean(ls_score), ls_score # model score mean and model score list"
]
},
{
"cell_type": "code",
"execution_count": 89,
"id": "304cd723",
"metadata": {},
"outputs": [],
"source": [
"# Buffet Indicator"
]
},
{
"cell_type": "code",
"execution_count": 90,
"id": "44f8723c",
"metadata": {},
"outputs": [],
"source": [
"# Get your api_key from FRED\n",
"# https://fred.stlouisfed.org/docs/api/api_key.html\n",
"\n",
"# fred = Fred(api_key='abcdefghijklmnopqrstuvwxyz123456') # example # get your api_key from FRED \n",
"fred = Fred(api_key='your_api_key')"
]
},
{
"cell_type": "code",
"execution_count": 91,
"id": "34429a6f",
"metadata": {},
"outputs": [],
"source": [
"# wilshire = fred.get_series('WILL5000PRFC')"
]
},
{
"cell_type": "code",
"execution_count": 92,
"id": "99705806",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"1946-01-01 NaN\n",
"1946-04-01 NaN\n",
"1946-07-01 NaN\n",
"1946-10-01 NaN\n",
"1947-01-01 243.164\n",
" ... \n",
"2020-04-01 19477.444\n",
"2020-07-01 21138.574\n",
"2020-10-01 21477.597\n",
"2021-01-01 22038.226\n",
"2021-04-01 22740.959\n",
"Length: 302, dtype: float64"
]
},
"execution_count": 92,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"gdp_data = fred.get_series_latest_release('GDP')\n",
"gdp_data"
]
},
{
"cell_type": "code",
"execution_count": 93,
"id": "de63c4c2",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"1946-01-01 NaN\n",
"1946-01-02 NaN\n",
"1946-01-03 NaN\n",
"1946-01-04 NaN\n",
"1946-01-05 NaN\n",
" ... \n",
"2021-03-28 NaN\n",
"2021-03-29 NaN\n",
"2021-03-30 NaN\n",
"2021-03-31 NaN\n",
"2021-04-01 22740.959\n",
"Freq: D, Length: 27485, dtype: float64"
]
},
"execution_count": 93,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"# Convert from quarter to day with interpolate\n",
"idx = pd.date_range(gdp_data.index.min(), gdp_data.index.max()) \n",
"gdp_data = gdp_data.reindex(idx, fill_value=np.nan).copy()\n",
"gdp_data"
]
},
{
"cell_type": "code",
"execution_count": 94,
"id": "83ba2513",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"1946-01-01 NaN\n",
"1946-01-02 NaN\n",
"1946-01-03 NaN\n",
"1946-01-04 NaN\n",
"1946-01-05 NaN\n",
" ... \n",
"2021-03-28 22709.726422\n",
"2021-03-29 22717.534567\n",
"2021-03-30 22725.342711\n",
"2021-03-31 22733.150856\n",
"2021-04-01 22740.959000\n",
"Freq: D, Length: 27485, dtype: float64"
]
},
"execution_count": 94,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"gdp_data = pd.to_numeric(gdp_data, errors='coerce').astype('float64').copy()\n",
"gdp_data.interpolate(inplace=True)\n",
"gdp_data"
]
},
{
"cell_type": "code",
"execution_count": 95,
"id": "f12fbb51",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
""
]
},
"execution_count": 95,
"metadata": {},
"output_type": "execute_result"
},
{
"data": {
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\n",
"text/plain": [
""
]
},
"metadata": {
"needs_background": "light"
},
"output_type": "display_data"
}
],
"source": [
"# %matplotlib inline\n",
"gdp_data.plot.line()"
]
},
{
"cell_type": "code",
"execution_count": 96,
"id": "900e3040",
"metadata": {},
"outputs": [],
"source": [
"wilshire = fred.get_series('WILL5000PRFC')"
]
},
{
"cell_type": "code",
"execution_count": 97,
"id": "7fb82e53",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"1970-12-31 830.27\n",
"1971-01-01 NaN\n",
"1971-01-02 NaN\n",
"1971-01-03 NaN\n",
"1971-01-04 NaN\n",
" ... \n",
"2021-09-26 NaN\n",
"2021-09-27 46299.74\n",
"2021-09-28 45313.81\n",
"2021-09-29 45332.09\n",
"2021-09-30 44850.03\n",
"Freq: D, Length: 18537, dtype: float64"
]
},
"execution_count": 97,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"idx = pd.date_range(wilshire.index.min(), wilshire.index.max())\n",
"wilshire = wilshire.reindex(idx, fill_value=np.nan).copy()\n",
"wilshire"
]
},
{
"cell_type": "code",
"execution_count": 98,
"id": "0374be7f",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"1970-12-31 830.270000\n",
"1971-01-01 831.754138\n",
"1971-01-02 833.238276\n",
"1971-01-03 834.722414\n",
"1971-01-04 836.206552\n",
" ... \n",
"2021-09-26 46320.236667\n",
"2021-09-27 46299.740000\n",
"2021-09-28 45313.810000\n",
"2021-09-29 45332.090000\n",
"2021-09-30 44850.030000\n",
"Freq: D, Length: 18537, dtype: float64"
]
},
"execution_count": 98,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"wilshire.interpolate(inplace=True)\n",
"wilshire"
]
},
{
"cell_type": "code",
"execution_count": 99,
"id": "f7b218f2",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
""
]
},
"execution_count": 99,
"metadata": {},
"output_type": "execute_result"
},
{
"data": {
"image/png": 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\n",
"text/plain": [
""
]
},
"metadata": {
"needs_background": "light"
},
"output_type": "display_data"
}
],
"source": [
"wilshire.plot.line()"
]
},
{
"cell_type": "code",
"execution_count": 100,
"id": "2dd5664d",
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"\n",
"\n",
"
\n",
" \n",
" \n",
" | \n",
" GDP | \n",
" Wilshire 5000 | \n",
"
\n",
" \n",
" \n",
" \n",
" | 1946-01-01 | \n",
" NaN | \n",
" NaN | \n",
"
\n",
" \n",
" | 1946-01-02 | \n",
" NaN | \n",
" NaN | \n",
"
\n",
" \n",
" | 1946-01-03 | \n",
" NaN | \n",
" NaN | \n",
"
\n",
" \n",
" | 1946-01-04 | \n",
" NaN | \n",
" NaN | \n",
"
\n",
" \n",
" | 1946-01-05 | \n",
" NaN | \n",
" NaN | \n",
"
\n",
" \n",
" | ... | \n",
" ... | \n",
" ... | \n",
"
\n",
" \n",
" | 2021-09-26 | \n",
" NaN | \n",
" 46320.236667 | \n",
"
\n",
" \n",
" | 2021-09-27 | \n",
" NaN | \n",
" 46299.740000 | \n",
"
\n",
" \n",
" | 2021-09-28 | \n",
" NaN | \n",
" 45313.810000 | \n",
"
\n",
" \n",
" | 2021-09-29 | \n",
" NaN | \n",
" 45332.090000 | \n",
"
\n",
" \n",
" | 2021-09-30 | \n",
" NaN | \n",
" 44850.030000 | \n",
"
\n",
" \n",
"
\n",
"
27667 rows × 2 columns
\n",
"
"
],
"text/plain": [
" GDP Wilshire 5000\n",
"1946-01-01 NaN NaN\n",
"1946-01-02 NaN NaN\n",
"1946-01-03 NaN NaN\n",
"1946-01-04 NaN NaN\n",
"1946-01-05 NaN NaN\n",
"... ... ...\n",
"2021-09-26 NaN 46320.236667\n",
"2021-09-27 NaN 46299.740000\n",
"2021-09-28 NaN 45313.810000\n",
"2021-09-29 NaN 45332.090000\n",
"2021-09-30 NaN 44850.030000\n",
"\n",
"[27667 rows x 2 columns]"
]
},
"execution_count": 100,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"gdp_data.name='GDP'\n",
"wilshire.name='Wilshire 5000'\n",
"bf_ind = pd.concat([gdp_data, wilshire], axis=1) # Buffet Indicator\n",
"bf_ind"
]
},
{
"cell_type": "code",
"execution_count": 101,
"id": "e9782c2a",
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"\n",
"\n",
"
\n",
" \n",
" \n",
" | \n",
" GDP | \n",
" Wilshire 5000 | \n",
"
\n",
" \n",
" \n",
" \n",
" | 1970-12-31 | \n",
" 1134.650043 | \n",
" 830.270000 | \n",
"
\n",
" \n",
" | 1971-01-01 | \n",
" 1135.156000 | \n",
" 831.754138 | \n",
"
\n",
" \n",
" | 1971-01-02 | \n",
" 1135.390611 | \n",
" 833.238276 | \n",
"
\n",
" \n",
" | 1971-01-03 | \n",
" 1135.625222 | \n",
" 834.722414 | \n",
"
\n",
" \n",
" | 1971-01-04 | \n",
" 1135.859833 | \n",
" 836.206552 | \n",
"
\n",
" \n",
" | ... | \n",
" ... | \n",
" ... | \n",
"
\n",
" \n",
" | 2021-09-26 | \n",
" NaN | \n",
" 46320.236667 | \n",
"
\n",
" \n",
" | 2021-09-27 | \n",
" NaN | \n",
" 46299.740000 | \n",
"
\n",
" \n",
" | 2021-09-28 | \n",
" NaN | \n",
" 45313.810000 | \n",
"
\n",
" \n",
" | 2021-09-29 | \n",
" NaN | \n",
" 45332.090000 | \n",
"
\n",
" \n",
" | 2021-09-30 | \n",
" NaN | \n",
" 44850.030000 | \n",
"
\n",
" \n",
"
\n",
"
18537 rows × 2 columns
\n",
"
"
],
"text/plain": [
" GDP Wilshire 5000\n",
"1970-12-31 1134.650043 830.270000\n",
"1971-01-01 1135.156000 831.754138\n",
"1971-01-02 1135.390611 833.238276\n",
"1971-01-03 1135.625222 834.722414\n",
"1971-01-04 1135.859833 836.206552\n",
"... ... ...\n",
"2021-09-26 NaN 46320.236667\n",
"2021-09-27 NaN 46299.740000\n",
"2021-09-28 NaN 45313.810000\n",
"2021-09-29 NaN 45332.090000\n",
"2021-09-30 NaN 44850.030000\n",
"\n",
"[18537 rows x 2 columns]"
]
},
"execution_count": 101,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"bf_ind.dropna(subset=['Wilshire 5000'], inplace=True) # drop missing GDP\n",
"bf_ind"
]
},
{
"cell_type": "code",
"execution_count": 102,
"id": "620c7a8b",
"metadata": {},
"outputs": [],
"source": [
"bf_ind.interpolate(method ='spline',order=2, inplace=True)"
]
},
{
"cell_type": "code",
"execution_count": 103,
"id": "da14874c",
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"\n",
"\n",
"
\n",
" \n",
" \n",
" | \n",
" GDP | \n",
" Wilshire 5000 | \n",
" Buffet Indicator | \n",
"
\n",
" \n",
" \n",
" \n",
" | 1970-12-31 | \n",
" 1134.650043 | \n",
" 830.270000 | \n",
" 0.731741 | \n",
"
\n",
" \n",
" | 1971-01-01 | \n",
" 1135.156000 | \n",
" 831.754138 | \n",
" 0.732722 | \n",
"
\n",
" \n",
" | 1971-01-02 | \n",
" 1135.390611 | \n",
" 833.238276 | \n",
" 0.733878 | \n",
"
\n",
" \n",
" | 1971-01-03 | \n",
" 1135.625222 | \n",
" 834.722414 | \n",
" 0.735033 | \n",
"
\n",
" \n",
" | 1971-01-04 | \n",
" 1135.859833 | \n",
" 836.206552 | \n",
" 0.736188 | \n",
"
\n",
" \n",
" | ... | \n",
" ... | \n",
" ... | \n",
" ... | \n",
"
\n",
" \n",
" | 2021-09-26 | \n",
" 24046.814696 | \n",
" 46320.236667 | \n",
" 1.926252 | \n",
"
\n",
" \n",
" | 2021-09-27 | \n",
" 24053.813469 | \n",
" 46299.740000 | \n",
" 1.924840 | \n",
"
\n",
" \n",
" | 2021-09-28 | \n",
" 24060.808396 | \n",
" 45313.810000 | \n",
" 1.883304 | \n",
"
\n",
" \n",
" | 2021-09-29 | \n",
" 24067.799478 | \n",
" 45332.090000 | \n",
" 1.883516 | \n",
"
\n",
" \n",
" | 2021-09-30 | \n",
" 24074.786715 | \n",
" 44850.030000 | \n",
" 1.862946 | \n",
"
\n",
" \n",
"
\n",
"
18537 rows × 3 columns
\n",
"
"
],
"text/plain": [
" GDP Wilshire 5000 Buffet Indicator\n",
"1970-12-31 1134.650043 830.270000 0.731741\n",
"1971-01-01 1135.156000 831.754138 0.732722\n",
"1971-01-02 1135.390611 833.238276 0.733878\n",
"1971-01-03 1135.625222 834.722414 0.735033\n",
"1971-01-04 1135.859833 836.206552 0.736188\n",
"... ... ... ...\n",
"2021-09-26 24046.814696 46320.236667 1.926252\n",
"2021-09-27 24053.813469 46299.740000 1.924840\n",
"2021-09-28 24060.808396 45313.810000 1.883304\n",
"2021-09-29 24067.799478 45332.090000 1.883516\n",
"2021-09-30 24074.786715 44850.030000 1.862946\n",
"\n",
"[18537 rows x 3 columns]"
]
},
"execution_count": 103,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"col_bf_ind='Buffet Indicator'\n",
"bf_ind[col_bf_ind] = bf_ind['Wilshire 5000'] / bf_ind['GDP'] \n",
"bf_ind"
]
},
{
"cell_type": "code",
"execution_count": 104,
"id": "0b13a239",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
""
]
},
"execution_count": 104,
"metadata": {},
"output_type": "execute_result"
},
{
"data": {
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\n",
"text/plain": [
""
]
},
"metadata": {
"needs_background": "light"
},
"output_type": "display_data"
}
],
"source": [
"# https://www.longtermtrends.net/market-cap-to-gdp-the-buffett-indicator/\n",
"bf_ind[col_bf_ind].plot.line() # compare with chart from above link"
]
},
{
"cell_type": "code",
"execution_count": 105,
"id": "28b38200",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"(Timestamp('1970-12-31 00:00:00', freq='D'),\n",
" Timestamp('2021-09-30 00:00:00', freq='D'))"
]
},
"execution_count": 105,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"bf_ind.index.min(), bf_ind.index.max()"
]
},
{
"cell_type": "code",
"execution_count": 106,
"id": "0637c893",
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"\n",
"\n",
"
\n",
" \n",
" \n",
" | \n",
" PER | \n",
" Price | \n",
" Date | \n",
" Price0F | \n",
" Price1F | \n",
" Price2F | \n",
" Price3F | \n",
" Price4F | \n",
" Price5F | \n",
" Price6F | \n",
" Price1P | \n",
" Price_Var | \n",
" PriceFmin | \n",
" Price_Corr_6M | \n",
" horizon | \n",
"
\n",
" \n",
" | Date | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
"
\n",
" \n",
" \n",
" \n",
" | 2021-10-01 | \n",
" 37.63 | \n",
" 4357.04 | \n",
" 2021-10-01 | \n",
" 4357.04 | \n",
" NaN | \n",
" NaN | \n",
" NaN | \n",
" NaN | \n",
" NaN | \n",
" NaN | \n",
" 4450.37 | \n",
" -0.020971 | \n",
" 4357.04 | \n",
" NaN | \n",
" future | \n",
"
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" \n",
" | 2021-08-01 | \n",
" 38.44 | \n",
" 4450.37 | \n",
" 2021-08-01 | \n",
" 4450.37 | \n",
" 4357.04 | \n",
" NaN | \n",
" NaN | \n",
" NaN | \n",
" NaN | \n",
" NaN | \n",
" 4358.13 | \n",
" 0.021165 | \n",
" 4357.04 | \n",
" NaN | \n",
" future | \n",
"
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" \n",
" | 2021-07-01 | \n",
" 37.68 | \n",
" 4358.13 | \n",
" 2021-07-01 | \n",
" 4358.13 | \n",
" 4450.37 | \n",
" 4357.04 | \n",
" NaN | \n",
" NaN | \n",
" NaN | \n",
" NaN | \n",
" 4238.49 | \n",
" 0.028227 | \n",
" 4357.04 | \n",
" NaN | \n",
" future | \n",
"
\n",
" \n",
" | 2021-06-01 | \n",
" 36.86 | \n",
" 4238.49 | \n",
" 2021-06-01 | \n",
" 4238.49 | \n",
" 4358.13 | \n",
" 4450.37 | \n",
" 4357.04 | \n",
" NaN | \n",
" NaN | \n",
" NaN | \n",
" 4167.85 | \n",
" 0.016949 | \n",
" 4238.49 | \n",
" NaN | \n",
" future | \n",
"
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" \n",
" | 2021-05-01 | \n",
" 36.62 | \n",
" 4167.85 | \n",
" 2021-05-01 | \n",
" 4167.85 | \n",
" 4238.49 | \n",
" 4358.13 | \n",
" 4450.37 | \n",
" 4357.04 | \n",
" NaN | \n",
" NaN | \n",
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" \n",
" | 1871-06-01 | \n",
" 12.59 | \n",
" 4.82 | \n",
" 1871-06-01 | \n",
" 4.82 | \n",
" 4.73 | \n",
" 4.79 | \n",
" 4.84 | \n",
" 4.59 | \n",
" 4.64 | \n",
" 4.74 | \n",
" 4.86 | \n",
" -0.008230 | \n",
" 4.59 | \n",
" 0.047718 | \n",
" past | \n",
"
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" \n",
" | 1871-05-01 | \n",
" 12.59 | \n",
" 4.86 | \n",
" 1871-05-01 | \n",
" 4.86 | \n",
" 4.82 | \n",
" 4.73 | \n",
" 4.79 | \n",
" 4.84 | \n",
" 4.59 | \n",
" 4.64 | \n",
" 4.74 | \n",
" 0.025316 | \n",
" 4.59 | \n",
" 0.055556 | \n",
" past | \n",
"
\n",
" \n",
" | 1871-04-01 | \n",
" 12.05 | \n",
" 4.74 | \n",
" 1871-04-01 | \n",
" 4.74 | \n",
" 4.86 | \n",
" 4.82 | \n",
" 4.73 | \n",
" 4.79 | \n",
" 4.84 | \n",
" 4.59 | \n",
" 4.61 | \n",
" 0.028200 | \n",
" 4.59 | \n",
" 0.031646 | \n",
" past | \n",
"
\n",
" \n",
" | 1871-03-01 | \n",
" 11.19 | \n",
" 4.61 | \n",
" 1871-03-01 | \n",
" 4.61 | \n",
" 4.74 | \n",
" 4.86 | \n",
" 4.82 | \n",
" 4.73 | \n",
" 4.79 | \n",
" 4.84 | \n",
" 4.50 | \n",
" 0.024444 | \n",
" 4.61 | \n",
" 0.000000 | \n",
" past | \n",
"
\n",
" \n",
" | 1871-02-01 | \n",
" 10.92 | \n",
" 4.50 | \n",
" 1871-02-01 | \n",
" 4.50 | \n",
" 4.61 | \n",
" 4.74 | \n",
" 4.86 | \n",
" 4.82 | \n",
" 4.73 | \n",
" 4.79 | \n",
" NaN | \n",
" NaN | \n",
" 4.50 | \n",
" NaN | \n",
" past | \n",
"
\n",
" \n",
"
\n",
"
1808 rows × 15 columns
\n",
"
"
],
"text/plain": [
" PER Price Date Price0F Price1F Price2F Price3F \\\n",
"Date \n",
"2021-10-01 37.63 4357.04 2021-10-01 4357.04 NaN NaN NaN \n",
"2021-08-01 38.44 4450.37 2021-08-01 4450.37 4357.04 NaN NaN \n",
"2021-07-01 37.68 4358.13 2021-07-01 4358.13 4450.37 4357.04 NaN \n",
"2021-06-01 36.86 4238.49 2021-06-01 4238.49 4358.13 4450.37 4357.04 \n",
"2021-05-01 36.62 4167.85 2021-05-01 4167.85 4238.49 4358.13 4450.37 \n",
"... ... ... ... ... ... ... ... \n",
"1871-06-01 12.59 4.82 1871-06-01 4.82 4.73 4.79 4.84 \n",
"1871-05-01 12.59 4.86 1871-05-01 4.86 4.82 4.73 4.79 \n",
"1871-04-01 12.05 4.74 1871-04-01 4.74 4.86 4.82 4.73 \n",
"1871-03-01 11.19 4.61 1871-03-01 4.61 4.74 4.86 4.82 \n",
"1871-02-01 10.92 4.50 1871-02-01 4.50 4.61 4.74 4.86 \n",
"\n",
" Price4F Price5F Price6F Price1P Price_Var PriceFmin \\\n",
"Date \n",
"2021-10-01 NaN NaN NaN 4450.37 -0.020971 4357.04 \n",
"2021-08-01 NaN NaN NaN 4358.13 0.021165 4357.04 \n",
"2021-07-01 NaN NaN NaN 4238.49 0.028227 4357.04 \n",
"2021-06-01 NaN NaN NaN 4167.85 0.016949 4238.49 \n",
"2021-05-01 4357.04 NaN NaN 4141.18 0.006440 4167.85 \n",
"... ... ... ... ... ... ... \n",
"1871-06-01 4.59 4.64 4.74 4.86 -0.008230 4.59 \n",
"1871-05-01 4.84 4.59 4.64 4.74 0.025316 4.59 \n",
"1871-04-01 4.79 4.84 4.59 4.61 0.028200 4.59 \n",
"1871-03-01 4.73 4.79 4.84 4.50 0.024444 4.61 \n",
"1871-02-01 4.82 4.73 4.79 NaN NaN 4.50 \n",
"\n",
" Price_Corr_6M horizon \n",
"Date \n",
"2021-10-01 NaN future \n",
"2021-08-01 NaN future \n",
"2021-07-01 NaN future \n",
"2021-06-01 NaN future \n",
"2021-05-01 NaN future \n",
"... ... ... \n",
"1871-06-01 0.047718 past \n",
"1871-05-01 0.055556 past \n",
"1871-04-01 0.031646 past \n",
"1871-03-01 0.000000 past \n",
"1871-02-01 NaN past \n",
"\n",
"[1808 rows x 15 columns]"
]
},
"execution_count": 106,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"df_initial"
]
},
{
"cell_type": "code",
"execution_count": 107,
"id": "53319fd9",
"metadata": {},
"outputs": [],
"source": [
"df_pred = df_initial.copy()\n",
"df_pred = pd.concat([df_pred, bf_ind], axis=1)\n",
"df_pred.sort_index(ascending=False, inplace=True)"
]
},
{
"cell_type": "code",
"execution_count": 108,
"id": "af4181f8",
"metadata": {},
"outputs": [
{
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609 rows × 7 columns
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"text/plain": [
" Date PER Price Price_Var horizon Buffet Indicator \\\n",
"2021-10-01 2021-10-01 37.63 4357.04 -0.020971 future 1.862946 \n",
"2021-08-01 2021-08-01 38.44 4450.37 0.021165 future 1.931096 \n",
"2021-07-01 2021-07-01 37.68 4358.13 0.028227 future 1.934718 \n",
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"... ... ... ... ... ... ... \n",
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"1971-03-01 1971-03-01 17.40 99.60 0.025641 past 0.773546 \n",
"1971-02-01 1971-02-01 17.03 97.11 0.038721 past 0.765564 \n",
"1971-01-01 1971-01-01 16.46 93.49 0.038201 past 0.732722 \n",
"\n",
" Price_Corr_6M \n",
"2021-10-01 NaN \n",
"2021-08-01 NaN \n",
"2021-07-01 NaN \n",
"2021-06-01 NaN \n",
"2021-05-01 NaN \n",
"... ... \n",
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"\n",
"[609 rows x 7 columns]"
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},
"execution_count": 108,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"cols_iter = ['Date','PER', 'Price', 'Price_Var', 'horizon', 'Buffet Indicator', 'Price_Corr_6M']\n",
"df_pred[col_bf_ind] = df_pred[col_bf_ind].interpolate(method='linear', limit_direction='backward')\n",
"df_pred = df_pred[cols_iter].copy()\n",
"df_pred.dropna(subset=['horizon', 'Buffet Indicator'], inplace=True)\n",
"df_pred"
]
},
{
"cell_type": "code",
"execution_count": 109,
"id": "ceb17f9e",
"metadata": {},
"outputs": [
{
"data": {
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" Price_Var | \n",
" Buffet Indicator | \n",
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" | 2020-12-01 | \n",
" 2020-12-01 | \n",
" 33.77 | \n",
" 3695.31 | \n",
" 0.041229 | \n",
" 1.748069 | \n",
" 0.000000 | \n",
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" 0.038201 | \n",
" 0.732722 | \n",
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"
\n",
" \n",
"
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603 rows × 6 columns
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],
"text/plain": [
" Date PER Price Price_Var Buffet Indicator \\\n",
"2021-03-01 2021-03-01 35.04 3910.51 0.006973 1.846238 \n",
"2021-02-01 2021-02-01 35.10 3883.43 0.023639 1.798761 \n",
"2021-01-01 2021-01-01 34.51 3793.75 0.026639 1.783969 \n",
"2020-12-01 2020-12-01 33.77 3695.31 0.041229 1.748069 \n",
"2020-11-01 2020-11-01 32.47 3548.99 0.038111 1.568975 \n",
"... ... ... ... ... ... \n",
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"1971-03-01 1971-03-01 17.40 99.60 0.025641 0.773546 \n",
"1971-02-01 1971-02-01 17.03 97.11 0.038721 0.765564 \n",
"1971-01-01 1971-01-01 16.46 93.49 0.038201 0.732722 \n",
"\n",
" Price_Corr_6M \n",
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"2021-02-01 0.000000 \n",
"2021-01-01 0.000000 \n",
"2020-12-01 0.000000 \n",
"2020-11-01 0.000000 \n",
"... ... \n",
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"[603 rows x 6 columns]"
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},
"execution_count": 109,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"cols_train=['Date','PER', 'Price', 'Price_Var', 'Buffet Indicator', 'Price_Corr_6M']\n",
"df= df_pred[cols_train].copy()\n",
"df.dropna(inplace=True)\n",
"df"
]
},
{
"cell_type": "code",
"execution_count": 110,
"id": "a2a6ebf9",
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"retest score: 0.741 0.741 features: ['PER'] X_train.shape: (418, 22)\n",
"score: 0.741 band: 60\n",
"retest score: 0.814 0.814 features: ['PER'] X_train.shape: (418, 22)\n",
"score: 0.814 band: 60\n",
"retest score: 0.78 0.78 features: ['PER'] X_train.shape: (418, 22)\n",
"score: 0.78 band: 36\n",
"retest score: 0.692 0.692 features: ['PER'] X_train.shape: (418, 22)\n",
"score: 0.692 band: 60\n",
"retest score: 0.737 0.737 features: ['PER'] X_train.shape: (418, 22)\n",
"score: 0.737 band: 60\n",
"retest score: 0.597 0.597 features: ['PER'] X_train.shape: (418, 22)\n",
"score: 0.597 band: 60\n",
"retest score: 0.779 0.779 features: ['PER'] X_train.shape: (418, 22)\n",
"score: 0.779 band: 36\n",
"retest score: 0.669 0.669 features: ['PER'] X_train.shape: (418, 22)\n",
"score: 0.669 band: 48\n",
"retest score: 0.698 0.698 features: ['PER'] X_train.shape: (418, 22)\n",
"score: 0.698 band: 48\n",
"retest score: 0.714 0.714 features: ['PER'] X_train.shape: (418, 22)\n",
"score: 0.714 band: 48\n"
]
},
{
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" 2021-07-01 | \n",
" 37.68 | \n",
" 4358.13 | \n",
" 0.028227 | \n",
" future | \n",
" 1.934718 | \n",
" 0.03 | \n",
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" 0.04 | \n",
" 0.037 | \n",
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" | 2021-06-01 | \n",
" 2021-06-01 | \n",
" 36.86 | \n",
" 4238.49 | \n",
" 0.016949 | \n",
" future | \n",
" 1.897103 | \n",
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" 2021-05-01 | \n",
" 36.62 | \n",
" 4167.85 | \n",
" 0.006440 | \n",
" future | \n",
" 1.910928 | \n",
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" 0.022 | \n",
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" | 2021-04-01 | \n",
" 2021-04-01 | \n",
" 36.72 | \n",
" 4141.18 | \n",
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"text/plain": [
" Date PER Price Price_Var horizon Buffet Indicator \\\n",
"2021-10-01 2021-10-01 37.63 4357.04 -0.020971 future 1.862946 \n",
"2021-08-01 2021-08-01 38.44 4450.37 0.021165 future 1.931096 \n",
"2021-07-01 2021-07-01 37.68 4358.13 0.028227 future 1.934718 \n",
"2021-06-01 2021-06-01 36.86 4238.49 0.016949 future 1.897103 \n",
"2021-05-01 2021-05-01 36.62 4167.85 0.006440 future 1.910928 \n",
"2021-04-01 2021-04-01 36.72 4141.18 0.058987 future 1.859243 \n",
"\n",
" PC6M1 PC6M2 PC6M3 PC6M4 PC6M5 PC6M6 PC6M7 PC6M8 PC6M9 \\\n",
"2021-10-01 0.02 0.06 0.05 0.09 0.02 0.01 0.03 0.02 0.05 \n",
"2021-08-01 0.02 0.06 0.01 0.09 0.02 0.02 0.02 0.01 0.05 \n",
"2021-07-01 0.03 0.07 0.02 0.09 0.02 0.03 0.01 0.02 0.04 \n",
"2021-06-01 0.01 0.04 0.00 0.09 0.00 0.00 0.00 0.02 0.04 \n",
"2021-05-01 0.01 0.03 0.00 0.09 0.00 0.01 0.00 0.01 0.02 \n",
"2021-04-01 0.01 0.01 0.00 0.09 0.00 0.01 0.01 0.00 0.06 \n",
"\n",
" PC6M10 PC6M_AVG \n",
"2021-10-01 0.04 0.039 \n",
"2021-08-01 0.04 0.034 \n",
"2021-07-01 0.04 0.037 \n",
"2021-06-01 0.07 0.027 \n",
"2021-05-01 0.05 0.022 \n",
"2021-04-01 0.04 0.023 "
]
},
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"text": [
"scores: 0.722 [0.741, 0.814, 0.78, 0.692, 0.737, 0.597, 0.779, 0.669, 0.698, 0.714]\n",
"retest score: 0.823 0.823 features: ['Price'] X_train.shape: (418, 22)\n",
"score: 0.823 band: 48\n",
"retest score: 0.716 0.716 features: ['Price'] X_train.shape: (418, 22)\n",
"score: 0.716 band: 60\n",
"retest score: 0.705 0.705 features: ['Price'] X_train.shape: (418, 22)\n",
"score: 0.705 band: 24\n",
"retest score: 0.755 0.755 features: ['Price'] X_train.shape: (418, 22)\n",
"score: 0.755 band: 48\n",
"retest score: 0.806 0.806 features: ['Price'] X_train.shape: (418, 22)\n",
"score: 0.806 band: 24\n",
"retest score: 0.745 0.745 features: ['Price'] X_train.shape: (418, 22)\n",
"score: 0.745 band: 60\n",
"retest score: 0.719 0.719 features: ['Price'] X_train.shape: (418, 22)\n",
"score: 0.719 band: 60\n",
"retest score: 0.69 0.69 features: ['Price'] X_train.shape: (418, 22)\n",
"score: 0.69 band: 12\n",
"retest score: 0.828 0.828 features: ['Price'] X_train.shape: (418, 22)\n",
"score: 0.828 band: 48\n",
"retest score: 0.792 0.792 features: ['Price'] X_train.shape: (418, 22)\n",
"score: 0.792 band: 48\n"
]
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" Date PER Price Price_Var horizon Buffet Indicator \\\n",
"2021-10-01 2021-10-01 37.63 4357.04 -0.020971 future 1.862946 \n",
"2021-08-01 2021-08-01 38.44 4450.37 0.021165 future 1.931096 \n",
"2021-07-01 2021-07-01 37.68 4358.13 0.028227 future 1.934718 \n",
"2021-06-01 2021-06-01 36.86 4238.49 0.016949 future 1.897103 \n",
"2021-05-01 2021-05-01 36.62 4167.85 0.006440 future 1.910928 \n",
"2021-04-01 2021-04-01 36.72 4141.18 0.058987 future 1.859243 \n",
"\n",
" PC6M1 PC6M2 PC6M3 PC6M4 PC6M5 PC6M6 PC6M7 PC6M8 PC6M9 \\\n",
"2021-10-01 0.03 0.07 0.0 0.02 0.00 0.08 0.07 0.11 0.09 \n",
"2021-08-01 0.03 0.07 0.0 0.01 0.00 0.08 0.07 0.11 0.09 \n",
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"\n",
" PC6M10 PC6M_AVG \n",
"2021-10-01 0.03 0.050 \n",
"2021-08-01 0.02 0.048 \n",
"2021-07-01 0.02 0.045 \n",
"2021-06-01 0.02 0.046 \n",
"2021-05-01 0.02 0.046 \n",
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"scores: 0.758 [0.823, 0.716, 0.705, 0.755, 0.806, 0.745, 0.719, 0.69, 0.828, 0.792]\n",
"retest score: 0.689 0.689 features: ['Price_Var'] X_train.shape: (418, 22)\n",
"score: 0.689 band: 36\n",
"retest score: 0.763 0.763 features: ['Price_Var'] X_train.shape: (418, 22)\n",
"score: 0.763 band: 60\n",
"retest score: 0.734 0.734 features: ['Price_Var'] X_train.shape: (418, 22)\n",
"score: 0.734 band: 60\n",
"retest score: 0.749 0.749 features: ['Price_Var'] X_train.shape: (418, 22)\n",
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"retest score: 0.751 0.751 features: ['Price_Var'] X_train.shape: (418, 22)\n",
"score: 0.751 band: 24\n",
"retest score: 0.697 0.697 features: ['Price_Var'] X_train.shape: (418, 22)\n",
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" Date PER Price Price_Var horizon Buffet Indicator \\\n",
"2021-10-01 2021-10-01 37.63 4357.04 -0.020971 future 1.862946 \n",
"2021-08-01 2021-08-01 38.44 4450.37 0.021165 future 1.931096 \n",
"2021-07-01 2021-07-01 37.68 4358.13 0.028227 future 1.934718 \n",
"2021-06-01 2021-06-01 36.86 4238.49 0.016949 future 1.897103 \n",
"2021-05-01 2021-05-01 36.62 4167.85 0.006440 future 1.910928 \n",
"2021-04-01 2021-04-01 36.72 4141.18 0.058987 future 1.859243 \n",
"\n",
" PC6M1 PC6M2 PC6M3 PC6M4 PC6M5 PC6M6 PC6M7 PC6M8 PC6M9 \\\n",
"2021-10-01 0.0 0.0 0.0 0.01 0.01 0.01 0.0 0.04 0.02 \n",
"2021-08-01 0.0 0.0 0.0 0.05 0.01 0.02 0.0 0.04 0.02 \n",
"2021-07-01 0.0 0.0 0.0 0.05 0.00 0.02 0.0 0.04 0.02 \n",
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"2021-04-01 0.0 0.0 0.0 0.05 0.00 0.01 0.0 0.03 0.00 \n",
"\n",
" PC6M10 PC6M_AVG \n",
"2021-10-01 0.0 0.009 \n",
"2021-08-01 0.0 0.014 \n",
"2021-07-01 0.0 0.013 \n",
"2021-06-01 0.0 0.012 \n",
"2021-05-01 0.0 0.012 \n",
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"scores: 0.723 [0.689, 0.763, 0.734, 0.749, 0.73, 0.745, 0.683, 0.686, 0.751, 0.697]\n",
"retest score: 0.776 0.776 features: ['Buffet Indicator'] X_train.shape: (418, 22)\n",
"score: 0.776 band: 36\n",
"retest score: 0.644 0.644 features: ['Buffet Indicator'] X_train.shape: (418, 22)\n",
"score: 0.644 band: 36\n",
"retest score: 0.719 0.719 features: ['Buffet Indicator'] X_train.shape: (418, 22)\n",
"score: 0.719 band: 36\n",
"retest score: 0.761 0.761 features: ['Buffet Indicator'] X_train.shape: (418, 22)\n",
"score: 0.761 band: 36\n",
"retest score: 0.771 0.771 features: ['Buffet Indicator'] X_train.shape: (418, 22)\n",
"score: 0.771 band: 60\n",
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"score: 0.734 band: 36\n",
"retest score: 0.763 0.763 features: ['Buffet Indicator'] X_train.shape: (418, 22)\n",
"score: 0.763 band: 36\n",
"retest score: 0.716 0.716 features: ['Buffet Indicator'] X_train.shape: (418, 22)\n",
"score: 0.716 band: 36\n",
"retest score: 0.719 0.719 features: ['Buffet Indicator'] X_train.shape: (418, 22)\n",
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" 37.68 | \n",
" 4358.13 | \n",
" 0.028227 | \n",
" future | \n",
" 1.934718 | \n",
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" 0.050 | \n",
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" | 2021-06-01 | \n",
" 2021-06-01 | \n",
" 36.86 | \n",
" 4238.49 | \n",
" 0.016949 | \n",
" future | \n",
" 1.897103 | \n",
" 0.03 | \n",
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" 0.034 | \n",
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" | 2021-05-01 | \n",
" 2021-05-01 | \n",
" 36.62 | \n",
" 4167.85 | \n",
" 0.006440 | \n",
" future | \n",
" 1.910928 | \n",
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" 0.034 | \n",
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" | 2021-04-01 | \n",
" 2021-04-01 | \n",
" 36.72 | \n",
" 4141.18 | \n",
" 0.058987 | \n",
" future | \n",
" 1.859243 | \n",
" 0.03 | \n",
" 0.01 | \n",
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" 0.019 | \n",
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],
"text/plain": [
" Date PER Price Price_Var horizon Buffet Indicator \\\n",
"2021-10-01 2021-10-01 37.63 4357.04 -0.020971 future 1.862946 \n",
"2021-08-01 2021-08-01 38.44 4450.37 0.021165 future 1.931096 \n",
"2021-07-01 2021-07-01 37.68 4358.13 0.028227 future 1.934718 \n",
"2021-06-01 2021-06-01 36.86 4238.49 0.016949 future 1.897103 \n",
"2021-05-01 2021-05-01 36.62 4167.85 0.006440 future 1.910928 \n",
"2021-04-01 2021-04-01 36.72 4141.18 0.058987 future 1.859243 \n",
"\n",
" PC6M1 PC6M2 PC6M3 PC6M4 PC6M5 PC6M6 PC6M7 PC6M8 PC6M9 \\\n",
"2021-10-01 0.04 0.06 0.02 0.06 0.12 0.12 0.15 0.03 0.09 \n",
"2021-08-01 0.04 0.03 0.02 0.05 0.10 0.12 0.10 0.01 0.07 \n",
"2021-07-01 0.03 0.03 0.00 0.06 0.08 0.12 0.10 0.01 0.06 \n",
"2021-06-01 0.03 0.00 0.00 0.02 0.08 0.09 0.07 0.00 0.05 \n",
"2021-05-01 0.03 0.00 0.00 0.02 0.09 0.09 0.06 0.00 0.05 \n",
"2021-04-01 0.03 0.01 0.00 0.00 0.01 0.03 0.06 0.00 0.05 \n",
"\n",
" PC6M10 PC6M_AVG \n",
"2021-10-01 0.07 0.076 \n",
"2021-08-01 0.02 0.056 \n",
"2021-07-01 0.01 0.050 \n",
"2021-06-01 0.00 0.034 \n",
"2021-05-01 0.00 0.034 \n",
"2021-04-01 0.00 0.019 "
]
},
"metadata": {},
"output_type": "display_data"
},
{
"name": "stdout",
"output_type": "stream",
"text": [
"scores: 0.733 [0.776, 0.644, 0.719, 0.761, 0.771, 0.731, 0.734, 0.763, 0.716, 0.719]\n",
"retest score: 0.805 0.805 features: ['PER', 'Buffet Indicator'] X_train.shape: (418, 44)\n",
"score: 0.805 band: 60\n",
"retest score: 0.74 0.74 features: ['PER', 'Buffet Indicator'] X_train.shape: (418, 44)\n",
"score: 0.74 band: 48\n",
"retest score: 0.697 0.697 features: ['PER', 'Buffet Indicator'] X_train.shape: (418, 44)\n",
"score: 0.697 band: 36\n",
"retest score: 0.749 0.749 features: ['PER', 'Buffet Indicator'] X_train.shape: (418, 44)\n",
"score: 0.749 band: 24\n",
"retest score: 0.711 0.711 features: ['PER', 'Buffet Indicator'] X_train.shape: (418, 44)\n",
"score: 0.711 band: 60\n",
"retest score: 0.73 0.73 features: ['PER', 'Buffet Indicator'] X_train.shape: (418, 44)\n",
"score: 0.73 band: 48\n",
"retest score: 0.75 0.75 features: ['PER', 'Buffet Indicator'] X_train.shape: (418, 44)\n",
"score: 0.75 band: 48\n",
"retest score: 0.795 0.795 features: ['PER', 'Buffet Indicator'] X_train.shape: (418, 44)\n",
"score: 0.795 band: 12\n",
"retest score: 0.792 0.792 features: ['PER', 'Buffet Indicator'] X_train.shape: (418, 44)\n",
"score: 0.792 band: 60\n",
"retest score: 0.757 0.757 features: ['PER', 'Buffet Indicator'] X_train.shape: (418, 44)\n",
"score: 0.757 band: 24\n"
]
},
{
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" Price_Var | \n",
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"text/plain": [
" Date PER Price Price_Var horizon Buffet Indicator \\\n",
"2021-10-01 2021-10-01 37.63 4357.04 -0.020971 future 1.862946 \n",
"2021-08-01 2021-08-01 38.44 4450.37 0.021165 future 1.931096 \n",
"2021-07-01 2021-07-01 37.68 4358.13 0.028227 future 1.934718 \n",
"2021-06-01 2021-06-01 36.86 4238.49 0.016949 future 1.897103 \n",
"2021-05-01 2021-05-01 36.62 4167.85 0.006440 future 1.910928 \n",
"2021-04-01 2021-04-01 36.72 4141.18 0.058987 future 1.859243 \n",
"\n",
" PC6M1 PC6M2 PC6M3 PC6M4 PC6M5 PC6M6 PC6M7 PC6M8 PC6M9 \\\n",
"2021-10-01 0.02 0.13 0.02 0.05 0.03 0.01 0.08 0.10 0.01 \n",
"2021-08-01 0.03 0.07 0.03 0.02 0.03 0.01 0.09 0.10 0.01 \n",
"2021-07-01 0.03 0.05 0.03 0.01 0.02 0.01 0.08 0.10 0.01 \n",
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"2021-04-01 0.00 0.05 0.00 0.03 0.01 0.00 0.06 0.10 0.01 \n",
"\n",
" PC6M10 PC6M_AVG \n",
"2021-10-01 0.07 0.052 \n",
"2021-08-01 0.08 0.047 \n",
"2021-07-01 0.06 0.040 \n",
"2021-06-01 0.07 0.040 \n",
"2021-05-01 0.07 0.037 \n",
"2021-04-01 0.07 0.033 "
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},
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},
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"text": [
"scores: 0.753 [0.805, 0.74, 0.697, 0.749, 0.711, 0.73, 0.75, 0.795, 0.792, 0.757]\n",
"retest score: 0.776 0.776 features: ['PER', 'Price', 'Buffet Indicator'] X_train.shape: (418, 66)\n",
"score: 0.776 band: 12\n",
"retest score: 0.801 0.801 features: ['PER', 'Price', 'Buffet Indicator'] X_train.shape: (418, 66)\n",
"score: 0.801 band: 36\n",
"retest score: 0.771 0.771 features: ['PER', 'Price', 'Buffet Indicator'] X_train.shape: (418, 66)\n",
"score: 0.771 band: 60\n",
"retest score: 0.819 0.819 features: ['PER', 'Price', 'Buffet Indicator'] X_train.shape: (418, 66)\n",
"score: 0.819 band: 48\n",
"retest score: 0.803 0.803 features: ['PER', 'Price', 'Buffet Indicator'] X_train.shape: (418, 66)\n",
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"retest score: 0.768 0.768 features: ['PER', 'Price', 'Buffet Indicator'] X_train.shape: (418, 66)\n",
"score: 0.768 band: 60\n",
"retest score: 0.841 0.841 features: ['PER', 'Price', 'Buffet Indicator'] X_train.shape: (418, 66)\n",
"score: 0.841 band: 60\n",
"retest score: 0.736 0.736 features: ['PER', 'Price', 'Buffet Indicator'] X_train.shape: (418, 66)\n",
"score: 0.736 band: 48\n",
"retest score: 0.771 0.771 features: ['PER', 'Price', 'Buffet Indicator'] X_train.shape: (418, 66)\n",
"score: 0.771 band: 60\n",
"retest score: 0.783 0.783 features: ['PER', 'Price', 'Buffet Indicator'] X_train.shape: (418, 66)\n",
"score: 0.783 band: 48\n"
]
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"text/plain": [
" Date PER Price Price_Var horizon Buffet Indicator \\\n",
"2021-10-01 2021-10-01 37.63 4357.04 -0.020971 future 1.862946 \n",
"2021-08-01 2021-08-01 38.44 4450.37 0.021165 future 1.931096 \n",
"2021-07-01 2021-07-01 37.68 4358.13 0.028227 future 1.934718 \n",
"2021-06-01 2021-06-01 36.86 4238.49 0.016949 future 1.897103 \n",
"2021-05-01 2021-05-01 36.62 4167.85 0.006440 future 1.910928 \n",
"2021-04-01 2021-04-01 36.72 4141.18 0.058987 future 1.859243 \n",
"\n",
" PC6M1 PC6M2 PC6M3 PC6M4 PC6M5 PC6M6 PC6M7 PC6M8 PC6M9 \\\n",
"2021-10-01 0.12 0.07 0.09 0.04 0.09 0.07 0.04 0.05 0.05 \n",
"2021-08-01 0.12 0.01 0.09 0.04 0.05 0.07 0.04 0.05 0.05 \n",
"2021-07-01 0.12 0.01 0.07 0.03 0.00 0.06 0.04 0.05 0.04 \n",
"2021-06-01 0.08 0.01 0.06 0.03 0.00 0.07 0.03 0.05 0.04 \n",
"2021-05-01 0.08 0.01 0.06 0.03 0.02 0.06 0.03 0.05 0.04 \n",
"2021-04-01 0.09 0.01 0.06 0.01 0.02 0.05 0.03 0.03 0.04 \n",
"\n",
" PC6M10 PC6M_AVG \n",
"2021-10-01 0.07 0.069 \n",
"2021-08-01 0.04 0.056 \n",
"2021-07-01 0.05 0.047 \n",
"2021-06-01 0.05 0.042 \n",
"2021-05-01 0.05 0.043 \n",
"2021-04-01 0.03 0.037 "
]
},
"metadata": {},
"output_type": "display_data"
},
{
"name": "stdout",
"output_type": "stream",
"text": [
"scores: 0.787 [0.776, 0.801, 0.771, 0.819, 0.803, 0.768, 0.841, 0.736, 0.771, 0.783]\n"
]
}
],
"source": [
"# RANDOM CROSS FOLD for Bootstrapping\n",
"ls_cols_features=['PER', 'Price', 'Price_Var','Buffet Indicator'] # test with one by one feature\n",
"ls_cols_features.append(['PER','Buffet Indicator']) # test with set of features\n",
"ls_cols_features.append(['PER', 'Price','Buffet Indicator']) # test with set of features\n",
"start_date = df.index[-periods]\n",
"\n",
"for e in ls_cols_features:\n",
" n_times = 10 # build model n times and predict n times\n",
" periods = 6 # predicted last months\n",
" # df_pred = df_initial.copy()\n",
" df_pred_iter = df_pred.iloc[:periods].copy()\n",
" ls_pc6m_cols=[]\n",
" ls_score = []\n",
" cols_features = [e]\n",
" if isinstance(e, list):\n",
" cols_features = e # set of features\n",
" else:\n",
" cols_features = [e] # one feature\n",
" \n",
" for i in range(n_times):\n",
" # start_date = '1974-01-01'\n",
" model, band, score = generate_model(df, cols_features, start_date, True)\n",
" score = score.round(3)\n",
" ls_score.append(score)\n",
" print('score:',score, 'band:', band)\n",
"\n",
" X_pred, y_dummy = generate_dataset(df_pred, cols_features, band, periods=periods)\n",
" y_pred = model.predict(X_pred).round(2) # recols_features, adable\n",
" y_pred = np.clip(y_pred,0,0.5) # replace outliers\n",
" pc6m_col = 'PC6M'+str(1+i)\n",
" ls_pc6m_cols.append(pc6m_col)\n",
" df_pred_iter[pc6m_col] = y_pred \n",
"\n",
" # RANDOM CROSS FOLD PREDICTION on PER and BUFFET INDICATOR\n",
" df_pred_iter['PC6M_AVG']=df_pred_iter[ls_pc6m_cols].mean(axis=1) # average of all predictions\n",
" display(df_pred_iter.loc[:,df_pred_iter.columns!=col_y])\n",
" print('scores:', np.mean(ls_score).round(3), ls_score) # model score mean and model score list)"
]
},
{
"cell_type": "code",
"execution_count": 111,
"id": "0ab7097a",
"metadata": {},
"outputs": [],
"source": [
"#"
]
}
],
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"varInspector": {
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"lenVar": 40
},
"kernels_config": {
"python": {
"delete_cmd_postfix": "",
"delete_cmd_prefix": "del ",
"library": "var_list.py",
"varRefreshCmd": "print(var_dic_list())"
},
"r": {
"delete_cmd_postfix": ") ",
"delete_cmd_prefix": "rm(",
"library": "var_list.r",
"varRefreshCmd": "cat(var_dic_list()) "
}
},
"types_to_exclude": [
"module",
"function",
"builtin_function_or_method",
"instance",
"_Feature"
],
"window_display": false
}
},
"nbformat": 4,
"nbformat_minor": 5
}