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[Draft]Adjustment to the PCA Approach#41

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ghost wants to merge 27 commits intodevelophudson-and-thames/arbitragelab:developfrom basic_PCAhudson-and-thames/arbitragelab:basic_PCACopy head branch name to clipboard

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Commits on Mar 2, 2021

• Create pca approach section in the doc

  

  jamiekeng1016

  committed
  2674366

Commits on Mar 7, 2021

• [Draft]Add an option to use a variable value of explained variance(like 45%) by PCA factors.

  

  jamiekeng1016

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  101add9

• Add the variable, explained_var in test file

  

  jamiekeng1016

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  73b86d0

• bug fixed

  

  jamiekeng1016

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  fbe104e

• Update pca_approach.py

  

  jamiekeng1016

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  6da4e78

Commits on Mar 8, 2021

• Merge branch 'develop' into basic_PCA

  PanPip

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  74fc5ba

• Merge branch 'basic_PCA' of https://github.com/hudson-and-thames/arbitragelab into basic_PCA

  

  jamiekeng1016

  committed
  21bcdc4

Commits on Mar 10, 2021

• Add stationary test, modified sscore

  

  jamiekeng1016

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  d8edcdd

• [Draft]Add stationary test, drift.

  

  jamiekeng1016

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  07489bc

Commits on Mar 11, 2021

• [Draft] add volume_modified_return function

  

  jamiekeng1016

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  962cf3b

Commits on Mar 12, 2021

• [Draft] add asymptotic PCA option

  

  jamiekeng1016

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  dde8280

• [Draft] fix explained_variance bug

  

  jamiekeng1016

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  b849a33

Commits on Mar 13, 2021

• [Draft]add etf_approach.py

  

  jamiekeng1016

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  28e0830

Commits on Mar 15, 2021

• [Draft] update unittest , fix bugs

  

  jamiekeng1016

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  5208c08

Commits on Mar 16, 2021

• [Draft] etf_approach style check

  

  jamiekeng1016

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  5049ecf

• [Draft] add unittest for volume_data/ add stock_volume.csv

  

  jamiekeng1016

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  ef5515e

• [Draft]add docstring to test_volume_modified_return

  

  jamiekeng1016

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  82124f9

• [Draft] delete comment made by mistake

  

  jamiekeng1016

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  bc9481d

• [Draft] fix trailing white space

  

  jamiekeng1016

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  ae45880

• [Draft] volume_modified_return bug fixed

  

  jamiekeng1016

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  abe6e38

Commits on Mar 17, 2021

• [Draft] residual stationarity p_value option

  

  jamiekeng1016

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  9100b40

• [Draft]etf_approach unittest, speed of mr adjustment,

  

  jamiekeng1016

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  4c98d70

• [Draft]unittest adjustment

  

  jamiekeng1016

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  223d780

Commits on Mar 18, 2021

• [Draft]docstring of etf approach

  

  jamiekeng1016

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  2986473

Commits on Mar 19, 2021

• Adjusted the PCA Approach file structure

  PanPip

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  608432b

• Adjusted PCA Strategy code logic

  PanPip

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  f5478e7

• Adjusted PCA Approach unit tests

  PanPip

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  c51d8f3