TFPS_Engine

7月31日

Library "TFPS_Engine"

f_calculate_lead_lag(series1, series2, length, max_lag)
  Parameters:
    series1 (float)
    series2 (float)
    length (int)
    max_lag (int)

f_calculate_pressure_score(spx_ticker, vix_ticker, dxy_ticker, us10y_ticker, benchmark_source, trend_lookback, score_smoothing, use_dynamic_weights, corr_lookback, w_spx, w_vix, w_dxy, w_us10y, zscore_lookback, max_lag)
  Parameters:
    spx_ticker (string)
    vix_ticker (string)
    dxy_ticker (string)
    us10y_ticker (string)
    benchmark_source (float)
    trend_lookback (int)
    score_smoothing (simple int)
    use_dynamic_weights (bool)
    corr_lookback (int)
    w_spx (float)
    w_vix (float)
    w_dxy (float)
    w_us10y (float)
    zscore_lookback (int)
    max_lag (int)

LeadLagOutput
  Fields:
    best_lag (series int)
    max_corr (series float)

TFPS_Output
  Fields:
    historical_score (series float)
    smoothed_score (series float)
    z_score (series float)
    regime_signal (series int)
    lead_lag_bars (series int)
    lead_lag_corr (series float)
    weight_spx (series float)
    weight_vix (series float)
    weight_dxy (series float)
    weight_us10y (series float)

7月31日

版本注释

v2

Added:
f_placeholder()

Removed:
f_calculate_lead_lag(series1, series2, length, max_lag)

f_calculate_pressure_score(spx_ticker, vix_ticker, dxy_ticker, us10y_ticker, benchmark_source, trend_lookback, score_smoothing, use_dynamic_weights, corr_lookback, w_spx, w_vix, w_dxy, w_us10y, zscore_lookback, max_lag)

LeadLagOutput

TFPS_Output