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3catz/adaptivenorm.py

Last active December 20, 2019 21:51
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Adaptive Norming
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adaptivenorm.py
trainstock = yf.Ticker("SPY")
start = "2009-01-01"
end = "2016-01-01"
st = trainstock.history(start = start,end = end)
st = st[["Close","Open","Volume","High","Low"]]
D = reconstruct(st["Close"].values, dim = 45, tau = 1)
win = D[:,:-1] ; s = D[:,-1]
std = np.std(win, axis = -1)
mu = np.mean(win, axis = -1)
print(std.shape, mu.shape)
s = (s - mu)/std
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