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import click
import os
import sys
import warnings

try:
    from pygments import highlight
    from pygments.lexers import PythonLexer
    from pygments.formatters import TerminalFormatter

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"""
Blaze integration with the Pipeline API.

For an overview of the blaze project, see blaze.pydata.org

The blaze loader for the Pipeline API is designed to allow us to load
data from arbitrary sources as long as we can execute the needed expressions
against the data with blaze.

Data Format

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"""This algorithm is designed for validating risk model.
It can be configured to be:
* Momentum or Mean-reversion
* Sector-Neutral or not
"""
from quantopian.algorithm import attach_pipeline, pipeline_output, order_optimal_portfolio
from quantopian.pipeline import Pipeline
from quantopian.pipeline.factors import CustomFactor, SimpleMovingAverage, AverageDollarVolume, RollingLinearRegressionOfReturns, Returns
from quantopian.pipeline.data.builtin import USEquityPricing
from quantopian.pipeline.data import morningstar

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import dask
import dask.array as da
import dask.dataframe as dd
import sparse

@dask.delayed(pure=True)
def corr_on_chunked(chunk1, chunk2, corr_thresh=0.9):
    return sparse.COO.from_numpy((np.dot(chunk1, chunk2.T) > corr_thresh))
        
def chunked_corr_sparse_dask(data, chunksize=5000, corr_thresh=0.9):

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