"""Some simulations to predict the future portfolio value based on past distribution. x is
a numpy array that contains past returns.The interpolated_returns are the returns
generated from the cdf of the past returns to simulate future returns. The portfolio
starts with a value of 100. portfolio_value is filled up progressively as
the program goes through every loop. The value is multiplied by the returns in that
period and a dollar is removed."""
portfolio_final = []
for i in range(10000):
portfolio_value = [100]
rand_values = np.random.rand(600)
interpolated_returns = np.interp(rand_values,cdf_values,x)
interpolated_returns = np.add(interpolated_returns,1)
for j in range(1,len(interpolated_returns)+1):
portfolio_value.append(interpolated_returns[j-1]*portfolio_value[j-1])
portfolio_value[j] = portfolio_value[j]-1
portfolio_final.append(portfolio_value[-1])
print (np.mean(portfolio_final))
I couldn't find a way to write this code using numpy. I was having a look at iterations using nditer but I was unable to move ahead with that.
I guess the easiest way to figure out how you can vectorize your stuff would be to look at the equations that govern your evolution and see how your portfolio actually iterates, finding patterns that could be vectorized instead of trying to vectorize the code you already have. You would have noticed that the cumprod actually appears quite often in your iterations.
Nevertheless you can find the semi-vectorized code below. I included your code as well such that you can compare the results. I also included a simple loop version of your code which is much easier to read and translatable into mathematical equations. So if you share this code with somebody else I would definitely use the simple loop option. If you want some fancy-pants vectorizing you can use the vector version. In case you need to keep track of your single steps you can also add an array to the simple loop option and append the pv at every step.
Hope that helps.
Edit: I have not tested anything for speed. That's something you can easily do yourself with timeit.
import numpy as np
from scipy.special import erf
# Prepare simple return model - Normal distributed with mu &sigma = 0.01
x = np.linspace(-10,10,100)
cdf_values = 0.5*(1+erf((x-0.01)/(0.01*np.sqrt(2))))
# Prepare setup such that every code snippet uses the same number of steps
# and the same random numbers
nSteps = 600
nIterations = 1
rnd = np.random.rand(nSteps)
# Your code - Gives the (supposedly) correct results
portfolio_final = []
for i in range(nIterations):
portfolio_value = [100]
rand_values = rnd
interpolated_returns = np.interp(rand_values,cdf_values,x)
interpolated_returns = np.add(interpolated_returns,1)
for j in range(1,len(interpolated_returns)+1):
portfolio_value.append(interpolated_returns[j-1]*portfolio_value[j-1])
portfolio_value[j] = portfolio_value[j]-1
portfolio_final.append(portfolio_value[-1])
print (np.mean(portfolio_final))
# Using vectors
portfolio_final = []
for i in range(nIterations):
portfolio_values = np.ones(nSteps)*100.0
rcp = np.cumprod(np.interp(rnd,cdf_values,x) + 1)
portfolio_values = rcp * (portfolio_values - np.cumsum(1.0/rcp))
portfolio_final.append(portfolio_values[-1])
print (np.mean(portfolio_final))
# Simple loop
portfolio_final = []
for i in range(nIterations):
pv = 100
rets = np.interp(rnd,cdf_values,x) + 1
for i in range(nSteps):
pv = pv * rets[i] - 1
portfolio_final.append(pv)
print (np.mean(portfolio_final))
Forget about np.nditer. It does not improve the speed of iterations. Only use if you intend to go one and use the C version (via cython).
I'm puzzled about that inner loop. What is it supposed to be doing special? Why the loop?
In tests with simulated values these 2 blocks of code produce the same thing:
interpolated_returns = np.add(interpolated_returns,1)
for j in range(1,len(interpolated_returns)+1):
portfolio_value.append(interpolated_returns[j-1]*portfolio[j-1])
portfolio_value[j] = portfolio_value[j]-1
interpolated_returns = (interpolated_returns+1)*portfolio - 1
portfolio_value = portfolio_value + interpolated_returns.tolist()
I assuming that interpolated_returns and portfolio are 1d arrays of the same length.
Related
I have the following code that works as intended in a for loop:
import pandas as pd
import numpy as np
returns = pd.DataFrame(np.random.normal(scale=0.01,size=[1000,7]))
signal = pd.DataFrame(np.random.choice([1,np.nan],p=(0.1,0.9),size=[1000,7]))
window=20
breach = -0.03
positions = signal.copy(); positions[:] = np.nan
pf_returns = pd.Series(index=positions.index)
max_dd = pf_returns.copy()
for i in range(len(positions)):
#Positions are just the number of signals divided by the total active ones
positions.iloc[i] = signal.ffill().shift().div(signal.ffill().shift().sum(axis=1),axis=0).iloc[i]
pf_returns.iloc[i] = (positions.iloc[i] * returns.iloc[i]).sum()
equity_line = (pf_returns.iloc[max(i-window,0):i+1]+1).iloc[:i+1].cumprod()
max_dd.iloc[i] = (equity_line/equity_line.cummax()-1).rolling(window, min_periods=1).min().iloc[-1]
if max_dd.iloc[i] <= breach and i != len(positions)-1:
signal.iloc[i+1] = 0
Is it somehow possible to vectorize it? I thought in computing the equity_line at once (definitely possible without all these ilocs), however it then changes the upcoming values. I also thought somehow to a loop that runs in chunks (until next max_dd is found basically) but I am not sure if there is any possibility to vectorize or make this more efficient.
My desired outcome is basically to reproduce what the loops does (in terms of positions, if you wish, and consequently pf_returns) in a more efficient way.
In my program I have a part of code that uses an Estimated Moving Average (EMA) 4 times, but each time with different length. The program uses one or more EMAs depending on how much data it gets.
For now the code is not looped, just copy pasted with minor tweeks. That makes making changes difficult because I have to change everything 4 times.
Can somebody help me loop the code in such a way it wont loose it behaviour pattern. The mock-up code is presented here:
import random
import numpy as np
zakres=[5,10,15,20]
data=[]
def SI_sma(data, zakres):
weights=np.ones((zakres,))/zakres
smas=np.convolve(data, weights, 'valid')
return smas
def SI_ema(data, zakres):
weights_ema = np.exp(np.linspace(-1.,0.,zakres))
weights_ema /= weights_ema.sum()
ema=np.convolve(data,weights_ema)[:len(data)]
ema[:zakres]=ema[zakres]
return ema
while True:
data.append(random.uniform(0,100))
print(len(data))
if len(data)>zakres[0]:
smas=SI_sma(data=data, zakres=zakres[0])
ema=SI_ema(data=data, zakres=zakres[0])
print(smas[-1]) #calc using smas
print(ema[-1]) #calc using ema1
if len(data)>zakres[1]:
ema2=SI_ema(data=data, zakres=zakres[1])
print(ema2[-1]) #calc using ema2
if len(data)>zakres[2]:
ema3=SI_ema(data=data, zakres=zakres[2])
print(ema3[-1]) #calc using ema3
if len(data)>zakres[3]:
ema4=SI_ema(data=data, zakres=zakres[3])
print(ema4[-1]) #calc using ema4
input("press a key")
A variable number of variables is usually a bad idea. As you have found, it can make maintaining code cumbersome and error-prone. Instead, you can define a dict of results and use a for loop to iterate scenarios, defining len(data) just once.
ema = {}
while True:
data.append(random.uniform(0,100))
n = len(data)
for i, val in enumerate(zakres):
if n > val:
if i == 1:
smas = SI_sma(data=data, zakres=val)
ema[i] = SI_ema(data=data, zakres=val)
You can then access results via ema[0], ..., ema[3] as required.
I am writing a scientific code in python to calculate the energy of a system.
Here is my function : cte1, cte2, cte3, cte4 are constants previously computed; pii is np.pi (calculated beforehand, since it slows the loop otherwise). I calculate the 3 components of the total energy, then sum them up.
def calc_energy(diam):
Energy1 = cte2*((pii*diam**2/4)*t)
Energy2 = cte4*(pii*diam)*t
d=diam/t
u=np.sqrt((d)**2/(1+d**2))
cc= u**2
E = sp.special.ellipe(cc)
K = sp.special.ellipk(cc)
Id=cte3*d*(d**2+(1-d**2)*E/u-K/u)
Energy3 = cte*t**3*Id
total_energy = Energy1+Energy2+Energy3
return (total_energy,Energy1)
My first idea was to simply loop over all values of the diameter :
start_diam, stop_diam, step_diam = 1e-10, 500e-6, 1e-9 #Diametre
diametres = np.arange(start_diam,stop_diam,step_diam)
for d in diametres:
res1,res2 = calc_energy(d)
totalEnergy.append(res1)
Energy1.append(res2)
In an attempt to speed up calculations, I decided to use numpy to vectorize, as shown below :
diams = diametres.reshape(-1,1) #If not reshaped, calculations won't run
r1 = np.apply_along_axis(calc_energy,1,diams)
However, the "vectorized" solution does not properly work. When timing I get 5 seconds for the first solution and 18 seconds for the second one.
I guess I'm doing something the wrong way but can't figure out what.
With your current approach, you're applying a Python function to each element of your array, which carries additional overhead. Instead, you can pass the whole array to your function and get an array of answers back. Your existing function appears to work fine without any modification.
import numpy as np
from scipy import special
cte = 2
cte1 = 2
cte2 = 2
cte3 = 2
cte4 = 2
pii = np.pi
t = 2
def calc_energy(diam):
Energy1 = cte2*((pii*diam**2/4)*t)
Energy2 = cte4*(pii*diam)*t
d=diam/t
u=np.sqrt((d)**2/(1+d**2))
cc= u**2
E = special.ellipe(cc)
K = special.ellipk(cc)
Id=cte3*d*(d**2+(1-d**2)*E/u-K/u)
Energy3 = cte*t**3*Id
total_energy = Energy1+Energy2+Energy3
return (total_energy,Energy1)
start_diam, stop_diam, step_diam = 1e-10, 500e-6, 1e-9 #Diametre
diametres = np.arange(start_diam,stop_diam,step_diam)
a = calc_energy(diametres) # Pass the whole array
This question may be a little specialist, but hopefully someone might be able to help. I normally use IDL, but for developing a pipeline I'm looking to use python to improve running times.
My fits file handling setup is as follows:
import numpy as numpy
from astropy.io import fits
#Directory: /Users/UCL_Astronomy/Documents/UCL/PHASG199/M33_UVOT_sum/UVOTIMSUM/M33_sum_epoch1_um2_norm.img
with fits.open('...') as ima_norm_um2:
#Open UVOTIMSUM file once and close it after extracting the relevant values:
ima_norm_um2_hdr = ima_norm_um2[0].header
ima_norm_um2_data = ima_norm_um2[0].data
#Individual dimensions for number of x pixels and number of y pixels:
nxpix_um2_ext1 = ima_norm_um2_hdr['NAXIS1']
nypix_um2_ext1 = ima_norm_um2_hdr['NAXIS2']
#Compute the size of the images (you can also do this manually rather than calling these keywords from the header):
#Call the header and data from the UVOTIMSUM file with the relevant keyword extensions:
corrfact_um2_ext1 = numpy.zeros((ima_norm_um2_hdr['NAXIS2'], ima_norm_um2_hdr['NAXIS1']))
coincorr_um2_ext1 = numpy.zeros((ima_norm_um2_hdr['NAXIS2'], ima_norm_um2_hdr['NAXIS1']))
#Check that the dimensions are all the same:
print(corrfact_um2_ext1.shape)
print(coincorr_um2_ext1.shape)
print(ima_norm_um2_data.shape)
# Make a new image file to save the correction factors:
hdu_corrfact = fits.PrimaryHDU(corrfact_um2_ext1, header=ima_norm_um2_hdr)
fits.HDUList([hdu_corrfact]).writeto('.../M33_sum_epoch1_um2_corrfact.img')
# Make a new image file to save the corrected image to:
hdu_coincorr = fits.PrimaryHDU(coincorr_um2_ext1, header=ima_norm_um2_hdr)
fits.HDUList([hdu_coincorr]).writeto('.../M33_sum_epoch1_um2_coincorr.img')
I'm looking to then apply the following corrections:
# Define the variables from Poole et al. (2008) "Photometric calibration of the Swift ultraviolet/optical telescope":
alpha = 0.9842000
ft = 0.0110329
a1 = 0.0658568
a2 = -0.0907142
a3 = 0.0285951
a4 = 0.0308063
for i in range(nxpix_um2_ext1 - 1): #do begin
for j in range(nypix_um2_ext1 - 1): #do begin
if (numpy.less_equal(i, 4) | numpy.greater_equal(i, nxpix_um2_ext1-4) | numpy.less_equal(j, 4) | numpy.greater_equal(j, nxpix_um2_ext1-4)): #then begin
#UVM2
corrfact_um2_ext1[i,j] == 0
coincorr_um2_ext1[i,j] == 0
else:
xpixmin = i-4
xpixmax = i+4
ypixmin = j-4
ypixmax = j+4
#UVM2
ima_UVM2sum = total(ima_norm_um2[xpixmin:xpixmax,ypixmin:ypixmax])
xvec_UVM2 = ft*ima_UVM2sum
fxvec_UVM2 = 1 + (a1*xvec_UVM2) + (a2*xvec_UVM2*xvec_UVM2) + (a3*xvec_UVM2*xvec_UVM2*xvec_UVM2) + (a4*xvec_UVM2*xvec_UVM2*xvec_UVM2*xvec_UVM2)
Ctheory_UVM2 = - alog(1-(alpha*ima_UVM2sum*ft))/(alpha*ft)
corrfact_um2_ext1[i,j] = Ctheory_UVM2*(fxvec_UVM2/ima_UVM2sum)
coincorr_um2_ext1[i,j] = corrfact_um2_ext1[i,j]*ima_sk_um2[i,j]
The above snippet is where it is messing up, as I have a mixture of IDL syntax and python syntax. I'm just not sure how to convert certain aspects of IDL to python. For example, the ima_UVM2sum = total(ima_norm_um2[xpixmin:xpixmax,ypixmin:ypixmax]) I'm not quite sure how to handle.
I'm also missing the part where it will update the correction factor and coincidence correction image files, I would say. If anyone could have the patience to go over it with a fine tooth comb and suggest the neccessary changes I need that would be excellent.
The original normalised image can be downloaded here: Replace ... in above code with this file
One very important thing about numpy is that it does every mathematical or comparison function on an element-basis. So you probably don't need to loop through the arrays.
So maybe start where you convolve your image with a sum-filter. This can be done for 2D images by astropy.convolution.convolve or scipy.ndimage.filters.uniform_filter
I'm not sure what you want but I think you want a 9x9 sum-filter that would be realized by
from scipy.ndimage.filters import uniform_filter
ima_UVM2sum = uniform_filter(ima_norm_um2_data, size=9)
since you want to discard any pixel that are at the borders (4 pixel) you can simply slice them away:
ima_UVM2sum_valid = ima_UVM2sum[4:-4,4:-4]
This ignores the first and last 4 rows and the first and last 4 columns (last is realized by making the stop value negative)
now you want to calculate the corrections:
xvec_UVM2 = ft*ima_UVM2sum_valid
fxvec_UVM2 = 1 + (a1*xvec_UVM2) + (a2*xvec_UVM2**2) + (a3*xvec_UVM2**3) + (a4*xvec_UVM2**4)
Ctheory_UVM2 = - np.alog(1-(alpha*ima_UVM2sum_valid*ft))/(alpha*ft)
these are all arrays so you still do not need to loop.
But then you want to fill your two images. Be careful because the correction is smaller (we inored the first and last rows/columns) so you have to take the same region in the correction images:
corrfact_um2_ext1[4:-4,4:-4] = Ctheory_UVM2*(fxvec_UVM2/ima_UVM2sum_valid)
coincorr_um2_ext1[4:-4,4:-4] = corrfact_um2_ext1[4:-4,4:-4] *ima_sk_um2
still no loop just using numpys mathematical functions. This means it is much faster (MUCH FASTER!) and does the same.
Maybe I have forgotten some slicing and that would yield a Not broadcastable error if so please report back.
Just a note about your loop: Python's first axis is the second axis in FITS and the second axis is the first FITS axis. So if you need to loop over the axis bear that in mind so you don't end up with IndexErrors or unexpected results.
I am trying to speed up my code which currently takes a little over an hour to run in Python / Numpy. The majority of computation time occurs in the function pasted below.
I'm trying to vectorize Z, but I'm finding it rather difficult for a triple for loop. Could I possible implement the numpy.diff function somewhere? Take a look:
def MyFESolver(KK,D,r,Z):
global tdim
global xdim
global q1
global q2
for k in range(1,tdim):
for i in range(1,xdim-1):
for j in range (1,xdim-1):
Z[k,i,j]=Z[k-1,i,j]+r*q1*Z[k-1,i,j]*(KK-Z[k-1,i,j])+D*q2*(Z[k-1,i-1,j]-4*Z[k-1,i,j]+Z[k-1,i+1,j]+Z[k-1,i,j-1]+Z[k-1,i,j+1])
return Z
tdim = 75 xdim = 25
I agree, it's tricky because the BCs on all four sides, ruin the simple structure of the Stiffness matrix. You can get rid of the space loops as such:
from pylab import *
from scipy.sparse.lil import lil_matrix
tdim = 3; xdim = 4; r = 1.0; q1, q2 = .05, .05; KK= 1.0; D = .5 #random values
Z = ones((tdim, xdim, xdim))
#Iterate in time
for k in range(1,tdim):
Z_prev = Z[k-1,:,:] #may need to flatten
Z_up = Z_prev[1:-1,2:]
Z_down = Z_prev[1:-1,:-2]
Z_left = Z_prev[:-2,1:-1]
Z_right = Z_prev[2:,1:-1]
centre_term = (q1*r*(Z_prev[1:-1,1:-1] + KK) - 4*D*q2)* Z_prev[1:-1,1:-1]
Z[k,1:-1,1:-1]= Z_prev[1:-1,1:-1]+ centre_term + q2*(Z_up+Z_left+Z_right+Z_down)
But I don't think you can get rid of the time loop...
I think the expression:
Z_up = Z_prev[1:-1,2:]
makes a copy in numpy, whereas what you want is a view - if you can figure out how to do this - it should be even faster (how much?)
Finally, I agree with the rest of the answerers - from experience, this kind of loops are better done in C and then wrapped into numpy. But the above should be faster than the original...
This looks like an ideal case for Cython. I'd suggest writing that function in Cython, it'll probably be hundreds of times faster.