I looked at Alex Muci's Adaptive Volitily position sizing algo and wanted to see if I could capture R Squared calcuations in a dataframe, for a 21 day lookback period for whatever symbols I might have along with whatever else data I may want to capture in a dataframe.
I used:
rsq = np.apply_along_axis(self.rsquared, 1, arr, self.x)
I want to be sure I understand what np.apply_along_axis its doing, rsquared is the fuction that takes two equal lenth series as parameters, I found some notes on the internet that indicate "1" should tell rsquared to look at each row of my array 'arr' which contains a series of prices, depending on the number of symbols with 21 price points, and self.x contains a list of numbers 0-20 value. It seems to itterating over the arr and producing a new list with the R squared values. I am not sure I understand what "1" is doing. I guess it has to be working if its giving a result and not throwing an error. I just do not feel like I fully understand how np.apply_along_axis is working with the '1' parameter.
Also is there a more efficent way to get thes calculated values into an exsiting dataframe.
Shile Wen
Hi Steven,
Please see NumPy’s documentation on apply_along_axis. As for a more efficient way of getting the data into a DataFrame, we suggest looking into the pandas documentation. One change that can be implemented however is to change
Enterdata['rsq'] = rsq.tolist()
to
Enterdata['rsq'] = rsq
This change can be seen in the attached backtest.
Best,
Shile Wen
Steven Sucheck
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