27 lines
561 B
Python
27 lines
561 B
Python
# -*- coding: utf-8 -*-
|
|
"""
|
|
Created on Sat Oct 13 09:41:31 2018
|
|
|
|
@author: Ernest
|
|
"""
|
|
|
|
# Example 2: Using ADF Test for Mean Reversion
|
|
import numpy as np
|
|
import pandas as pd
|
|
import matplotlib.pyplot as plt
|
|
from statsmodels.tsa.stattools import adfuller
|
|
from genhurst import genhurst
|
|
|
|
df=pd.read_csv('inputData_USDCAD.csv')
|
|
|
|
y=df.loc[df['Time']==1659, 'Close']
|
|
|
|
plt.plot(y)
|
|
|
|
|
|
results=adfuller(y, maxlag=1, regression='c', autolag=None)
|
|
print(results)
|
|
|
|
# Find Hurst exponent
|
|
H, pVal=genhurst(np.log(y))
|
|
print("H=%f pValue=%f" % (H, pVal)) |