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codez0mb1e 2022-03-29 10:08:47 +00:00
parent e923f5169c
commit fe96bd736a
1 changed files with 3 additions and 4 deletions
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7
src/fx_currency_portfolio__assets_selection.py
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@ -204,7 +204,7 @@ plt.show()
# %% Monte Carlo simulation pipeline for multiple tokens ---- # %% Monte Carlo simulation pipeline for multiple tokens ----
# 0. set simulation params # 0. set simulation params
n_simulations = int(1e4) n_simulations = int(1e5)
# 1. prepare # 1. prepare
quotes_data = [quotes_df.query('symbol == @s') for s in quotes_df.symbol.unique()] quotes_data = [quotes_df.query('symbol == @s') for s in quotes_df.symbol.unique()]
@ -224,11 +224,10 @@ assert(
for i in range(len(symbols_list)): for i in range(len(symbols_list)):
print(f'---- Starting Monte-Carlo simulation for {symbols_list[i]} symbol ----') print(f'---- Starting Monte-Carlo simulation for {symbols_list[i]} symbol ----')
prices_ms = evaluate_simulation(simulated_returns_data[i], quotes_data[i]['close'].tail(1), n_days, plot=False) prices_ms = evaluate_simulation(simulated_returns_data[i], quotes_data[i]['close'].tail(1), n_days, plot=False)
plt.figure(figsize=(10, 6)) plt.figure(figsize=(10, 6))
plt.plot(prices_ms.sample(100, axis='columns')) plt.plot(prices_ms.sample(50, axis='columns'))
plt.title(f'{symbols_list[i]} Price Simulation') plt.title(f'{symbols_list[i]} Price Simulation')
plt.xlabel('Days') plt.xlabel('Days')
plt.ylabel('Amount per $1') plt.ylabel('Amount per $1')