()
| 27 | |
| 28 | |
| 29 | def main() -> None: |
| 30 | base = _make_base_frame() |
| 31 | variants = { |
| 32 | "time_1h": openquant.bars.build_time_bars(base, interval="1h"), |
| 33 | "tick_40": openquant.bars.build_tick_bars(base, ticks_per_bar=40), |
| 34 | "volume_2m": openquant.bars.build_volume_bars(base, volume_per_bar=2_000_000), |
| 35 | "dollar_200m": openquant.bars.build_dollar_bars(base, dollar_value_per_bar=200_000_000), |
| 36 | } |
| 37 | |
| 38 | print("bar_family,n_bars,lag1_return_autocorr,lag1_sq_return_autocorr,return_std") |
| 39 | for name, frame in variants.items(): |
| 40 | d = openquant.bars.bar_diagnostics(frame) |
| 41 | print( |
| 42 | f"{name},{int(d['n_bars'])}," |
| 43 | f"{d['lag1_return_autocorr']:.6f}," |
| 44 | f"{d['lag1_sq_return_autocorr']:.6f}," |
| 45 | f"{d['return_std']:.6f}" |
| 46 | ) |
| 47 | |
| 48 | |
| 49 | if __name__ == "__main__": |
no test coverage detected