Tests / coli_indicator_test

Coli Indicator Test

CONSISTENTEmpirical MethodsHIGH confidence

Description

Figures

COLI: 1-Perp Price Spreads vs Quantity IndicatorsCOLI: 1-Perp Price Spreads vs Quantity Indicators

Statistics

evidence[price_leads_quantity, coli_auc_higher, composite_benefit]
statistic0.8566
n evidence3
coli auc 12m0.8566
n components4
common period1986-01-31 to 2022-01-31
coli best corr0.1554
component aucs[object Object]
indpro auc 12m0.4639
coli optimal lag10
indpro best corr0.6011
indpro optimal lag7

Script

thesis-tests/tests/dynamics/test_coli_indicator.py

Reproduction Steps

cd thesis-tests && source ../.venv/bin/activate
python download_data.py --source all
python run_all.py --test test_coli_indicator

Data Sources

  • BEA