diff --git a/sharkfin/simulation.py b/sharkfin/simulation.py index adab5ff..463f262 100644 --- a/sharkfin/simulation.py +++ b/sharkfin/simulation.py @@ -710,6 +710,18 @@ def class_stat_column_to_dict(clabel): sim_stats["ranges_zs_max"] = ranges_zscore.max() + absolute_price_change = np.absolute( + np.array(self.market.prices[1:]) - np.array(self.market.prices[:-1])) + + rp_process = np.log1p(self.market.ranges) - np.log1p(absolute_price_change) + + sim_stats["rpp_mean"] = mean(rp_process) + sim_stats["rpp_stdev"] = stdev(rp_process) + sim_stats["rpp_min"] = min(rp_process) + sim_stats["rpp_max"] = max(rp_process) + + import pdb; pdb.set_trace() + return sim_stats