Regression in PlotToolPro about gs-quant HOT 7 OPEN

Looks good to me, should we do r_square and t_stat just to be consistent with other methods.

what does an example with predict look like?

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Agreed on the namings.
For now it's hard to use the predict function as we don't have functions to easily split data into train and test subsets. One example that needs improve:

spx = returns(SPX.spot(), simple)
spx_vol = diff(SPX.implied_volatility(1m, forward, 100), 1)
spx_train = interpolate(spx, [2020-02-01, 2020-02-02, 2020-02-03])
spx_vol_train = interpolate(spx_vol, [2020-02-01, 2020-02-02, 2020-02-03])
spx_test = interpolate(spx, [2020-02-04, 2020-02-05])
r = LinearRegression([spx_train], spx_vol_train)
r.predict(spx_test)

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renaming r_square to r_squared

from gs-quant.

Agreed on the namings.
For now it's hard to use the predict function as we don't have functions to easily split data into train and test subsets. One example that needs improve:

spx = returns(SPX.spot(), simple)
spx_vol = diff(SPX.implied_volatility(1m, forward, 100), 1)
spx_train = interpolate(spx, [2020-02-01, 2020-02-02, 2020-02-03])
spx_vol_train = interpolate(spx_vol, [2020-02-01, 2020-02-02, 2020-02-03])
spx_test = interpolate(spx, [2020-02-04, 2020-02-05])
r = LinearRegression([spx_train], spx_vol_train)
r.predict(spx_test)

I'm a student and have been working in ML for a while now. I'm a new contributor here. We could use the train_test_split function from sklearn library for easily splitting the training and test datasets. It'll help with the predict function. I would've done it but am not able to find PlotToolPro.

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@Atharva-Peshkar thanks for the input. we can run an example which is pure python, you don't need access to the PlotTool Pro application as the functions being discussed are exposed in the timeseries module in GS Quant. Give us a shout if you are keen to extend and we can give some guidance and add a tutorial

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@andyphillipsgs Yeah! sure I'd be glad to contribute.

@Atharva-Peshkar thanks for the input. we can run an example which is pure python, you don't need access to the PlotTool Pro application as the functions being discussed are exposed in the timeseries module in GS Quant. Give us a shout if you are keen to extend and we can give some guidance and add a tutorial

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It might be an idea to open source plot tools.

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