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Aug 17th, 2019
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  1. import numpy as np
  2. from sklearn.linear_model import LinearRegression
  3.  
  4. def exponentialRegression(closing):
  5. x = np.arange(1,len(closing) + 1).reshape((-1, 1))
  6. y_normalized = np.divide(closing, closing[0])
  7. y_ln = np.log(y_normalized)
  8. model = LinearRegression()
  9. model.fit(x, y_ln)
  10. scalar = np.exp(model.intercept_) * closing[0]
  11. base = np.power(np.exp(model.coef_)[0], 252)
  12. rSquared = model.score(x, y_ln)
  13. return {
  14. "scalar": scalar,
  15. "roi": ((base - 1) * 100),
  16. "r2": rSquared
  17. }
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