Utilities API

The utils module provides helper functions for validation and analysis.

Validation Functions

Data Manipulation

Performance Metrics

Portfolio Functions

Example Usage

Lookahead Validation

from grubeta.utils import validate_no_lookahead

passed = validate_no_lookahead(
    betas=results['beta'].values,
    returns=results['stock_return'].values,
    market_returns=results['market_return'].values,
    initial_size=500,
    verbose=True
)

if not passed:
    print("Warning: Potential lookahead bias detected!")

Rolling Beta Benchmark

from grubeta.utils import rolling_ols_beta

# Compute benchmark
ols_betas = rolling_ols_beta(
    stock_returns,
    market_returns,
    window=252
)

# Compare with GRU
correlation = np.corrcoef(
    gru_betas[~np.isnan(gru_betas)],
    ols_betas[~np.isnan(ols_betas)]
)[0, 1]

Hedging Calculation

from grubeta.utils import beta_to_hedge_ratio

# Calculate hedge for $100k position
current_beta = results['beta'].iloc[-1]
hedge = beta_to_hedge_ratio(
    beta=current_beta,
    stock_value=100_000,
    market_value=450  # SPY price
)
print(f"Short {hedge:.0f} shares of SPY")