import streamlit as st import numpy as np import pandas as pd import yfinance as yf from scipy.signal import hilbert from datetime import datetime import matplotlib.pyplot as plt import seaborn as sns import warnings warnings.filterwarnings('ignore') st.set_page_config(page_title="Motor TFE", page_icon="🌊", layout="wide") # ============================================================ # MOTOR TFE # ============================================================ class FrCalculator: def __init__(self, W_macro=63, W_micro=21): self.W_macro = W_macro self.W_micro = W_micro def compute_inertia_series(self, macro_returns): rho = macro_returns.rolling(window=self.W_macro).apply( lambda x: pd.Series(x).autocorr(lag=1) if len(x) > 1 else np.nan, raw=False) rho_clipped = np.clip(rho, -0.99, 0.98) tau_memory = 1.0 / (1.0 - rho_clipped) var_movil = macro_returns.rolling(window=self.W_macro).var() var_norm = var_movil / var_movil.expanding().mean() return tau_memory * np.clip(var_norm, 1.0, 5.0) def compute_coherence_series(self, micro_returns): q_series = np.full(len(micro_returns), np.nan) matriz = micro_returns.values for i in range(self.W_micro, len(matriz)): win = matriz[i - self.W_micro:i] if np.min(np.std(win, axis=0)) > 1e-10: corr = np.corrcoef(win, rowvar=False) eigenvalues = np.linalg.eigvalsh(corr) q_series[i] = eigenvalues[-1] / np.sum(eigenvalues) return pd.Series(q_series, index=micro_returns.index) def compute_fr_series(self, macro_returns, micro_returns): tau = self.compute_inertia_series(macro_returns) q = self.compute_coherence_series(micro_returns) df = pd.DataFrame({'tau': tau, 'q': q}).dropna() df['fr'] = df['tau'] * df['q'] exp_mean = df['fr'].expanding(min_periods=252).mean() exp_std = df['fr'].expanding(min_periods=252).std() df['fr_normalized'] = (df['fr'] - exp_mean) / exp_std return df.dropna() class EMDDecomposer: def __init__(self): self.scales = {'short': (5, 21), 'medium': (21, 63), 'long': (63, 252)} def decompose(self, signal_series): signal = signal_series.fillna(method='ffill').fillna(0).values N = len(signal) if N < 100: return None fft_signal = np.fft.fft(signal) freqs = np.fft.fftfreq(N, d=1.0) components = {} for name, (period_min, period_max) in self.scales.items(): f_max = 1.0 / period_min f_min = 1.0 / period_max mask = ((np.abs(freqs) >= f_min) & (np.abs(freqs) <= f_max)) fft_filtered = fft_signal * mask component = np.real(np.fft.ifft(fft_filtered)) components[name] = pd.Series(component, index=signal_series.index) return components class PhaseAnalyzer: @staticmethod def analyze(signal_component): s = signal_component.fillna(method='ffill').fillna(0).values if len(s) < 50: return None s_centered = s - np.mean(s) analytic = hilbert(s_centered) return { 'phase': pd.Series(np.unwrap(np.angle(analytic)), index=signal_component.index), 'amplitude': pd.Series(np.abs(analytic), index=signal_component.index), } class SyncAnalyzer: @staticmethod def kuramoto(phases_dict, amplitudes_dict=None): df_phases = pd.DataFrame(phases_dict).dropna() if df_phases.empty: return pd.Series(dtype=float) if amplitudes_dict is not None: df_amp = pd.DataFrame(amplitudes_dict).reindex(df_phases.index).fillna(method='ffill') complex_sum = (df_amp * np.exp(1j * df_phases)).sum(axis=1) R = np.abs(complex_sum) / df_amp.sum(axis=1).replace(0, np.nan) else: R = np.abs(np.exp(1j * df_phases).mean(axis=1)) return R.fillna(0) @staticmethod def plv(phase_i, phase_j, window=63): df = pd.DataFrame({'i': phase_i, 'j': phase_j}).dropna() if len(df) < window: return pd.Series(dtype=float) diff = df['i'] - df['j'] plv = pd.Series(index=df.index, dtype=float) for k in range(window, len(df)): wd = diff.iloc[k - window:k].values plv.iloc[k] = np.abs(np.mean(np.exp(1j * wd))) return plv TOPOLOGIA = { 'CAPITAL_GLOBAL': {'macro': 'SPY', 'micro': ['XLK','XLF','XLE','XLV','XLI','XLY'], 'W_macro': 63, 'W_micro': 21, 'desc': 'Mercado accionario EE.UU.'}, 'GRAVEDAD_SISTEMICA': {'macro': '^TNX', 'micro': ['^IRX','^FVX','^TYX'], 'W_macro': 63, 'W_micro': 63, 'desc': 'Curva de tasas Tesoro'}, 'MATERIA_FISICA': {'macro': 'CL=F', 'micro': ['GC=F','ZS=F','HG=F'], 'W_macro': 63, 'W_micro': 63, 'desc': 'Commodities'}, 'DIGITAL_OCCIDENTE': {'macro': 'BTC-USD', 'micro': ['ETH-USD','SOL-USD','LINK-USD'], 'W_macro': 30, 'W_micro': 21, 'desc': 'Cripto'}, 'SOBERANO_ARGENTINA': {'macro': 'ARGT', 'micro': ['YPF','GGAL','PAM','CEPU'], 'W_macro': 63, 'W_micro': 21, 'desc': 'Argentina'}, } @st.cache_data(ttl=3600) def cargar_datos(macro_ticker, micro_tickers, period="20y"): tickers = [macro_ticker] + list(micro_tickers) data = yf.download(tickers, period=period, progress=False, auto_adjust=True)['Close'] if isinstance(data, pd.Series): data = data.to_frame() data = data.ffill().bfill().dropna() if len(data) < 252: return None, None returns = np.log(data / data.shift(1)).dropna() if macro_ticker in returns.columns: return returns[macro_ticker], returns[list(micro_tickers)] return None, None @st.cache_data(ttl=3600) def procesar_subsistema(nombre): config = TOPOLOGIA[nombre] period = "max" if 'BTC' in config['macro'] else "20y" macro, micro = cargar_datos(config['macro'], config['micro'], period) if macro is None or len(macro) < 252: return None fr_calc = FrCalculator(W_macro=config['W_macro'], W_micro=config['W_micro']) df_fr = fr_calc.compute_fr_series(macro, micro) if df_fr is None or len(df_fr) < 252: return None emd = EMDDecomposer() components = emd.decompose(df_fr['fr_normalized']) if components is None: return None analyses = {} for cn, cs in components.items(): r = PhaseAnalyzer.analyze(cs) if r is not None: analyses[cn] = r return {'fr_series': df_fr, 'wave_analyses': analyses, 'first_date': df_fr.index[0], 'last_date': df_fr.index[-1], 'desc': config['desc']} def calcular_sync(processed, scale='medium'): phases, amps = {}, {} for n, d in processed.items(): if d is None or scale not in d['wave_analyses']: continue w = d['wave_analyses'][scale] phases[n] = w['phase'] amps[n] = w['amplitude'] if len(phases) < 2: return None, None R = SyncAnalyzer.kuramoto(phases, amps) names = list(phases.keys()) plv = pd.DataFrame(index=names, columns=names, dtype=float) for i, n1 in enumerate(names): for j, n2 in enumerate(names): if i == j: plv.loc[n1, n2] = 1.0 elif i < j: ps = SyncAnalyzer.plv(phases[n1], phases[n2], 63) lp = float(ps.iloc[-1]) if len(ps) > 0 else np.nan plv.loc[n1, n2] = lp plv.loc[n2, n1] = lp return R, plv # ============================================================ # INTERFAZ # ============================================================ st.title("🌊 Motor TFE — Sincronización Sistémica") st.caption("Teoría de Fragilidad Espectral · Detección de coherencia entre subsistemas vía Kuramoto + Hilbert") st.sidebar.header("Control") if st.sidebar.button("🔄 Actualizar datos"): st.cache_data.clear() st.rerun() st.sidebar.markdown("---") st.sidebar.markdown("**Subsistemas activos:**") for k, v in TOPOLOGIA.items(): st.sidebar.text(f"• {k}") st.sidebar.markdown("---") st.sidebar.caption(f"Última carga: {datetime.now().strftime('%Y-%m-%d %H:%M')}") with st.spinner("Procesando subsistemas (puede tardar 1-2 minutos la primera vez)..."): processed = {} progress = st.progress(0) for i, nombre in enumerate(TOPOLOGIA): processed[nombre] = procesar_subsistema(nombre) progress.progress((i + 1) / len(TOPOLOGIA)) progress.empty() # Estado por subsistema st.subheader("📊 Estado actual por subsistema") cols = st.columns(len(TOPOLOGIA)) for col, (nombre, data) in zip(cols, processed.items()): with col: if data is None: st.metric(nombre, "—", "sin datos") continue last = data['fr_series'].iloc[-1] delta_color = "inverse" if last['fr_normalized'] > 1 else "normal" st.metric(label=nombre, value=f"Q={last['q']:.3f}", delta=f"τ={last['tau']:.2f} | Fr={last['fr_normalized']:+.2f}σ", delta_color=delta_color) st.caption(data['desc']) # Sincronización por escala st.subheader("🔬 Sincronización Kuramoto multi-escala") st.caption("R(t) = parámetro de orden. R→1 = ondas en fase (resonancia). R→0 = sistema disipado.") cols = st.columns(3) for col, scale in zip(cols, ['short', 'medium', 'long']): with col: R, _ = calcular_sync(processed, scale) if R is None or len(R) == 0: st.warning(f"{scale}: sin datos") continue recent = R.iloc[-21:] R_now = recent.iloc[-1] R_max = recent.max() slope = np.polyfit(np.arange(len(recent)), recent.values, 1)[0] label = {'short': '⚡ Corto (5-21d)', 'medium': '🌊 Medio (21-63d)', 'long': '🏔️ Largo (63-252d)'}[scale] st.metric(label, f"R = {R_now:.3f}", delta=f"max 21d: {R_max:.3f} | dR/dt: {slope:+.4f}") # Gráfico de R(t) st.subheader("📈 Evolución histórica de R(t)") fig, axes = plt.subplots(3, 1, figsize=(14, 9), sharex=True) labels = {'short': 'CORTO (5-21d) - Shocks', 'medium': 'MEDIO (21-63d) - Incubaciones', 'long': 'LARGO (63-252d) - Régimen'} for ax, scale in zip(axes, ['short', 'medium', 'long']): R, _ = calcular_sync(processed, scale) if R is None or len(R) == 0: continue ax.plot(R.index, R.values, color='steelblue', lw=0.8) ax.axhline(0.70, color='orange', ls='--', alpha=0.7, label='Aviso (0.70)') ax.axhline(0.85, color='red', ls='--', alpha=0.7, label='Crítico (0.85)') ax.fill_between(R.index, 0, R.values, alpha=0.15, color='steelblue') ax.set_ylabel(f'R - {scale}') ax.set_title(labels[scale]) ax.set_ylim(0, 1.05) ax.legend(loc='upper left', fontsize=8) ax.grid(alpha=0.3) plt.tight_layout() st.pyplot(fig) # PLV st.subheader("🔗 Phase Locking Value entre subsistemas (escala media)") _, plv = calcular_sync(processed, 'medium') if plv is not None: fig2, ax2 = plt.subplots(figsize=(9, 7)) sns.heatmap(plv.astype(float), annot=True, fmt='.2f', cmap='RdYlBu_r', center=0.5, vmin=0, vmax=1, cbar_kws={'label': 'PLV'}, ax=ax2) ax2.set_title('PLV > 0.80 = par fuertemente acoplado') plt.tight_layout() st.pyplot(fig2) st.markdown("---") st.caption("Motor TFE v2.2 · Datos: Yahoo Finance · Cache: 1 hora · " "Fundamento: Kuramoto (1984), Scheffer (2009), Vicente (2012)")