python - Pandas and finance calculations -


i new using python, , working on stock analysis script. idea script take in stock symbol, , script calculate sharpe ratio, treynor ratio, , other financial information. right now, having trouble getting pandas work properly. unable access column dataframe calculate yield stock.

from pandas.io.data import datareader datetime import date, timedelta    def calc_yield(now, old):     return (now-old)/old   def yield_array(cl):     array = []     count = 0     in cl:         old = cl[count]         count += 1         new = cl[count]         array.append(calc_yield(new, old))     return array   market = '^gspc' ticker = "aapl" days = 10  # set start , end dates edate = date.today() - timedelta(days=1) sdate = edate - timedelta(days=days)  # read stock price data yahoo data = datareader(ticker, 'yahoo', start=sdate, end=edate)  close = data['adj close']   print yield_array(close)

error:

/users/tim/anaconda/bin/python "/users/tim/pycharmprojects/test2/module tests.py" traceback (most recent call last):   file "/users/tim/pycharmprojects/test2/module tests.py", line 35, in <module>     print yield_array(close)   file "/users/tim/pycharmprojects/test2/module tests.py", line 16, in yield_array     new = cl[count]   file "/users/tim/anaconda/lib/python2.7/site-packages/pandas/core/series.py", line 484, in __getitem__     result = self.index.get_value(self, key)   file "/users/tim/anaconda/lib/python2.7/site-packages/pandas/tseries/index.py", line 1243, in get_value     return _maybe_box(self, index.get_value(self, series, key), series, key)   file "/users/tim/anaconda/lib/python2.7/site-packages/pandas/core/index.py", line 1202, in get_value     return tslib.get_value_box(s, key)   file "tslib.pyx", line 540, in pandas.tslib.get_value_box (pandas/tslib.c:11833)   file "tslib.pyx", line 555, in pandas.tslib.get_value_box (pandas/tslib.c:11680) indexerror: index out of bounds  process finished exit code 1

i think see problem. given function:

def yield_array(cl):     array = []     count = 0     in cl:         old = cl[count]         count += 1         print count         new = cl[count]         array.append(calc_yield(new, old))         print old         print new     return array

the problem on last item of cl, add 1 count, result in index 1 greater maximum index of cl. results in error, because trying access index doesn't exist. need for in cl[:-1], skip last element.

however, there simpler way vectorizing. can reduce whole function to:

close = data['adj close'] yield_data = close.diff()/close.shift(1)

or better yet, can put result in dataframe later use:

close = data['adj close'] data['yield'] = close.diff()/close.shift(1)

Comments

Post a Comment

Popular posts from this blog

cakephp - simple blog with croogo -

i not problem, made simple blog in croogo, problem is not adding or modifying or delete, because arabic language ?? function add in controller `public function admin_add() { $this->set('title_for_layout', __('add part')); if (!empty($this->request->data)) { $this->part->create(); if ($this->part->save($this->request->data)) { $this->session->setflash(__('the part has been saved'), 'default', array('class' => 'success')); $this->redirect(array('action' => 'index'));//, $this->part->id)); } else { $this->session->setflash(__('the part not saved. please, try again.'), 'default', array('class' => 'error')); } } }` => model `class part extends appmodel { public $name = 'part'; var $belongst...
Read more

How to group boxplot outliers in gnuplot -

i have large set of data points. try plot them boxplot, of outliers exact same value , represented on line beside each other. found how set horizontal distance between outliers in gnuplot boxplot , doesn't much, apparently not possible. is possible group outliers together, print 1 point , print number in brackets beside indicate how many points there are? think make more readable in graph. for information, have 3 boxplots 1 x value , times 6 in 1 graph. using gnuplot 5 , played around pointsize, doesn't reduce distance anymore. hope can help! edit: set terminal pdf set output 'dat.pdf' file0 = 'dat1.dat' file1 = 'dat2.dat' file2 = 'dat3.dat' set pointsize 0.2 set notitle set xlabel 'x' set ylabel 'y' header = system('head -1 '.file0); n = words(header) set xtics ('' 1) set [i=1:n] xtics add (word(header, i) i) set style data boxplot plot file0 using (1-0.25):1:(0.2) boxplot lw 2 lc rgb '#8b0000...
Read more

bash - Performing variable substitution in a string -

i have string contains use of variable, , i'd substitute variable's value string. right best have is #!/bin/bash foo='$name; echo bar' name="the name" expanded="$(eval echo "$foo")" echo "$expanded" which has obvious defects: prints the name bar while i'd print the name; echo bar instead of eval can bash's regex matching bash's string replacement: foo='$name; echo bar' name="the name" [[ "$foo" =~ \$([[:alnum:]]+) ]] && s="${!bash_rematch[1]}" && expanded="${foo/\$${bash_rematch[1]}/$s}" echo "$expanded" name; echo bar
Read more