further testing
This commit is contained in:
parent
44d5ea7b29
commit
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testing.ipynb
382
testing.ipynb
@ -2,7 +2,7 @@
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"cells": [
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"cells": [
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{
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{
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"cell_type": "code",
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"cell_type": "code",
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"execution_count": 14,
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"execution_count": 1,
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"id": "3f7938c0-98e3-43b8-86e8-4f000cda7ce5",
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"id": "3f7938c0-98e3-43b8-86e8-4f000cda7ce5",
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"metadata": {},
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"metadata": {},
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"outputs": [],
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"outputs": [],
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@ -16,28 +16,20 @@
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},
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},
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{
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{
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"cell_type": "code",
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"cell_type": "code",
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"execution_count": 16,
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"execution_count": 2,
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"id": "757eafc2-f804-4e7e-a3b8-2d09cd62e646",
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"id": "4b8ccd5f-dfff-4202-82c4-f66a30c122b6",
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"metadata": {},
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"outputs": [],
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"source": [
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"dfd = pd.read_csv('test_files/nav_history_daily - copy.csv')"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 17,
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"id": "59b3d4a9-8ef4-4652-9e20-1bac69ab4ff9",
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"metadata": {},
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"metadata": {},
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"outputs": [],
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"outputs": [],
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"source": [
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"source": [
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"dfd = pd.read_csv('test_files/nav_history_daily - copy.csv')\n",
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"\n",
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"dfd = dfd[dfd['amfi_code'] == 118825].reset_index(drop=True)"
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"dfd = dfd[dfd['amfi_code'] == 118825].reset_index(drop=True)"
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]
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]
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},
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},
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{
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{
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"cell_type": "code",
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"cell_type": "code",
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"execution_count": 19,
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"execution_count": 3,
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"id": "4bc95ae0-8c33-4eab-acf9-e765d22979b8",
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"id": "c52b0c2c-dd01-48dd-9ffa-3147ec9571ef",
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"metadata": {},
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"metadata": {},
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"outputs": [
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"outputs": [
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{
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{
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@ -46,18 +38,7 @@
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"text": [
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"text": [
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"Warning: The input data contains duplicate dates which have been ignored.\n"
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"Warning: The input data contains duplicate dates which have been ignored.\n"
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]
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]
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}
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},
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],
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"source": [
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"ts = TimeSeries([(i.date, i.nav) for i in dfd.itertuples()], frequency='D')"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 20,
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"id": "f2c3218c-3984-43d6-8638-41a74a9d0b58",
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"metadata": {},
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"outputs": [
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{
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{
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"data": {
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"data": {
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"text/plain": [
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"text/plain": [
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@ -67,47 +48,360 @@
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"\t ...\n",
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"\t ...\n",
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"\t (datetime.datetime(2022, 2, 10, 0, 0), 86.5),\n",
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"\t (datetime.datetime(2022, 2, 10, 0, 0), 86.5),\n",
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"\t (datetime.datetime(2022, 2, 11, 0, 0), 85.226),\n",
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"\t (datetime.datetime(2022, 2, 11, 0, 0), 85.226),\n",
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"\t (datetime.datetime(2022, 2, 14, 0, 0), 82.53299999999999)], frequency='D')"
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"\t (datetime.datetime(2022, 2, 14, 0, 0), 82.533)], frequency='D')"
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]
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]
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},
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},
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"execution_count": 20,
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"execution_count": 3,
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"metadata": {},
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"metadata": {},
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"output_type": "execute_result"
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"output_type": "execute_result"
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}
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}
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],
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],
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"source": [
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"source": [
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"ts = TimeSeries([(i.date, i.nav) for i in dfd.itertuples()], frequency='D')\n",
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"\n",
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"ts"
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"ts"
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]
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]
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},
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},
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{
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{
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"cell_type": "code",
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"cell_type": "code",
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"execution_count": 22,
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"execution_count": 4,
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"id": "dc469722-c816-4b57-8d91-7a3b865f86be",
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"id": "9e8ff6c6-3a36-435a-ba87-5b9844c18779",
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"metadata": {},
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"metadata": {},
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"outputs": [
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"outputs": [
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{
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{
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"ename": "TypeError",
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"data": {
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"evalue": "getattr(): attribute name must be string",
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"text/plain": [
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"output_type": "error",
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"[(datetime.datetime(2021, 1, 1, 0, 0), 66.652),\n",
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"traceback": [
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" (datetime.datetime(2020, 1, 1, 0, 0), 57.804)]"
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"\u001b[1;31m---------------------------------------------------------------------------\u001b[0m",
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]
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"\u001b[1;31mTypeError\u001b[0m Traceback (most recent call last)",
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},
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"File \u001b[1;32m<timed eval>:1\u001b[0m, in \u001b[0;36m<module>\u001b[1;34m\u001b[0m\n",
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"execution_count": 4,
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"File \u001b[1;32mD:\\Documents\\Projects\\fincal\\fincal\\fincal.py:203\u001b[0m, in \u001b[0;36mTimeSeries.calculate_rolling_returns\u001b[1;34m(self, from_date, to_date, frequency, as_on_match, prior_match, closest, compounding, years)\u001b[0m\n\u001b[0;32m 200\u001b[0m \u001b[38;5;28;01mexcept\u001b[39;00m \u001b[38;5;167;01mAttributeError\u001b[39;00m:\n\u001b[0;32m 201\u001b[0m \u001b[38;5;28;01mraise\u001b[39;00m \u001b[38;5;167;01mValueError\u001b[39;00m(\u001b[38;5;124mf\u001b[39m\u001b[38;5;124m\"\u001b[39m\u001b[38;5;124mInvalid argument for frequency \u001b[39m\u001b[38;5;132;01m{\u001b[39;00mfrequency\u001b[38;5;132;01m}\u001b[39;00m\u001b[38;5;124m\"\u001b[39m)\n\u001b[1;32m--> 203\u001b[0m dates \u001b[38;5;241m=\u001b[39m \u001b[43mcreate_date_series\u001b[49m\u001b[43m(\u001b[49m\u001b[43mfrom_date\u001b[49m\u001b[43m,\u001b[49m\u001b[43m \u001b[49m\u001b[43mto_date\u001b[49m\u001b[43m,\u001b[49m\u001b[43m \u001b[49m\u001b[43mfrequency\u001b[49m\u001b[43m)\u001b[49m\n\u001b[0;32m 204\u001b[0m \u001b[38;5;28;01mif\u001b[39;00m frequency \u001b[38;5;241m==\u001b[39m AllFrequencies\u001b[38;5;241m.\u001b[39mD:\n\u001b[0;32m 205\u001b[0m dates \u001b[38;5;241m=\u001b[39m [i \u001b[38;5;28;01mfor\u001b[39;00m i \u001b[38;5;129;01min\u001b[39;00m dates \u001b[38;5;28;01mif\u001b[39;00m i \u001b[38;5;129;01min\u001b[39;00m \u001b[38;5;28mself\u001b[39m\u001b[38;5;241m.\u001b[39mtime_series]\n",
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"metadata": {},
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"File \u001b[1;32mD:\\Documents\\Projects\\fincal\\fincal\\fincal.py:16\u001b[0m, in \u001b[0;36mcreate_date_series\u001b[1;34m(start_date, end_date, frequency, eomonth)\u001b[0m\n\u001b[0;32m 11\u001b[0m \u001b[38;5;28;01mdef\u001b[39;00m \u001b[38;5;21mcreate_date_series\u001b[39m(\n\u001b[0;32m 12\u001b[0m start_date: datetime\u001b[38;5;241m.\u001b[39mdatetime, end_date: datetime\u001b[38;5;241m.\u001b[39mdatetime, frequency: \u001b[38;5;28mstr\u001b[39m, eomonth: \u001b[38;5;28mbool\u001b[39m \u001b[38;5;241m=\u001b[39m \u001b[38;5;28;01mFalse\u001b[39;00m\n\u001b[0;32m 13\u001b[0m ) \u001b[38;5;241m-\u001b[39m\u001b[38;5;241m>\u001b[39m List[datetime\u001b[38;5;241m.\u001b[39mdatetime]:\n\u001b[0;32m 14\u001b[0m \u001b[38;5;124;03m\"\"\"Creates a date series using a frequency\"\"\"\u001b[39;00m\n\u001b[1;32m---> 16\u001b[0m frequency \u001b[38;5;241m=\u001b[39m \u001b[38;5;28;43mgetattr\u001b[39;49m\u001b[43m(\u001b[49m\u001b[43mAllFrequencies\u001b[49m\u001b[43m,\u001b[49m\u001b[43m \u001b[49m\u001b[43mfrequency\u001b[49m\u001b[43m)\u001b[49m\n\u001b[0;32m 17\u001b[0m \u001b[38;5;28;01mif\u001b[39;00m eomonth \u001b[38;5;129;01mand\u001b[39;00m frequency\u001b[38;5;241m.\u001b[39mdays \u001b[38;5;241m<\u001b[39m AllFrequencies\u001b[38;5;241m.\u001b[39mM\u001b[38;5;241m.\u001b[39mdays:\n\u001b[0;32m 18\u001b[0m \u001b[38;5;28;01mraise\u001b[39;00m \u001b[38;5;167;01mValueError\u001b[39;00m(\u001b[38;5;124mf\u001b[39m\u001b[38;5;124m\"\u001b[39m\u001b[38;5;124meomonth cannot be set to True if frequency is higher than \u001b[39m\u001b[38;5;132;01m{\u001b[39;00mAllFrequencies\u001b[38;5;241m.\u001b[39mM\u001b[38;5;241m.\u001b[39mname\u001b[38;5;132;01m}\u001b[39;00m\u001b[38;5;124m\"\u001b[39m)\n",
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"output_type": "execute_result"
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"\u001b[1;31mTypeError\u001b[0m: getattr(): attribute name must be string"
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}
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],
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"source": [
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"ts[['2021-01-01', '2020-01-01']]"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 5,
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"id": "4d927a61-0f90-4b47-89b7-0e0d3ab1b442",
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"metadata": {},
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"outputs": [
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{
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"data": {
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"text/plain": [
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"Series([False, False, False, False, False, False, False, False, False, False])"
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]
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},
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"execution_count": 5,
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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"source": [
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"s = ts.dates > '2020-01-01'\n",
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"s[:10]"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 8,
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"id": "311d1c07-d827-4d69-855f-883e1198c162",
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"metadata": {},
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"outputs": [],
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"source": [
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"import pandas as pd"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 10,
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"id": "bb625050-5d7b-45a9-9cde-ac6e599adea5",
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"metadata": {},
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"outputs": [
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{
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"data": {
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"text/plain": [
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"0 False\n",
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"1 False\n",
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"2 False\n",
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"3 False\n",
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"4 False\n",
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" ... \n",
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"2196 True\n",
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"2197 True\n",
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"2198 True\n",
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"2199 True\n",
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"2200 True\n",
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"Length: 2201, dtype: bool"
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]
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},
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"execution_count": 10,
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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"source": [
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"pd.Series(s)"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 9,
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"id": "dc469722-c816-4b57-8d91-7a3b865f86be",
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"metadata": {
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"scrolled": true,
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"tags": []
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},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"Wall time: 14 ms\n"
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]
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]
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},
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{
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"data": {
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"text/plain": [
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"[(datetime.datetime(2020, 1, 1, 0, 0), 0.13778442642311628),\n",
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" (datetime.datetime(2020, 1, 2, 0, 0), 0.15907011891977874),\n",
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" (datetime.datetime(2020, 1, 3, 0, 0), 0.16528842679940592),\n",
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" (datetime.datetime(2020, 1, 6, 0, 0), 0.13725881835976517),\n",
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" (datetime.datetime(2020, 1, 7, 0, 0), 0.1361567661029075),\n",
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" (datetime.datetime(2020, 1, 8, 0, 0), 0.12943599493029145),\n",
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" (datetime.datetime(2020, 1, 9, 0, 0), 0.14162066246056781),\n",
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" (datetime.datetime(2020, 1, 10, 0, 0), 0.14866092589666624),\n",
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" (datetime.datetime(2020, 1, 13, 0, 0), 0.15898777321998292),\n",
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" (datetime.datetime(2020, 1, 14, 0, 0), 0.16791720569210877),\n",
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" (datetime.datetime(2020, 1, 15, 0, 0), 0.15701288705571237),\n",
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" (datetime.datetime(2020, 1, 16, 0, 0), 0.15895332557726816),\n",
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" (datetime.datetime(2020, 1, 17, 0, 0), 0.1597678687747972),\n",
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" (datetime.datetime(2020, 1, 20, 0, 0), 0.1517952575115793),\n",
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" (datetime.datetime(2020, 1, 21, 0, 0), 0.14416159380188165),\n",
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" (datetime.datetime(2020, 1, 22, 0, 0), 0.1388367359038718),\n",
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" (datetime.datetime(2020, 1, 23, 0, 0), 0.15628915183454306),\n",
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" (datetime.datetime(2020, 1, 24, 0, 0), 0.16305428514615228),\n",
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" (datetime.datetime(2020, 1, 27, 0, 0), 0.1622537810406386),\n",
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" (datetime.datetime(2020, 1, 28, 0, 0), 0.16702450881101893),\n",
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" (datetime.datetime(2020, 1, 29, 0, 0), 0.1718259672423219),\n",
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" (datetime.datetime(2020, 1, 30, 0, 0), 0.15395125479716287),\n",
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" (datetime.datetime(2020, 1, 31, 0, 0), 0.13100540412138484),\n",
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" (datetime.datetime(2020, 2, 3, 0, 0), 0.10046175704475502),\n",
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" (datetime.datetime(2020, 2, 4, 0, 0), 0.12408874488808119),\n",
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" (datetime.datetime(2020, 2, 5, 0, 0), 0.13495745562947903),\n",
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" (datetime.datetime(2020, 2, 6, 0, 0), 0.1316705790297339),\n",
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" (datetime.datetime(2020, 2, 7, 0, 0), 0.1293798434480471),\n",
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" (datetime.datetime(2020, 2, 10, 0, 0), 0.13417161807378752),\n",
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" (datetime.datetime(2020, 2, 11, 0, 0), 0.14703664006986616),\n",
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" (datetime.datetime(2020, 2, 12, 0, 0), 0.15665338645418325),\n",
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" (datetime.datetime(2020, 2, 13, 0, 0), 0.16157913712294203),\n",
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" (datetime.datetime(2020, 2, 14, 0, 0), 0.15528598971722363),\n",
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" (datetime.datetime(2020, 2, 17, 0, 0), 0.15469223007063593),\n",
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" (datetime.datetime(2020, 2, 18, 0, 0), 0.1616112297833383),\n",
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" (datetime.datetime(2020, 2, 19, 0, 0), 0.1795321518161237),\n",
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" (datetime.datetime(2020, 2, 20, 0, 0), 0.16892628011136668),\n",
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" (datetime.datetime(2020, 2, 24, 0, 0), 0.14102204408817642),\n",
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" (datetime.datetime(2020, 2, 25, 0, 0), 0.1287774793593952),\n",
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" (datetime.datetime(2020, 2, 26, 0, 0), 0.11844857467280234),\n",
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" (datetime.datetime(2020, 2, 27, 0, 0), 0.11330677290836633),\n",
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" (datetime.datetime(2020, 2, 28, 0, 0), 0.07688934948979576),\n",
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" (datetime.datetime(2020, 3, 2, 0, 0), 0.06323384067997617),\n",
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" (datetime.datetime(2020, 3, 3, 0, 0), 0.08272385847005337),\n",
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" (datetime.datetime(2020, 3, 4, 0, 0), 0.07610199644198445),\n",
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" (datetime.datetime(2020, 3, 5, 0, 0), 0.06134216421544747),\n",
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" (datetime.datetime(2020, 3, 6, 0, 0), 0.0307951704490399),\n",
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" (datetime.datetime(2020, 3, 9, 0, 0), -0.014902463666744414),\n",
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||||||
|
" (datetime.datetime(2020, 3, 11, 0, 0), -0.02972061472425558),\n",
|
||||||
|
" (datetime.datetime(2020, 3, 12, 0, 0), -0.1201765519331679),\n",
|
||||||
|
" (datetime.datetime(2020, 3, 13, 0, 0), -0.08575267799689612),\n",
|
||||||
|
" (datetime.datetime(2020, 3, 16, 0, 0), -0.15648316950777152),\n",
|
||||||
|
" (datetime.datetime(2020, 3, 17, 0, 0), -0.17358618226925038),\n",
|
||||||
|
" (datetime.datetime(2020, 3, 18, 0, 0), -0.21612661547106204),\n",
|
||||||
|
" (datetime.datetime(2020, 3, 19, 0, 0), -0.2452152219243373),\n",
|
||||||
|
" (datetime.datetime(2020, 3, 20, 0, 0), -0.20796112876097927),\n",
|
||||||
|
" (datetime.datetime(2020, 3, 23, 0, 0), -0.30970261339741667),\n",
|
||||||
|
" (datetime.datetime(2020, 3, 24, 0, 0), -0.2908531090417543),\n",
|
||||||
|
" (datetime.datetime(2020, 3, 25, 0, 0), -0.24436994526204125),\n",
|
||||||
|
" (datetime.datetime(2020, 3, 26, 0, 0), -0.22233453129679548),\n",
|
||||||
|
" (datetime.datetime(2020, 3, 27, 0, 0), -0.21821047890707101),\n",
|
||||||
|
" (datetime.datetime(2020, 3, 30, 0, 0), -0.2572613339750828),\n",
|
||||||
|
" (datetime.datetime(2020, 3, 31, 0, 0), -0.23261195549549218),\n",
|
||||||
|
" (datetime.datetime(2020, 4, 1, 0, 0), -0.2608607426811047),\n",
|
||||||
|
" (datetime.datetime(2020, 4, 3, 0, 0), -0.27431740614334477),\n",
|
||||||
|
" (datetime.datetime(2020, 4, 7, 0, 0), -0.2134398339479976),\n",
|
||||||
|
" (datetime.datetime(2020, 4, 8, 0, 0), -0.20755173891175982),\n",
|
||||||
|
" (datetime.datetime(2020, 4, 9, 0, 0), -0.18395973278558087),\n",
|
||||||
|
" (datetime.datetime(2020, 4, 13, 0, 0), -0.19529673178409412),\n",
|
||||||
|
" (datetime.datetime(2020, 4, 15, 0, 0), -0.20106882889523636),\n",
|
||||||
|
" (datetime.datetime(2020, 4, 16, 0, 0), -0.1970295580918935),\n",
|
||||||
|
" (datetime.datetime(2020, 4, 17, 0, 0), -0.1732330992098331),\n",
|
||||||
|
" (datetime.datetime(2020, 4, 20, 0, 0), -0.16734041380324138),\n",
|
||||||
|
" (datetime.datetime(2020, 4, 21, 0, 0), -0.19352467752012048),\n",
|
||||||
|
" (datetime.datetime(2020, 4, 23, 0, 0), -0.15569230769230757),\n",
|
||||||
|
" (datetime.datetime(2020, 4, 24, 0, 0), -0.17741518697626335),\n",
|
||||||
|
" (datetime.datetime(2020, 4, 27, 0, 0), -0.1667833069357988),\n",
|
||||||
|
" (datetime.datetime(2020, 4, 28, 0, 0), -0.1604110648642676),\n",
|
||||||
|
" (datetime.datetime(2020, 4, 29, 0, 0), -0.14832958856679812),\n",
|
||||||
|
" (datetime.datetime(2020, 4, 30, 0, 0), -0.1300687474725194),\n",
|
||||||
|
" (datetime.datetime(2020, 5, 4, 0, 0), -0.17366232326032705),\n",
|
||||||
|
" (datetime.datetime(2020, 5, 5, 0, 0), -0.1822936881988726),\n",
|
||||||
|
" (datetime.datetime(2020, 5, 6, 0, 0), -0.1722083628104405),\n",
|
||||||
|
" (datetime.datetime(2020, 5, 7, 0, 0), -0.17076925965564504),\n",
|
||||||
|
" (datetime.datetime(2020, 5, 8, 0, 0), -0.15704080857208003),\n",
|
||||||
|
" (datetime.datetime(2020, 5, 11, 0, 0), -0.1536333632218556),\n",
|
||||||
|
" (datetime.datetime(2020, 5, 12, 0, 0), -0.15922315279394084),\n",
|
||||||
|
" (datetime.datetime(2020, 5, 13, 0, 0), -0.12893477713422308),\n",
|
||||||
|
" (datetime.datetime(2020, 5, 14, 0, 0), -0.1515904189772027),\n",
|
||||||
|
" (datetime.datetime(2020, 5, 15, 0, 0), -0.1482976040353089),\n",
|
||||||
|
" (datetime.datetime(2020, 5, 18, 0, 0), -0.19486496766831485),\n",
|
||||||
|
" (datetime.datetime(2020, 5, 19, 0, 0), -0.19478889311525294),\n",
|
||||||
|
" (datetime.datetime(2020, 5, 20, 0, 0), -0.20504325418737346),\n",
|
||||||
|
" (datetime.datetime(2020, 5, 21, 0, 0), -0.1923849185691976),\n",
|
||||||
|
" (datetime.datetime(2020, 5, 22, 0, 0), -0.20265491640901256),\n",
|
||||||
|
" (datetime.datetime(2020, 5, 26, 0, 0), -0.21261575969288427),\n",
|
||||||
|
" (datetime.datetime(2020, 5, 27, 0, 0), -0.1977462346949832),\n",
|
||||||
|
" (datetime.datetime(2020, 5, 28, 0, 0), -0.18100478037341028),\n",
|
||||||
|
" (datetime.datetime(2020, 5, 29, 0, 0), -0.16737799894662286),\n",
|
||||||
|
" (datetime.datetime(2020, 6, 1, 0, 0), -0.1486066432934544),\n",
|
||||||
|
" (datetime.datetime(2020, 6, 2, 0, 0), -0.1406549318682908),\n",
|
||||||
|
" (datetime.datetime(2020, 6, 3, 0, 0), -0.1455950320312639),\n",
|
||||||
|
" (datetime.datetime(2020, 6, 4, 0, 0), -0.14420304132112982),\n",
|
||||||
|
" (datetime.datetime(2020, 6, 5, 0, 0), -0.13168311511525865),\n",
|
||||||
|
" (datetime.datetime(2020, 6, 8, 0, 0), -0.11935565702688988),\n",
|
||||||
|
" (datetime.datetime(2020, 6, 9, 0, 0), -0.13055374356744232),\n",
|
||||||
|
" (datetime.datetime(2020, 6, 10, 0, 0), -0.12668580404051355),\n",
|
||||||
|
" (datetime.datetime(2020, 6, 11, 0, 0), -0.14811351293025943),\n",
|
||||||
|
" (datetime.datetime(2020, 6, 12, 0, 0), -0.13644004989063818),\n",
|
||||||
|
" (datetime.datetime(2020, 6, 15, 0, 0), -0.14417647273124712),\n",
|
||||||
|
" (datetime.datetime(2020, 6, 16, 0, 0), -0.13541476920835016),\n",
|
||||||
|
" (datetime.datetime(2020, 6, 17, 0, 0), -0.12496542567903979),\n",
|
||||||
|
" (datetime.datetime(2020, 6, 18, 0, 0), -0.10886799410029502),\n",
|
||||||
|
" (datetime.datetime(2020, 6, 19, 0, 0), -0.09316449153637418),\n",
|
||||||
|
" (datetime.datetime(2020, 6, 22, 0, 0), -0.09261870319166465),\n",
|
||||||
|
" (datetime.datetime(2020, 6, 23, 0, 0), -0.07956272545824083),\n",
|
||||||
|
" (datetime.datetime(2020, 6, 24, 0, 0), -0.09426049373672252),\n",
|
||||||
|
" (datetime.datetime(2020, 6, 25, 0, 0), -0.10081348053457295),\n",
|
||||||
|
" (datetime.datetime(2020, 6, 26, 0, 0), -0.09618408922470667),\n",
|
||||||
|
" (datetime.datetime(2020, 6, 29, 0, 0), -0.10191913883401882),\n",
|
||||||
|
" (datetime.datetime(2020, 6, 30, 0, 0), -0.10248092640582795),\n",
|
||||||
|
" (datetime.datetime(2020, 7, 1, 0, 0), -0.09865244649419913),\n",
|
||||||
|
" (datetime.datetime(2020, 7, 2, 0, 0), -0.09126384692849943),\n",
|
||||||
|
" (datetime.datetime(2020, 7, 3, 0, 0), -0.08705088880518042),\n",
|
||||||
|
" (datetime.datetime(2020, 7, 6, 0, 0), -0.06379048033036305),\n",
|
||||||
|
" (datetime.datetime(2020, 7, 7, 0, 0), -0.05848366297181784),\n",
|
||||||
|
" (datetime.datetime(2020, 7, 8, 0, 0), -0.045594224361347635),\n",
|
||||||
|
" (datetime.datetime(2020, 7, 9, 0, 0), -0.039114513981358234),\n",
|
||||||
|
" (datetime.datetime(2020, 7, 10, 0, 0), -0.03792507846888182),\n",
|
||||||
|
" (datetime.datetime(2020, 7, 13, 0, 0), -0.04068015895018928),\n",
|
||||||
|
" (datetime.datetime(2020, 7, 14, 0, 0), -0.05505960632104223),\n",
|
||||||
|
" (datetime.datetime(2020, 7, 15, 0, 0), -0.058529292332681115),\n",
|
||||||
|
" (datetime.datetime(2020, 7, 16, 0, 0), -0.05489779859827626),\n",
|
||||||
|
" (datetime.datetime(2020, 7, 17, 0, 0), -0.04157081827144271),\n",
|
||||||
|
" (datetime.datetime(2020, 7, 20, 0, 0), -0.008800284000672676),\n",
|
||||||
|
" (datetime.datetime(2020, 7, 21, 0, 0), 0.002092636535191872),\n",
|
||||||
|
" (datetime.datetime(2020, 7, 22, 0, 0), 0.0022844730731781393),\n",
|
||||||
|
" (datetime.datetime(2020, 7, 23, 0, 0), 0.014283837303151303),\n",
|
||||||
|
" (datetime.datetime(2020, 7, 24, 0, 0), 0.017490781885222795),\n",
|
||||||
|
" (datetime.datetime(2020, 7, 27, 0, 0), 0.0014461451779510526),\n",
|
||||||
|
" (datetime.datetime(2020, 7, 28, 0, 0), 0.010423513944971319),\n",
|
||||||
|
" (datetime.datetime(2020, 7, 29, 0, 0), 0.014873903404892141),\n",
|
||||||
|
" (datetime.datetime(2020, 7, 30, 0, 0), 0.021221125275567854),\n",
|
||||||
|
" (datetime.datetime(2020, 7, 31, 0, 0), 0.017523096892418044),\n",
|
||||||
|
" (datetime.datetime(2020, 8, 3, 0, 0), 0.017039424171667816),\n",
|
||||||
|
" (datetime.datetime(2020, 8, 4, 0, 0), 0.03604716234731087),\n",
|
||||||
|
" (datetime.datetime(2020, 8, 5, 0, 0), 0.05061139977341078),\n",
|
||||||
|
" (datetime.datetime(2020, 8, 6, 0, 0), 0.05082975513519794),\n",
|
||||||
|
" (datetime.datetime(2020, 8, 7, 0, 0), 0.05958251310737306),\n",
|
||||||
|
" (datetime.datetime(2020, 8, 10, 0, 0), 0.048723986751670445),\n",
|
||||||
|
" (datetime.datetime(2020, 8, 11, 0, 0), 0.05220837401642653),\n",
|
||||||
|
" (datetime.datetime(2020, 8, 12, 0, 0), 0.05186376428694506),\n",
|
||||||
|
" (datetime.datetime(2020, 8, 13, 0, 0), 0.07394496484839053),\n",
|
||||||
|
" (datetime.datetime(2020, 8, 14, 0, 0), 0.05147838833490859),\n",
|
||||||
|
" (datetime.datetime(2020, 8, 17, 0, 0), 0.05283004347993381),\n",
|
||||||
|
" (datetime.datetime(2020, 8, 18, 0, 0), 0.06824040940397857),\n",
|
||||||
|
" (datetime.datetime(2020, 8, 19, 0, 0), 0.07100728132024359),\n",
|
||||||
|
" (datetime.datetime(2020, 10, 8, 0, 0), 0.09372370534689822),\n",
|
||||||
|
" (datetime.datetime(2020, 10, 9, 0, 0), 0.08128249892061357),\n",
|
||||||
|
" (datetime.datetime(2020, 10, 12, 0, 0), 0.08653955068906938),\n",
|
||||||
|
" (datetime.datetime(2020, 10, 13, 0, 0), 0.08506701906739678),\n",
|
||||||
|
" (datetime.datetime(2020, 10, 14, 0, 0), 0.08405050922620161),\n",
|
||||||
|
" (datetime.datetime(2020, 10, 15, 0, 0), 0.05063125897469378),\n",
|
||||||
|
" (datetime.datetime(2020, 10, 16, 0, 0), 0.060133007954397355),\n",
|
||||||
|
" (datetime.datetime(2020, 10, 19, 0, 0), 0.04674158943297102),\n",
|
||||||
|
" (datetime.datetime(2020, 10, 20, 0, 0), 0.04907684448660876),\n",
|
||||||
|
" (datetime.datetime(2020, 10, 21, 0, 0), 0.052287820185360934),\n",
|
||||||
|
" (datetime.datetime(2020, 10, 22, 0, 0), 0.05187688373367427),\n",
|
||||||
|
" (datetime.datetime(2020, 10, 23, 0, 0), 0.05667055904247564),\n",
|
||||||
|
" (datetime.datetime(2020, 10, 26, 0, 0), 0.04027605345797136),\n",
|
||||||
|
" (datetime.datetime(2020, 10, 27, 0, 0), 0.04849193018330533),\n",
|
||||||
|
" (datetime.datetime(2020, 10, 28, 0, 0), 0.03806689549404818),\n",
|
||||||
|
" (datetime.datetime(2020, 10, 29, 0, 0), 0.014816143497757839),\n",
|
||||||
|
" (datetime.datetime(2020, 10, 30, 0, 0), 0.00481137623180139),\n",
|
||||||
|
" (datetime.datetime(2020, 11, 2, 0, 0), -0.00014131778837667142),\n",
|
||||||
|
" (datetime.datetime(2020, 11, 3, 0, 0), 0.010563504681151636),\n",
|
||||||
|
" (datetime.datetime(2020, 11, 4, 0, 0), 0.01794663654972828),\n",
|
||||||
|
" (datetime.datetime(2020, 11, 5, 0, 0), 0.0394424147838115),\n",
|
||||||
|
" (datetime.datetime(2020, 11, 6, 0, 0), 0.043924408336276866),\n",
|
||||||
|
" (datetime.datetime(2020, 11, 9, 0, 0), 0.06426903481460511),\n",
|
||||||
|
" (datetime.datetime(2020, 11, 10, 0, 0), 0.07422870082083222),\n",
|
||||||
|
" (datetime.datetime(2020, 11, 11, 0, 0), 0.08174632645483015),\n",
|
||||||
|
" (datetime.datetime(2020, 11, 12, 0, 0), 0.07851042385019369),\n",
|
||||||
|
" (datetime.datetime(2020, 11, 13, 0, 0), 0.0942456954233204),\n",
|
||||||
|
" (datetime.datetime(2020, 11, 17, 0, 0), 0.09901112922662514),\n",
|
||||||
|
" (datetime.datetime(2020, 11, 18, 0, 0), 0.10079208973472964),\n",
|
||||||
|
" (datetime.datetime(2020, 11, 19, 0, 0), 0.08264929654539355),\n",
|
||||||
|
" (datetime.datetime(2020, 11, 20, 0, 0), 0.07989130434782621),\n",
|
||||||
|
" (datetime.datetime(2020, 11, 23, 0, 0), 0.0914305886506046),\n",
|
||||||
|
" (datetime.datetime(2020, 11, 24, 0, 0), 0.10378607360338887),\n",
|
||||||
|
" (datetime.datetime(2020, 11, 25, 0, 0), 0.07314267788989381),\n",
|
||||||
|
" (datetime.datetime(2020, 11, 26, 0, 0), 0.08476710029374734),\n",
|
||||||
|
" (datetime.datetime(2020, 11, 27, 0, 0), 0.07934822345629589),\n",
|
||||||
|
" (datetime.datetime(2020, 12, 1, 0, 0), 0.09014280738418656),\n",
|
||||||
|
" (datetime.datetime(2020, 12, 2, 0, 0), 0.09430073533264638),\n",
|
||||||
|
" (datetime.datetime(2020, 12, 3, 0, 0), 0.10218081653420374),\n",
|
||||||
|
" (datetime.datetime(2020, 12, 4, 0, 0), 0.10882414661443751),\n",
|
||||||
|
" (datetime.datetime(2020, 12, 7, 0, 0), 0.13058534603084881),\n",
|
||||||
|
" (datetime.datetime(2020, 12, 8, 0, 0), 0.13247583879573832),\n",
|
||||||
|
" (datetime.datetime(2020, 12, 9, 0, 0), 0.14204505331544381),\n",
|
||||||
|
" (datetime.datetime(2020, 12, 10, 0, 0), 0.14810928106435184),\n",
|
||||||
|
" (datetime.datetime(2020, 12, 11, 0, 0), 0.14509213323883752),\n",
|
||||||
|
" (datetime.datetime(2020, 12, 14, 0, 0), 0.12969764486762192),\n",
|
||||||
|
" (datetime.datetime(2020, 12, 15, 0, 0), 0.1272258873087433),\n",
|
||||||
|
" (datetime.datetime(2020, 12, 16, 0, 0), 0.1384985949417905),\n",
|
||||||
|
" (datetime.datetime(2020, 12, 17, 0, 0), 0.1336538294659746),\n",
|
||||||
|
" (datetime.datetime(2020, 12, 18, 0, 0), 0.13410538706550335),\n",
|
||||||
|
" (datetime.datetime(2020, 12, 21, 0, 0), 0.09376186695204902),\n",
|
||||||
|
" (datetime.datetime(2020, 12, 22, 0, 0), 0.1060517140194015),\n",
|
||||||
|
" (datetime.datetime(2020, 12, 23, 0, 0), 0.12163516362002835),\n",
|
||||||
|
" (datetime.datetime(2020, 12, 24, 0, 0), 0.1345174146595043),\n",
|
||||||
|
" (datetime.datetime(2020, 12, 28, 0, 0), 0.13883233842862563),\n",
|
||||||
|
" (datetime.datetime(2020, 12, 29, 0, 0), 0.14235188571822932),\n",
|
||||||
|
" (datetime.datetime(2020, 12, 30, 0, 0), 0.1433421220424269),\n",
|
||||||
|
" (datetime.datetime(2020, 12, 31, 0, 0), 0.1496252444998356),\n",
|
||||||
|
" (datetime.datetime(2021, 1, 1, 0, 0), 0.15306899176527566)]"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
"execution_count": 9,
|
||||||
|
"metadata": {},
|
||||||
|
"output_type": "execute_result"
|
||||||
}
|
}
|
||||||
],
|
],
|
||||||
"source": [
|
"source": [
|
||||||
"%%time\n",
|
"%%time\n",
|
||||||
"ts.calculate_rolling_returns(from_date='2020-01-01', to_date='2021-01-01')"
|
"from_date = datetime.date(2020, 1, 1)\n",
|
||||||
|
"to_date = datetime.date(2021, 1, 1)\n",
|
||||||
|
"# print(ts.calculate_returns(to_date, years=7))\n",
|
||||||
|
"ts.calculate_rolling_returns(from_date, to_date)"
|
||||||
]
|
]
|
||||||
}
|
}
|
||||||
],
|
],
|
||||||
"metadata": {
|
"metadata": {
|
||||||
"kernelspec": {
|
"kernelspec": {
|
||||||
"display_name": "Python 3 (ipykernel)",
|
"display_name": "Python 3",
|
||||||
"language": "python",
|
"language": "python",
|
||||||
"name": "python3"
|
"name": "python3"
|
||||||
},
|
},
|
||||||
@ -121,7 +415,7 @@
|
|||||||
"name": "python",
|
"name": "python",
|
||||||
"nbconvert_exporter": "python",
|
"nbconvert_exporter": "python",
|
||||||
"pygments_lexer": "ipython3",
|
"pygments_lexer": "ipython3",
|
||||||
"version": "3.8.3"
|
"version": "3.9.2"
|
||||||
}
|
}
|
||||||
},
|
},
|
||||||
"nbformat": 4,
|
"nbformat": 4,
|
||||||
|
|||||||
Loading…
Reference in New Issue
Block a user