deleted files not required
This commit is contained in:
parent
2367d1aef8
commit
d0c087c3bf
2
.gitignore
vendored
2
.gitignore
vendored
@ -6,3 +6,5 @@ __pycache__
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.vscode
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.idea
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build
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.coverage
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.DS_store
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29
dict_iter.py
29
dict_iter.py
@ -1,29 +0,0 @@
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import pandas
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from fincal.fincal import TimeSeries
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dfd = pandas.read_csv('test_files/nav_history_daily - Copy.csv')
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dfm = pandas.read_csv('test_files/nav_history_monthly.csv')
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data_d = [(i.date, i.nav) for i in dfd.itertuples() if i.amfi_code == 118825]
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data_d.sort()
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data_m = [{'date': i.date, 'value': i.nav} for i in dfm.itertuples()]
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tsd = TimeSeries(data_d, frequency='D')
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md = dict(data_d)
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counter = 1
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for i in iter(md):
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print(i)
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counter += 1
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if counter >= 5: break
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print('\n')
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counter = 1
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for i in reversed(md):
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print('rev', i)
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counter += 1
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if counter >= 5: break
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x = [next(i) for i in iter(md)]
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print(x)
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File diff suppressed because it is too large
Load Diff
@ -1,139 +0,0 @@
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amfi_code,date,nav
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118825,01-11-2021,87.925
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119528,02-11-2021,378.51
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||||
118825,02-11-2021,87.885
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||||
119528,03-11-2021,377.79
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||||
118825,03-11-2021,87.553
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||||
119528,08-11-2021,383.13
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118825,08-11-2021,88.743
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||||
119528,09-11-2021,383.06
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118825,09-11-2021,88.793
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||||
119528,10-11-2021,382.71
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||||
118825,10-11-2021,88.723
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||||
118825,10-11-2021,88.78
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||||
119528,11-11-2021,379.28
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118825,11-11-2021,88.205
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119528,12-11-2021,383.94
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||||
118825,12-11-2021,89.025
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119528,15-11-2021,383.31
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118825,15-11-2021,89.182
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||||
119528,16-11-2021,381.08
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||||
118825,16-11-2021,88.569
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||||
119528,17-11-2021,379.17
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||||
118825,17-11-2021,88.09
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||||
119528,18-11-2021,375.09
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||||
118825,18-11-2021,87.202
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||||
119528,22-11-2021,368.16
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||||
118825,22-11-2021,85.382
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||||
119528,23-11-2021,370.64
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||||
118825,23-11-2021,85.978
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||||
119528,24-11-2021,369.91
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118825,24-11-2021,85.635
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||||
119528,25-11-2021,371.33
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||||
118825,25-11-2021,86.212
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119528,26-11-2021,360.66
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118825,26-11-2021,83.748
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119528,29-11-2021,360.05
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118825,29-11-2021,83.523
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||||
119528,30-11-2021,359.8
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118825,30-11-2021,83.475
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||||
119528,01-12-2021,362.35
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118825,01-12-2021,84.269
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119528,02-12-2021,366.09
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118825,02-12-2021,85.105
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119528,03-12-2021,363.11
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118825,03-12-2021,84.507
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119528,06-12-2021,357.21
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118825,06-12-2021,83.113
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119528,07-12-2021,362.63
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118825,07-12-2021,84.429
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119528,08-12-2021,368.73
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118825,08-12-2021,85.935
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119528,09-12-2021,369.49
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118825,09-12-2021,86.045
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119528,10-12-2021,369.44
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118825,10-12-2021,86.058
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119528,13-12-2021,367.6
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118825,13-12-2021,85.632
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119528,14-12-2021,366.36
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118825,14-12-2021,85.502
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119528,15-12-2021,364.34
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118825,15-12-2021,84.989
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119528,16-12-2021,363.73
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118825,16-12-2021,84.972
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119528,17-12-2021,358.17
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118825,17-12-2021,83.83
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119528,20-12-2021,349.98
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118825,20-12-2021,81.817
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119528,21-12-2021,353.71
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118825,21-12-2021,82.746
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119528,22-12-2021,357.93
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118825,22-12-2021,83.776
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119528,23-12-2021,360.68
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118825,23-12-2021,84.297
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119528,24-12-2021,359.11
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118825,24-12-2021,83.903
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119528,27-12-2021,360.71
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118825,27-12-2021,84.227
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119528,28-12-2021,363.81
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118825,28-12-2021,85.044
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119528,29-12-2021,363.2
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118825,29-12-2021,85.03
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119528,30-12-2021,363.31
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118825,30-12-2021,85.047
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119528,31-12-2021,366.98
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118825,31-12-2021,85.759
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119528,03-01-2022,371.76
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118825,03-01-2022,87.111
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119528,04-01-2022,374.22
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118825,04-01-2022,87.804
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119528,05-01-2022,376.31
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118825,05-01-2022,88.162
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119528,06-01-2022,373.64
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118825,06-01-2022,87.541
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119528,07-01-2022,374.68
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118825,07-01-2022,87.818
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119528,10-01-2022,378.47
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118825,10-01-2022,88.622
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119528,11-01-2022,379.34
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118825,11-01-2022,88.678
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119528,12-01-2022,382.86
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118825,12-01-2022,89.332
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119528,13-01-2022,383.68
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118825,13-01-2022,89.553
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119528,14-01-2022,384.02
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118825,14-01-2022,89.729
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119528,17-01-2022,384.36
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118825,17-01-2022,89.733
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119528,18-01-2022,380
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118825,18-01-2022,88.781
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119528,19-01-2022,377.24
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118825,19-01-2022,88.059
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119528,20-01-2022,374.45
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118825,20-01-2022,87.361
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119528,21-01-2022,369.86
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118825,21-01-2022,86.22
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119528,24-01-2022,361.01
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118825,24-01-2022,83.907
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119528,25-01-2022,364.63
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118825,25-01-2022,84.763
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119528,27-01-2022,361.95
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118825,27-01-2022,83.876
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119528,28-01-2022,361.91
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118825,28-01-2022,83.829
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119528,31-01-2022,367.31
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118825,31-01-2022,85.18
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119528,04-02-2022,371.01
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118825,04-02-2022,86.079
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119528,07-02-2022,365.04
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118825,07-02-2022,84.867
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119528,08-02-2022,365.74
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118825,08-02-2022,84.945
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119528,09-02-2022,369.85
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118825,09-02-2022,85.977
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119528,10-02-2022,372.29
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118825,10-02-2022,86.5
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119528,11-02-2022,366.91
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118825,11-02-2022,85.226
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119528,14-02-2022,355.47
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118825,14-02-2022,82.533
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@ -1,11 +0,0 @@
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amfi_code,date,nav
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118825,31-03-2021,70.69
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118825,30-04-2021,70.39
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118825,31-05-2021,74.85
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118825,30-07-2021,78.335
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118825,31-08-2021,83.691
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118825,30-09-2021,86.128
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118825,29-10-2021,86.612
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118825,30-11-2021,83.475
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118825,31-01-2022,85.18
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118825,17-02-2022,84.33
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7560
test_files/msft.csv
7560
test_files/msft.csv
File diff suppressed because it is too large
Load Diff
File diff suppressed because it is too large
Load Diff
@ -1,139 +0,0 @@
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amfi_code,date,nav
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118825,01-11-2021,87.925
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119528,02-11-2021,378.51
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118825,02-11-2021,87.885
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119528,03-11-2021,377.79
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118825,03-11-2021,87.553
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119528,08-11-2021,383.13
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118825,08-11-2021,88.743
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119528,09-11-2021,383.06
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118825,09-11-2021,88.793
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119528,10-11-2021,382.71
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118825,10-11-2021,88.723
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||||
118825,10-11-2021,88.78
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119528,11-11-2021,379.28
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||||
118825,11-11-2021,88.205
|
||||
119528,12-11-2021,383.94
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||||
118825,12-11-2021,89.025
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||||
119528,15-11-2021,383.31
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||||
118825,15-11-2021,89.182
|
||||
119528,16-11-2021,381.08
|
||||
118825,16-11-2021,88.569
|
||||
119528,17-11-2021,379.17
|
||||
118825,17-11-2021,88.09
|
||||
119528,18-11-2021,375.09
|
||||
118825,18-11-2021,87.202
|
||||
119528,22-11-2021,368.16
|
||||
118825,22-11-2021,85.382
|
||||
119528,23-11-2021,370.64
|
||||
118825,23-11-2021,85.978
|
||||
119528,24-11-2021,369.91
|
||||
118825,24-11-2021,85.635
|
||||
119528,25-11-2021,371.33
|
||||
118825,25-11-2021,86.212
|
||||
119528,26-11-2021,360.66
|
||||
118825,26-11-2021,83.748
|
||||
119528,29-11-2021,360.05
|
||||
118825,29-11-2021,83.523
|
||||
119528,30-11-2021,359.8
|
||||
118825,30-11-2021,83.475
|
||||
119528,01-12-2021,362.35
|
||||
118825,01-12-2021,84.269
|
||||
119528,02-12-2021,366.09
|
||||
118825,02-12-2021,85.105
|
||||
119528,03-12-2021,363.11
|
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118825,03-12-2021,84.507
|
||||
119528,06-12-2021,357.21
|
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118825,06-12-2021,83.113
|
||||
119528,07-12-2021,362.63
|
||||
118825,07-12-2021,84.429
|
||||
119528,08-12-2021,368.73
|
||||
118825,08-12-2021,85.935
|
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119528,09-12-2021,369.49
|
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118825,09-12-2021,86.045
|
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119528,10-12-2021,369.44
|
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118825,10-12-2021,86.058
|
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119528,13-12-2021,367.6
|
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118825,13-12-2021,85.632
|
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119528,14-12-2021,366.36
|
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118825,14-12-2021,85.502
|
||||
119528,15-12-2021,364.34
|
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118825,15-12-2021,84.989
|
||||
119528,16-12-2021,363.73
|
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118825,16-12-2021,84.972
|
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119528,17-12-2021,358.17
|
||||
118825,17-12-2021,83.83
|
||||
119528,20-12-2021,349.98
|
||||
118825,20-12-2021,81.817
|
||||
119528,21-12-2021,353.71
|
||||
118825,21-12-2021,82.746
|
||||
119528,22-12-2021,357.93
|
||||
118825,22-12-2021,83.776
|
||||
119528,23-12-2021,360.68
|
||||
118825,23-12-2021,84.297
|
||||
119528,24-12-2021,359.11
|
||||
118825,24-12-2021,83.903
|
||||
119528,27-12-2021,360.71
|
||||
118825,27-12-2021,84.227
|
||||
119528,28-12-2021,363.81
|
||||
118825,28-12-2021,85.044
|
||||
119528,29-12-2021,363.2
|
||||
118825,29-12-2021,85.03
|
||||
119528,30-12-2021,363.31
|
||||
118825,30-12-2021,85.047
|
||||
119528,31-12-2021,366.98
|
||||
118825,31-12-2021,85.759
|
||||
119528,03-01-2022,371.76
|
||||
118825,03-01-2022,87.111
|
||||
119528,04-01-2022,374.22
|
||||
118825,04-01-2022,87.804
|
||||
119528,05-01-2022,376.31
|
||||
118825,05-01-2022,88.162
|
||||
119528,06-01-2022,373.64
|
||||
118825,06-01-2022,87.541
|
||||
119528,07-01-2022,374.68
|
||||
118825,07-01-2022,87.818
|
||||
119528,10-01-2022,378.47
|
||||
118825,10-01-2022,88.622
|
||||
119528,11-01-2022,379.34
|
||||
118825,11-01-2022,88.678
|
||||
119528,12-01-2022,382.86
|
||||
118825,12-01-2022,89.332
|
||||
119528,13-01-2022,383.68
|
||||
118825,13-01-2022,89.553
|
||||
119528,14-01-2022,384.02
|
||||
118825,14-01-2022,89.729
|
||||
119528,17-01-2022,384.36
|
||||
118825,17-01-2022,89.733
|
||||
119528,18-01-2022,380
|
||||
118825,18-01-2022,88.781
|
||||
119528,19-01-2022,377.24
|
||||
118825,19-01-2022,88.059
|
||||
119528,20-01-2022,374.45
|
||||
118825,20-01-2022,87.361
|
||||
119528,21-01-2022,369.86
|
||||
118825,21-01-2022,86.22
|
||||
119528,24-01-2022,361.01
|
||||
118825,24-01-2022,83.907
|
||||
119528,25-01-2022,364.63
|
||||
118825,25-01-2022,84.763
|
||||
119528,27-01-2022,361.95
|
||||
118825,27-01-2022,83.876
|
||||
119528,28-01-2022,361.91
|
||||
118825,28-01-2022,83.829
|
||||
119528,31-01-2022,367.31
|
||||
118825,31-01-2022,85.18
|
||||
119528,04-02-2022,371.01
|
||||
118825,04-02-2022,86.079
|
||||
119528,07-02-2022,365.04
|
||||
118825,07-02-2022,84.867
|
||||
119528,08-02-2022,365.74
|
||||
118825,08-02-2022,84.945
|
||||
119528,09-02-2022,369.85
|
||||
118825,09-02-2022,85.977
|
||||
119528,10-02-2022,372.29
|
||||
118825,10-02-2022,86.5
|
||||
119528,11-02-2022,366.91
|
||||
118825,11-02-2022,85.226
|
||||
119528,14-02-2022,355.47
|
||||
118825,14-02-2022,82.533
|
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|
@ -1,219 +0,0 @@
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"amfi_code","date","nav"
|
||||
118825,2013-01-31,18.913
|
||||
118825,2013-02-28,17.723
|
||||
118825,2013-03-28,17.563
|
||||
118825,2013-04-30,18.272
|
||||
118825,2013-05-31,18.383
|
||||
118825,2013-06-28,17.802
|
||||
118825,2013-07-31,17.588
|
||||
118825,2013-08-30,16.993
|
||||
118825,2013-09-30,17.732
|
||||
118825,2013-10-31,19.665
|
||||
118825,2013-11-29,19.787
|
||||
118825,2013-12-31,20.499
|
||||
118825,2014-01-31,19.994
|
||||
118825,2014-02-28,20.942
|
||||
118825,2014-03-31,22.339
|
||||
118825,2014-04-30,22.599
|
||||
118825,2014-05-30,24.937
|
||||
118825,2014-06-30,27.011
|
||||
118825,2014-07-31,27.219
|
||||
118825,2014-08-28,28.625
|
||||
118825,2014-09-30,29.493
|
||||
118825,2014-10-31,30.685
|
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118825,2014-11-28,31.956
|
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118825,2014-12-31,31.646
|
||||
118825,2015-01-30,33.653
|
||||
118825,2015-02-27,33.581
|
||||
118825,2015-03-31,33.14
|
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118825,2015-04-30,32.181
|
||||
118825,2015-05-29,33.256
|
||||
118825,2015-06-30,33.227
|
||||
118825,2015-07-31,34.697
|
||||
118825,2015-08-31,32.833
|
||||
118825,2015-09-30,32.94
|
||||
118825,2015-10-30,33.071
|
||||
118825,2015-11-30,33.024
|
||||
118825,2015-12-31,33.267
|
||||
118825,2016-01-29,31.389
|
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118825,2016-02-29,28.751
|
||||
118825,2016-03-31,32.034
|
||||
118825,2016-04-29,32.848
|
||||
118825,2016-05-31,34.135
|
||||
118825,2016-06-30,35.006
|
||||
118825,2016-07-29,37.148
|
||||
118825,2016-08-31,38.005
|
||||
118825,2016-09-30,37.724
|
||||
118825,2016-10-28,38.722
|
||||
118825,2016-11-30,36.689
|
||||
118825,2016-12-30,36.239
|
||||
118825,2017-01-31,38.195
|
||||
118825,2017-02-28,39.873
|
||||
118825,2017-03-31,41.421
|
||||
118825,2017-04-28,42.525
|
||||
118825,2017-05-31,43.977
|
||||
118825,2017-06-30,43.979
|
||||
118825,2017-07-31,46.554
|
||||
118825,2017-08-31,46.383
|
||||
118825,2017-09-29,46.085
|
||||
118825,2017-10-31,48.668
|
||||
118825,2017-11-30,48.824
|
||||
118825,2017-12-29,50.579
|
||||
118825,2018-01-31,51.799
|
||||
118825,2018-02-28,49.041
|
||||
118825,2018-03-28,46.858
|
||||
118825,2018-04-30,49.636
|
||||
118825,2018-05-31,49.169
|
||||
118825,2018-06-29,48.716
|
||||
118825,2018-07-31,51.455
|
||||
118825,2018-08-31,53.494
|
||||
118825,2018-09-28,49.863
|
||||
118825,2018-10-31,48.538
|
||||
118825,2018-11-30,50.597
|
||||
118825,2018-12-31,50.691
|
||||
118825,2019-01-31,50.517
|
||||
118825,2019-02-28,50.176
|
||||
118825,2019-03-31,54.017
|
||||
118825,2019-04-30,54.402
|
||||
118825,2019-05-31,55.334
|
||||
118825,2019-06-28,55.181
|
||||
118825,2019-07-31,52.388
|
||||
118825,2019-08-30,52.214
|
||||
118825,2019-09-30,54.058
|
||||
118825,2019-10-31,56.514
|
||||
118825,2019-11-29,57.42
|
||||
118825,2019-12-31,57.771
|
||||
118825,2020-01-31,57.135
|
||||
118825,2020-02-28,54.034
|
||||
118825,2020-03-31,41.452
|
||||
118825,2020-04-30,47.326
|
||||
118825,2020-05-29,45.845
|
||||
118825,2020-06-30,49.526
|
||||
118825,2020-07-31,53.306000000000004
|
||||
118825,2020-08-19,55.747
|
||||
118825,2020-10-30,56.387
|
||||
118825,2020-11-27,62.001000000000005
|
||||
118825,2020-12-31,66.415
|
||||
118825,2021-01-29,65.655
|
||||
118825,2021-02-26,70.317
|
||||
118825,2021-03-31,70.69
|
||||
118825,2021-04-30,70.39
|
||||
118825,2021-05-31,74.85
|
||||
118825,2021-06-30,77.109
|
||||
118825,2021-07-30,78.335
|
||||
118825,2021-08-31,83.691
|
||||
118825,2021-09-30,86.128
|
||||
118825,2021-10-29,86.612
|
||||
118825,2021-11-30,83.475
|
||||
118825,2021-12-31,85.759
|
||||
118825,2022-01-31,85.18
|
||||
118825,2022-02-17,84.33
|
||||
119528,2013-01-31,101.36
|
||||
119528,2013-02-28,95.25
|
||||
119528,2013-03-28,94.81
|
||||
119528,2013-04-30,99.75
|
||||
119528,2013-05-31,99.73
|
||||
119528,2013-06-28,97.52
|
||||
119528,2013-07-31,95.37
|
||||
119528,2013-08-30,92.24
|
||||
119528,2013-09-30,97.45
|
||||
119528,2013-10-31,107.03
|
||||
119528,2013-11-29,105.91
|
||||
119528,2013-12-31,109.3
|
||||
119528,2014-01-31,105.09
|
||||
119528,2014-02-28,108.58
|
||||
119528,2014-03-31,117.28
|
||||
119528,2014-04-30,118.06
|
||||
119528,2014-05-30,131.33
|
||||
119528,2014-06-30,139.48
|
||||
119528,2014-07-31,140.49
|
||||
119528,2014-08-28,145.43
|
||||
119528,2014-09-30,147.4
|
||||
119528,2014-10-31,154.46
|
||||
119528,2014-11-28,161.93
|
||||
119528,2014-12-31,159.62
|
||||
119528,2015-01-30,170.46
|
||||
119528,2015-02-27,171.18
|
||||
119528,2015-03-31,166.8
|
||||
119528,2015-04-30,161.95
|
||||
119528,2015-05-29,166.78
|
||||
119528,2015-06-30,166.67
|
||||
119528,2015-07-31,172.33
|
||||
119528,2015-08-31,161.96
|
||||
119528,2015-09-30,162.25
|
||||
119528,2015-10-30,164.16
|
||||
119528,2015-11-30,162.7
|
||||
119528,2015-12-31,162.83
|
||||
119528,2016-01-29,155.87
|
||||
119528,2016-02-29,144.56
|
||||
119528,2016-03-31,159.88
|
||||
119528,2016-04-29,163.54
|
||||
119528,2016-05-31,170.01
|
||||
119528,2016-06-30,174.61
|
||||
119528,2016-07-29,184.36
|
||||
119528,2016-08-31,189.33
|
||||
119528,2016-09-30,187.16
|
||||
119528,2016-10-28,189.29
|
||||
119528,2016-11-30,178.19
|
||||
119528,2016-12-30,176.66
|
||||
119528,2017-01-31,185.76
|
||||
119528,2017-02-28,193.2
|
||||
119528,2017-03-31,200.54
|
||||
119528,2017-04-28,205.25
|
||||
119528,2017-05-31,208.22
|
||||
119528,2017-06-30,209.83
|
||||
119528,2017-07-31,221.15
|
||||
119528,2017-08-31,219.99
|
||||
119528,2017-09-29,217.7
|
||||
119528,2017-10-31,226.94
|
||||
119528,2017-11-30,225.24
|
||||
119528,2017-12-29,233.26
|
||||
119528,2018-01-31,237.57
|
||||
119528,2018-02-28,226.55
|
||||
119528,2018-03-28,219.73
|
||||
119528,2018-04-30,232.04
|
||||
119528,2018-05-31,228.49
|
||||
119528,2018-06-29,225.27
|
||||
119528,2018-07-31,237.11
|
||||
119528,2018-08-31,243.79
|
||||
119528,2018-09-28,223.83
|
||||
119528,2018-10-31,218.61
|
||||
119528,2018-11-30,226.99
|
||||
119528,2018-12-31,228.61
|
||||
119528,2019-01-31,224.26
|
||||
119528,2019-02-28,222.71
|
||||
119528,2019-03-29,240.21
|
||||
119528,2019-04-30,240.01
|
||||
119528,2019-05-31,243.72
|
||||
119528,2019-06-28,241.28
|
||||
119528,2019-07-31,229.54
|
||||
119528,2019-08-30,226.0
|
||||
119528,2019-09-30,234.75
|
||||
119528,2019-10-31,242.11
|
||||
119528,2019-11-29,246.75
|
||||
119528,2019-12-31,247.81
|
||||
119528,2020-01-31,246.14
|
||||
119528,2020-02-28,231.91
|
||||
119528,2020-03-31,175.98
|
||||
119528,2020-04-30,200.77
|
||||
119528,2020-05-29,196.75
|
||||
119528,2020-06-30,210.55
|
||||
119528,2020-07-31,224.93
|
||||
119528,2020-08-19,233.78
|
||||
119528,2020-10-30,235.83
|
||||
119528,2020-11-27,264.04
|
||||
119528,2020-12-31,285.02
|
||||
119528,2021-01-29,280.52
|
||||
119528,2021-02-26,300.56
|
||||
119528,2021-03-31,301.57
|
||||
119528,2021-04-30,301.1
|
||||
119528,2021-05-31,320.98
|
||||
119528,2021-06-30,327.64
|
||||
119528,2021-07-30,336.6
|
||||
119528,2021-08-31,360.75
|
||||
119528,2021-09-30,369.42
|
||||
119528,2021-10-29,372.89
|
||||
119528,2021-11-30,359.8
|
||||
119528,2021-12-31,366.98
|
||||
119528,2022-01-31,367.31
|
||||
119528,2022-02-17,363.56
|
||||
|
@ -1,15 +0,0 @@
|
||||
|
||||
|
||||
|
||||
|
||||
amfi_code,date,nav
|
||||
118825,31-03-2021,70.69
|
||||
118825,30-04-2021,70.39
|
||||
118825,31-05-2021,74.85
|
||||
118825,30-07-2021,78.335
|
||||
118825,31-08-2021,83.691
|
||||
118825,30-09-2021,86.128
|
||||
118825,29-10-2021,86.612
|
||||
118825,30-11-2021,83.475
|
||||
118825,31-01-2022,85.18
|
||||
118825,17-02-2022,84.33
|
||||
|
@ -1,71 +0,0 @@
|
||||
"amfi_code","date","nav"
|
||||
118825,2013-03-28,17.563
|
||||
118825,2013-06-28,17.802
|
||||
118825,2013-09-30,17.732
|
||||
118825,2013-12-31,20.499
|
||||
118825,2014-03-31,22.339
|
||||
118825,2014-06-30,27.011
|
||||
118825,2014-09-30,29.493
|
||||
118825,2014-12-31,31.646
|
||||
118825,2015-03-31,33.14
|
||||
118825,2015-06-30,33.227
|
||||
118825,2015-09-30,32.94
|
||||
118825,2015-12-31,33.267
|
||||
118825,2016-03-31,32.034
|
||||
118825,2016-06-30,35.006
|
||||
118825,2016-09-30,37.724
|
||||
118825,2016-12-30,36.239
|
||||
118825,2017-03-31,41.421
|
||||
118825,2017-06-30,43.979
|
||||
118825,2017-09-29,46.085
|
||||
118825,2017-12-29,50.579
|
||||
118825,2018-03-28,46.858
|
||||
118825,2018-06-29,48.716
|
||||
118825,2018-09-28,49.863
|
||||
118825,2018-12-31,50.691
|
||||
118825,2019-03-31,54.017
|
||||
118825,2019-06-28,55.181
|
||||
118825,2019-09-30,54.058
|
||||
118825,2019-12-31,57.771
|
||||
118825,2020-03-31,41.452
|
||||
118825,2020-06-30,49.526
|
||||
118825,2020-12-31,66.415
|
||||
118825,2021-03-31,70.69
|
||||
118825,2021-06-30,77.109
|
||||
118825,2021-09-30,86.128
|
||||
118825,2021-12-31,85.759
|
||||
119528,2013-03-28,94.81
|
||||
119528,2013-06-28,97.52
|
||||
119528,2013-09-30,97.45
|
||||
119528,2013-12-31,109.3
|
||||
119528,2014-03-31,117.28
|
||||
119528,2014-06-30,139.48
|
||||
119528,2014-09-30,147.4
|
||||
119528,2014-12-31,159.62
|
||||
119528,2015-03-31,166.8
|
||||
119528,2015-06-30,166.67
|
||||
119528,2015-09-30,162.25
|
||||
119528,2015-12-31,162.83
|
||||
119528,2016-03-31,159.88
|
||||
119528,2016-06-30,174.61
|
||||
119528,2016-09-30,187.16
|
||||
119528,2016-12-30,176.66
|
||||
119528,2017-03-31,200.54
|
||||
119528,2017-06-30,209.83
|
||||
119528,2017-09-29,217.7
|
||||
119528,2017-12-29,233.26
|
||||
119528,2018-03-28,219.73
|
||||
119528,2018-06-29,225.27
|
||||
119528,2018-09-28,223.83
|
||||
119528,2018-12-31,228.61
|
||||
119528,2019-03-29,240.21
|
||||
119528,2019-06-28,241.28
|
||||
119528,2019-09-30,234.75
|
||||
119528,2019-12-31,247.81
|
||||
119528,2020-03-31,175.98
|
||||
119528,2020-06-30,210.55
|
||||
119528,2020-12-31,285.02
|
||||
119528,2021-03-31,301.57
|
||||
119528,2021-06-30,327.64
|
||||
119528,2021-09-30,369.42
|
||||
119528,2021-12-31,366.98
|
||||
|
@ -1,9 +0,0 @@
|
||||
amfi_code,date,nav
|
||||
118825,31-03-2019,54.017
|
||||
118825,28-06-2019,55.181
|
||||
118825,31-12-2019,57.771
|
||||
118825,31-03-2020,41.452
|
||||
118825,30-06-2020,49.526
|
||||
118825,30-06-2021,77.109
|
||||
118825,30-09-2021,86.128
|
||||
118825,31-12-2021,85.759
|
||||
|
712
testing.ipynb
712
testing.ipynb
@ -1,712 +0,0 @@
|
||||
{
|
||||
"cells": [
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 2,
|
||||
"id": "e40a5526-458a-4d11-8eaa-3b584f723738",
|
||||
"metadata": {
|
||||
"tags": []
|
||||
},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"import fincal as fc\n",
|
||||
"import datetime\n",
|
||||
"from dateutil.relativedelta import relativedelta"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 2,
|
||||
"id": "a54bfbdf",
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"data = [\n",
|
||||
" (\"2022-01-01\", 10),\n",
|
||||
" (\"2022-01-02\", 12),\n",
|
||||
" (\"2022-01-03\", 14),\n",
|
||||
" (\"2022-01-04\", 16)\n",
|
||||
" # (\"2022-01-06\", 18),\n",
|
||||
" # (\"2022-01-07\", 20),\n",
|
||||
" # (\"2022-01-09\", 22),\n",
|
||||
" # (\"2022-01-10\", 24),\n",
|
||||
" # (\"2022-01-11\", 26),\n",
|
||||
" # (\"2022-01-12\", 28),\n",
|
||||
" # (\"2023-01-01\", 30),\n",
|
||||
" # (\"2023-01-02\", 32),\n",
|
||||
" # (\"2023-01-03\", 34),\n",
|
||||
"]"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 3,
|
||||
"id": "fcc5f8f1",
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"data": {
|
||||
"text/plain": [
|
||||
"TimeSeries([(datetime.datetime(2022, 1, 1, 0, 0), 10.0),\n",
|
||||
"\t(datetime.datetime(2022, 1, 2, 0, 0), 12.0),\n",
|
||||
"\t(datetime.datetime(2022, 1, 3, 0, 0), 14.0),\n",
|
||||
"\t(datetime.datetime(2022, 1, 4, 0, 0), 16.0)], frequency='D')"
|
||||
]
|
||||
},
|
||||
"execution_count": 3,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"ts = fc.TimeSeries(data, 'D')\n",
|
||||
"ts2 = fc.TimeSeries(data, 'D')\n",
|
||||
"ts"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 21,
|
||||
"id": "c091da16-d3a2-4d5b-93da-099d67373932",
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"data": {
|
||||
"text/plain": [
|
||||
"Series([datetime.datetime(2021, 1, 1, 0, 0), datetime.datetime(2021, 1, 2, 0, 0)], data_type='datetime')"
|
||||
]
|
||||
},
|
||||
"execution_count": 21,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"fc.Series(['2021-01-01', '2021-01-02'], data_type='date')"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 15,
|
||||
"id": "77fc30d8-2843-40c4-9842-d943e6ef9813",
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"data": {
|
||||
"text/plain": [
|
||||
"Series([11.0, 14.0, 17.0, 20.0], data_type='float')"
|
||||
]
|
||||
},
|
||||
"execution_count": 15,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"ts.values + fc.Series([1, 2, 3, 4])"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 8,
|
||||
"id": "8e812756",
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"ename": "ValueError",
|
||||
"evalue": "TimeSeries can be only expanded to a higher frequency",
|
||||
"output_type": "error",
|
||||
"traceback": [
|
||||
"\u001b[0;31m---------------------------------------------------------------------------\u001b[0m",
|
||||
"\u001b[0;31mValueError\u001b[0m Traceback (most recent call last)",
|
||||
"Input \u001b[0;32mIn [8]\u001b[0m, in \u001b[0;36m<cell line: 1>\u001b[0;34m()\u001b[0m\n\u001b[0;32m----> 1\u001b[0m \u001b[43mts\u001b[49m\u001b[38;5;241;43m.\u001b[39;49m\u001b[43mexpand\u001b[49m\u001b[43m(\u001b[49m\u001b[38;5;124;43m'\u001b[39;49m\u001b[38;5;124;43mW\u001b[39;49m\u001b[38;5;124;43m'\u001b[39;49m\u001b[43m,\u001b[49m\u001b[43m \u001b[49m\u001b[38;5;124;43m'\u001b[39;49m\u001b[38;5;124;43mffill\u001b[39;49m\u001b[38;5;124;43m'\u001b[39;49m\u001b[43m)\u001b[49m\n",
|
||||
"File \u001b[0;32m~/Documents/projects/fincal/fincal/fincal.py:624\u001b[0m, in \u001b[0;36mTimeSeries.expand\u001b[0;34m(self, to_frequency, method, skip_weekends, eomonth)\u001b[0m\n\u001b[1;32m 621\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 to_frequency \u001b[39m\u001b[38;5;132;01m{\u001b[39;00mto_frequency\u001b[38;5;132;01m}\u001b[39;00m\u001b[38;5;124m\"\u001b[39m)\n\u001b[1;32m 623\u001b[0m \u001b[38;5;28;01mif\u001b[39;00m to_frequency\u001b[38;5;241m.\u001b[39mdays \u001b[38;5;241m>\u001b[39m\u001b[38;5;241m=\u001b[39m \u001b[38;5;28mself\u001b[39m\u001b[38;5;241m.\u001b[39mfrequency\u001b[38;5;241m.\u001b[39mdays:\n\u001b[0;32m--> 624\u001b[0m \u001b[38;5;28;01mraise\u001b[39;00m \u001b[38;5;167;01mValueError\u001b[39;00m(\u001b[38;5;124m\"\u001b[39m\u001b[38;5;124mTimeSeries can be only expanded to a higher frequency\u001b[39m\u001b[38;5;124m\"\u001b[39m)\n\u001b[1;32m 626\u001b[0m new_dates \u001b[38;5;241m=\u001b[39m create_date_series(\n\u001b[1;32m 627\u001b[0m \u001b[38;5;28mself\u001b[39m\u001b[38;5;241m.\u001b[39mstart_date,\n\u001b[1;32m 628\u001b[0m \u001b[38;5;28mself\u001b[39m\u001b[38;5;241m.\u001b[39mend_date,\n\u001b[0;32m (...)\u001b[0m\n\u001b[1;32m 632\u001b[0m ensure_coverage\u001b[38;5;241m=\u001b[39m\u001b[38;5;28;01mTrue\u001b[39;00m,\n\u001b[1;32m 633\u001b[0m )\n\u001b[1;32m 635\u001b[0m closest: \u001b[38;5;28mstr\u001b[39m \u001b[38;5;241m=\u001b[39m \u001b[38;5;124m\"\u001b[39m\u001b[38;5;124mprevious\u001b[39m\u001b[38;5;124m\"\u001b[39m \u001b[38;5;28;01mif\u001b[39;00m method \u001b[38;5;241m==\u001b[39m \u001b[38;5;124m\"\u001b[39m\u001b[38;5;124mffill\u001b[39m\u001b[38;5;124m\"\u001b[39m \u001b[38;5;28;01melse\u001b[39;00m \u001b[38;5;124m\"\u001b[39m\u001b[38;5;124mnext\u001b[39m\u001b[38;5;124m\"\u001b[39m\n",
|
||||
"\u001b[0;31mValueError\u001b[0m: TimeSeries can be only expanded to a higher frequency"
|
||||
]
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"ts.expand('W', 'ffill')"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 12,
|
||||
"id": "55918da9-2df6-4773-9ca0-e19b52c3ece2",
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"data": {
|
||||
"text/plain": [
|
||||
"TimeSeries([(datetime.datetime(2022, 1, 1, 0, 0), 10),\n",
|
||||
"\t(datetime.datetime(2022, 4, 1, 0, 0), 28),\n",
|
||||
"\t(datetime.datetime(2022, 7, 1, 0, 0), 28),\n",
|
||||
"\t(datetime.datetime(2022, 10, 1, 0, 0), 28),\n",
|
||||
"\t(datetime.datetime(2023, 1, 1, 0, 0), 30)], frequency='Q')"
|
||||
]
|
||||
},
|
||||
"execution_count": 12,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"ts.shrink('Q', 'ffill')"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 2,
|
||||
"id": "9431eb8c",
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"from fincal.utils import _is_eomonth"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 5,
|
||||
"id": "36eefec7-7dbf-4a28-ac50-2e502d9d6864",
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"weekly_data = [\n",
|
||||
" ('2018-01-31', 26),\n",
|
||||
" ('2018-02-28', 44),\n",
|
||||
" ('2018-03-30', 40),\n",
|
||||
" ('2018-04-30', 36),\n",
|
||||
" ('2018-05-31', 31),\n",
|
||||
" ('2018-06-30', 45),\n",
|
||||
" ('2018-07-30', 31),\n",
|
||||
" ('2018-08-31', 42),\n",
|
||||
" ('2018-09-30', 40),\n",
|
||||
" ('2018-10-30', 30),\n",
|
||||
" ('2018-11-30', 35),\n",
|
||||
" ('2018-12-31', 37),\n",
|
||||
" ('2019-01-31', 31),\n",
|
||||
" ('2019-02-28', 44),\n",
|
||||
" ('2019-03-31', 31),\n",
|
||||
" ('2019-04-29', 32),\n",
|
||||
" ('2019-05-30', 39),\n",
|
||||
" ('2019-06-30', 27),\n",
|
||||
" ('2019-07-31', 35),\n",
|
||||
" ('2019-08-31', 33),\n",
|
||||
" ('2019-09-30', 29),\n",
|
||||
" ('2019-10-30', 26),\n",
|
||||
" ('2019-11-30', 39),\n",
|
||||
" ('2019-12-30', 30),\n",
|
||||
" ('2020-01-30', 29)\n",
|
||||
"]\n",
|
||||
"week_ts = fc.TimeSeries(weekly_data, 'W')"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 6,
|
||||
"id": "e1071f90",
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"data": {
|
||||
"text/plain": [
|
||||
"False"
|
||||
]
|
||||
},
|
||||
"execution_count": 6,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"_is_eomonth(week_ts.dates)"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 22,
|
||||
"id": "d64dd3c6-4295-4301-90e4-5c74ea23c4af",
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"(datetime.datetime(2017, 1, 1, 0, 0), 67)\n",
|
||||
"(datetime.datetime(2017, 2, 1, 0, 0), 85)\n",
|
||||
"(datetime.datetime(2017, 3, 1, 0, 0), 76)\n",
|
||||
"(datetime.datetime(2017, 4, 1, 0, 0), 78)\n",
|
||||
"(datetime.datetime(2017, 5, 1, 0, 0), 65)\n",
|
||||
"(datetime.datetime(2017, 6, 1, 0, 0), 74)\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"for i in week_ts.shrink('M', 'ffill', skip_weekends=True):\n",
|
||||
" print(i)"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"id": "a549c5c0-c89a-4cc3-b396-c4afa77a9879",
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"week_ts.sync(ts)"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 1,
|
||||
"id": "4755aea3-3655-4651-91d2-8e54c24303bc",
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"import fincal as fc"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 2,
|
||||
"id": "bd9887b3-d98a-4c80-8f95-ef7b7f19ded4",
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"['date', 'nav']\n",
|
||||
"CPU times: user 57.5 ms, sys: 3.38 ms, total: 60.8 ms\n",
|
||||
"Wall time: 60.5 ms\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"%%time\n",
|
||||
"ts = fc.read_csv('test_files/msft.csv', frequency='D')"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 7,
|
||||
"id": "b7c176d4-d89f-4bda-9d67-75463eb90468",
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"(datetime.datetime(2022, 2, 11, 0, 0), 295.040009)\n",
|
||||
"(datetime.datetime(2022, 2, 12, 0, 0), 296.0)\n",
|
||||
"(datetime.datetime(2022, 2, 13, 0, 0), 296.0)\n",
|
||||
"(datetime.datetime(2022, 2, 14, 0, 0), 295.0)\n",
|
||||
"(datetime.datetime(2022, 2, 15, 0, 0), 300.470001)\n",
|
||||
"(datetime.datetime(2022, 2, 16, 0, 0), 299.5)\n",
|
||||
"(datetime.datetime(2022, 2, 17, 0, 0), 290.730011)\n",
|
||||
"(datetime.datetime(2022, 2, 18, 0, 0), 287.929993)\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"for i in ts.tail(8):\n",
|
||||
" print(i)"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 6,
|
||||
"id": "69c57754-a6fb-4881-9359-ba17c7fb8be5",
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"CPU times: user 1.76 ms, sys: 123 µs, total: 1.88 ms\n",
|
||||
"Wall time: 1.88 ms\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"%%time\n",
|
||||
"ts['2022-02-12'] = 296"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 8,
|
||||
"id": "7aa02023-406e-4700-801c-c06390ddf914",
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"CPU times: user 3.61 ms, sys: 68 µs, total: 3.68 ms\n",
|
||||
"Wall time: 3.7 ms\n"
|
||||
]
|
||||
},
|
||||
{
|
||||
"data": {
|
||||
"text/plain": [
|
||||
"{'start_date': datetime.datetime(1999, 12, 27, 0, 0),\n",
|
||||
" 'end_date': datetime.datetime(2009, 3, 9, 0, 0),\n",
|
||||
" 'drawdown': -0.7456453305351521}"
|
||||
]
|
||||
},
|
||||
"execution_count": 8,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"%%time\n",
|
||||
"ts.max_drawdown()"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 9,
|
||||
"id": "72cb4da4-1318-4b9b-b563-adac46accfb3",
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"data": {
|
||||
"text/plain": [
|
||||
"True"
|
||||
]
|
||||
},
|
||||
"execution_count": 9,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"from typing import Mapping\n",
|
||||
"isinstance(ts, Mapping)"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 23,
|
||||
"id": "96bbecbf",
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"import fincal as fc"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 24,
|
||||
"id": "19199c92",
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"['amfi_code', 'date', 'nav']\n"
|
||||
]
|
||||
},
|
||||
{
|
||||
"name": "stderr",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"/Users/gourav/Documents/projects/fincal/fincal/core.py:308: UserWarning: The input data contains duplicate dates which have been ignored.\n",
|
||||
" warnings.warn(\"The input data contains duplicate dates which have been ignored.\")\n"
|
||||
]
|
||||
},
|
||||
{
|
||||
"data": {
|
||||
"text/plain": [
|
||||
"TimeSeries([(datetime.datetime(2013, 1, 2, 0, 0), 18.972),\n",
|
||||
"\t (datetime.datetime(2013, 1, 3, 0, 0), 19.011),\n",
|
||||
"\t (datetime.datetime(2013, 1, 4, 0, 0), 19.008)\n",
|
||||
"\t ...\n",
|
||||
"\t (datetime.datetime(2022, 2, 10, 0, 0), 86.5),\n",
|
||||
"\t (datetime.datetime(2022, 2, 11, 0, 0), 85.226),\n",
|
||||
"\t (datetime.datetime(2022, 2, 14, 0, 0), 82.533)], frequency='D')"
|
||||
]
|
||||
},
|
||||
"execution_count": 24,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"ts = fc.read_csv('test_files/nav_history_daily - copy.csv', col_index=(1, 2), frequency='D', date_format='%d-%m-%y')\n",
|
||||
"ts"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 28,
|
||||
"id": "51c9ae9a",
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"data": {
|
||||
"text/plain": [
|
||||
"0.12031455056454916"
|
||||
]
|
||||
},
|
||||
"execution_count": 28,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"fc.sharpe_ratio(\n",
|
||||
" ts,\n",
|
||||
" risk_free_rate=0.06,\n",
|
||||
" from_date='2013-02-04',\n",
|
||||
" to_date='2022-02-14',\n",
|
||||
" return_period_unit='months',\n",
|
||||
" return_period_value=1\n",
|
||||
")"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "b3fb7b59-eaa3-41a5-b1ab-89d63b69edb0",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"# Data generator"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 1,
|
||||
"id": "aead3e77-2670-4541-846a-5537b01f3d2e",
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"import random\n",
|
||||
"import math\n",
|
||||
"import pyfacts as pft\n",
|
||||
"from typing import List\n",
|
||||
"import datetime\n",
|
||||
"from dateutil.relativedelta import relativedelta"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 2,
|
||||
"id": "f287e05f",
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"def create_prices(s0: float, mu: float, sigma: float, num_prices: int) -> list:\n",
|
||||
" \"\"\"Generates a price following a geometric brownian motion process based on the input of the arguments.\n",
|
||||
"\n",
|
||||
" Since this function is used only to generate data for tests, the seed is fixed as 1234.\n",
|
||||
" Many of the tests rely on exact values generated using this seed.\n",
|
||||
" If the seed is changed, those tests will fail.\n",
|
||||
"\n",
|
||||
" Parameters:\n",
|
||||
" ------------\n",
|
||||
" s0: float\n",
|
||||
" Asset inital price.\n",
|
||||
"\n",
|
||||
" mu: float\n",
|
||||
" Interest rate expressed annual terms.\n",
|
||||
"\n",
|
||||
" sigma: float\n",
|
||||
" Volatility expressed annual terms.\n",
|
||||
"\n",
|
||||
" num_prices: int\n",
|
||||
" number of prices to generate\n",
|
||||
"\n",
|
||||
" Returns:\n",
|
||||
" --------\n",
|
||||
" Returns a list of values generated using GBM algorithm\n",
|
||||
" \"\"\"\n",
|
||||
"\n",
|
||||
" random.seed(1234) # WARNING! Changing the seed will cause most tests to fail\n",
|
||||
" all_values = []\n",
|
||||
" for _ in range(num_prices):\n",
|
||||
" s0 *= math.exp(\n",
|
||||
" (mu - 0.5 * sigma**2) * (1.0 / 365.0) + sigma * math.sqrt(1.0 / 365.0) * random.gauss(mu=0, sigma=1)\n",
|
||||
" )\n",
|
||||
" all_values.append(round(s0, 2))\n",
|
||||
"\n",
|
||||
" return all_values\n",
|
||||
"\n",
|
||||
"\n",
|
||||
"def sample_data_generator(\n",
|
||||
" frequency: pft.Frequency,\n",
|
||||
" num: int = 1000,\n",
|
||||
" skip_weekends: bool = False,\n",
|
||||
" mu: float = 0.1,\n",
|
||||
" sigma: float = 0.05,\n",
|
||||
" eomonth: bool = False,\n",
|
||||
") -> List[tuple]:\n",
|
||||
" \"\"\"Creates TimeSeries data\n",
|
||||
"\n",
|
||||
" Parameters:\n",
|
||||
" -----------\n",
|
||||
" frequency: Frequency\n",
|
||||
" The frequency of the time series data to be generated.\n",
|
||||
"\n",
|
||||
" num: int\n",
|
||||
" Number of date: value pairs to be generated.\n",
|
||||
"\n",
|
||||
" skip_weekends: bool\n",
|
||||
" Whether weekends (saturday, sunday) should be skipped.\n",
|
||||
" Gets used only if the frequency is daily.\n",
|
||||
"\n",
|
||||
" mu: float\n",
|
||||
" Mean return for the values.\n",
|
||||
"\n",
|
||||
" sigma: float\n",
|
||||
" standard deviation of the values.\n",
|
||||
"\n",
|
||||
" Returns:\n",
|
||||
" --------\n",
|
||||
" Returns a TimeSeries object\n",
|
||||
" \"\"\"\n",
|
||||
"\n",
|
||||
" start_date = datetime.datetime(2017, 1, 1)\n",
|
||||
" timedelta_dict = {\n",
|
||||
" frequency.freq_type: int(\n",
|
||||
" frequency.value * num * (7 / 5 if frequency == pft.AllFrequencies.D and skip_weekends else 1)\n",
|
||||
" )\n",
|
||||
" }\n",
|
||||
" end_date = start_date + relativedelta(**timedelta_dict)\n",
|
||||
" dates = pft.create_date_series(start_date, end_date, frequency.symbol, skip_weekends=skip_weekends, eomonth=eomonth)\n",
|
||||
" values = create_prices(1000, mu, sigma, num)\n",
|
||||
" ts = list(zip(dates, values))\n",
|
||||
" return ts\n"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 6,
|
||||
"id": "c85b5dd9-9a88-4608-ac58-1a141295f63f",
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"market_data = sample_data_generator(num=3600, frequency=pft.AllFrequencies.D)\n",
|
||||
"mts = pft.TimeSeries(market_data, \"D\")\n",
|
||||
"stock_data = sample_data_generator(num=3600, frequency=pft.AllFrequencies.D, mu=0.12, sigma=0.05)\n",
|
||||
"sts = pft.TimeSeries(stock_data, 'D')"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 8,
|
||||
"id": "0488a4d0-bca1-4341-9fae-1fd254adc0dc",
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"data": {
|
||||
"text/plain": [
|
||||
"1.020217253491451"
|
||||
]
|
||||
},
|
||||
"execution_count": 8,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"pft.beta(sts, mts)"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 14,
|
||||
"id": "04624145-4fce-484c-aa69-0d17d159b598",
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"tst = ts.transform('Q', 'mean', False)"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 16,
|
||||
"id": "75ed1666-5fc8-4707-bf42-62d44adcae18",
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"data": {
|
||||
"text/plain": [
|
||||
"20"
|
||||
]
|
||||
},
|
||||
"execution_count": 16,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"len(tst)"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 15,
|
||||
"id": "bccd7d1c-2d57-444c-af68-290f476f2b05",
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"(datetime.datetime(2017, 1, 1, 0, 0), 1010.4553846153846)\n",
|
||||
"(datetime.datetime(2017, 4, 1, 0, 0), 1019.34)\n",
|
||||
"(datetime.datetime(2017, 7, 1, 0, 0), 1015.3515384615384)\n",
|
||||
"(datetime.datetime(2017, 10, 1, 0, 0), 1031.2892857142858)\n",
|
||||
"(datetime.datetime(2018, 1, 1, 0, 0), 1054.7216666666666)\n",
|
||||
"(datetime.datetime(2018, 4, 1, 0, 0), 1059.736153846154)\n",
|
||||
"(datetime.datetime(2018, 7, 1, 0, 0), 1049.1100000000001)\n",
|
||||
"(datetime.datetime(2018, 10, 1, 0, 0), 1051.663076923077)\n",
|
||||
"(datetime.datetime(2019, 1, 1, 0, 0), 1062.2869230769231)\n",
|
||||
"(datetime.datetime(2019, 4, 1, 0, 0), 1059.7423076923076)\n",
|
||||
"(datetime.datetime(2019, 7, 1, 0, 0), 1050.7661538461539)\n",
|
||||
"(datetime.datetime(2019, 10, 1, 0, 0), 1045.2061538461537)\n",
|
||||
"(datetime.datetime(2020, 1, 1, 0, 0), 1046.11)\n",
|
||||
"(datetime.datetime(2020, 4, 1, 0, 0), 1053.126923076923)\n",
|
||||
"(datetime.datetime(2020, 7, 1, 0, 0), 1053.273846153846)\n",
|
||||
"(datetime.datetime(2020, 10, 1, 0, 0), 1064.2384615384615)\n",
|
||||
"(datetime.datetime(2021, 1, 1, 0, 0), 1073.1538461538462)\n",
|
||||
"(datetime.datetime(2021, 4, 1, 0, 0), 1094.3215384615385)\n",
|
||||
"(datetime.datetime(2021, 7, 1, 0, 0), 1104.3584615384616)\n",
|
||||
"(datetime.datetime(2021, 10, 1, 0, 0), 1112.806923076923)\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"for i in tst:\n",
|
||||
" print(i)"
|
||||
]
|
||||
}
|
||||
],
|
||||
"metadata": {
|
||||
"interpreter": {
|
||||
"hash": "71e6a8e087576f7c2a714460e6ef0339bac111b70cc81e9aa980fde63219ab06"
|
||||
},
|
||||
"kernelspec": {
|
||||
"display_name": "Python 3 (ipykernel)",
|
||||
"language": "python",
|
||||
"name": "python3"
|
||||
},
|
||||
"language_info": {
|
||||
"codemirror_mode": {
|
||||
"name": "ipython",
|
||||
"version": 3
|
||||
},
|
||||
"file_extension": ".py",
|
||||
"mimetype": "text/x-python",
|
||||
"name": "python",
|
||||
"nbconvert_exporter": "python",
|
||||
"pygments_lexer": "ipython3",
|
||||
"version": "3.10.4"
|
||||
}
|
||||
},
|
||||
"nbformat": 4,
|
||||
"nbformat_minor": 5
|
||||
}
|
||||
Loading…
Reference in New Issue
Block a user