1075 lines
35 KiB
Plaintext
1075 lines
35 KiB
Plaintext
{
|
|
"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": 2,
|
|
"id": "aead3e77-2670-4541-846a-5537b01f3d2e",
|
|
"metadata": {},
|
|
"outputs": [],
|
|
"source": [
|
|
"import random\n",
|
|
"import math\n",
|
|
"import fincal as fc\n",
|
|
"from typing import List\n",
|
|
"import datetime\n",
|
|
"from dateutil.relativedelta import relativedelta"
|
|
]
|
|
},
|
|
{
|
|
"cell_type": "code",
|
|
"execution_count": 3,
|
|
"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: fc.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 == fc.AllFrequencies.D and skip_weekends else 1)\n",
|
|
" )\n",
|
|
" }\n",
|
|
" end_date = start_date + relativedelta(**timedelta_dict)\n",
|
|
" dates = fc.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": 4,
|
|
"id": "c85b5dd9-9a88-4608-ac58-1a141295f63f",
|
|
"metadata": {},
|
|
"outputs": [],
|
|
"source": [
|
|
"data = sample_data_generator(num=261, frequency=fc.AllFrequencies.W, mu=0.6, sigma=0.7)\n",
|
|
"ts = fc.TimeSeries(data, \"W\")"
|
|
]
|
|
},
|
|
{
|
|
"cell_type": "code",
|
|
"execution_count": 5,
|
|
"id": "0488a4d0-bca1-4341-9fae-1fd254adc0dc",
|
|
"metadata": {},
|
|
"outputs": [
|
|
{
|
|
"data": {
|
|
"text/plain": [
|
|
"TimeSeries([(datetime.datetime(2017, 1, 1, 0, 0), 1040.39),\n",
|
|
"\t (datetime.datetime(2017, 1, 8, 0, 0), 1032.83),\n",
|
|
"\t (datetime.datetime(2017, 1, 15, 0, 0), 1120.5)\n",
|
|
"\t ...\n",
|
|
"\t (datetime.datetime(2021, 12, 12, 0, 0), 2007.18),\n",
|
|
"\t (datetime.datetime(2021, 12, 19, 0, 0), 1987.49),\n",
|
|
"\t (datetime.datetime(2021, 12, 26, 0, 0), 1924.2)], frequency='W')"
|
|
]
|
|
},
|
|
"execution_count": 5,
|
|
"metadata": {},
|
|
"output_type": "execute_result"
|
|
}
|
|
],
|
|
"source": [
|
|
"ts"
|
|
]
|
|
},
|
|
{
|
|
"cell_type": "code",
|
|
"execution_count": 6,
|
|
"id": "cd0eb38c",
|
|
"metadata": {},
|
|
"outputs": [],
|
|
"source": [
|
|
"dates = fc.create_date_series(ts.start_date, ts.end_date, 'M')"
|
|
]
|
|
},
|
|
{
|
|
"cell_type": "code",
|
|
"execution_count": 7,
|
|
"id": "69c48512",
|
|
"metadata": {},
|
|
"outputs": [],
|
|
"source": [
|
|
"prev_date = dates[0]\n",
|
|
"for i in dates[1:]:\n",
|
|
" cur_date = i\n",
|
|
" "
|
|
]
|
|
},
|
|
{
|
|
"cell_type": "code",
|
|
"execution_count": 8,
|
|
"id": "43fa2254",
|
|
"metadata": {},
|
|
"outputs": [
|
|
{
|
|
"data": {
|
|
"text/plain": [
|
|
"TimeSeries([(datetime.datetime(2017, 1, 8, 0, 0), 1032.83),\n",
|
|
"\t(datetime.datetime(2017, 1, 15, 0, 0), 1120.5),\n",
|
|
"\t(datetime.datetime(2017, 1, 22, 0, 0), 1125.86),\n",
|
|
"\t(datetime.datetime(2017, 1, 29, 0, 0), 1178.74)], frequency='W')"
|
|
]
|
|
},
|
|
"execution_count": 8,
|
|
"metadata": {},
|
|
"output_type": "execute_result"
|
|
}
|
|
],
|
|
"source": [
|
|
"ts[(ts.dates < '2017-01-31') & (ts.dates > '2017-01-01')]"
|
|
]
|
|
},
|
|
{
|
|
"cell_type": "code",
|
|
"execution_count": 9,
|
|
"id": "32a82399-e056-45d6-86a3-b9f0855aed27",
|
|
"metadata": {},
|
|
"outputs": [
|
|
{
|
|
"data": {
|
|
"text/plain": [
|
|
"Series([datetime.datetime(2017, 1, 1, 0, 0), datetime.datetime(2017, 2, 1, 0, 0), datetime.datetime(2017, 3, 1, 0, 0), datetime.datetime(2017, 4, 1, 0, 0), datetime.datetime(2017, 5, 1, 0, 0), datetime.datetime(2017, 6, 1, 0, 0), datetime.datetime(2017, 7, 1, 0, 0), datetime.datetime(2017, 8, 1, 0, 0), datetime.datetime(2017, 9, 1, 0, 0), datetime.datetime(2017, 10, 1, 0, 0), datetime.datetime(2017, 11, 1, 0, 0), datetime.datetime(2017, 12, 1, 0, 0), datetime.datetime(2018, 1, 1, 0, 0), datetime.datetime(2018, 2, 1, 0, 0), datetime.datetime(2018, 3, 1, 0, 0), datetime.datetime(2018, 4, 1, 0, 0), datetime.datetime(2018, 5, 1, 0, 0), datetime.datetime(2018, 6, 1, 0, 0), datetime.datetime(2018, 7, 1, 0, 0), datetime.datetime(2018, 8, 1, 0, 0), datetime.datetime(2018, 9, 1, 0, 0), datetime.datetime(2018, 10, 1, 0, 0), datetime.datetime(2018, 11, 1, 0, 0), datetime.datetime(2018, 12, 1, 0, 0), datetime.datetime(2019, 1, 1, 0, 0), datetime.datetime(2019, 2, 1, 0, 0), datetime.datetime(2019, 3, 1, 0, 0), datetime.datetime(2019, 4, 1, 0, 0), datetime.datetime(2019, 5, 1, 0, 0), datetime.datetime(2019, 6, 1, 0, 0), datetime.datetime(2019, 7, 1, 0, 0), datetime.datetime(2019, 8, 1, 0, 0), datetime.datetime(2019, 9, 1, 0, 0), datetime.datetime(2019, 10, 1, 0, 0), datetime.datetime(2019, 11, 1, 0, 0), datetime.datetime(2019, 12, 1, 0, 0), datetime.datetime(2020, 1, 1, 0, 0), datetime.datetime(2020, 2, 1, 0, 0), datetime.datetime(2020, 3, 1, 0, 0), datetime.datetime(2020, 4, 1, 0, 0), datetime.datetime(2020, 5, 1, 0, 0), datetime.datetime(2020, 6, 1, 0, 0), datetime.datetime(2020, 7, 1, 0, 0), datetime.datetime(2020, 8, 1, 0, 0), datetime.datetime(2020, 9, 1, 0, 0), datetime.datetime(2020, 10, 1, 0, 0), datetime.datetime(2020, 11, 1, 0, 0), datetime.datetime(2020, 12, 1, 0, 0), datetime.datetime(2021, 1, 1, 0, 0), datetime.datetime(2021, 2, 1, 0, 0), datetime.datetime(2021, 3, 1, 0, 0), datetime.datetime(2021, 4, 1, 0, 0), datetime.datetime(2021, 5, 1, 0, 0), datetime.datetime(2021, 6, 1, 0, 0), datetime.datetime(2021, 7, 1, 0, 0), datetime.datetime(2021, 8, 1, 0, 0), datetime.datetime(2021, 9, 1, 0, 0), datetime.datetime(2021, 10, 1, 0, 0), datetime.datetime(2021, 11, 1, 0, 0), datetime.datetime(2021, 12, 1, 0, 0)], data_type='datetime')"
|
|
]
|
|
},
|
|
"execution_count": 9,
|
|
"metadata": {},
|
|
"output_type": "execute_result"
|
|
}
|
|
],
|
|
"source": [
|
|
"dates"
|
|
]
|
|
},
|
|
{
|
|
"cell_type": "code",
|
|
"execution_count": 13,
|
|
"id": "352a71a3-5469-4464-8a93-17f4660822fd",
|
|
"metadata": {},
|
|
"outputs": [
|
|
{
|
|
"name": "stdout",
|
|
"output_type": "stream",
|
|
"text": [
|
|
"2017-01-01 00:00:00 1040.39\n",
|
|
"2017-01-08 00:00:00 1032.83\n",
|
|
"2017-01-15 00:00:00 1120.5\n",
|
|
"2017-01-22 00:00:00 1125.86\n",
|
|
"2017-01-29 00:00:00 1178.74\n",
|
|
"2017-02-05 00:00:00 1158.8\n",
|
|
"2017-02-12 00:00:00 1151.54\n",
|
|
"2017-02-19 00:00:00 1137.19\n",
|
|
"2017-02-26 00:00:00 1141.47\n",
|
|
"2017-03-05 00:00:00 1112.37\n",
|
|
"2017-03-12 00:00:00 1186.34\n",
|
|
"2017-03-19 00:00:00 1202.35\n",
|
|
"2017-03-26 00:00:00 1169.04\n",
|
|
"2017-04-02 00:00:00 1220.55\n",
|
|
"2017-04-09 00:00:00 1202.93\n",
|
|
"2017-04-16 00:00:00 1187.57\n",
|
|
"2017-04-23 00:00:00 1197.52\n",
|
|
"2017-04-30 00:00:00 1218.61\n",
|
|
"2017-05-07 00:00:00 1272.3\n",
|
|
"2017-05-14 00:00:00 1278.49\n",
|
|
"2017-05-21 00:00:00 1296.56\n",
|
|
"2017-05-28 00:00:00 1294.03\n",
|
|
"2017-06-04 00:00:00 1244.9\n",
|
|
"2017-06-11 00:00:00 1233.13\n",
|
|
"2017-06-18 00:00:00 1218.74\n",
|
|
"2017-06-25 00:00:00 1208.5\n",
|
|
"2017-07-02 00:00:00 1179.17\n",
|
|
"2017-07-09 00:00:00 1164.11\n",
|
|
"2017-07-16 00:00:00 1109.05\n",
|
|
"2017-07-23 00:00:00 1090.0\n",
|
|
"2017-07-30 00:00:00 1054.5\n",
|
|
"2017-08-06 00:00:00 1059.84\n",
|
|
"2017-08-13 00:00:00 1061.35\n",
|
|
"2017-08-20 00:00:00 1157.0\n",
|
|
"2017-08-27 00:00:00 1109.25\n",
|
|
"2017-09-03 00:00:00 1124.86\n",
|
|
"2017-09-10 00:00:00 1175.81\n",
|
|
"2017-09-17 00:00:00 1183.18\n",
|
|
"2017-09-24 00:00:00 1208.74\n",
|
|
"2017-10-01 00:00:00 1210.82\n",
|
|
"2017-10-08 00:00:00 1170.14\n",
|
|
"2017-10-15 00:00:00 1178.4\n",
|
|
"2017-10-22 00:00:00 1235.02\n",
|
|
"2017-10-29 00:00:00 1256.52\n",
|
|
"2017-11-05 00:00:00 1288.37\n",
|
|
"2017-11-12 00:00:00 1342.41\n",
|
|
"2017-11-19 00:00:00 1417.1\n",
|
|
"2017-11-26 00:00:00 1518.11\n",
|
|
"2017-12-03 00:00:00 1538.06\n",
|
|
"2017-12-10 00:00:00 1405.51\n",
|
|
"2017-12-17 00:00:00 1434.94\n",
|
|
"2017-12-24 00:00:00 1471.6\n",
|
|
"2017-12-31 00:00:00 1515.75\n",
|
|
"2018-01-07 00:00:00 1528.28\n",
|
|
"2018-01-14 00:00:00 1541.99\n",
|
|
"2018-01-21 00:00:00 1510.71\n",
|
|
"2018-01-28 00:00:00 1592.01\n",
|
|
"2018-02-04 00:00:00 1718.11\n",
|
|
"2018-02-11 00:00:00 1788.51\n",
|
|
"2018-02-18 00:00:00 1895.84\n",
|
|
"2018-02-25 00:00:00 1965.28\n",
|
|
"2018-03-04 00:00:00 1985.45\n",
|
|
"2018-03-11 00:00:00 1948.76\n",
|
|
"2018-03-18 00:00:00 2004.36\n",
|
|
"2018-03-25 00:00:00 2040.49\n",
|
|
"2018-04-01 00:00:00 1966.17\n",
|
|
"2018-04-08 00:00:00 1984.85\n",
|
|
"2018-04-15 00:00:00 1908.0\n",
|
|
"2018-04-22 00:00:00 1970.14\n",
|
|
"2018-04-29 00:00:00 1840.56\n",
|
|
"2018-05-06 00:00:00 1736.25\n",
|
|
"2018-05-13 00:00:00 1779.54\n",
|
|
"2018-05-20 00:00:00 1803.03\n",
|
|
"2018-05-27 00:00:00 1754.64\n",
|
|
"2018-06-03 00:00:00 1785.96\n",
|
|
"2018-06-10 00:00:00 1817.42\n",
|
|
"2018-06-17 00:00:00 1788.5\n",
|
|
"2018-06-24 00:00:00 1803.23\n",
|
|
"2018-07-01 00:00:00 1686.82\n",
|
|
"2018-07-08 00:00:00 1666.94\n",
|
|
"2018-07-15 00:00:00 1559.94\n",
|
|
"2018-07-22 00:00:00 1571.29\n",
|
|
"2018-07-29 00:00:00 1527.71\n",
|
|
"2018-08-05 00:00:00 1463.91\n",
|
|
"2018-08-12 00:00:00 1418.93\n",
|
|
"2018-08-19 00:00:00 1488.85\n",
|
|
"2018-08-26 00:00:00 1502.09\n",
|
|
"2018-09-02 00:00:00 1473.89\n",
|
|
"2018-09-09 00:00:00 1511.63\n",
|
|
"2018-09-16 00:00:00 1489.29\n",
|
|
"2018-09-23 00:00:00 1550.82\n",
|
|
"2018-09-30 00:00:00 1645.07\n",
|
|
"2018-10-07 00:00:00 1626.79\n",
|
|
"2018-10-14 00:00:00 1527.51\n",
|
|
"2018-10-21 00:00:00 1508.86\n",
|
|
"2018-10-28 00:00:00 1517.32\n",
|
|
"2018-11-04 00:00:00 1505.09\n",
|
|
"2018-11-11 00:00:00 1517.15\n",
|
|
"2018-11-18 00:00:00 1515.15\n",
|
|
"2018-11-25 00:00:00 1531.76\n",
|
|
"2018-12-02 00:00:00 1509.4\n",
|
|
"2018-12-09 00:00:00 1509.87\n",
|
|
"2018-12-16 00:00:00 1591.72\n",
|
|
"2018-12-23 00:00:00 1556.62\n",
|
|
"2018-12-30 00:00:00 1502.95\n",
|
|
"2019-01-06 00:00:00 1630.62\n",
|
|
"2019-01-13 00:00:00 1674.96\n",
|
|
"2019-01-20 00:00:00 1695.86\n",
|
|
"2019-01-27 00:00:00 1757.33\n",
|
|
"2019-02-03 00:00:00 1789.38\n",
|
|
"2019-02-10 00:00:00 1810.87\n",
|
|
"2019-02-17 00:00:00 1877.5\n",
|
|
"2019-02-24 00:00:00 1839.49\n",
|
|
"2019-03-03 00:00:00 1710.78\n",
|
|
"2019-03-10 00:00:00 1600.36\n",
|
|
"2019-03-17 00:00:00 1601.57\n",
|
|
"2019-03-24 00:00:00 1530.07\n",
|
|
"2019-03-31 00:00:00 1618.94\n",
|
|
"2019-04-07 00:00:00 1531.05\n",
|
|
"2019-04-14 00:00:00 1524.31\n",
|
|
"2019-04-21 00:00:00 1559.94\n",
|
|
"2019-04-28 00:00:00 1630.43\n",
|
|
"2019-05-05 00:00:00 1597.4\n",
|
|
"2019-05-12 00:00:00 1703.88\n",
|
|
"2019-05-19 00:00:00 1635.2\n",
|
|
"2019-05-26 00:00:00 1621.76\n",
|
|
"2019-06-02 00:00:00 1634.33\n",
|
|
"2019-06-09 00:00:00 1562.77\n",
|
|
"2019-06-16 00:00:00 1549.12\n",
|
|
"2019-06-23 00:00:00 1576.87\n",
|
|
"2019-06-30 00:00:00 1487.67\n",
|
|
"2019-07-07 00:00:00 1404.03\n",
|
|
"2019-07-14 00:00:00 1416.17\n",
|
|
"2019-07-21 00:00:00 1401.12\n",
|
|
"2019-07-28 00:00:00 1401.12\n",
|
|
"2019-08-04 00:00:00 1405.16\n",
|
|
"2019-08-11 00:00:00 1373.43\n",
|
|
"2019-08-18 00:00:00 1312.29\n",
|
|
"2019-08-25 00:00:00 1314.92\n",
|
|
"2019-09-01 00:00:00 1289.19\n",
|
|
"2019-09-08 00:00:00 1300.85\n",
|
|
"2019-09-15 00:00:00 1352.79\n",
|
|
"2019-09-22 00:00:00 1351.29\n",
|
|
"2019-09-29 00:00:00 1319.38\n",
|
|
"2019-10-06 00:00:00 1341.78\n",
|
|
"2019-10-13 00:00:00 1300.52\n",
|
|
"2019-10-20 00:00:00 1389.83\n",
|
|
"2019-10-27 00:00:00 1302.28\n",
|
|
"2019-11-03 00:00:00 1202.98\n",
|
|
"2019-11-10 00:00:00 1181.17\n",
|
|
"2019-11-17 00:00:00 1125.6\n",
|
|
"2019-11-24 00:00:00 1156.62\n",
|
|
"2019-12-01 00:00:00 1205.04\n",
|
|
"2019-12-08 00:00:00 1138.9\n",
|
|
"2019-12-15 00:00:00 1167.41\n",
|
|
"2019-12-22 00:00:00 1187.0\n",
|
|
"2019-12-29 00:00:00 1117.66\n",
|
|
"2020-01-05 00:00:00 1162.87\n",
|
|
"2020-01-12 00:00:00 1160.5\n",
|
|
"2020-01-19 00:00:00 1182.43\n",
|
|
"2020-01-26 00:00:00 1162.46\n",
|
|
"2020-02-02 00:00:00 1184.64\n",
|
|
"2020-02-09 00:00:00 1173.68\n",
|
|
"2020-02-16 00:00:00 1120.14\n",
|
|
"2020-02-23 00:00:00 1203.76\n",
|
|
"2020-03-01 00:00:00 1234.59\n",
|
|
"2020-03-08 00:00:00 1164.89\n",
|
|
"2020-03-15 00:00:00 1193.34\n",
|
|
"2020-03-22 00:00:00 1213.7\n",
|
|
"2020-03-29 00:00:00 1248.24\n",
|
|
"2020-04-05 00:00:00 1291.25\n",
|
|
"2020-04-12 00:00:00 1313.79\n",
|
|
"2020-04-19 00:00:00 1250.83\n",
|
|
"2020-04-26 00:00:00 1282.44\n",
|
|
"2020-05-03 00:00:00 1237.36\n",
|
|
"2020-05-10 00:00:00 1244.45\n",
|
|
"2020-05-17 00:00:00 1209.46\n",
|
|
"2020-05-24 00:00:00 1215.62\n",
|
|
"2020-05-31 00:00:00 1176.28\n",
|
|
"2020-06-07 00:00:00 1220.93\n",
|
|
"2020-06-14 00:00:00 1236.97\n",
|
|
"2020-06-21 00:00:00 1292.12\n",
|
|
"2020-06-28 00:00:00 1341.62\n",
|
|
"2020-07-05 00:00:00 1319.86\n",
|
|
"2020-07-12 00:00:00 1286.69\n",
|
|
"2020-07-19 00:00:00 1228.97\n",
|
|
"2020-07-26 00:00:00 1253.36\n",
|
|
"2020-08-02 00:00:00 1186.4\n",
|
|
"2020-08-09 00:00:00 1176.77\n",
|
|
"2020-08-16 00:00:00 1160.93\n",
|
|
"2020-08-23 00:00:00 1112.51\n",
|
|
"2020-08-30 00:00:00 1168.84\n",
|
|
"2020-09-06 00:00:00 1191.77\n",
|
|
"2020-09-13 00:00:00 1202.53\n",
|
|
"2020-09-20 00:00:00 1253.35\n",
|
|
"2020-09-27 00:00:00 1220.74\n",
|
|
"2020-10-04 00:00:00 1298.59\n",
|
|
"2020-10-11 00:00:00 1289.99\n",
|
|
"2020-10-18 00:00:00 1331.7\n",
|
|
"2020-10-25 00:00:00 1331.88\n",
|
|
"2020-11-01 00:00:00 1316.17\n",
|
|
"2020-11-08 00:00:00 1278.24\n",
|
|
"2020-11-15 00:00:00 1316.89\n",
|
|
"2020-11-22 00:00:00 1304.82\n",
|
|
"2020-11-29 00:00:00 1336.41\n",
|
|
"2020-12-06 00:00:00 1424.98\n",
|
|
"2020-12-13 00:00:00 1414.69\n",
|
|
"2020-12-20 00:00:00 1480.55\n",
|
|
"2020-12-27 00:00:00 1442.9\n",
|
|
"2021-01-03 00:00:00 1415.72\n",
|
|
"2021-01-10 00:00:00 1394.22\n",
|
|
"2021-01-17 00:00:00 1434.96\n",
|
|
"2021-01-24 00:00:00 1426.63\n",
|
|
"2021-01-31 00:00:00 1518.6\n",
|
|
"2021-02-07 00:00:00 1461.76\n",
|
|
"2021-02-14 00:00:00 1427.69\n",
|
|
"2021-02-21 00:00:00 1447.32\n",
|
|
"2021-02-28 00:00:00 1412.62\n",
|
|
"2021-03-07 00:00:00 1422.12\n",
|
|
"2021-03-14 00:00:00 1433.03\n",
|
|
"2021-03-21 00:00:00 1599.56\n",
|
|
"2021-03-28 00:00:00 1643.38\n",
|
|
"2021-04-04 00:00:00 1735.51\n",
|
|
"2021-04-11 00:00:00 1721.82\n",
|
|
"2021-04-18 00:00:00 1801.1\n",
|
|
"2021-04-25 00:00:00 1798.19\n",
|
|
"2021-05-02 00:00:00 1728.64\n",
|
|
"2021-05-09 00:00:00 1761.09\n",
|
|
"2021-05-16 00:00:00 1864.6\n",
|
|
"2021-05-23 00:00:00 1915.55\n",
|
|
"2021-05-30 00:00:00 1880.83\n",
|
|
"2021-06-06 00:00:00 1985.8\n",
|
|
"2021-06-13 00:00:00 2031.42\n",
|
|
"2021-06-20 00:00:00 2005.34\n",
|
|
"2021-06-27 00:00:00 1903.11\n",
|
|
"2021-07-04 00:00:00 1902.17\n",
|
|
"2021-07-11 00:00:00 1943.94\n",
|
|
"2021-07-18 00:00:00 1848.16\n",
|
|
"2021-07-25 00:00:00 1807.84\n",
|
|
"2021-08-01 00:00:00 1885.75\n",
|
|
"2021-08-08 00:00:00 1930.57\n",
|
|
"2021-08-15 00:00:00 2004.8\n",
|
|
"2021-08-22 00:00:00 2181.39\n",
|
|
"2021-08-29 00:00:00 2112.61\n",
|
|
"2021-09-05 00:00:00 2176.47\n",
|
|
"2021-09-12 00:00:00 2255.73\n",
|
|
"2021-09-19 00:00:00 2224.32\n",
|
|
"2021-09-26 00:00:00 2195.41\n",
|
|
"2021-10-03 00:00:00 2255.36\n",
|
|
"2021-10-10 00:00:00 2238.18\n",
|
|
"2021-10-17 00:00:00 2290.97\n",
|
|
"2021-10-24 00:00:00 2380.52\n",
|
|
"2021-10-31 00:00:00 2237.11\n",
|
|
"2021-11-07 00:00:00 2234.85\n",
|
|
"2021-11-14 00:00:00 2281.46\n",
|
|
"2021-11-21 00:00:00 2225.14\n",
|
|
"2021-11-28 00:00:00 2200.28\n",
|
|
"2021-12-05 00:00:00 2104.56\n",
|
|
"2021-12-12 00:00:00 2007.18\n",
|
|
"2021-12-19 00:00:00 1987.49\n",
|
|
"2021-12-26 00:00:00 1924.2\n"
|
|
]
|
|
}
|
|
],
|
|
"source": [
|
|
"for i, j in ts:\n",
|
|
" print(i, j)"
|
|
]
|
|
},
|
|
{
|
|
"cell_type": "code",
|
|
"execution_count": 11,
|
|
"id": "14c72558-0500-44e4-a893-628a4102ff53",
|
|
"metadata": {},
|
|
"outputs": [
|
|
{
|
|
"name": "stdout",
|
|
"output_type": "stream",
|
|
"text": [
|
|
"2017-01-01 00:00:00 1099.664\n",
|
|
"2017-02-01 00:00:00 1147.25\n",
|
|
"2017-03-01 00:00:00 1167.5249999999999\n",
|
|
"2017-04-01 00:00:00 1205.436\n",
|
|
"2017-05-01 00:00:00 1285.345\n",
|
|
"2017-06-01 00:00:00 1226.3175\n",
|
|
"2017-07-01 00:00:00 1119.366\n",
|
|
"2017-08-01 00:00:00 1096.86\n",
|
|
"2017-09-01 00:00:00 1173.1475\n",
|
|
"2017-10-01 00:00:00 1210.18\n",
|
|
"2017-11-01 00:00:00 1391.4975\n",
|
|
"2017-12-01 00:00:00 1473.172\n",
|
|
"2018-01-01 00:00:00 1543.2475\n",
|
|
"2018-02-01 00:00:00 1841.935\n",
|
|
"2018-03-01 00:00:00 1994.7649999999999\n",
|
|
"2018-04-01 00:00:00 1933.944\n",
|
|
"2018-05-01 00:00:00 1768.365\n",
|
|
"2018-06-01 00:00:00 1798.7775000000001\n",
|
|
"2018-07-01 00:00:00 1602.54\n",
|
|
"2018-08-01 00:00:00 1468.445\n",
|
|
"2018-09-01 00:00:00 1534.14\n",
|
|
"2018-10-01 00:00:00 1545.12\n",
|
|
"2018-11-01 00:00:00 1517.2875\n",
|
|
"2018-12-01 00:00:00 1534.112\n",
|
|
"2019-01-01 00:00:00 1689.6924999999999\n",
|
|
"2019-02-01 00:00:00 1829.31\n",
|
|
"2019-03-01 00:00:00 1612.344\n",
|
|
"2019-04-01 00:00:00 1561.4325\n",
|
|
"2019-05-01 00:00:00 1639.56\n",
|
|
"2019-06-01 00:00:00 1562.152\n",
|
|
"2019-07-01 00:00:00 1405.61\n",
|
|
"2019-08-01 00:00:00 1351.45\n",
|
|
"2019-09-01 00:00:00 1322.7\n",
|
|
"2019-10-01 00:00:00 1333.6025\n",
|
|
"2019-11-01 00:00:00 1166.5925\n",
|
|
"2019-12-01 00:00:00 1163.202\n",
|
|
"2020-01-01 00:00:00 1167.065\n",
|
|
"2020-02-01 00:00:00 1170.555\n",
|
|
"2020-03-01 00:00:00 1210.952\n",
|
|
"2020-04-01 00:00:00 1284.5774999999999\n",
|
|
"2020-05-01 00:00:00 1216.634\n",
|
|
"2020-06-01 00:00:00 1272.9099999999999\n",
|
|
"2020-07-01 00:00:00 1272.22\n",
|
|
"2020-08-01 00:00:00 1161.09\n",
|
|
"2020-09-01 00:00:00 1217.0974999999999\n",
|
|
"2020-10-01 00:00:00 1313.04\n",
|
|
"2020-11-01 00:00:00 1310.506\n",
|
|
"2020-12-01 00:00:00 1440.78\n",
|
|
"2021-01-01 00:00:00 1438.026\n",
|
|
"2021-02-01 00:00:00 1437.3474999999999\n",
|
|
"2021-03-01 00:00:00 1524.5225\n",
|
|
"2021-04-01 00:00:00 1764.155\n",
|
|
"2021-05-01 00:00:00 1830.142\n",
|
|
"2021-06-01 00:00:00 1981.4175\n",
|
|
"2021-07-01 00:00:00 1875.5275000000001\n",
|
|
"2021-08-01 00:00:00 2023.024\n",
|
|
"2021-09-01 00:00:00 2212.9825\n",
|
|
"2021-10-01 00:00:00 2280.428\n",
|
|
"2021-11-01 00:00:00 2235.4325\n"
|
|
]
|
|
}
|
|
],
|
|
"source": [
|
|
"prev_date = dates[0]\n",
|
|
"for date in dates[1:]:\n",
|
|
" cur_ts = ts[(ts.dates < date) & (ts.dates >= prev_date)]\n",
|
|
" print(prev_date, cur_ts.mean())\n",
|
|
" prev_date = date"
|
|
]
|
|
}
|
|
],
|
|
"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
|
|
}
|