PyFacts/testing.ipynb

{
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   "id": "3f7938c0-98e3-43b8-86e8-4f000cda7ce5",
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   "outputs": [],
   "source": [
    "import datetime\n",
    "import pandas as pd\n",
    "\n",
    "from fincal.fincal import TimeSeries\n",
    "from fincal.core import Series"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "id": "4b8ccd5f-dfff-4202-82c4-f66a30c122b6",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "[(datetime.datetime(2022, 1, 31, 0, 0), 310.980011),\n",
       " (datetime.datetime(2021, 5, 28, 0, 0), 249.679993)]"
      ]
     },
     "execution_count": 2,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "dfd = pd.read_csv('test_files/msft.csv')\n",
    "# dfd = dfd[dfd['amfi_code'] == 118825].reset_index(drop=True)\n",
    "ts = TimeSeries([(i.date, i.nav) for i in dfd.itertuples()], frequency='D')\n",
    "repr(ts)\n",
    "ts[['2022-01-31', '2021-05-28']]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "id": "086d4377-d1b1-4e51-84c0-39dee28ef75e",
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Wall time: 17 ms\n"
     ]
    },
    {
     "data": {
      "text/plain": [
       "TimeSeries([(datetime.datetime(2022, 1, 3, 0, 0), 334.75),\n",
       "\t    (datetime.datetime(2022, 1, 4, 0, 0), 329.01001),\n",
       "\t    (datetime.datetime(2022, 1, 5, 0, 0), 316.380005)\n",
       "\t    ...\n",
       "\t    (datetime.datetime(2022, 2, 16, 0, 0), 299.5),\n",
       "\t    (datetime.datetime(2022, 2, 17, 0, 0), 290.730011),\n",
       "\t    (datetime.datetime(2022, 2, 18, 0, 0), 287.929993)], frequency='D')"
      ]
     },
     "execution_count": 3,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "%%time\n",
    "s = ts.dates >= '2022-01-01'\n",
    "ts[s]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "id": "e815edc9-3746-4192-814e-bd27b2771a0c",
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Wall time: 5.97 ms\n"
     ]
    },
    {
     "data": {
      "text/plain": [
       "[(datetime.datetime(1992, 2, 19, 0, 0), 2.398438),\n",
       " (datetime.datetime(1992, 2, 20, 0, 0), 2.447917),\n",
       " (datetime.datetime(1992, 2, 21, 0, 0), 2.385417),\n",
       " (datetime.datetime(1992, 2, 24, 0, 0), 2.393229),\n",
       " (datetime.datetime(1992, 2, 25, 0, 0), 2.411458),\n",
       " (datetime.datetime(1992, 2, 26, 0, 0), 2.541667),\n",
       " (datetime.datetime(1992, 2, 27, 0, 0), 2.601563),\n",
       " (datetime.datetime(1992, 2, 28, 0, 0), 2.572917),\n",
       " (datetime.datetime(1992, 3, 2, 0, 0), 2.5625),\n",
       " (datetime.datetime(1992, 3, 3, 0, 0), 2.567708)]"
      ]
     },
     "execution_count": 4,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "%%time\n",
    "ts.iloc[:10]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "id": "dc469722-c816-4b57-8d91-7a3b865f86be",
   "metadata": {
    "tags": []
   },
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Wall time: 311 ms\n"
     ]
    }
   ],
   "source": [
    "%%time\n",
    "from_date = datetime.date(1994, 1, 1)\n",
    "to_date = datetime.date(2022, 1, 1)\n",
    "# print(ts.calculate_returns(to_date, years=7))\n",
    "rr = ts.calculate_rolling_returns(from_date, to_date)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "id": "e5d357b4-4fe5-4a0a-8107-0ab6828d7c41",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "TimeSeries([(datetime.datetime(1994, 1, 3, 0, 0), -0.06149359306648605),\n",
       "\t    (datetime.datetime(1994, 1, 4, 0, 0), -0.05433177603118022),\n",
       "\t    (datetime.datetime(1994, 1, 5, 0, 0), -0.04913276300578029)\n",
       "\t    ...\n",
       "\t    (datetime.datetime(2021, 12, 29, 0, 0), 0.5255410267822715),\n",
       "\t    (datetime.datetime(2021, 12, 30, 0, 0), 0.5306749265370103),\n",
       "\t    (datetime.datetime(2021, 12, 31, 0, 0), 0.5120942811985818)], frequency='D')"
      ]
     },
     "execution_count": 6,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "rr"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "id": "4bad2efa",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "Series([1.0, 2.0, 3.0, 4.0, 5.0])"
      ]
     },
     "execution_count": 7,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "sr = Series([1, 2, 3, 4, 5], 'number')\n",
    "sr"
   ]
  }
 ],
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