mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-29 00:37:43 +08:00
Scott Sanderson
cabe22ae8e
Previously we were using Close, and we calculated returns on the first day of a window against the Open for that day. We now always look back an extra day to get the previous day's close.
62 lines
2.0 KiB
Python
62 lines
2.0 KiB
Python
#
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# Copyright 2013 Quantopian, Inc.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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import pandas as pd
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from six.moves.urllib_parse import urlencode
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def format_yahoo_index_url(symbol, start_date, end_date):
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"""
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Format a URL for querying Yahoo Finance for Index data.
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"""
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return (
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'http://ichart.finance.yahoo.com/table.csv?' + urlencode({
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's': symbol,
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# start_date month, zero indexed
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'a': start_date.month - 1,
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# start_date day
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'b': start_date.day,
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# start_date year
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'c': start_date.year,
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# end_date month, zero indexed
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'd': end_date.month - 1,
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# end_date day
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'e': end_date.day,
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# end_date year
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'f': end_date.year,
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# daily frequency
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'g': 'd',
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})
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)
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def get_benchmark_returns(symbol, start_date, end_date):
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"""
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Get a Series of benchmark returns from Yahoo.
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Returns a Series with returns from (start_date, end_date].
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start_date is **not** included because we need the close from day N - 1 to
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compute the returns for day N.
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"""
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return pd.read_csv(
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format_yahoo_index_url(symbol, start_date, end_date),
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parse_dates=['Date'],
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index_col='Date',
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usecols=["Adj Close", "Date"],
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squeeze=True, # squeeze tells pandas to make this a Series
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# instead of a 1-column DataFrame
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).sort_index().tz_localize('UTC').pct_change(1).iloc[1:]
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