def setclassdictionaries(self,
list_of_tickers=[],
closepricesfilepath='',
fromdate='2017-01-01',
todate='2017-12-31'):
ana_class = ana.analyze()
print 'started def setclassdictionaries'
#import pandas as pd
if len(closepricesfilepath) == 0:
print 'go to pull prices'
import pullprices as pp
o = pp.pull()
o.setclassdataframes(symbols=list_of_tickers,
fromdate=fromdate,
todate=todate)
df = o.ClosePricesDataframe
else:
myfile = closepricesfilepath #'C:\Batches\GitStuff\$work\closeprices_sample.csv'
df = pd.read_csv(myfile)
df.set_index("Date", drop=True, inplace=True)
if len(list_of_tickers) == 0:
columns = list(df.columns.values)
else:
columns = list_of_tickers
df = df[columns]
self.ClosePricesDataframe = df
self.SymbolsList = columns
print 'self.SymbolsList = columns', self.SymbolsList
dict_pairdiff_prices = {}
dict_pairhr_prices = {}
i2 = 0
for s1 in columns:
print 'setclassdictionaries', s1
df_diff_prices = df[columns].sub(df[s1], axis=0)
dict_pairdiff_prices[s1] = df_diff_prices
i3 = 0
for s2 in columns:
if not s1 == s2:
df_hr_prices = df[columns].div(df[s1], axis=0)
dict_pairhr_prices[s1] = df_hr_prices
i2 += 1
#stop
i2 += 1
self.PairPricesDiffDictionary = dict_pairdiff_prices
self.PairPricesHedgeRatioDictionary = dict_pairhr_prices
print 'finished def setclassdictionaries'
return True
def setbetahrdictionary(self,list_of_tickers = [],closepricesfilepath = '',fromdate = '2017-01-01',todate = '2017-12-31'):
ana_class = ana.analyze()
print 'started def setbetahrdictionary'
#import pandas as pd
if len(closepricesfilepath) == 0:
print 'go to pull prices'
import pullprices as pp
o = pp.pull()
o.setclassdataframes(symbols=list_of_tickers,fromdate = fromdate,todate = todate)
df = o.ClosePricesDataframe
else:
myfile = closepricesfilepath #'C:\Batches\GitStuff\$work\closeprices_sample.csv'
df = pd.read_csv(myfile)
df.set_index("Date", drop=True, inplace=True)
if len(list_of_tickers) == 0:
columns = list(df.columns.values)
else:
columns = list_of_tickers
df = df[columns]
self.ClosePricesDataframe = df
self.SymbolsList = columns
print 'self.SymbolsList = columns', self.SymbolsList
dict_pairdiff_prices = {}
dict_pairhr_prices = {}
dict_pairbetahr_prices = {}
i2 = 0
for s1 in columns:
print 'setclassdictionaries',s1
#df_diff_prices = df[columns].sub(df[s1], axis=0)
#dict_pairdiff_prices[s1] = df_diff_prices
#df_hr_prices = df[columns].div(df[s1], axis=0)
#print 'df_hr_prices',df_hr_prices
#dict_pairhr_prices[s1] = df_hr_prices
df_betahr_group = pd.DataFrame(index = df.index)
i3 = 0
for s2 in columns:
if 1 == 1:
i2 +=1
#stop
Y=df[s2].tolist()
X=df[s1].tolist()
betahr_list = []
i0 = 0
for idx, rows in df.iterrows():
#print idx
if i0 >= 0:
res = sm.OLS(Y[:i0+1],X[:i0+1])
betahr = res.fit().params[0]
mydict = {'Date':idx,s2:betahr}
betahr_list.append(mydict)
i0 += 1
#if i0 >= 10:
# stop
df_betahr = pd.DataFrame(betahr_list)
df_betahr.set_index("Date", drop=True, inplace=True)
#print 'df_betahr',s1,s2,df_betahr
df_betahr_group = pd.concat([df_betahr_group, df_betahr], axis=1)
#print 'df_betahr_group',s1,s2,df_betahr_group
#stop
#df_b['a-b'] = df_b['actual']- df_b['betahr']
#df_b["res"] = df_b[s2] - df_b['betahr']*df_b[s1]
dict_pairbetahr_prices[s1] = df_betahr_group
print 'betahr',s1,dict_pairbetahr_prices[s1]
i2 +=1
#stop
#self.PairPricesDiffDictionary = dict_pairdiff_prices
#self.PairPricesHedgeRatioDictionary = dict_pairhr_prices
self.PairPricesBetaHedgeRatioDictionary = dict_pairbetahr_prices
print 'finished def setbetahrdictionary'
return True