def hist_vol(sym, days=10):
try:
quotes = DataReader(sym, 'yahoo')['Close'][-days:]
except Exception:
print "Problem getting historical volatility!"
raise SystemExit(code)
return None, None
logreturns = np.log(quotes / quotes.shift(1))
vol = np.sqrt(252*logreturns.var()) #252 trading days in year (annualized volatility)
return float(vol)
def getParams(ticker):
data = DataReader(ticker, "yahoo", datetime(1890, 1, 1), datetime.now())
changes = log(data['Adj Close'][1:]) - log(data.shift()['Adj Close'][1:])
params = laplace.fit(changes)
return params, std(changes[-365:]) * (365**(.5))
plt.fill_between(INF.index,INF['sig'],0)
plt.subplot(414)
plt.plot(INF.index,INF['PNL'])
# plt.show()
pic.new()
plt.savefig("C:/Users/oskar/Documents/doc_no_backup/python_crap/temp/%s.png" %(str(pic.num)))
rep.addimage("C:/Users/oskar/Documents/doc_no_backup/python_crap/temp/%s.png"%(str(pic.num)),7,4,'LEFT')
plt.close()
#
#corporate profits------------
C_POFIT = DataReader("CP", "fred", start, end) #corporate profit after tax
C_POFIT['lag6m']=C_POFIT['CP'].shift(2)
C_POFIT['SIG']=C_POFIT['CP']>C_POFIT['lag6m']
C_POFIT=C_POFIT.shift(5, freq='D')
# print C_POFIT.to_string()
print C_POFIT.tail(5)
plt.subplot(211)
plt.plot(C_POFIT.index,C_POFIT[['CP','lag6m']])
plt.subplot(212)
plt.fill_between(C_POFIT.index,C_POFIT['SIG'],0)
# plt.show()
pic.new()
plt.savefig("C:/Users/oskar/Documents/doc_no_backup/python_crap/temp/%s.png" %(str(pic.num)))
rep.addimage("C:/Users/oskar/Documents/doc_no_backup/python_crap/temp/%s.png"%(str(pic.num)),7,4,'LEFT')
plt.close()
##
