'an array of daily returns from price array'
g = np.zeros_like(prices)
g[1:] = (prices[1:]-prices[:-1])/prices[:-1]
return g
def volume_code(volume):
'code the continuous volume data categorically'
ind = np.searchsorted([1e5,1e6, 5e6,10e6, 1e7], volume)
return ind
summaryfuncs = (
('date', lambda x: [thisdate.year for thisdate in x], 'years'),
('date', lambda x: [thisdate.month for thisdate in x], 'months'),
('date', lambda x: [thisdate.weekday() for thisdate in x], 'weekday'),
('adj_close', daily_return, 'dreturn'),
('volume', volume_code, 'volcode'),
)
rsum = mlab.rec_summarize(r, summaryfuncs)
stats = (
('dreturn', len, 'rcnt'),
('dreturn', np.mean, 'rmean'),
('dreturn', np.median, 'rmedian'),
('dreturn', np.std, 'rsigma'),
)
print 'summary by years'
ry = mlab.rec_groupby(rsum, ('years',), stats)
print mlab. rec2txt(ry)
print 'summary by months'
rm = mlab.rec_groupby(rsum, ('months',), stats)
print mlab.rec2txt(rm)
print 'summary by year and month'
rym = mlab.rec_groupby(rsum, ('years','months'), stats)
print mlab.rec2txt(rym)
return ind
# a list of (dtype_name, summary_function, output_dtype_name).
# rec_summarize will call on each function on the indicated recarray
# attribute, and the result assigned to output name in the return
# record array.
summaryfuncs = (
('date', lambda x: [thisdate.year for thisdate in x], 'years'),
('date', lambda x: [thisdate.month for thisdate in x], 'months'),
('date', lambda x: [thisdate.weekday() for thisdate in x], 'weekday'),
('adj_close', daily_return, 'dreturn'),
('volume', volume_code, 'volcode'),
)
rsum = mlab.rec_summarize(r, summaryfuncs)
# stats is a list of (dtype_name, function, output_dtype_name).
# rec_groupby will summarize the attribute identified by the
# dtype_name over the groups in the groupby list, and assign the
# result to the output_dtype_name
stats = (
('dreturn', len, 'rcnt'),
('dreturn', np.mean, 'rmean'),
('dreturn', np.median, 'rmedian'),
('dreturn', np.std, 'rsigma'),
)
# you can summarize over a single variable, like years or months
print 'summary by years'
ry = mlab.rec_groupby(rsum, ('years', ), stats)