# Value weighted stocks_month_vw = cf.prep_monthly_rtn(path, cut, path + '\\Data\\fundamental_mods\\monthly_fund_rtn_val_wt_cut_' + str(0.1) + '.csv', post_2009) # Inverse value weighted stocks_month_ivw = cf.prep_monthly_rtn(path, cut, path + '\\Data\\fundamental_mods\\monthly_fund_rtn_inv_val_wt_cut_' + str(0.1) + '.csv', post_2009) # Clusters; transitive component equal weighted stocks_month_clu = cf.prep_monthly_rtn(path, cut, path + '\\Data\\fundamental_mods\\monthly_fund_rtn_cluster_cut_' + str(0.1) + '.csv', post_2009) print(0.25 * int((time.time() - start_time)/15), 'minutes so far...') # Get Fama-French data FF, RF = cf.prep_FF_monthly(path) # Use functions get_mom_ind = lambda data, signal, wt: cf.get_mom_ind(data, RF, 0, signal, monthly = True, sig_rtn = False, wt = wt) get_mom_fund = lambda data, signal: cf.get_mom_fund(data, RF, 0, signal, monthly = True, sig_rtn = False) get_mom_diff = lambda data, signal, wt: cf.get_mom_diff(data, RF, 0, signal, monthly = True, sig_rtn = False, wt = wt) # VW ind_mom_rtn1_vw = get_mom_ind(stocks_month_vw, 1, 'vw') print(0.25 * int((time.time() - start_time)/15), 'minutes so far...') fund_mom_rtn1_vw, diff_mom_rtn1_vw = get_mom_fund(stocks_month_vw, 1), get_mom_diff(stocks_month_vw, 1, 'vw') print(0.25 * int((time.time() - start_time)/15), 'minutes so far...') ind_mom_rtn6_vw, fund_mom_rtn6_vw, diff_mom_rtn6_vw = get_mom_ind(stocks_month_vw, 6, 'vw'), get_mom_fund(stocks_month_vw, 6), get_mom_diff(stocks_month_vw, 6, 'vw') print(0.25 * int((time.time() - start_time)/15), 'minutes so far...') # IVW ind_mom_rtn1_ivw = get_mom_ind(stocks_month_ivw, 1, 'ivw') print(0.25 * int((time.time() - start_time)/15), 'minutes so far...')
file = path + '\\Data\\fundamental_mods\\monthly_fund_rtn_inv_val_wt_cut_' + str( cut) + '.csv' # If file isn't none, in which folder should everything be place? folder = 'fund_inv_val_wt' # Get the month return data stocks_month = cf.prep_monthly_rtn(path, cut, file, post_2009) # Get Fama-French data FF, RF = cf.prep_FF_monthly(path) # Use functions get_mom_ind = lambda delay, signal: cf.get_mom_ind( stocks_month, RF, delay, signal, monthly=True) get_mom_fund = lambda delay, signal: cf.get_mom_fund( stocks_month, RF, delay, signal, monthly=True) # 0-1 ind_mom_rtn0_1, fund_mom_rtn0_1 = get_mom_ind(0, 1), get_mom_fund(0, 1) print(0.25 * int((time.time() - start_time) / 15), 'minutes so far...') # 0-3 ind_mom_rtn0_3, fund_mom_rtn0_3 = get_mom_ind(0, 3), get_mom_fund(0, 3) print(0.25 * int((time.time() - start_time) / 15), 'minutes so far...') # 1-3 ind_mom_rtn1_3, fund_mom_rtn1_3 = get_mom_ind(1, 3), get_mom_fund(1, 3) print(0.25 * int((time.time() - start_time) / 15), 'minutes so far...') # 0-6 ind_mom_rtn0_6, fund_mom_rtn0_6 = get_mom_ind(0, 6), get_mom_fund(0, 6)
folder = None # Get the month return data stocks_month = cf.prep_monthly_rtn(path, cut, file, post_2009) # Get Fama-French data FF, RF = cf.prep_FF_monthly(path) # Get duration duration = (stocks_month['DATE'].dt.year).max() - ( stocks_month['DATE'].dt.year).min() + 1 # Use functions get_mom_ind = lambda signal: cf.get_mom_ind( stocks_month, RF, 0, signal, monthly=True, sig_rtn=True) get_mom_fund = lambda signal: cf.get_mom_fund( stocks_month, RF, 0, signal, monthly=True, sig_rtn=True) get_mom_diff = lambda signal: cf.get_mom_diff( stocks_month, RF, 0, signal, monthly=True, sig_rtn=True) # Get data frame long_short = pd.DataFrame() # 0-1 ind_mom_rtn1, ind_MOM1 = get_mom_ind(1) fund_mom_rtn1, fund_MOM1 = get_mom_fund(1) diff_mom_rtn1, diff_MOM1 = get_mom_diff(1) print(0.25 * int((time.time() - start_time) / 15), 'minutes so far...') # Save results long_short[['DATE', 'ind_1']] = ind_mom_rtn1[['DATE', 'Q5-Q1']] long_short['fund_1'] = fund_mom_rtn1['Q5-Q1']
file = path + '\\Data\\weekly_fundamental_returns_fuller_cut_' + str( cut) + '.csv' # If file isn't none, in which folder should everything be place? folder = None # Get the month return data stocks_week = cf.prep_weekly_rtn(path, cut, file, post_2009) # Get Fama-French data FF, RF = cf.prep_FF_weekly(path) # Use functions get_mom_ind = lambda delay, signal: cf.get_mom_ind( stocks_week, RF, delay, signal, monthly=False) get_mom_fund = lambda delay, signal: cf.get_mom_fund( stocks_week, RF, delay, signal, monthly=False) # 0-1 ind_mom_rtn0_1, fund_mom_rtn0_1 = get_mom_ind(0, 1), get_mom_fund(0, 1) print(0.25 * int((time.time() - start_time) / 15), 'minutes so far...') # 1-1 ind_mom_rtn1_1, fund_mom_rtn1_1 = get_mom_ind(1, 1), get_mom_fund(1, 1) print(0.25 * int((time.time() - start_time) / 15), 'minutes so far...') # 0-2 ind_mom_rtn0_2, fund_mom_rtn0_2 = get_mom_ind(0, 2), get_mom_fund(0, 2) print(0.25 * int((time.time() - start_time) / 15), 'minutes so far...') # 1-2 ind_mom_rtn1_2, fund_mom_rtn1_2 = get_mom_ind(1, 2), get_mom_fund(1, 2)