def index(request):
# variables to give inputs
start_year = "2007-01-1"
end_year = "2008-01-31"
input_price = 500000
time_period = "Q"
#set BYearEnd as Buisness year end function
BuisnessYearEnd = BYearEnd()
# obtain the start year
# start_year = raw_input("enter start year")+str("-01-1")
#Last buisness day of previous year
start_year = BuisnessYearEnd.rollback(start_year)
# obtain the end year
# end_year = raw_input("enter end year")+str("-01-31")
#Last buisness day of current year
end_year = BuisnessYearEnd.rollback(end_year)
# input_price = input("enter the input price")
# time_period = raw_input(" W for weekly, M for monthly, Q for quarterly, A for yearly")
number_of_stocks = int(input("enter the number of stocks"))
print(start_year.date(), end_year)
stock_symbols = stocks(number_of_stocks)
# assign weights
weights = assign_weights(start_year, end_year, time_period, stock_symbols)
weighted_returns(start_year, end_year, input_price, stock_symbols, weights,
time_period)
return render(request, 'index.html')
class TestBYearEndLagged(Base):
_offset = BYearEnd
def test_bad_month_fail(self):
msg = "Month must go from 1 to 12"
with pytest.raises(ValueError, match=msg):
BYearEnd(month=13)
with pytest.raises(ValueError, match=msg):
BYearEnd(month=0)
offset_cases = []
offset_cases.append(
(
BYearEnd(month=6),
{
datetime(2008, 1, 1): datetime(2008, 6, 30),
datetime(2007, 6, 30): datetime(2008, 6, 30),
},
)
)
offset_cases.append(
(
BYearEnd(n=-1, month=6),
{
datetime(2008, 1, 1): datetime(2007, 6, 29),
datetime(2007, 6, 30): datetime(2007, 6, 29),
},
)
)
@pytest.mark.parametrize("case", offset_cases)
def test_offset(self, case):
offset, cases = case
for base, expected in cases.items():
assert_offset_equal(offset, base, expected)
def test_roll(self):
offset = BYearEnd(month=6)
date = datetime(2009, 11, 30)
assert offset.rollforward(date) == datetime(2010, 6, 30)
assert offset.rollback(date) == datetime(2009, 6, 30)
on_offset_cases = [
(BYearEnd(month=2), datetime(2007, 2, 28), True),
(BYearEnd(month=6), datetime(2007, 6, 30), False),
]
@pytest.mark.parametrize("case", on_offset_cases)
def test_is_on_offset(self, case):
offset, dt, expected = case
assert_is_on_offset(offset, dt, expected)
def calculate_ytd_perf(self):
'''Return Ytd Performance (float)'''
date = self.get_computation_date() - BYearEnd()
while not cal.is_working_day(date):
date = date - timedelta(days=1)
return (float(self.get_nav().tail(n=1)) / self.get_nav().loc[date] -
1) * 100
class TestBYearEnd(Base):
_offset = BYearEnd
offset_cases = []
offset_cases.append((BYearEnd(), {
datetime(2008, 1, 1): datetime(2008, 12, 31),
datetime(2008, 6, 30): datetime(2008, 12, 31),
datetime(2008, 12, 31): datetime(2009, 12, 31),
datetime(2005, 12, 30): datetime(2006, 12, 29),
datetime(2005, 12, 31): datetime(2006, 12, 29)
}))
offset_cases.append((BYearEnd(0), {
datetime(2008, 1, 1): datetime(2008, 12, 31),
datetime(2008, 6, 30): datetime(2008, 12, 31),
datetime(2008, 12, 31): datetime(2008, 12, 31),
datetime(2005, 12, 31): datetime(2006, 12, 29)
}))
offset_cases.append((BYearEnd(-1), {
datetime(2007, 1, 1): datetime(2006, 12, 29),
datetime(2008, 6, 30): datetime(2007, 12, 31),
datetime(2008, 12, 31): datetime(2007, 12, 31),
datetime(2006, 12, 29): datetime(2005, 12, 30),
datetime(2006, 12, 30): datetime(2006, 12, 29),
datetime(2007, 1, 1): datetime(2006, 12, 29)
}))
offset_cases.append((BYearEnd(-2), {
datetime(2007, 1, 1): datetime(2005, 12, 30),
datetime(2008, 6, 30): datetime(2006, 12, 29),
datetime(2008, 12, 31): datetime(2006, 12, 29)
}))
@pytest.mark.parametrize('case', offset_cases)
def test_offset(self, case):
offset, cases = case
for base, expected in compat.iteritems(cases):
assert_offset_equal(offset, base, expected)
on_offset_cases = [(BYearEnd(), datetime(2007, 12, 31), True),
(BYearEnd(), datetime(2008, 1, 1), False),
(BYearEnd(), datetime(2006, 12, 31), False),
(BYearEnd(), datetime(2006, 12, 29), True)]
@pytest.mark.parametrize('case', on_offset_cases)
def test_onOffset(self, case):
offset, dt, expected = case
assert_onOffset(offset, dt, expected)
class TestBYearEndLagged(Base):
_offset = BYearEnd
def test_bad_month_fail(self):
pytest.raises(Exception, BYearEnd, month=13)
pytest.raises(Exception, BYearEnd, month=0)
offset_cases = []
offset_cases.append((BYearEnd(month=6), {
datetime(2008, 1, 1): datetime(2008, 6, 30),
datetime(2007, 6, 30): datetime(2008, 6, 30)
}))
offset_cases.append((BYearEnd(n=-1, month=6), {
datetime(2008, 1, 1): datetime(2007, 6, 29),
datetime(2007, 6, 30): datetime(2007, 6, 29)
}))
@pytest.mark.parametrize('case', offset_cases)
def test_offset(self, case):
offset, cases = case
for base, expected in compat.iteritems(cases):
assert_offset_equal(offset, base, expected)
def test_roll(self):
offset = BYearEnd(month=6)
date = datetime(2009, 11, 30)
assert offset.rollforward(date) == datetime(2010, 6, 30)
assert offset.rollback(date) == datetime(2009, 6, 30)
on_offset_cases = [(BYearEnd(month=2), datetime(2007, 2, 28), True),
(BYearEnd(month=6), datetime(2007, 6, 30), False)]
@pytest.mark.parametrize('case', on_offset_cases)
def test_onOffset(self, case):
offset, dt, expected = case
assert_onOffset(offset, dt, expected)
'AS-JAN' : YearBegin(month=1),
'AS' : YearBegin(month=1),
'AS-FEB' : YearBegin(month=2),
'AS-MAR' : YearBegin(month=3),
'AS-APR' : YearBegin(month=4),
'AS-MAY' : YearBegin(month=5),
'AS-JUN' : YearBegin(month=6),
'AS-JUL' : YearBegin(month=7),
'AS-AUG' : YearBegin(month=8),
'AS-SEP' : YearBegin(month=9),
'AS-OCT' : YearBegin(month=10),
'AS-NOV' : YearBegin(month=11),
'AS-DEC' : YearBegin(month=12),
# Annual - Business
'BA-JAN' : BYearEnd(month=1),
'BA-FEB' : BYearEnd(month=2),
'BA-MAR' : BYearEnd(month=3),
'BA-APR' : BYearEnd(month=4),
'BA-MAY' : BYearEnd(month=5),
'BA-JUN' : BYearEnd(month=6),
'BA-JUL' : BYearEnd(month=7),
'BA-AUG' : BYearEnd(month=8),
'BA-SEP' : BYearEnd(month=9),
'BA-OCT' : BYearEnd(month=10),
'BA-NOV' : BYearEnd(month=11),
'BA-DEC' : BYearEnd(month=12),
'BA' : BYearEnd(month=12),
# Annual - Business (Start)
'BAS-JAN' : BYearBegin(month=1),
def test_bad_month_fail(self):
msg = "Month must go from 1 to 12"
with pytest.raises(ValueError, match=msg):
BYearEnd(month=13)
with pytest.raises(ValueError, match=msg):
BYearEnd(month=0)
def test_misspecified(self):
msg = "Month must go from 1 to 12"
with pytest.raises(ValueError, match=msg):
BYearBegin(month=13)
with pytest.raises(ValueError, match=msg):
BYearEnd(month=13)
def test_roll(self):
offset = BYearEnd(month=6)
date = datetime(2009, 11, 30)
assert offset.rollforward(date) == datetime(2010, 6, 30)
assert offset.rollback(date) == datetime(2009, 6, 30)
def returns(ts, calc_type='D', force=False):
""" Calculate returns time series of returns for various time windows.
:param ts: :py:obj:`TimeSeries`, :py:obj:`pandas.Series`, :py:obj:`pandas.DataFrame`
Time series whose returns will be calculated.
:param calc_type: {'D', 'W', 'M', '6M', 'Y', '3Y', 'WTD', 'MTD', 'YTD', 'SI'}, optional
The time window for return calculation. Default is 'D' (daily returns).
:param force: bool, optional
Backward-fill missing data. Default is False.
:return :py:obj:`pandas.Series`, :py:obj:`pandas.DataFrame`
Series or DataFrame of returns.
"""
if isinstance(ts, TimeSeries):
df = ts.ts_values
else:
df = ts
if df.empty:
return df
first_index = df.first_valid_index()
last_index = df.last_valid_index()
def array_return(x):
return x[-1] / x[0] - 1
def one_month_ago(x):
return to_datetime(to_ql_date(x) - ql.Period(1, ql.Months))
def six_months_ago(x):
return to_datetime(to_ql_date(x) - ql.Period(6, ql.Months))
calc_type = calc_type.upper()
if calc_type == 'D':
return df.pct_change()
elif calc_type == 'W':
df = df.reindex()
return df.resample(BDay()).fillna(method='pad').rolling(
6, min_periods=2).apply(array_return)
elif calc_type == 'M':
one_month_ago = df.index.map(one_month_ago)
df_one_month_ago = df.reindex(one_month_ago, method='pad')
if force:
df_one_month_ago = df_one_month_ago.fillna(df.loc[first_index])
return pd.Series(index=df.index,
data=df.values / df_one_month_ago.values) - 1
elif calc_type == '6M':
six_months_ago = df.index.map(six_months_ago)
df_six_months_ago = df.reindex(six_months_ago, method='pad')
if force is True:
df_six_months_ago = df_six_months_ago.fillna(df.loc[first_index])
return pd.Series(index=df.index,
data=df.values / df_six_months_ago.values) - 1
elif calc_type == 'Y':
one_year_ago = df.index - pd.DateOffset(years=1)
df_one_year_ago = df.reindex(one_year_ago, method='pad')
if force is True:
df_one_year_ago = df_one_year_ago.fillna(df.loc[first_index])
return pd.Series(index=df.index,
data=df.values / df_one_year_ago.values) - 1
elif calc_type == '3Y':
three_years_ago = df.index - pd.dateOffset(years=3)
df_three_years_ago = df.reindex(three_years_ago, method='pad')
if force:
df_three_years_ago = df_three_years_ago.fillna(df.loc[first_index])
return pd.Series(index=df.index,
data=df.values / df_three_years_ago.values) - 1
elif calc_type == 'WTD':
index = pd.date_range(first_index, last_index, freq=Week(weekday=4))
df_week_end = df.reindex(index, method='pad').reindex(df.index,
method='pad')
return df / df_week_end - 1
elif calc_type == 'MTD':
index = pd.date_range(first_index, last_index, freq=BMonthEnd())
df_month_end = df.reindex(index, method='pad').reindex(df.index,
method='pad')
return df / df_month_end - 1
elif calc_type == 'YTD':
index = pd.date_range(first_index, last_index, freq=BYearEnd())
df_year_end = df.reindex(index, method='pad').reindex(df.index,
method='pad')
return df / df_year_end - 1
elif calc_type == 'SI':
return df / df.loc[first_index] - 1
class TestBYearEnd(Base):
_offset: type[YearOffset] = BYearEnd
offset_cases = []
offset_cases.append(
(
BYearEnd(),
{
datetime(2008, 1, 1): datetime(2008, 12, 31),
datetime(2008, 6, 30): datetime(2008, 12, 31),
datetime(2008, 12, 31): datetime(2009, 12, 31),
datetime(2005, 12, 30): datetime(2006, 12, 29),
datetime(2005, 12, 31): datetime(2006, 12, 29),
},
)
)
offset_cases.append(
(
BYearEnd(0),
{
datetime(2008, 1, 1): datetime(2008, 12, 31),
datetime(2008, 6, 30): datetime(2008, 12, 31),
datetime(2008, 12, 31): datetime(2008, 12, 31),
datetime(2005, 12, 31): datetime(2006, 12, 29),
},
)
)
offset_cases.append(
(
BYearEnd(-1),
{
datetime(2007, 1, 1): datetime(2006, 12, 29),
datetime(2008, 6, 30): datetime(2007, 12, 31),
datetime(2008, 12, 31): datetime(2007, 12, 31),
datetime(2006, 12, 29): datetime(2005, 12, 30),
datetime(2006, 12, 30): datetime(2006, 12, 29),
datetime(2007, 1, 1): datetime(2006, 12, 29),
},
)
)
offset_cases.append(
(
BYearEnd(-2),
{
datetime(2007, 1, 1): datetime(2005, 12, 30),
datetime(2008, 6, 30): datetime(2006, 12, 29),
datetime(2008, 12, 31): datetime(2006, 12, 29),
},
)
)
@pytest.mark.parametrize("case", offset_cases)
def test_offset(self, case):
offset, cases = case
for base, expected in cases.items():
assert_offset_equal(offset, base, expected)
on_offset_cases = [
(BYearEnd(), datetime(2007, 12, 31), True),
(BYearEnd(), datetime(2008, 1, 1), False),
(BYearEnd(), datetime(2006, 12, 31), False),
(BYearEnd(), datetime(2006, 12, 29), True),
]
@pytest.mark.parametrize("case", on_offset_cases)
def test_is_on_offset(self, case):
offset, dt, expected = case
assert_is_on_offset(offset, dt, expected)
