import pandas as pd
import numpy as np
import pickle
from scipy import stats
import os
from dateutil.tz import tzutc
from dateutil.parser import parse
import statsmodels.api as sm
from alphacompiler.util.zipline_data_tools import fast_corr, fast_cov
SECTOR_ETF_RETURNS_FILE = '../data/sector_etf_returns.csv' # todo: put this in constants file
MAPPING_FILE = '../data/sector_mappings.pkl'
NUM_SEC = 20 # Number of securities per side (long or short)
SPY_PATH = "%s/data/SPY.csv" % zipline_root()
GICSNAME2ETF = {
'Energy': 'XLE',
'Materials': 'XLB',
'Industrials': 'XLI',
'Consumer Discretionary': 'XLY',
'Consumer Staples': 'XLP',
'Health Care': 'XLV',
'Financials': 'XLF',
'Information Technology': 'XLK',
'Communication Services': 'IYZ',
'Utilities': 'XLU',
'Real Estate': 'IYR',
'Unmappable': 'SPY'
}
def __init__(self, *args, **kwargs):
super(Fundamentals, self).__init__(*args, **kwargs)
self.N = len(get_ticker_sid_dict_from_bundle(
"sep")) + 1 # max(sid)+1 get this from the bundle
self.data_path = zipline_root() + '/data/SF1.npy'
Created by Peter Harrington (pbharrin) on 8/5/19.
"""
import pandas as pd
import numpy as np
from alphacompiler.util.zipline_data_tools import get_ticker_sid_dict_from_bundle
from zipline.data.bundles.core import register
from alphacompiler.util.database_util import create_static_table_from_database
from zipline.utils.paths import zipline_root
TICKER_FILE = '/Users/peterharrington/Downloads/SHARADAR_TICKERS_6cc728d11002ab9cb99aa8654a6b9f4e.csv'
BUNDLE_NAME = 'sep'
ZIPLINE_DATA_DIR = zipline_root() + '/data/'
SID_FILE = "SHARDAR_sectors.npy" # persisted np.array
STATIC_FILE = "SHARDAR_static.npy" # persisted np.array
SECTOR_CODING = {
'Technology': 0,
'Industrials': 1,
'Energy': 2,
'Utilities': 3,
'Consumer Cyclical': 4,
'Healthcare': 5,
'Financial Services': 6,
'Basic Materials': 7,
'Consumer Defensive': 8,
'Real Estate': 9,
'Communication Services': 10,
import datetime
import quandl
import os
from zipline.data.bundles.core import load
import pandas as pd
import numpy as np
from zipline.utils.paths import zipline_root
from logbook import Logger, StderrHandler
from alphacompiler.util import quandl_tools
from alphacompiler.util.sparse_data import SparseDataFactor
import pickle
KERNEL_BUNDLE = 'sharadar-prices'
DATA_FILE = zipline_root(
) + '/data/SF1.npy' # the file name to be used when storing this in ~/.zipline/data
FUNDAMENTAL_FIELDS_FILE = zipline_root() + '/data/SF1.pkl'
log = Logger('quandl_fundamentals.py')
class Fundamentals(SparseDataFactor):
try:
with open(FUNDAMENTAL_FIELDS_FILE, 'rb') as f:
outputs = pickle.load(f)
except:
outputs = []
def __init__(self, *args, **kwargs):
super(Fundamentals, self).__init__(*args, **kwargs)
self.N = len(get_tickers_from_bundle(KERNEL_BUNDLE))
self.data_path = DATA_FILE