def getData(self, tickers) : settings = Settings() dp = TimeSeries(settings).get_agg_ETF_data(tickers) dp = dp.fillna(method='pad', axis=0) dp = dp.fillna(method='bfill', axis=0) dp = dp.dropna() dp = dp.reindex_axis(['open', 'high', 'low', 'close', 'volume', 'price'], axis=2) return dp
#'GOOG/NYSE_VNQ', # Vanguard MSCI US Reits 'GOOG/NYSE_IYR', # iShares U.S. Real Estate ETF 'GOOG/NYSE_RWX', # SPDR DJ Wilshire Intl Real Estate ETF 'GOOG/NYSEARCA_TLT', # 20 Years Treasury ETF 'GOOG/NYSEARCA_TLH', # 15-20 Years Treasury 'GOOG/AMEX_GSG', # GSCI Commodity-Indexed Trust Fund 'GOOG/NYSEARCA_GLD' # SPDR Gold ETF ] settings = Settings() dp = TimeSeries(settings).get_agg_data(tickers) dp = dp.fillna(method='pad', axis=0) dp = dp.fillna(method='bfill', axis=0) dp = dp[:,:,:] dp[:, :,'price'].plot(figsize=[20,10]) df_rets = dp[:,:,'price'].pct_change().dropna()
sector_tickers = [ 'GOOG/NYSEARCA_XLB', 'GOOG/NYSEARCA_XLE', 'GOOG/NYSEARCA_XLF', 'GOOG/NYSEARCA_XLI', 'GOOG/NYSEARCA_XLK', 'GOOG/NYSEARCA_XLP', 'GOOG/NYSEARCA_XLU', 'GOOG/NYSEARCA_XLV', 'GOOG/NYSEARCA_XLY' ] bm_tickers = [ 'GOOG/NYSE_SPY', 'GOOG/NYSEARCA_TLT', 'GOOG/NYSEARCA_GLD' #gold ] settings = Settings() dp = TimeSeries(settings).get_agg_data(sector_tickers + bm_tickers) dp = dp.fillna(method='pad', axis=0) dp = dp.fillna(method='bfill', axis=0) dp = dp[:, '2000-01-01'::, :] dp = dp.dropna() rets = pd.DataFrame() rets[1] = Momentum_Sector_Rotation(dp).run_trading().portfolio_value #rets[1] = Portfolio1(dp).run_trading().portfolio_value #rets[2] = Portfolio2(dp).run_trading().portfolio_value # rets[3] = Portfolio3(dp).run_trading().portfolio_value # rets[4] = Portfolio4(dp).run_trading().portfolio_value # rets[5] = Portfolio5(dp).run_trading().portfolio_value # # rets[6] = Portfolio6(dp).run_trading().portfolio_value # rets[7] = Momentum(dp).run_trading().portfolio_vlaue rets.plot(figsize=[20, 12])