def _get(cls, df, positions, initial_capital):
target = 'Adj Close'
# Initialize the portfolio with value owned
ret = positions.multiply(df[target], axis=0)
# Store the difference in shares owned
pos_diff = positions.diff()
ret['holdings'] = (positions.multiply(df[target], axis=0)).sum(axis=1)
ret['cash'] = initial_capital - (pos_diff.multiply(
df[target], axis=0)).sum(axis=1).cumsum()
ret['total'] = ret['cash'] + ret['holdings']
ret['returns'] = FINANCE.getDailyReturns(ret['total'])
return ret
def by_quarter(cls, data):
year_to_year = {}
for month, year, dataSeries in cls.group_by_month(data):
quarter = 1
if month in [4, 5, 6]: quarter = 2
elif month in [7, 8, 9]: quarter = 3
elif month in [10, 11, 12]: quarter = 4
percent = FINANCE.getDailyReturns(dataSeries)
percent = percent.fillna(0)
if len(percent) == 0: continue
if quarter not in year_to_year:
year_to_year[quarter] = pd.DataFrame(percent)
else:
init = len(year_to_year[quarter])
year_to_year[quarter] = year_to_year[quarter].append(percent)
if init == len(year_to_year[quarter]):
raise ValueError("dataframe did not append")
return year_to_year