def linearRegression(self):
if self.__regressioned:
return
if not self.__benchmarkValues:
self.__benchmarkValues = YahooFinance().getHistoricalPrices(self.__benchmark, self.__dateValues[0].date, self.__dateValues[-1].date)
tradeSuspended = False
if 0 in map(lambda x: float(x.adjClose), self.__dateValues):
tradeSuspended = True
#filter out date tha't not in both stock and benchmark
dateSet = set([dateValue.date for dateValue in self.__dateValues]) & set([dateValue.date for dateValue in self.__benchmarkValues])
self.__dateValues = filter(lambda dateValue: dateValue.date in dateSet, self.__dateValues)
self.__benchmarkValues = filter(lambda dateValue: dateValue.date in dateSet, self.__benchmarkValues)
if len(self.__dateValues) <= 1 or tradeSuspended:
msg = "Not enought dateValues" if len(self.__dateValues) <= 1 else "trade suspended"
LOG.debug(msg)
self.__beta = 0
self.__alpha = 0
self.__regressioned = True
return
try:
x = [float(self.__benchmarkValues[index + 1].adjClose)/float(self.__benchmarkValues[index].adjClose) for index in range(len(self.__benchmarkValues) - 1)]
y = [float(self.__dateValues[index + 1].adjClose)/float(self.__dateValues[index].adjClose) for index in range(len(self.__dateValues) - 1)]
(self.__beta, self.__alpha) = numpy.polyfit(x, y, 1)
self.__regressioned = True
except BaseException as excep:
raise UfException(Errors.UNKNOWN_ERROR, "stockMeasurement.linearRegression got unknown error %s" % excep)
def __buildExl(self, stock, workbook):
''' get one stock historical data and store it '''
try:
ws = workbook.add_sheet(stock)
#get data
yahooFinance = YahooFinance()
allData = yahooFinance.getHistoricalPrices(stock, self.__startDate,
self.__endDate)
for col, field in enumerate(
['date', 'open', 'high', 'low', 'close', 'volume',
'adjClose']):
ws.write(0, col, field)
for row, data in enumerate(allData):
for col, field in enumerate([
'date', 'open', 'high', 'low', 'close', 'volume',
'adjClose'
]):
ws.write(row + 1, col, getattr(data, field))
except UfException as excp:
raise excp
except Exception:
raise UfException(
Errors.UNKNOWN_ERROR,
"historicalStorage.__buildExl got unknown error %s" %
traceback.print_exc())
def buildBenchmarkValues():
print "Building BenchmarkValues"
for key in benchmarks.values():
benchmarkValues[key] = YahooFinance().getHistoricalPrices(
key, '19010101', '20130101')
time.sleep(1)
print "BenchmarkValues %s built" % benchmarkValues.keys()
def __init__(self):
''' Constructor '''
super(HistoricalDataFeeder, self).__init__()
self.__yahooFinance = YahooFinance()
