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misc example code: longshort.pyΒΆ

[source code]

"""
Illustrate the rec array utility funcitons by loading prices from a
csv file, computing the daily returns, appending the results to the
record arrays, joining on date
"""
import urllib
import numpy as np
import matplotlib.pyplot as plt
import matplotlib.mlab as mlab

# grab the price data off yahoo
u1 = urllib.urlretrieve('http://ichart.finance.yahoo.com/table.csv?s=AAPL&d=9&e=14&f=2008&g=d&a=8&b=7&c=1984&ignore=.csv')
u2 = urllib.urlretrieve('http://ichart.finance.yahoo.com/table.csv?s=GOOG&d=9&e=14&f=2008&g=d&a=8&b=7&c=1984&ignore=.csv')

# load the CSV files into record arrays
r1 = mlab.csv2rec(file(u1[0]))
r2 = mlab.csv2rec(file(u2[0]))

# compute the daily returns and add these columns to the arrays
gains1 = np.zeros_like(r1.adj_close)
gains2 = np.zeros_like(r2.adj_close)
gains1[1:] = np.diff(r1.adj_close)/r1.adj_close[:-1]
gains2[1:] = np.diff(r2.adj_close)/r2.adj_close[:-1]
r1 = mlab.rec_append_fields(r1, 'gains', gains1)
r2 = mlab.rec_append_fields(r2, 'gains', gains2)

# now join them by date; the default postfixes are 1 and 2.  The
# default jointype is inner so it will do an intersection of dates and
# drop the dates in AAPL which occurred before GOOG started trading in
# 2004.  r1 and r2 are reverse ordered by date since Yahoo returns
# most recent first in the CSV files, but rec_join will sort by key so
# r below will be properly sorted
r = mlab.rec_join('date', r1, r2)


# long appl, short goog
g = r.gains1-r.gains2
tr = (1+g).cumprod()  # the total return

# plot the return
fig, ax = plt.subplots()
ax.plot(r.date, tr)
ax.set_title('total return: long APPL, short GOOG')
ax.grid()
fig.autofmt_xdate()
plt.show()

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