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Remove unneeded files
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Andrew Dinh
parent
0dcdd1049d
commit
bec100cd44
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# ExpenseRatio.py
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# Andrew Dinh
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# Python 3.6.1
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# Description:
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'''
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Asks user for expense ratio of stock (I don't think there's an API for expense ratios)
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Runs corrrelation study (I'm not sure if I want another class for this or not)
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'''
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import numpy
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#import urllib2, re
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from urllib.request import urlopen
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import re
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class ExpenseRatio:
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def __init__(self):
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def main(): # For testing purposes
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'''
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a = [1,2,3]
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b = [2,4,6]
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c = numpy.corrcoef(a, b)[0, 1]
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print(c)
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'''
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if __name__ == "__main__":
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main()
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586
StockData.py
586
StockData.py
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# StockData.py
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# Andrew Dinh
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# Python 3.6.1
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# Description: Returns all available dates and prices for each stock requested.
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import json
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import requests
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from datetime import datetime
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'''
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Available API's: Can it do mutual funds?
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IEX: No
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Alpha Vantage (AV): Yes
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Tiingo: Yes
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Barchart: No
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'''
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# Alpha Vantage API Key: O42ICUV58EIZZQMU
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# Barchart API Key: a17fab99a1c21cd6f847e2f82b592838 # Possible other one? f40b136c6dc4451f9136bb53b9e70ffa
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# Tiingo API Key: 2e72b53f2ab4f5f4724c5c1e4d5d4ac0af3f7ca8
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# Tradier API Key: n26IFFpkOFRVsB5SNTVNXicE5MPD
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# If you're going to take these API keys and abuse it, you should really reconsider your life priorities
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apiAV = 'O42ICUV58EIZZQMU'
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# apiBarchart = 'a17fab99a1c21cd6f847e2f82b592838' # 150 getHistory queries per day
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apiBarchart = 'f40b136c6dc4451f9136bb53b9e70ffa'
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apiTiingo = '2e72b53f2ab4f5f4724c5c1e4d5d4ac0af3f7ca8'
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apiTradier = 'n26IFFpkOFRVsB5SNTVNXicE5MPD'
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'''
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Monthly Bandwidth = 5 GB
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Hourly Requests = 500
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Daily Requests = 20,000
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Symbol Requests = 500
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'''
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class StockData:
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def __init__(self, newName='', newAbsFirstLastDates=[], newFinalDatesAndClose=[], newFinalDatesAndClose2=[], newAllLists=[]):
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self.name = newName # Name of stock
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# Absolute first and last dates from all sources
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self.absFirstLastDates = newAbsFirstLastDates
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# All available dates with corresponding close values
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self.finalDatesAndClose = newFinalDatesAndClose
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# After some consideration, I decided to keep what I had already done here and make a new list that's the same except dates are in datetime format
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self.finalDatesAndClose2 = newFinalDatesAndClose2
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self.allLists = newAllLists
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'''
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Format:
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# List from each source containing: [firstDate, lastDate, allDates, values, timeFrame]
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# firstDate & lastDate = '2018-12-18' (year-month-date)
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allDates = ['2018-12-17', '2018-12-14'] (year-month-date)
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values (close) = ['164.6307', 164.6307]
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timeFrame = [days, weeks, years]
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'''
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def set(self, newName, newFirstLastDates, newAbsFirstLastDates, newFinalDatesAndClose, newAllLists):
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self.name = newName # Name of stock
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# Dates that at least 2 sources have (or should it be all?) - Maybe let user decide
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self.firstLastDates = newFirstLastDates
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# Absolute first and last dates from all sources
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self.absFirstLastDates = newAbsFirstLastDates
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self.finalDatesAndClose = newFinalDatesAndClose
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self.allLists = newAllLists
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def setName(self, newName):
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self.name = newName
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def returnName(self):
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return self.name
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def returnAllLists(self):
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return self.allLists
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def returnAbsFirstLastDates(self):
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return self.absFirstLastDates
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def returnAllLists(self):
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return self.allLists
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def returnFinalDatesAndClose(self):
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return self.finalDatesAndClose
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def returnFinalDatesAndClose2(self):
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return self.finalDatesAndClose2
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def getIEX(self):
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url = ''.join(
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('https://api.iextrading.com/1.0/stock/', self.name, '/chart/5y'))
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#link = "https://api.iextrading.com/1.0/stock/spy/chart/5y"
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print("\nSending request to:", url)
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f = requests.get(url)
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json_data = f.text
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# print(json_data)
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if (json_data == 'Unknown symbol'):
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print("IEX not available")
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return 'Not available'
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loaded_json = json.loads(json_data)
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listIEX = []
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print("\nFinding first and last date")
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# Adding (firstDate, lastDate) to listIEX
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# Find firstDate (comes first)
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firstLine = loaded_json[0]
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#print("firstLine:", firstLine)
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firstDate = firstLine['date']
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# print("firstDate:",firstDate)
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# Find lastDate (comes last)
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# Returns last value of the list (Equivalent to len(loaded_json)-1)
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lastLine = loaded_json[-1]
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#print("lastLine:", lastLine)
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lastDate = lastLine['date']
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#print("last date:", lastDate)
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listIEX.append(firstDate)
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listIEX.append(lastDate)
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print(listIEX[0], ',', listIEX[1])
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print("\nFinding all dates given")
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allDates = []
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# for i in range(0, len(loaded_json), 1): # If you want to do oldest first
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for i in range(len(loaded_json)-1, -1, -1):
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line = loaded_json[i]
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date = line['date']
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allDates.append(date)
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listIEX.append(allDates)
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# print(listIEX[2])
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print(len(listIEX[2]), "dates")
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print("\nFinding close values for each date")
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values = []
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# for i in range(0, len(loaded_json), 1): # If you want to do oldest first
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for i in range(len(loaded_json)-1, -1, -1):
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line = loaded_json[i]
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value = line['close']
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values.append(value)
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listIEX.append(values)
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# print(listIEX[3])
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print(len(listIEX[3]), "close values")
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print("\nFinding time frame given [days, weeks, years]")
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timeFrame = []
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d1 = datetime.strptime(firstDate, "%Y-%m-%d")
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d2 = datetime.strptime(lastDate, "%Y-%m-%d")
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timeFrameDays = abs((d2 - d1).days)
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# print(timeFrameDays)
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timeFrameYears = float(timeFrameDays / 365)
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timeFrameWeeks = float(timeFrameDays / 7)
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timeFrame.append(timeFrameDays)
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timeFrame.append(timeFrameWeeks)
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timeFrame.append(timeFrameYears)
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listIEX.append(timeFrame)
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print(listIEX[4])
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return listIEX
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def getAV(self):
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listAV = []
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#url = ''.join(('https://www.alphavantage.co/query?function=TIME_SERIES_MONTHLY&symbol=', self.name, '&apikey=', apiAV))
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# https://www.alphavantage.co/query?function=TIME_SERIES_MONTHLY&symbol=MSFT&apikey=demo
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#url = ''.join(('https://www.alphavantage.co/query?function=TIME_SERIES_DAILY&symbol=', self.name, '&outputsize=full&apikey=', apiAV))
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# https://www.alphavantage.co/query?function=TIME_SERIES_DAILY&symbol=MSFT&outputsize=full&apikey=demo
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url = ''.join(('https://www.alphavantage.co/query?function=TIME_SERIES_DAILY_ADJUSTED&symbol=',
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self.name, '&outputsize=full&apikey=', apiAV))
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# https://www.alphavantage.co/query?function=TIME_SERIES_DAILY_ADJUSTED&symbol=MSFT&outputsize=full&apikey=demo
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print("\nSending request to:", url)
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print("(This will take a while)")
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f = requests.get(url)
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json_data = f.text
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loaded_json = json.loads(json_data)
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# print(loaded_json)
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# print(type(loaded_json)) # Dictionary
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# print(len(loaded_json))
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if len(loaded_json) == 1:
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print("Alpha Vantage not available")
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return 'Not available'
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#print(loaded_json['Monthly Time Series'])
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dailyTimeSeries = loaded_json['Time Series (Daily)']
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# print(monthlyTimeSeries)
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listOfDates = list(dailyTimeSeries)
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# print(listOfDates)
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firstDate = listOfDates[-1]
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lastDate = listOfDates[0]
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#print("firstDate:", firstDate)
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#print("lastDate:", lastDate)
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listAV.append(firstDate)
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listAV.append(lastDate)
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listAV.append(listOfDates)
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print("\nFinding first and last date")
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print(listAV[0], ',', listAV[1])
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print("\nFinding all dates given")
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# print(listAV[2])
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print(len(listAV[2]), "dates")
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print("\nFinding close values for each date")
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values = []
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for i in range(0, len(listOfDates), 1):
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temp = listOfDates[i]
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loaded_json2 = dailyTimeSeries[temp]
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#value = loaded_json2['4. close']
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value = loaded_json2['5. adjusted close']
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values.append(value)
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listAV.append(values)
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# print(listOfDates[0])
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#i = listOfDates[0]
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# print(monthlyTimeSeries[i])
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# print(listAV[3])
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print(len(listAV[3]), "close values")
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print("\nFinding time frame given [days, weeks, years]")
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timeFrame = []
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d1 = datetime.strptime(firstDate, "%Y-%m-%d")
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d2 = datetime.strptime(lastDate, "%Y-%m-%d")
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timeFrameDays = abs((d2 - d1).days)
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# print(timeFrameDays)
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timeFrameYears = float(timeFrameDays / 365)
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timeFrameWeeks = float(timeFrameDays / 7)
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timeFrame.append(timeFrameDays)
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timeFrame.append(timeFrameWeeks)
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timeFrame.append(timeFrameYears)
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listAV.append(timeFrame)
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print(listAV[4])
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return listAV
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def getTiingo(self):
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'''
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#OR we can use the token directly in the url
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headers = {
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'Content-Type': 'application/json'
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}
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requestResponse = requests.get("https://api.tiingo.com/api/test?token=<TOKEN>",
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headers=headers)
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print(requestResponse.json())
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'''
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token = ''.join(('Token ', apiTiingo))
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headers = {
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'Content-Type': 'application/json',
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'Authorization': token
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}
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url = ''.join(('https://api.tiingo.com/tiingo/daily/', self.name))
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print("\nSending request to:", url)
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requestResponse = requests.get(url, headers=headers)
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# print(requestResponse.json())
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loaded_json = requestResponse.json()
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# print(len(loaded_json))
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if len(loaded_json) == 1:
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print("Tiingo not available")
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return 'Not available'
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# print(loaded_json)
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'''
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list1 = list(loaded_json)
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for i in range (0, len(list1), 1):
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if list1[i] == 'startDate':
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startNum = i
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elif list1[i] == 'endDate':
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endNum = i
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print(list1[startNum])
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print(list1[endNum])
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'''
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listTiingo = []
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print("\nFinding first and last date")
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firstDate = loaded_json['startDate']
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lastDate = loaded_json['endDate']
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# print(firstDate)
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# print(lastDate)
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listTiingo.append(firstDate)
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listTiingo.append(lastDate)
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print(listTiingo[0], ',', listTiingo[1])
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print("\nFinding all dates given")
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dates = []
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values = [] # Used loop for finding values
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url2 = ''.join((url, '/prices?startDate=',
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firstDate, '&endDate=', lastDate))
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# https://api.tiingo.com/tiingo/daily/<ticker>/prices?startDate=2012-1-1&endDate=2016-1-1
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print("\nSending request to:", url2)
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requestResponse2 = requests.get(url2, headers=headers)
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loaded_json2 = requestResponse2.json()
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# print(loaded_json2)
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# print(len(loaded_json2))
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for i in range(len(loaded_json2)-1, -1, -1):
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line = loaded_json2[i]
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dateWithTime = line['date']
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temp = dateWithTime.split('T00:00:00.000Z')
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date = temp[0]
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dates.append(date)
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value = line['close']
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values.append(value)
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listTiingo.append(dates)
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# print(listTiingo[2])
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print(len(listTiingo[2]), "dates")
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print("Finding close values for each date")
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# Used loop from finding dates
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listTiingo.append(values)
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# print(listTiingo[3])
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print(len(listTiingo[3]), "close values")
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print("Finding time frame given [days, weeks, years]")
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timeFrame = []
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d1 = datetime.strptime(firstDate, "%Y-%m-%d")
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d2 = datetime.strptime(lastDate, "%Y-%m-%d")
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timeFrameDays = abs((d2 - d1).days)
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# print(timeFrameDays)
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timeFrameYears = float(timeFrameDays / 365)
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timeFrameWeeks = float(timeFrameDays / 7)
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timeFrame.append(timeFrameDays)
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timeFrame.append(timeFrameWeeks)
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timeFrame.append(timeFrameYears)
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listTiingo.append(timeFrame)
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print(listTiingo[4])
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return listTiingo
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def getFirstLastDate(self, listOfFirstLastDates):
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listOfFirstDates = []
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listOfLastDates = []
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# print(len(listOfFirstLastDates))
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for i in range(0, len(listOfFirstLastDates), 1):
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firstLastDates = listOfFirstLastDates[i]
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firstDate = firstLastDates[0]
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lastDate = firstLastDates[1]
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||||||
listOfFirstDates.append(firstDate)
|
|
||||||
listOfLastDates.append(lastDate)
|
|
||||||
# print(listOfFirstDates)
|
|
||||||
# print(listOfLastDates)
|
|
||||||
for i in range(0, len(listOfFirstDates), 1):
|
|
||||||
date = listOfFirstDates[i]
|
|
||||||
if i == 0:
|
|
||||||
firstDate = date
|
|
||||||
yearMonthDay = firstDate.split('-')
|
|
||||||
firstYear = yearMonthDay[0]
|
|
||||||
firstMonth = yearMonthDay[1]
|
|
||||||
firstDay = yearMonthDay[2]
|
|
||||||
else:
|
|
||||||
yearMonthDay = date.split('-')
|
|
||||||
year = yearMonthDay[0]
|
|
||||||
month = yearMonthDay[1]
|
|
||||||
day = yearMonthDay[2]
|
|
||||||
if year < firstYear or (year == firstYear and month < firstMonth) or (year == firstYear and month == firstMonth and day < firstDay):
|
|
||||||
firstDate = date
|
|
||||||
firstYear = year
|
|
||||||
firstMonth = month
|
|
||||||
firstDay = day
|
|
||||||
# print(firstDate)
|
|
||||||
if len(listOfFirstDates) > 1:
|
|
||||||
for i in range(0, len(listOfLastDates), 1):
|
|
||||||
date = listOfLastDates[i]
|
|
||||||
if i == 0:
|
|
||||||
lastDate = date
|
|
||||||
yearMonthDay = lastDate.split('-')
|
|
||||||
lastYear = yearMonthDay[0]
|
|
||||||
lastMonth = yearMonthDay[1]
|
|
||||||
lastDay = yearMonthDay[2]
|
|
||||||
else:
|
|
||||||
yearMonthDay = date.split('-')
|
|
||||||
year = yearMonthDay[0]
|
|
||||||
month = yearMonthDay[1]
|
|
||||||
day = yearMonthDay[2]
|
|
||||||
if year > lastYear or (year == lastYear and month > lastMonth) or (year == lastYear and month == lastMonth and day > lastDay):
|
|
||||||
lastDate = date
|
|
||||||
lastYear = year
|
|
||||||
lastMonth = month
|
|
||||||
lastDay = day
|
|
||||||
# print(lastDate)
|
|
||||||
absFirstLastDates = []
|
|
||||||
absFirstLastDates.append(firstDate)
|
|
||||||
absFirstLastDates.append(lastDate)
|
|
||||||
return absFirstLastDates
|
|
||||||
|
|
||||||
def getFinalDatesAndClose(self):
|
|
||||||
# finalDates and finalClose will coincide (aka i = 1 will correspond to one another)
|
|
||||||
finalDatesAndClose = [] # Will combine finalDates then finalClose
|
|
||||||
finalDates = []
|
|
||||||
finalClose = []
|
|
||||||
# print(self.absFirstLastDates)
|
|
||||||
absFirstDate = self.absFirstLastDates[0]
|
|
||||||
absLastDate = self.absFirstLastDates[1]
|
|
||||||
date = absFirstDate
|
|
||||||
|
|
||||||
allLists = self.allLists
|
|
||||||
while date != absLastDate: # DOESN'T DO LAST DATE
|
|
||||||
tempListOfClose = []
|
|
||||||
found = False
|
|
||||||
for j in range(0, len(allLists), 1): # Look for date in all lists
|
|
||||||
list1 = allLists[j]
|
|
||||||
listOfDates = list1[2]
|
|
||||||
listOfClose = list1[3]
|
|
||||||
for k in range(0, len(listOfDates), 1):
|
|
||||||
if listOfDates[k] == date:
|
|
||||||
if found == False:
|
|
||||||
finalDates.append(date)
|
|
||||||
found = True
|
|
||||||
# print(listOfDates[k])
|
|
||||||
# print(listOfClose[k])
|
|
||||||
# print(listOfClose)
|
|
||||||
tempListOfClose.append(float(listOfClose[k]))
|
|
||||||
k = len(listOfDates) # Dates don't repeat
|
|
||||||
|
|
||||||
if found == True:
|
|
||||||
sum = 0
|
|
||||||
for r in range(0, len(tempListOfClose), 1):
|
|
||||||
sum = sum + tempListOfClose[r]
|
|
||||||
close = sum/len(tempListOfClose)
|
|
||||||
|
|
||||||
finalClose.append(close)
|
|
||||||
# print(close)
|
|
||||||
|
|
||||||
# Go to the next day
|
|
||||||
yearMonthDay = date.split('-')
|
|
||||||
year = int(yearMonthDay[0])
|
|
||||||
month = int(yearMonthDay[1])
|
|
||||||
day = int(yearMonthDay[2])
|
|
||||||
|
|
||||||
day = day + 1
|
|
||||||
if day == 32 and month == 12: # Next year
|
|
||||||
day = 1
|
|
||||||
month = 1
|
|
||||||
year = year + 1
|
|
||||||
elif day == 32: # Next month
|
|
||||||
month = month + 1
|
|
||||||
day = 1
|
|
||||||
if day < 10:
|
|
||||||
day = ''.join(('0', str(day)))
|
|
||||||
if month < 10:
|
|
||||||
month = ''.join(('0', str(month)))
|
|
||||||
date = ''.join((str(year), '-', str(month), '-', str(day)))
|
|
||||||
# print(date)
|
|
||||||
|
|
||||||
# For last date
|
|
||||||
finalDates.append(date)
|
|
||||||
tempListOfClose = []
|
|
||||||
for j in range(0, len(allLists), 1): # Look for date in all lists
|
|
||||||
list1 = allLists[j]
|
|
||||||
listOfDates = list1[2]
|
|
||||||
listOfClose = list1[3]
|
|
||||||
for k in range(0, len(listOfDates), 1):
|
|
||||||
if listOfDates[k] == date:
|
|
||||||
tempListOfClose.append(float(listOfClose[k]))
|
|
||||||
k = len(listOfDates) # Dates don't repeat
|
|
||||||
sum = 0
|
|
||||||
for r in range(0, len(tempListOfClose), 1):
|
|
||||||
sum = sum + tempListOfClose[r]
|
|
||||||
close = sum/len(tempListOfClose)
|
|
||||||
finalClose.append(close)
|
|
||||||
# print(finalDates)
|
|
||||||
# print(finalClose)
|
|
||||||
|
|
||||||
# Want lists from most recent to oldest, comment this out if you don't want that
|
|
||||||
finalDates = list(reversed(finalDates))
|
|
||||||
finalClose = list(reversed(finalClose))
|
|
||||||
|
|
||||||
finalDatesAndClose.append(finalDates)
|
|
||||||
finalDatesAndClose.append(finalClose)
|
|
||||||
return finalDatesAndClose
|
|
||||||
|
|
||||||
def datetimeDates(self):
|
|
||||||
finalDatesAndClose2 = []
|
|
||||||
finalDatesAndClose = self.finalDatesAndClose
|
|
||||||
finalDatesStrings = finalDatesAndClose[0]
|
|
||||||
finalClose = finalDatesAndClose[1]
|
|
||||||
finalDates = []
|
|
||||||
|
|
||||||
from Functions import Functions
|
|
||||||
for i in range(0, len(finalDatesStrings), 1):
|
|
||||||
temp = Functions.stringToDate(finalDatesStrings[i])
|
|
||||||
finalDates.append(temp)
|
|
||||||
# print(finalDates)
|
|
||||||
|
|
||||||
finalDatesAndClose2.append(finalDates)
|
|
||||||
finalDatesAndClose2.append(finalClose)
|
|
||||||
return(finalDatesAndClose2)
|
|
||||||
|
|
||||||
def is_connected():
|
|
||||||
import socket # To check internet connection
|
|
||||||
try:
|
|
||||||
# connect to the host -- tells us if the host is actually
|
|
||||||
# reachable
|
|
||||||
socket.create_connection(("www.andrewkdinh.com", 80))
|
|
||||||
return True
|
|
||||||
except OSError:
|
|
||||||
# pass
|
|
||||||
print("\nNo internet connection!")
|
|
||||||
return False
|
|
||||||
|
|
||||||
def main(self):
|
|
||||||
print('Beginning StockData.py')
|
|
||||||
|
|
||||||
import importlib.util
|
|
||||||
import sys # To check whether a package is installed
|
|
||||||
|
|
||||||
packages = ['requests']
|
|
||||||
for i in range(0, len(packages), 1):
|
|
||||||
package_name = packages[i]
|
|
||||||
spec = importlib.util.find_spec(package_name)
|
|
||||||
if spec is None:
|
|
||||||
print(package_name + " is not installed\nPlease type in 'pip install -r requirements.txt' to install all required packages")
|
|
||||||
|
|
||||||
# Test internet connection
|
|
||||||
internetConnection = StockData.is_connected()
|
|
||||||
if internetConnection == False:
|
|
||||||
return
|
|
||||||
|
|
||||||
listOfFirstLastDates = []
|
|
||||||
self.allLists = []
|
|
||||||
|
|
||||||
print('\nNOTE: Only IEX and Alpha Vantage support adjusted returns')
|
|
||||||
print('NOTE: Only Alpha Vantage and Tiingo support mutual fund data')
|
|
||||||
|
|
||||||
# IEX
|
|
||||||
print("\nIEX")
|
|
||||||
listIEX = StockData.getIEX(self)
|
|
||||||
# print(listIEX)
|
|
||||||
if listIEX != 'Not available':
|
|
||||||
listOfFirstLastDates.append((listIEX[0], listIEX[1]))
|
|
||||||
self.allLists.append(listIEX)
|
|
||||||
|
|
||||||
# Alpha Vantage
|
|
||||||
print("\nAlpha Vantage (AV)")
|
|
||||||
listAV = StockData.getAV(self)
|
|
||||||
# print(listAV)
|
|
||||||
if listAV != 'Not available':
|
|
||||||
listOfFirstLastDates.append((listAV[0], listAV[1]))
|
|
||||||
self.allLists.append(listAV)
|
|
||||||
|
|
||||||
# COMMENTED OUT FOR NOW B/C LIMITED
|
|
||||||
'''
|
|
||||||
print("\nTiingo")
|
|
||||||
print("NOTE: Tiingo does not return adjusted returns!!")
|
|
||||||
listTiingo = StockData.getTiingo(self)
|
|
||||||
#print(listTiingo)
|
|
||||||
if listTiingo != 'Not available':
|
|
||||||
listOfFirstLastDates.append((listTiingo[0], listTiingo[1]))
|
|
||||||
self.allLists.append(listTiingo)
|
|
||||||
'''
|
|
||||||
|
|
||||||
# print(self.allLists)
|
|
||||||
# print(listOfFirstLastDates)
|
|
||||||
if (len(self.allLists) > 0):
|
|
||||||
print("\n", end='')
|
|
||||||
print(len(self.allLists), "available source(s) for", self.name)
|
|
||||||
self.absFirstLastDates = StockData.getFirstLastDate(
|
|
||||||
self, listOfFirstLastDates)
|
|
||||||
print("\nThe absolute first date with close values is:",
|
|
||||||
self.absFirstLastDates[0])
|
|
||||||
print("The absolute last date with close values is:",
|
|
||||||
self.absFirstLastDates[1])
|
|
||||||
|
|
||||||
print("\nCombining dates and averaging close values")
|
|
||||||
# Returns [List of Dates, List of Corresponding Close Values]
|
|
||||||
self.finalDatesAndClose = StockData.getFinalDatesAndClose(self)
|
|
||||||
#print("All dates available:", self.finalDatesAndClose[0])
|
|
||||||
#print("All close values:\n", self.finalDatesAndClose[1])
|
|
||||||
finalDates = self.finalDatesAndClose[0]
|
|
||||||
finalClose = self.finalDatesAndClose[1]
|
|
||||||
print(len(finalDates), "unique dates:",
|
|
||||||
finalDates[len(finalDates)-1], "...", finalDates[0])
|
|
||||||
print(len(finalClose), "close values:",
|
|
||||||
finalClose[len(finalClose)-1], "...", finalClose[0])
|
|
||||||
|
|
||||||
print("\nConverting list of final dates to datetime\n")
|
|
||||||
self.finalDatesAndClose2 = StockData.datetimeDates(self)
|
|
||||||
# print(self.finalDatesAndClose2[0][0])
|
|
||||||
|
|
||||||
else:
|
|
||||||
print("No sources have data for", self.name)
|
|
||||||
|
|
||||||
|
|
||||||
def main(): # For testing purposes
|
|
||||||
stockName = 'spy'
|
|
||||||
stock1 = StockData(stockName)
|
|
||||||
print("Finding available dates and close values for", stock1.name)
|
|
||||||
StockData.main(stock1)
|
|
||||||
|
|
||||||
|
|
||||||
if __name__ == "__main__":
|
|
||||||
main()
|
|
||||||
199
StockReturn.py
199
StockReturn.py
@ -1,199 +0,0 @@
|
|||||||
# ExpenseRatio.py
|
|
||||||
# Andrew Dinh
|
|
||||||
# Python 3.6.7
|
|
||||||
# Description:
|
|
||||||
'''
|
|
||||||
Calculates return for each stock from the lists from ExpenseRatio.py
|
|
||||||
listOfReturn = [Unadjusted Return, Sharpe Ratio, Sortino Ratio, Treynor Ratio, Jensen's Alpha]
|
|
||||||
'''
|
|
||||||
|
|
||||||
from StockData import StockData
|
|
||||||
import datetime
|
|
||||||
from Functions import Functions
|
|
||||||
|
|
||||||
|
|
||||||
class Return:
|
|
||||||
def __init__(self, newListOfReturn=[], newTimeFrame=[], newBeta=0, newStandardDeviation=0, newNegativeStandardDeviation=0, newMarketReturn=0, newSize=0, newSizeOfNeg=0, newFirstLastDates=[], newAllLists=[], newAbsFirstLastDates=''):
|
|
||||||
self.listOfReturn = newListOfReturn
|
|
||||||
self.timeFrame = newTimeFrame # [years, months (30 days)]
|
|
||||||
self.beta = newBeta
|
|
||||||
self.standardDeviation = newStandardDeviation
|
|
||||||
self.negativeStandardDeviation = newNegativeStandardDeviation
|
|
||||||
self.marketReturn = newMarketReturn
|
|
||||||
self.size = newSize
|
|
||||||
self.sizeOfNeg = newSizeOfNeg
|
|
||||||
self.firstLastDates = newFirstLastDates
|
|
||||||
|
|
||||||
def returnTimeFrame(self):
|
|
||||||
return self.timeFrame
|
|
||||||
|
|
||||||
def setTimeFrame(self, newTimeFrame):
|
|
||||||
self.timeFrame = newTimeFrame
|
|
||||||
|
|
||||||
def getFirstLastDates(self, stock):
|
|
||||||
firstLastDates = []
|
|
||||||
timeFrame = self.timeFrame
|
|
||||||
firstDate = datetime.datetime.now(
|
|
||||||
) - datetime.timedelta(days=timeFrame[0]*365)
|
|
||||||
firstDate = firstDate - datetime.timedelta(days=timeFrame[1]*30)
|
|
||||||
firstDate = ''.join(
|
|
||||||
(str(firstDate.year), '-', str(firstDate.month), '-', str(firstDate.day)))
|
|
||||||
|
|
||||||
lastDate = StockData.returnAbsFirstLastDates(stock)[1]
|
|
||||||
# print(lastDate)
|
|
||||||
firstLastDates.append(firstDate)
|
|
||||||
firstLastDates.append(lastDate)
|
|
||||||
return firstLastDates
|
|
||||||
|
|
||||||
def getFirstLastDates2(self, stock):
|
|
||||||
finalDatesAndClose = StockData.returnFinalDatesAndClose(stock)
|
|
||||||
finalDatesAndClose2 = StockData.returnFinalDatesAndClose2(stock)
|
|
||||||
firstDate = self.firstLastDates[0]
|
|
||||||
lastDate = self.firstLastDates[1]
|
|
||||||
finalDates = finalDatesAndClose[0]
|
|
||||||
|
|
||||||
firstDateExists = False
|
|
||||||
lastDateExists = False
|
|
||||||
for i in range(0, len(finalDates), 1):
|
|
||||||
if finalDates[i] == str(firstDate):
|
|
||||||
firstDateExists = True
|
|
||||||
elif finalDates[i] == lastDate:
|
|
||||||
lastDateExists = True
|
|
||||||
i = len(finalDates)
|
|
||||||
|
|
||||||
if firstDateExists == False:
|
|
||||||
print("Could not find first date. Changing first date to closest date")
|
|
||||||
tempDate = Functions.stringToDate(firstDate) # Change to datetime
|
|
||||||
print('Original first date:', tempDate)
|
|
||||||
#tempDate = datetime.date(2014,1,17)
|
|
||||||
newFirstDate = Functions.getNearest(
|
|
||||||
finalDatesAndClose2[0], tempDate)
|
|
||||||
print('New first date:', newFirstDate)
|
|
||||||
firstDate = str(newFirstDate)
|
|
||||||
|
|
||||||
if lastDateExists == False:
|
|
||||||
print("Could not find final date. Changing final date to closest date")
|
|
||||||
tempDate2 = Functions.stringToDate(lastDate) # Change to datetime
|
|
||||||
print('Original final date:', tempDate2)
|
|
||||||
#tempDate2 = datetime.date(2014,1,17)
|
|
||||||
newLastDate = Functions.getNearest(
|
|
||||||
finalDatesAndClose2[0], tempDate2)
|
|
||||||
print('New final date:', newLastDate)
|
|
||||||
lastDate = str(newLastDate)
|
|
||||||
|
|
||||||
firstLastDates = []
|
|
||||||
firstLastDates.append(firstDate)
|
|
||||||
firstLastDates.append(lastDate)
|
|
||||||
return firstLastDates
|
|
||||||
|
|
||||||
def getUnadjustedReturn(self, stock):
|
|
||||||
finalDatesAndClose = StockData.returnFinalDatesAndClose(stock)
|
|
||||||
firstDate = self.firstLastDates[0]
|
|
||||||
lastDate = self.firstLastDates[1]
|
|
||||||
finalDates = finalDatesAndClose[0]
|
|
||||||
finalClose = finalDatesAndClose[1]
|
|
||||||
|
|
||||||
for i in range(0, len(finalDates), 1):
|
|
||||||
if finalDates[i] == str(firstDate):
|
|
||||||
firstClose = finalClose[i]
|
|
||||||
elif finalDates[i] == lastDate:
|
|
||||||
lastClose = finalClose[i]
|
|
||||||
i = len(finalDates)
|
|
||||||
|
|
||||||
print('Close values:', firstClose, '...', lastClose)
|
|
||||||
fullUnadjustedReturn = float(lastClose/firstClose)
|
|
||||||
unadjustedReturn = fullUnadjustedReturn**(
|
|
||||||
1/(self.timeFrame[0]+(self.timeFrame[1])*.1))
|
|
||||||
return unadjustedReturn
|
|
||||||
|
|
||||||
def getBeta(self):
|
|
||||||
# Can be calculated with correlation
|
|
||||||
import numpy as np
|
|
||||||
|
|
||||||
finalDatesAndClose = StockData.returnFinalDatesAndClose(stock)
|
|
||||||
firstDate = self.firstLastDates[0]
|
|
||||||
lastDate = self.firstLastDates[1]
|
|
||||||
finalDates = finalDatesAndClose[0]
|
|
||||||
finalClose = finalDatesAndClose[1]
|
|
||||||
|
|
||||||
for i in range(0, len(finalDates), 1):
|
|
||||||
if finalDates[i] == str(firstDate):
|
|
||||||
firstClose = finalClose[i]
|
|
||||||
|
|
||||||
# list1 =
|
|
||||||
list2 = [1, 2, 4, 1]
|
|
||||||
|
|
||||||
print(numpy.corrcoef(list1, list2)[0, 1])
|
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||||||
|
|
||||||
# def getStandardDeviation(self, timeFrame):
|
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||||||
|
|
||||||
def mainBenchmark(self, stock):
|
|
||||||
print('Beginning StockReturn.py')
|
|
||||||
|
|
||||||
# Find date to start from and last date
|
|
||||||
self.timeFrame = []
|
|
||||||
self.listOfReturn = []
|
|
||||||
|
|
||||||
print("\nPlease enter a time frame in years: ", end='')
|
|
||||||
#timeFrameYear = int(input())
|
|
||||||
timeFrameYear = 5
|
|
||||||
print(timeFrameYear)
|
|
||||||
self.timeFrame.append(timeFrameYear)
|
|
||||||
print("Please enter a time frame in months (30 days): ", end='')
|
|
||||||
#timeFrameMonth = int(input())
|
|
||||||
timeFrameMonth = 0
|
|
||||||
print(timeFrameMonth)
|
|
||||||
self.timeFrame.append(timeFrameMonth)
|
|
||||||
# print(self.timeFrame)
|
|
||||||
self.firstLastDates = Return.getFirstLastDates(self, stock)
|
|
||||||
print('Dates: ', self.firstLastDates)
|
|
||||||
|
|
||||||
print('\nMaking sure dates are within list...')
|
|
||||||
self.firstLastDates = Return.getFirstLastDates2(self, stock)
|
|
||||||
print('New dates: ', self.firstLastDates)
|
|
||||||
|
|
||||||
print('\nGetting unadjusted return')
|
|
||||||
unadjustedReturn = Return.getUnadjustedReturn(self, stock)
|
|
||||||
self.listOfReturn.append(unadjustedReturn)
|
|
||||||
print('Average annual return for the past',
|
|
||||||
self.timeFrame[0], 'years and', self.timeFrame[1], 'months: ', end='')
|
|
||||||
print((self.listOfReturn[0]-1)*100, '%', sep='')
|
|
||||||
|
|
||||||
def main(self, stock):
|
|
||||||
print('Beginning StockReturn.py')
|
|
||||||
|
|
||||||
# Find date to start from and last date
|
|
||||||
self.listOfReturn = []
|
|
||||||
|
|
||||||
self.firstLastDates = Return.getFirstLastDates(self, stock)
|
|
||||||
print('Dates: ', self.firstLastDates)
|
|
||||||
|
|
||||||
print('\nMaking sure dates are within list...')
|
|
||||||
self.firstLastDates = Return.getFirstLastDates2(self, stock)
|
|
||||||
print('New dates: ', self.firstLastDates)
|
|
||||||
|
|
||||||
print('\nGetting unadjusted return')
|
|
||||||
unadjustedReturn = Return.getUnadjustedReturn(self, stock)
|
|
||||||
self.listOfReturn.append(unadjustedReturn)
|
|
||||||
print('Average annual return for the past',
|
|
||||||
self.timeFrame[0], 'years and', self.timeFrame[1], 'months: ', end='')
|
|
||||||
print((self.listOfReturn[0]-1)*100, '%', sep='')
|
|
||||||
|
|
||||||
#print('\nGetting beta')
|
|
||||||
#beta = Return.getBeta(self, stock)
|
|
||||||
|
|
||||||
|
|
||||||
def main():
|
|
||||||
stockName = 'spy'
|
|
||||||
stock1 = StockData(stockName)
|
|
||||||
print("Finding available dates and close values for", stock1.name)
|
|
||||||
StockData.main(stock1)
|
|
||||||
|
|
||||||
stock1Return = Return()
|
|
||||||
Return.setTimeFrame(stock1Return, [5, 0])
|
|
||||||
|
|
||||||
Return.main(stock1Return, stock1)
|
|
||||||
|
|
||||||
|
|
||||||
if __name__ == "__main__":
|
|
||||||
main()
|
|
||||||
Loading…
Reference in New Issue
Block a user