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<h1>misc example code: longshort.py<a class="headerlink" href="#misc-example-code-longshort-py" title="Permalink to this headline">¶</a></h1>

[<a class="reference external" href="longshort.py">source code</a>]

<div class="highlight-default"><div class="highlight"><pre>"""

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()

</pre></div>

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Keywords: python, matplotlib, pylab, example, codex (see <a class="reference internal" href="../../faq/howto_faq.html#how-to-search-examples">Search examples</a>)

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