It must be quite simple but i didn't manage to do it
How can I calculate the daily returns for the last X days?
I got
context.securities = symbols('AAPL', 'GOOG')
hist = history(80, '1d','close_price')
How can I get the average daily returns of the last 60 days in those securities?
And the average daily std?
Thanks!
Hi,
The method I know is using ROCP and STDDEV function of TA-library but pandas offers such possibility as well.
Enter something like
def ROCP(symbols, periods):
return talib.ROCP(symbols, periods)*100 and call it with
if ROCP(spy, 20)[-1] > etc Here is an example of getting the returns (both simple and log). It then get the average and standard deviation of the returns over the period. I multiplied them by 100 to record the results. I also used SPY instead of GOOG because Googles split means the GOOG ticker hasn't existed for very long. Hope this helps you out.
David
I see this is an older post, but just an fyi if anyone refers to it, note that I believe apple=avg_simple_return[symbol('AAPL')]*100 (including the preceding lines of code) is the same as apple = data[symbol('AAPL')].returns()*100 without all of those extra line of code. Maybe the return function was not available at that point when the above workaround code posted (adjust days as needed).
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