Computing YTD equity % returns in Quantopian Notebook

Quantopian's community platform is shutting down. Please read this post for more information and download your code.

Back to Community

Computing YTD equity % returns in Quantopian Notebook

posted Aug 20, 2018

Hello, I am trying to come up with a way to compute YTD stock price % returns and later on, 6,3, and 1 month returns on stock equities. I believe that you would be able to compare the returns if the start date and end date were a year apart and you compared the pipeline output from the first and last day...but this seems very computationally expensive.

I also considered having two pipelines pull up snapshots of certain days, but this feels very redundant and not a good idea...

Is there anything in Fundamentals or USEquityPricing that can let me compute this information so that I can have this all in the pipeline dataframe output?

2 responses

Not sure if this is exactly what you want...

Use the 'resample' method to get the 1mo, 3mo,and annual returns. Something like this.

prices = get_pricing([msft, ibm], start_date="2016-1-1", end_date="2018-2-1", fields=['price'], frequency='daily')  
prices_first_of_the_month = prices.price.resample('M', label='left', loffset='1d').first()  
monthly_returns = prices.price.resample('M', label='left', loffset='1d').first().pct_change()

You will want to play around with how prices are filled in the case that the first isn't a trading day. See attached notebook.

Good luck.

This code for IDE may help you.

# ------------------------------------------  
stk, m1, m3, m6 = symbol('QQQ'), 21, 63, 126  
# ------------------------------------------  
def initialize(context):  
    schedule_function(record_returns, date_rules.month_start(), time_rules.market_open(minutes = 35))

def record_returns(context, data):  
    R_m1 = data.history(stk, 'price', m1 + 1, '1d').pct_change(m1)[-1]  
    R_m3 = data.history(stk, 'price', m3 + 1, '1d').pct_change(m3)[-1]  
    R_m6 = data.history(stk, 'price', m6 + 1, '1d').pct_change(m6)[-1] 

    record(R_m1 = R_m1, R_m3 = R_m3, R_m6 = R_m6)

You've successfully submitted a support ticket.

Our support team will be in touch soon.

Need help? Contact support.

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

About Quantopian

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.