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Correlation
Kean Lin Sin
posted Jun 23, 2015

HI,

Trying to calculate correlation coefficient(based on closed price) from a basket of security created from set_universe. dollarvolumeuniverse, ie: appl & google,google & ibm, ibm&appl, etc...

Using numpy corrcoef to do so.

context.cl_price_history =( history (bar_count=2, frequency='1d',field='close_price'))
cor=np.corrcoef(context.cl_price_history )

However, i don't get the correlation matrix, only a correlation between two appl & google for say.

Pls input on what should i do to have the matrix.

Thanks

1 response
James Christopher
Jun 23, 2015

Don't use numpy corrcoef, use the Pandas built in!

price_history = history(10, "1d", "close_price")  
corr_matrix = price_history.corr()

That will give you a correlation matrix for the SIDs in the history dataframe!

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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.