There are two functions for getting returns similar to get_pricing
. These are returns
and log_returns
and can be used within notebooks (and not algos). There is documentation on them here and here. So, something like this will work
# First need to import the pricing and returns functions
from quantopian.research import get_pricing, returns, log_returns
# Set parameters
symbol = ["UAL","IBM"]
start = "2019-01-02"
end = "2020-10-16"
# Get prices and returns
prices = get_pricing(symbol, start_date=start, end_date=end, fields="price")
returns_1_day = returns(symbol, start=start, end=end, periods=1, price_field='price')
log_returns_1_day = log_returns(symbol, start=start, end=end, periods=1, price_field='price')
Attached is a notebook showing this in action. Good luck!
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