How do I calculate the monthly returns over a six-month period?
There are many ways to do this.
Here is one for IDE using data.history():
# Monthly Returns
# -----------------------------------------------------
STOCK, DAYS_IN_PERIOD, N_PERIODS = symbol('SPY'), 21, 6
# -----------------------------------------------------
def initialize(context):
schedule_function(monthly_return, date_rules.month_end(), time_rules.market_close())
def monthly_return(context, data):
bars_d = (N_PERIODS + 1)*DAYS_IN_PERIOD
Monthly_Close = data.history(STOCK, 'close', bars_d, '1d').resample('M').last()
Monthly_Returns = Monthly_Close.pct_change()[-N_PERIODS:]
print Monthly_Returns
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