Newbie - Construct a Sector Performance Dataframe

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Newbie - Construct a Sector Performance Dataframe

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    sector_list = ['XLY',  # XLY Consumer Discretionary  
                           'XLF',  # XLF Financial SPDR Fund  
                           'XLK',  # XLK Technology SPDR Fund  
                           'XLE',  # XLE Energy SPDR Fund  
                           'XLV',  # XLV Health Care SPRD Fund  
                           'XLI',  # XLI Industrial SPDR Fund  
                           'XLP',  # XLP Consumer Staples SPDR Fund  
                           'XLB',  # XLB Materials SPDR Fund  
                           'XLU']  # XLU Utilities SPRD Fund  
    # Price history of each sector etf  
    p_hist = data.history(sector_list,"price",200,"1d")  
    #Sort sector_list according to price_history performance  
    4week_perf = p_hist.iloc[20]-p_hist.iloc[0]  
    12week_perf = p_hist.iloc[60]-p_hist.iloc[0]  
    26week_perf = p_hist.iloc[130]-p_hist.iloc[0]  
    52week_perf = p_hist.iloc[260]-p_hist.iloc[0]  
    sector_perf_df = pd.dataframe({ '4week_perf' : 4week_perf,  
                              '12week_perf' : 12week_perf,  
                              '26week_perf' : 26week_perf,  
                              '52week_perf' : 52week_perf,})

I am trying to build a dataframe that uses stock symbols for the indexes and 4,12,26, and 52week-performance for the column headings.
I start with a list of sector etfs. sector_list.....
I generate a price history series for each etf. p_hist.....
Then I calculate each performance factor using the locations in the series. 4week_perf = p_hist.iloc[20]-p_hist.iloc[0]......
Finally, I try to place them into the sector performance dataframe. sector_perf_df......

Once my sector dataframe is built, I can find the best performing sectors. Am I on the right track?

1 response

Hi Jared, it looks like you're on the right track here, and your DataFrame looks well-constructed. One thing I would recommend is to base your performance values on relative returns rather than absolute returns. That means changing your 4-week performance calculation to this, and so forth:

4week_perf = (p_hist.iloc[20] / p_hist.iloc[0]) - 1

Let me know if there's any specific feedback or help you're looking for.

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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.

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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.