SF.net SVN: matplotlib:[6184] trunk/matplotlib/examples/misc/longshort.py

[<jd...@us...>]

Revision: 6184
          http://matplotlib.svn.sourceforge.net/matplotlib/?rev=6184&view=rev
Author:   jdh2358
Date:     2008-10-14 15:51:44 +0000 (Tue, 14 Oct 2008)

Log Message:
-----------
added long/short rec array example

Added Paths:
-----------
    trunk/matplotlib/examples/misc/longshort.py

Added: trunk/matplotlib/examples/misc/longshort.py
===================================================================
--- trunk/matplotlib/examples/misc/longshort.py	                        (rev 0)
+++ trunk/matplotlib/examples/misc/longshort.py	2008-10-14 15:51:44 UTC (rev 6184)
@@ -0,0 +1,47 @@
+"""
+Illustrate the rec array utility funcitons by loading prices from a
+csv file, computing the daily returns, appending the results to the
+record arrays, joining on date
+"""
+import urllib
+import numpy as np
+import matplotlib.pyplot as plt
+import matplotlib.mlab as mlab
+
+# grab the price data off yahoo
+u1 = urllib.urlretrieve('http://ichart.finance.yahoo.com/table.csv?s=AAPL&d=9&e=14&f=2008&g=d&a=8&b=7&c=1984&ignore=.csv')
+u2 = urllib.urlretrieve('http://ichart.finance.yahoo.com/table.csv?s=GOOG&d=9&e=14&f=2008&g=d&a=8&b=7&c=1984&ignore=.csv')
+
+# load the CSV files into record arrays
+r1 = mlab.csv2rec(file(u1[0]))
+r2 = mlab.csv2rec(file(u2[0]))
+
+# compute the daily returns and add these columns to the arrays
+gains1 = np.zeros_like(r1.adj_close)
+gains2 = np.zeros_like(r2.adj_close)
+gains1[1:] = np.diff(r1.adj_close)/r1.adj_close[:-1]
+gains2[1:] = np.diff(r2.adj_close)/r2.adj_close[:-1]
+r1 = mlab.rec_append_fields(r1, 'gains', gains1)
+r2 = mlab.rec_append_fields(r2, 'gains', gains2)
+
+# now join them by date; the default postfixes are 1 and 2.  The
+# default jointype is inner so it will do an intersection of dates and
+# drop the dates in AAPL which occurred before GOOG started trading in
+# 2004.  r1 and r2 are reverse ordered by date since Yahoo returns
+# most recent first in the CSV files, but rec_join will sort by key so
+# r below will be properly sorted
+r = mlab.rec_join('date', r1, r2)
+
+
+# long appl, short goog
+g = r.gains1-r.gains2
+tr = (1+g).cumprod()  # the total return
+
+# plot the return
+fig = plt.figure()
+ax = fig.add_subplot(111)
+ax.plot(r.date, tr)
+ax.set_title('total return: long appl, short goog')
+ax.grid()
+fig.autofmt_xdate()
+plt.show()


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