S&P500 diff.ipynb

s-p500-diff.ipynb

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      "name": "S&P500 diff.ipynb",
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      "name": "python3",
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    {
      "cell_type": "markdown",
      "metadata": {
        "id": "view-in-github",
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      "source": [
        "<a href=\"https://colab.research.google.com/gist/simecek/c9cc0b8f336ad5ad1f987492391b4da2/s-p500-diff.ipynb\" target=\"_parent\"><img src=\"https://colab.research.google.com/assets/colab-badge.svg\" alt=\"Open In Colab\"/></a>"
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    {
      "cell_type": "code",
      "metadata": {
        "id": "dGCJqRo98yzS",
        "colab_type": "code",
        "colab": {}
      },
      "source": [
        "import pandas as pd\n",
        "from pandas_datareader import data as wb"
      ],
      "execution_count": 0,
      "outputs": []
    },
    {
      "cell_type": "markdown",
      "metadata": {
        "id": "WV20ysnkBx_H",
        "colab_type": "text"
      },
      "source": [
        "## Getting data"
      ]
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "SFcfhJUQ8z4d",
        "colab_type": "code",
        "outputId": "471fd148-be53-4076-cb36-93d454519283",
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          "base_uri": "https://localhost:8080/",
          "height": 277
        }
      },
      "source": [
        "# ^GSPC is code for S&P500, see https://finance.yahoo.com/quote/%5EGSPC/\n",
        "ticker_name = '^GSPC'\n",
        "\n",
        "ticker = wb.DataReader(ticker_name, start='2010-1-1', data_source='yahoo')\n",
        "print(ticker)"
      ],
      "execution_count": 2,
      "outputs": [
        {
          "output_type": "stream",
          "text": [
            "                   High          Low  ...      Volume    Adj Close\n",
            "Date                                  ...                         \n",
            "2010-01-04  1133.869995  1116.560059  ...  3991400000  1132.989990\n",
            "2010-01-05  1136.630005  1129.660034  ...  2491020000  1136.520020\n",
            "2010-01-06  1139.189941  1133.949951  ...  4972660000  1137.140015\n",
            "2010-01-07  1142.459961  1131.319946  ...  5270680000  1141.689941\n",
            "2010-01-08  1145.390015  1136.219971  ...  4389590000  1144.979980\n",
            "...                 ...          ...  ...         ...          ...\n",
            "2019-11-05  3083.949951  3072.149902  ...  4486130000  3074.620117\n",
            "2019-11-06  3078.340088  3065.889893  ...  4458190000  3076.780029\n",
            "2019-11-07  3097.770020  3080.229980  ...  4144640000  3085.179932\n",
            "2019-11-08  3093.090088  3073.580078  ...  3499150000  3093.080078\n",
            "2019-11-11  3088.330078  3075.820068  ...  1407760565  3087.010010\n",
            "\n",
            "[2482 rows x 6 columns]\n"
          ],
          "name": "stdout"
        }
      ]
    },
    {
      "cell_type": "markdown",
      "metadata": {
        "id": "I_QRaLFSArow",
        "colab_type": "text"
      },
      "source": [
        "## Calculating the differences"
      ]
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "_CqdfDBL83FP",
        "colab_type": "code",
        "colab": {}
      },
      "source": [
        "# `Adj Close` -> daily difference\n",
        "ticker['Close_diff'] = ticker['Adj Close'].diff()\n",
        "ticker['Close_diff'].head()\n",
        "\n",
        "starting_value = ticker['Adj Close'][0]"
      ],
      "execution_count": 0,
      "outputs": []
    },
    {
      "cell_type": "markdown",
      "metadata": {
        "id": "aQ3PTTlGAyRE",
        "colab_type": "text"
      },
      "source": [
        "## Recreating the original column"
      ]
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "3bMtzHBv84Wf",
        "colab_type": "code",
        "outputId": "31be902b-3395-489e-e386-c2751611aa96",
        "colab": {
          "base_uri": "https://localhost:8080/",
          "height": 243
        }
      },
      "source": [
        "# daily difference -> `Adj Close`\n",
        "ticker['Close_diff'].cumsum().fillna(0) + starting_value\n"
      ],
      "execution_count": 0,
      "outputs": [
        {
          "output_type": "execute_result",
          "data": {
            "text/plain": [
              "Date\n",
              "2010-01-04    1132.989990\n",
              "2010-01-05    1136.520020\n",
              "2010-01-06    1137.140015\n",
              "2010-01-07    1141.689941\n",
              "2010-01-08    1144.979980\n",
              "                 ...     \n",
              "2019-11-05    3074.620117\n",
              "2019-11-06    3076.780029\n",
              "2019-11-07    3085.179932\n",
              "2019-11-08    3093.080078\n",
              "2019-11-11    3087.010010\n",
              "Name: Close_diff, Length: 2482, dtype: float64"
            ]
          },
          "metadata": {
            "tags": []
          },
          "execution_count": 4
        }
      ]
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "jX_kyamD87wz",
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      "source": [
        ""
      ],
      "execution_count": 0,
      "outputs": []
    }
  ]
}