How can I construct matrix of returns for 4 stocks
samk last edited by samk
Have a question and hoping someone can help. Basically, I am taking the file with headings and values that looks like this:
What I have done in Quantopian before is take this spreadsheet of asset values and create 4 different matrix of returns, being 1 month returns, 3 month returns, 6 month returns, and 12 month returns. Then after creating these different matrices, combining them all into one final matrix. I have saved the file in my code as 'spy_ief_uup_gld'.
The code I used in quantopian was similar to:
#Use returns history of the 4 tickers with different look back period as factor, and combine into 1 matrix self.returns_mat_1m = self.spy_ief_uup_gld[1:4].PercentChange(20) self.returns_mat_1m.columns = ['SPY_1m', 'IEF_1m', 'UUP_1m', 'GLD_1m'] self.returns_mat_3m = self.spy_ief_uup_gld[1:4].PercentChange(60) self.returns_mat_3m.columns = ['SPY_3m', 'IEF_3m', 'UUP_3m', 'GLD_3m'] self.returns_mat_6m = self.spy_ief_uup_gld[1:4].PercentChange(120) self.returns_mat_6m.columns = ['SPY_6m', 'IEF_6m', 'UUP_6m', 'GLD_6m'] self.returns_mat_12m = self.spy_ief_uup_gld[1:4].PercentChange(240) self.returns_mat_12m.columns = ['SPY_12m', 'IEF_12m', 'UUP_12m', 'GLD_12m'] # combine 1 month, 3 month, 6 month, and 12 month returns into one matrix X = self.returns_mat_1m.join(self.returns_mat_3m).join(self.returns_mat_6m).join(self.returns_mat_12m) # X = X.dropna(axis=1)
Howver, having a hard time changing the code synax above to suit Backtrader syntax. I was wondering if anyone had any idea on how to construct this matrix with a similar code format to fit Backtrader syntax? Appreciate the guidance and help as always and thanks in advance.