zenon/portfolio-scripts
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Add col for long/short profiles

Browse Source
This commit is contained in:
Tobias Eidelpes 2024-02-24 16:24:03 +01:00
parent fd4b2fd37a
commit c9dd9e4f07
2 changed files with 26 additions and 0 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

1
shell.nix
View File

@ -9,6 +9,7 @@ stdenv.mkDerivation rec {
python311 python311
python311Packages.virtualenv python311Packages.virtualenv
python311Packages.pandas python311Packages.pandas
python311Packages.numpy
python311Packages.xlrd python311Packages.xlrd
python311Packages.python-lsp-server python311Packages.python-lsp-server
python311Packages.python-lsp-black python311Packages.python-lsp-black

25
zacks.py
View File

@ -1,4 +1,5 @@
import pandas as pd import pandas as pd
import numpy as np
import argparse import argparse
from datetime import datetime from datetime import datetime
@ -47,6 +48,30 @@ def add_cols(df):
df['PE0 Mean'] = df.groupby('Industry')['PE0'].transform('mean').round(2) df['PE0 Mean'] = df.groupby('Industry')['PE0'].transform('mean').round(2)
df['PE1 Mean'] = df.groupby('Industry')['PE1'].transform('mean').round(2) df['PE1 Mean'] = df.groupby('Industry')['PE1'].transform('mean').round(2)
df['PE2 Mean'] = df.groupby('Industry')['PE2'].transform('mean').round(2) df['PE2 Mean'] = df.groupby('Industry')['PE2'].transform('mean').round(2)
# Long Profile 1
mask = ((df['EG1'] > df['EG1 Mean']) & (df['EG2'] > df['EG2 Mean']) & (df['EG2'] > df['EG1']) & (df['EG2 Mean'] > df['EG1 Mean']))
long_1 = np.where(mask, 'Long EG 1', '')
df['Profile'] = long_1
# Long Profile 2
mask = ((df['EG1'] > df['EG1 Mean']) & (df['EG2'] > df['EG2 Mean']) & (df['EG2'] > df['EG1']) & (df['EG2 Mean'] == df['EG1 Mean']))
long_2 = np.where(mask, 'Long EG 2', df['Profile'])
df['Profile'] = long_2
# Long Profile 3
mask = ((df['EG1'] > df['EG1 Mean']) & (df['EG2'] > df['EG2 Mean']) & (df['EG2'] > df['EG1']) & (df['EG2 Mean'] < df['EG1 Mean']))
long_3 = np.where(mask, 'Long EG 3', df['Profile'])
df['Profile'] = long_3
# Short Profile 1
mask = ((df['EG1'] < df['EG1 Mean']) & (df['EG2'] < df['EG2 Mean']) & (df['EG2'] < df['EG1']) & (df['EG2 Mean'] > df['EG1 Mean']) & (df['EG1'] < 0) & (df['EG2'] < 0) & (df['EG1 Mean'] > 0) & (df['EG2 Mean'] > 0))
short_1 = np.where(mask, 'Short EG 1', df['Profile'])
df['Profile'] = short_1
# Short Profile 2
mask = ((df['EG1'] < df['EG1 Mean']) & (df['EG2'] < df['EG2 Mean']) & (df['EG2'] > df['EG1']) & (df['EG2 Mean'] > df['EG1 Mean']) & (df['EG1'] < 0) & (df['EG2'] < 0) & (df['EG1 Mean'] > 0) & (df['EG2 Mean'] > 0))
short_2 = np.where(mask, 'Short EG 2', df['Profile'])
df['Profile'] = short_2
# Short Profile 3
mask = ((df['EG1'] < df['EG1 Mean']) & (df['EG2'] < df['EG2 Mean']) & (df['EG2'] < df['EG1']) & (df['EG2 Mean'] > df['EG1 Mean']) & (df['EG1'] > 0) & (df['EG2'] < 0) & (df['EG1 Mean'] > 0) & (df['EG2 Mean'] > 0))
short_3 = np.where(mask, 'Short EG 3', df['Profile'])
df['Profile'] = short_3
return df return df