Tutorial:MarketSimulator

Outline

1.  InstallPythonandsomelibraries2.  DownloadTemplateFile3.  DoMC1-P1together–  hDp://quantsoGware.gatech.edu/MC1-Project-1–  Edittheanalysis.pyfile

4.  WatchVideos(Udacity)5.  DoMC2-P1onyourown:

hDp://quantsoGware.gatech.edu/MC1-Project-1WhichisaMarketSimulator(itwillusethefuncTonsfromanalysis.py).[Project4]whichismorelikeahomework

Installa7on:Step1:InstallyourpythonplaUorm

a):InstallAnacondaStep2:InstallMarketSimulatorTemplates,Project4isPart1below.

Part1:Read.hDp://quantsoGware.gatech.edu/MC2-Project-1ItneedsSciPy—so:

Note:TheAnacondapythondistribu7onincludes *NumPy,Pandas,SciPy,Matplotlib,andPython,andover250morepackagesavailableviaasimple“condainstall”ItalsohasanIDE.Instructorgot2.7,andtheanacondadistribuTonofpython

TogettheappropriatesoGwareyou’llneed:

python(scripTnglanguage1301)sci.py(numericalrouTnes),num.py(matrices,linearalgebra),andmatplotlib(enablesgeneraTngplotsofdata)

InstallingPython(2.7)andOpenCV(3.1):(youonlyneeddoinstall(3)1)OpenCVSite(referenceonly–don’tneedthisforthisproject).

hDp://opencv.org/2)SciPy.orgsite,andlaunchedtoinstallaTonnotes:

hDp://scipy.org/install.html3)Anacondainstruc7onsiteincludinglotsoflibrarieswithpython.

hDps://docs.conTnuum.io/anaconda/install

MacInstallaTon:1)InstrucTonthattheinstructorused:

a)installedanaconda(gotrequiredpackages) hDps://www.conTnuum.io/downloads(2.7)includes,sci.py,num.py,andmathlplotlib

.

Videos•  SignuponUdacity(Free):–  hDps://classroom.udacity.com/courses/ud501/lessons/3909458794/concepts/42693317700923#

•  CreateTheAnalysisToolRelevantVideos–  01-01–20minutes–  01-02–30minutes Pandas/Frames/Slices–  01-04–23minutes DailyReturns/CumulaTveReturns–  01-07–22minutes SharpRaTo(StaTsTcs)

•  MarketSimulator–  02-02–27minutes MarketMechanics–  hDps://www.youtube.com/watch?v=TstVUVbu-Tk(long)

•  ReadStockDatafromaCSVFileandinputitintoapandasDataFrame–  Pandas.DataFrame–  Pands.read_csv

•  Selectdesiredrowsandcolumns–  Indexingandslicingdata– Gotchas:Label-basedslicingconvenTon

•  VisualdatabygeneraTngplots–  Ploong–  Pandas.DataFrame.Plot– Matplot.pyplot.plot

•  ScrapeS&P500TckerlistandindustrysectorsfromlistofS&P500companiesonWikipedia.– hDps://en.wikipedia.org/wiki/List_of_S%26P_500_companies

•  DownloaddailyclosedataforeachindustrysectorfromYahoofinance– usingpandasDataReader.

•  Adjusttheopen,highandlowdatausingtheraTooftheadjustedclosetoclose.

CommaSeparatedValues(.CSV)

•  CSVFile•  HeaderFiles•  Lines/RowsofDates

•  EachElementisseparatedbycolumns

WhatisinaHistoricalStockDataFile?

•  #ofemployees•  Date/Time•  CompanyName•  PriceoftheStock•  Company’sHometown

StockDataFiles•  Date•  Open–pricestockopensatinthemorning,firstpriceintheday.

•  High–highestpriceintheday•  Low–lowestpriceintheday•  Close–closingpriceat4PM.•  Volume–howmanysharestradedalltogetherintheday.

•  AdjustedClose–splits/anddividends–encapsulatestheincreaseinvalueifyouholdstockforalongTme.

GOOG.csv(fromYahoo).

•  Newdatesontop,olderdescending.

•  AdjustedClose--forstockssplitsanddividendpayments.

•  CurrentDay–AdjCloseandClosearealwaysthesame,– ButaswegobackinTmestarttheytodiffer– ActualReturnsplitsthatisnotcapturedbyclosingprice.

Pandas:IncludedinAnaconda

•  hDps://en.wikipedia.org/wiki/Pandas_(soGware)•  DevelopedbyWesMcKinneywhileatAQRCapitalManagementtoanalyzefinancialdata– OpenSource.– NumericalTablesandTimeSeries– DataFrames•  Slicing

– PanelData

DataFrame

•  ETF– ExchangeTradedFundSPY

Warmup:Readingintoadataframe•  InteracTvely

–  Importpandas–  Renameittopd

•  ByaProgramseenextslide.

MakeitafuncTon

•  readframe.py–  Head,EnTreframe–  df.head()

•  QuesTon:Printlast5lines?

ManipulaTngFrames•  Meanissimple•  meanframe