Updated examples/*.py

christianjauregui · May 2, 2020 · 3681dbc · 3681dbc
1 parent 167dd67
commit 3681dbc
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diff --git a/examples/famafrench_3factors.py b/examples/famafrench_3factors.py
@@ -18,10 +18,10 @@
 https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/f-f_factors.html
 
 """
-
+import os
+import datetime as dt
 import famafrench.famafrench as ff
 from importlib import reload
-import datetime as dt
 
 # Example of how to re-load a distribution module/package
 reload(ff)
@@ -35,14 +35,16 @@
 ffFactors = ['MKT-RF', 'SMB', 'HML']
 ffportCharac = ['ME', 'BM']
 
+# pickled_dir
+pickled_dir = os.getcwd() + 'famafrench/pickled_db/'
 
 #%%
 #********************************************************************************************#
 # Example 1: daily sample
 #********************************************************************************************#
 runQuery = True
 ffFreq = 'D'
-ff_D = ff.FamaFrench(runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
+ff_D = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
 
 # Summary statistics
 ff_D.getFamaFrenchStats('Factors', ffFreq, startDate, endDate)
@@ -59,7 +61,7 @@
 #********************************************************************************************#
 runQuery = True
 ffFreq = 'W'
-ff_W = ff.FamaFrench(runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
+ff_W = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
 
 # Summary statistics
 ff_W.getFamaFrenchStats('Factors', ffFreq, startDate, endDate)
@@ -76,7 +78,7 @@
 #********************************************************************************************#
 runQuery = True
 ffFreq = 'M'
-ff_M = ff.FamaFrench(runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
+ff_M = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
 
 # Summary statistics
 ff_M.getFamaFrenchStats('Factors', ffFreq, startDate, endDate)
@@ -93,7 +95,7 @@
 #********************************************************************************************#
 runQuery = False
 ffFreq = 'A'
-ff_A = ff.FamaFrench(runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
+ff_A = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
 
 # Summary statistics
 ff_A.getFamaFrenchStats('Factors', ffFreq, startDate, endDate)

diff --git a/examples/famafrench_5factors.py b/examples/famafrench_5factors.py
@@ -20,9 +20,9 @@
 https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/f-f_5_factors_2x3.html
 
 """
-
-import famafrench.famafrench as ff
+import os
 import datetime as dt
+import famafrench.famafrench as ff
 
 startDate = dt.date(1960, 1, 1)  # "default" startDate
 endDate = dt.date.today()  # "default" endDate
@@ -33,14 +33,16 @@
 ffFactors = ['MKT-RF', 'SMB', 'HML', 'RMW', 'CMA']
 ffportCharac = ['ME', 'BM', 'OP', 'INV']
 
+# pickled_dir
+pickled_dir = os.getcwd() + 'famafrench/pickled_db/'
 
 #%%
 #********************************************************************************************#
 # Example 1: daily sample
 #********************************************************************************************#
 runQuery = True
 ffFreq = 'D'
-ff_D = ff.FamaFrench(runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
+ff_D = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
 
 # Summary statistics
 ff_D.getFamaFrenchStats('Factors', ffFreq, startDate, endDate)
@@ -57,7 +59,7 @@
 #********************************************************************************************#
 runQuery = False
 ffFreq = 'W'
-ff_W = ff.FamaFrench(runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
+ff_W = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
 
 # Summary statistics
 portTableW = ff_W.getFFfactors(startDate, endDate)
@@ -70,7 +72,7 @@
 #********************************************************************************************#
 runQuery = True
 ffFreq = 'M'
-ff_M = ff.FamaFrench(runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
+ff_M = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
 
 # Summary statistics
 ff_M.getFamaFrenchStats('Factors', ffFreq, startDate, endDate)
@@ -87,7 +89,7 @@
 #********************************************************************************************#
 runQuery = False
 ffFreq = 'A'
-ff_A = ff.FamaFrench(runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
+ff_A = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
 
 # Summary statistics
 ff_A.getFamaFrenchStats('Factors', ffFreq, startDate, endDate)

diff --git a/examples/famafrench_allsorts_me_ac.py b/examples/famafrench_allsorts_me_ac.py
@@ -21,15 +21,17 @@
 https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/tw_5_ports_me_AC.html
 
 """
-
-import famafrench.famafrench as ff
+import os
 import datetime as dt
+import famafrench.famafrench as ff
 
 startDate = dt.date(1960, 1, 1)  # "default" startDate
 endDate = dt.date.today()  # "default" endDate
 #startDate = dt.date(1970, 1, 1)
 #endDate = dt.date(2019, 12, 31)
 
+# pickled_dir
+pickled_dir = os.getcwd() + 'famafrench/pickled_db/'
 
 #%%
 #**************************************************************************#
@@ -44,7 +46,7 @@
 runQuery = True
 ffFreq = 'D'
 ffFactors, ffsortCharac, ffportCharac = [], ['AC'], ['AC']
-ff_D = ff.FamaFrench(runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
+ff_D = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
 
 # - 3 portfolios (3x1) sorted on ['AC']
 sortingDim = [3]
@@ -72,7 +74,7 @@
 runQuery = True
 ffFreq = 'M'
 ffFactors, ffsortCharac, ffportCharac = [], ['AC'], ['ME', 'AC']
-ff_M = ff.FamaFrench(runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
+ff_M = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
 
 # - 3 portfolios (3x1) sorted on ['AC']
 sortingDim = [3]
@@ -108,7 +110,7 @@
 runQuery = False
 ffFreq = 'A'
 ffFactors, ffsortCharac, ffportCharac = [], ['AC'], ['ME', 'AC']
-ff_A = ff.FamaFrench(runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
+ff_A = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
 
 # - 3 portfolios (3x1) sorted on ['AC']
 sortingDim = [3]
@@ -146,7 +148,7 @@
 runQuery = True
 ffFreq = 'D'
 ffFactors, ffsortCharac, ffportCharac = [], ['ME', 'AC'], ['ME', 'AC']
-ff_D = ff.FamaFrench(runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
+ff_D = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
 
 # - 6 portfolios (2x3) sorted on ['ME, 'AC']
 sortingDim = [2, 3]
@@ -174,7 +176,7 @@
 runQuery = True
 ffFreq = 'M'
 ffFactors, ffsortCharac, ffportCharac = [], ['ME', 'AC'], ['ME', 'AC']
-ff_M = ff.FamaFrench(runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
+ff_M = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
 
 # - 6 portfolios (2x3) sorted on ['ME, 'AC']
 sortingDim = [2, 3]
@@ -207,7 +209,7 @@
 runQuery = False
 ffFreq = 'A'
 ffFactors, ffsortCharac, ffportCharac = [], ['ME', 'AC'], ['ME', 'AC']
-ff_A = ff.FamaFrench(runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
+ff_A = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
 
 # - 6 portfolios (2x3) sorted on ['ME, 'AC']
 sortingDim = [2, 3]

diff --git a/examples/famafrench_allsorts_me_beta.py b/examples/famafrench_allsorts_me_beta.py
@@ -21,17 +21,19 @@
 https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/tw_5_ports_me_BETA.html
 
 """
-
-import famafrench.famafrench as ff
+import os
 import datetime as dt
+import famafrench.famafrench as ff
 
 startDate = dt.date(1960, 1, 1)  # "default" startDate
 endDate = dt.date.today()  # "default" endDate
 #startDate = dt.date(1970, 1, 1)
 #endDate = dt.date(2019, 12, 31)
 
+# pickled_dir
+pickled_dir = os.getcwd() + 'famafrench/pickled_db/'
 
-
+#%%
 #***************************************************************************#
 #***************************************************************************#
 #*****************           Market Beta (BETA)          *******************#
@@ -44,7 +46,7 @@
 runQuery, runEstimation = False, True
 ffFreq = 'D'
 ffFactors, ffsortCharac, ffportCharac = [], ['BETA'], ['BETA']
-ff_D = ff.FamaFrench(runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac, runEstimation)
+ff_D = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac, runEstimation)
 
 # - 3 portfolios (3x1) sorted on ['BETA']
 sortingDim = [3]
@@ -72,7 +74,7 @@
 runQuery, runEstimation = False, True
 ffFreq = 'M'
 ffFactors, ffsortCharac, ffportCharac = [], ['BETA'], ['ME', 'BETA']
-ff_M = ff.FamaFrench(runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac, runEstimation)
+ff_M = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac, runEstimation)
 
 # - 3 portfolios (3x1) sorted on ['BETA']
 sortingDim = [3]
@@ -107,7 +109,7 @@
 runQuery, runEstimation = False, True
 ffFreq = 'A'
 ffFactors, ffsortCharac, ffportCharac = [], ['BETA'], ['ME', 'BETA']
-ff_A = ff.FamaFrench(runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac, runEstimation)
+ff_A = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac, runEstimation)
 
 # - 3 portfolios (3x1) sorted on ['BETA']
 sortingDim = [3]
@@ -145,7 +147,7 @@
 runQuery, runEstimation = False, True
 ffFreq = 'D'
 ffFactors, ffsortCharac, ffportCharac = [], ['ME', 'BETA'], ['ME', 'BETA']
-ff_D = ff.FamaFrench(runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac, runEstimation)
+ff_D = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac, runEstimation)
 
 # - 6 portfolios (2x3) sorted on ['ME, 'BETA']
 sortingDim = [2, 3]
@@ -173,7 +175,7 @@
 runQuery, runEstimation = False, True
 ffFreq = 'M'
 ffFactors, ffsortCharac, ffportCharac = [], ['ME', 'BETA'], ['ME', 'BETA']
-ff_M = ff.FamaFrench(runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac, runEstimation)
+ff_M = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac, runEstimation)
 
 # - 6 portfolios (2x3) sorted on ['ME, 'BETA']
 sortingDim = [2, 3]
@@ -204,7 +206,7 @@
 runQuery, runEstimation = False, True
 ffFreq = 'A'
 ffFactors, ffsortCharac, ffportCharac = [], ['ME', 'BETA'], ['ME', 'BETA']
-ff_A = ff.FamaFrench(runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac, runEstimation)
+ff_A = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac, runEstimation)
 
 # - 6 portfolios (2x3) sorted on ['ME, 'BETA']
 sortingDim = [2, 3]

diff --git a/examples/famafrench_allsorts_me_ltrev.py b/examples/famafrench_allsorts_me_ltrev.py
@@ -28,15 +28,17 @@
 https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/det_25_port_form_sz_pr_60_13_daily.html
 
 """
-
-import famafrench.famafrench as ff
+import os
 import datetime as dt
+import famafrench.famafrench as ff
 
 startDate = dt.date(1960, 1, 1)  # "default" startDate
 endDate = dt.date.today()  # "default" endDate
 #startDate = dt.date(1970, 1, 1)
 #endDate = dt.date(2019, 12, 31)
 
+# pickled_dir
+pickled_dir = os.getcwd() + 'famafrench/pickled_db/'
 
 #%%
 #*****************************************************************************#
@@ -51,7 +53,7 @@
 runQuery = True
 ffFreq = 'D'
 ffFactors, ffsortCharac, ffportCharac = [], ['PRIOR_13_60'], ['ME', 'PRIOR_13_60']
-ff_D = ff.FamaFrench(runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
+ff_D = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
 
 # - 3 portfolios (3x1) sorted on ['PRIOR_13_60']
 sortingDim = [3]
@@ -80,7 +82,7 @@
 runQuery = True
 ffFreq = 'M'
 ffFactors, ffsortCharac, ffportCharac = [], ['PRIOR_13_60'], ['ME', 'PRIOR_13_60']
-ff_M = ff.FamaFrench(runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
+ff_M = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
 
 # - 3 portfolios (3x1) sorted on ['PRIOR_13_60']
 sortingDim = [3]
@@ -113,7 +115,7 @@
 runQuery = False
 ffFreq = 'A'
 ffFactors, ffsortCharac, ffportCharac = [], ['PRIOR_13_60'], ['ME', 'PRIOR_13_60']
-ff_A = ff.FamaFrench(runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
+ff_A = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
 
 # - 3 portfolios (3x1) sorted on ['PRIOR_13_60']
 sortingDim = [3]
@@ -149,7 +151,7 @@
 runQuery = True
 ffFreq = 'D'
 ffFactors, ffsortCharac, ffportCharac = [], ['ME', 'PRIOR_13_60'], ['ME', 'PRIOR_13_60']
-ff_D = ff.FamaFrench(runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
+ff_D = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
 
 # - 6 portfolios (2x3) sorted on ['ME, 'PRIOR_13_60']
 sortingDim = [2, 3]
@@ -179,7 +181,7 @@
 runQuery = True
 ffFreq = 'M'
 ffFactors, ffsortCharac, ffportCharac = [], ['ME', 'PRIOR_13_60'], ['ME', 'PRIOR_13_60']
-ff_M = ff.FamaFrench(runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
+ff_M = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
 
 # - 6 portfolios (2x3) sorted on ['ME, 'PRIOR_13_60']
 sortingDim = [2, 3]
@@ -213,7 +215,7 @@
 runQuery = False
 ffFreq = 'A'
 ffFactors, ffsortCharac, ffportCharac = [], ['ME', 'PRIOR_13_60'], ['ME', 'PRIOR_13_60']
-ff_A = ff.FamaFrench(runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
+ff_A = ff.FamaFrench(pickled_dir, runQuery, ffFreq, ffsortCharac, ffFactors, ffportCharac)
 
 # - 6 portfolios (2x3) sorted on ['ME, 'PRIOR_13_60']
 sortingDim = [2, 3]