Change default_returns_func to use Quandl API #89
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Thanks @jaycode! CC @richafrank for assigning a reviewer. |
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Just noticed the Travis CI build errors. I will fix then shortly. |
twiecki
reviewed
May 17, 2018
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| px = web.get_data_quandl(symbol, start=start, end=end) | ||
| rets = px[['AdjClose']] | ||
| rets = rets.shift(-1) |
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I think you can just call .pct_change() to get returns.
twiecki
reviewed
May 17, 2018
| px = web.get_data_quandl(symbol, start=start, end=end) | ||
| rets = px[['AdjClose']] | ||
| rets = rets.shift(-1) | ||
| rets.iloc[-1]['AdjClose'] = px.tail(1)['AdjOpen'] |
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We treat returns from close to close.
twiecki
reviewed
May 17, 2018
| rets = get_symbol_returns_from_yahoo(symbol, start=start, end=end) | ||
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| rets = get_symbol_returns_from_quandl(symbol, start=start, end=end) | ||
| rets.sort_index(inplace=True) |
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Does quandl not give a sorted index?
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No. Curiously, it is returned in reverse chronological order.
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@jaycode sorry for the long delay, but we're finally getting back to this. |
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Hello @jaycode, this is a high-priority issue for us, so I'll be work on my own version of the PR, if that's alright with you. Thanks so much! |
This was referenced May 17, 2018
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I updated
default_returns_functo use Quandl, createdget_symbol_returns_from_quandl, and deprecatedget_symbol_returns_from_yahoo.