Added commentary on ADF result.

IanLKaplan · Sep 22, 2022 · 6317a73 · 6317a73
1 parent a9ef441
commit 6317a73
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diff --git a/pairs_trading.ipynb b/pairs_trading.ipynb
diff --git a/pairs_trading.py b/pairs_trading.py
@@ -378,19 +378,20 @@ def plot_ts(data_s: pd.Series, title: str, x_label: str, y_label: str) -> None:
     plt.show()
 
 def plot_two_ts(data_a: pd.Series, data_b: pd.Series, title: str, x_label: str, y_label: str) -> None:
+    color_a = 'blue'
+    color_b = 'green'
     fig, ax = plt.subplots(figsize=(10, 8))
     ax.grid(True)
     plt.gca().xaxis.set_major_locator(mdates.YearLocator())
     fig.autofmt_xdate()
     plt.title(title)
     ax.set_xlabel(x_label)
     ax.set_ylabel(y_label)
-    ax.plot(data_a, 'blue', label=data_a.columns[0])
-    ax.tick_params(axis='y', labelcolor='blue')
-    ax.axhline(y=0, color='black')
+    ax.plot(data_a, color=color_a, label=data_a.columns[0])
+    ax.tick_params(axis='y', labelcolor=color_a)
     ax2 = ax.twinx()
-    ax2.plot(data_b, color='green', label=data_b.columns[0])
-    ax2.tick_params(axis='y', labelcolor='green')
+    ax2.plot(data_b, color=color_b, label=data_b.columns[0])
+    ax2.tick_params(axis='y', labelcolor=color_b)
     plt.legend(loc='lower right')
     plt.show()
 
@@ -461,19 +462,23 @@ def apply_return(start_val: float, return_df: pd.DataFrame) -> np.array:
         port_a[i] = port_a[i - 1] + port_a[i - 1] * return_a[i - 1]
     return port_a
 
-aapl_df = pd.DataFrame(aapl_s)
-mpwr_df = pd.DataFrame(mpwr_s)
-ret_aapl = return_df(aapl_df)
-ret_mpwr = return_df(mpwr_df)
-adj_aapl = pd.DataFrame(apply_return(1, ret_aapl))
-adj_aapl.columns = aapl_df.columns
-adj_aapl.index = aapl_df.index
-adj_mpwr = pd.DataFrame(pd.DataFrame(apply_return(1, ret_mpwr)))
-adj_mpwr.columns = mpwr_df.columns
-adj_mpwr.index = mpwr_df.index
-
-plot_df = pd.concat([adj_aapl, adj_mpwr], axis=1)
-plot_df.plot(grid=True, title=f'AAPL/MPWR', figsize=(10, 6))
+
+def calc_holding_return(close_prices_df: pd.DataFrame, symbol: str, start_ix: int, end_ix: int, holding: int) -> pd.DataFrame:
+    stock_df = pd.DataFrame(close_prices_df[symbol].iloc[start_ix:end_ix])
+    stock_ret = return_df(stock_df)
+    holding_ret_df = pd.DataFrame(apply_return(holding, stock_ret))
+    holding_ret_df.columns = [symbol]
+    holding_ret_df.index = stock_df.index
+    return holding_ret_df
+
+
+holding_ret_aapl = calc_holding_return(close_prices_df=close_prices_df, symbol='AAPL', start_ix=period_start_ix,
+                                       end_ix=period_start_ix + lookback_window, holding=1)
+holding_ret_mpwr = calc_holding_return(close_prices_df=close_prices_df, symbol='MPWR', start_ix=period_start_ix,
+                                       end_ix=period_start_ix + lookback_window, holding=1)
+
+plot_df = pd.concat([holding_ret_aapl, holding_ret_mpwr], axis=1)
+plot_df.plot(grid=True, title=f'AAPL/MPWR with a $1 investment', figsize=(10, 6))
 plt.axhline(y=1, color='red')
 plt.show()
 
@@ -630,7 +635,6 @@ def select_pairs(self, start_ix: int, end_ix: int, pairs_list: List[Tuple], thre
 res_s = pd.Series(stats_l[0].residuals)
 plot_ts(data_s=res_s, title=f'linear regression residuals for {stats_l[0].stock_a} and {stats_l[0].stock_b}',
         x_label='Window Start Date', y_label='')
-pass
 
 
 def compute_halflife(prices: pd.Series, lookback_window: int) -> float:

diff --git a/s_and_p_data/A.csv b/s_and_p_data/A.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,129.89
 2022-09-19,130.72
 2022-09-20,128.14
+2022-09-21,126.48
diff --git a/s_and_p_data/AAL.csv b/s_and_p_data/AAL.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,13.75
 2022-09-19,14.21
 2022-09-20,13.97
+2022-09-21,13.23
diff --git a/s_and_p_data/AAP.csv b/s_and_p_data/AAP.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,166.8
 2022-09-19,168.18
 2022-09-20,165.87
+2022-09-21,165.5
diff --git a/s_and_p_data/AAPL.csv b/s_and_p_data/AAPL.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,150.7
 2022-09-19,154.48
 2022-09-20,156.9
+2022-09-21,153.72
diff --git a/s_and_p_data/ABBV.csv b/s_and_p_data/ABBV.csv
@@ -2446,3 +2446,4 @@ Date,Close
 2022-09-16,144.06
 2022-09-19,142.66
 2022-09-20,141.77
+2022-09-21,140.31
diff --git a/s_and_p_data/ABC.csv b/s_and_p_data/ABC.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,140.55
 2022-09-19,140.37
 2022-09-20,138.9
+2022-09-21,139.12
diff --git a/s_and_p_data/ABMD.csv b/s_and_p_data/ABMD.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,258.67
 2022-09-19,257.87
 2022-09-20,258.99
+2022-09-21,252.81
diff --git a/s_and_p_data/ABT.csv b/s_and_p_data/ABT.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,104.0
 2022-09-19,104.09
 2022-09-20,102.31
+2022-09-21,100.65
diff --git a/s_and_p_data/ACN.csv b/s_and_p_data/ACN.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,272.68
 2022-09-19,274.98
 2022-09-20,270.24
+2022-09-21,265.42
diff --git a/s_and_p_data/ADBE.csv b/s_and_p_data/ADBE.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,299.5
 2022-09-19,296.06
 2022-09-20,291.06
+2022-09-21,286.3
diff --git a/s_and_p_data/ADI.csv b/s_and_p_data/ADI.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,149.31
 2022-09-19,149.61
 2022-09-20,149.78
+2022-09-21,148.44
diff --git a/s_and_p_data/ADM.csv b/s_and_p_data/ADM.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,84.77
 2022-09-19,87.33
 2022-09-20,86.75
+2022-09-21,86.0
diff --git a/s_and_p_data/ADP.csv b/s_and_p_data/ADP.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,233.64
 2022-09-19,235.72
 2022-09-20,233.54
+2022-09-21,230.42
diff --git a/s_and_p_data/ADSK.csv b/s_and_p_data/ADSK.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,194.97
 2022-09-19,196.89
 2022-09-20,194.97
+2022-09-21,192.42
diff --git a/s_and_p_data/AEE.csv b/s_and_p_data/AEE.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,91.73
 2022-09-19,92.3
 2022-09-20,91.24
+2022-09-21,90.46
diff --git a/s_and_p_data/AEP.csv b/s_and_p_data/AEP.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,100.36
 2022-09-19,101.11
 2022-09-20,99.76
+2022-09-21,98.57
diff --git a/s_and_p_data/AES.csv b/s_and_p_data/AES.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,25.92
 2022-09-19,26.6
 2022-09-20,25.89
+2022-09-21,25.4
diff --git a/s_and_p_data/AFL.csv b/s_and_p_data/AFL.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,59.5
 2022-09-19,60.37
 2022-09-20,60.53
+2022-09-21,59.79
diff --git a/s_and_p_data/AIG.csv b/s_and_p_data/AIG.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,53.65
 2022-09-19,54.59
 2022-09-20,53.41
+2022-09-21,52.29
diff --git a/s_and_p_data/AIZ.csv b/s_and_p_data/AIZ.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,154.83
 2022-09-19,155.01
 2022-09-20,150.79
+2022-09-21,147.99
diff --git a/s_and_p_data/AJG.csv b/s_and_p_data/AJG.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,179.45
 2022-09-19,181.39
 2022-09-20,179.17
+2022-09-21,174.32
diff --git a/s_and_p_data/AKAM.csv b/s_and_p_data/AKAM.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,87.16
 2022-09-19,88.56
 2022-09-20,85.93
+2022-09-21,83.8
diff --git a/s_and_p_data/ALB.csv b/s_and_p_data/ALB.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,287.32
 2022-09-19,296.95
 2022-09-20,287.65
+2022-09-21,285.03
diff --git a/s_and_p_data/ALGN.csv b/s_and_p_data/ALGN.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,249.02
 2022-09-19,244.19
 2022-09-20,232.22
+2022-09-21,226.68
diff --git a/s_and_p_data/ALK.csv b/s_and_p_data/ALK.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,44.38
 2022-09-19,45.78
 2022-09-20,45.33
+2022-09-21,43.49
diff --git a/s_and_p_data/ALL.csv b/s_and_p_data/ALL.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,129.42
 2022-09-19,132.08
 2022-09-20,130.08
+2022-09-21,127.85
diff --git a/s_and_p_data/ALLE.csv b/s_and_p_data/ALLE.csv
@@ -2224,3 +2224,4 @@ Date,Close
 2022-09-16,89.69
 2022-09-19,92.21
 2022-09-20,91.1
+2022-09-21,91.13
diff --git a/s_and_p_data/AMAT.csv b/s_and_p_data/AMAT.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,88.87
 2022-09-19,89.72
 2022-09-20,88.12
+2022-09-21,87.09
diff --git a/s_and_p_data/AMCR.csv b/s_and_p_data/AMCR.csv
@@ -2604,3 +2604,4 @@ Date,Close
 2022-09-16,11.66
 2022-09-19,11.76
 2022-09-20,11.44
+2022-09-21,11.22
diff --git a/s_and_p_data/AMD.csv b/s_and_p_data/AMD.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,76.51
 2022-09-19,76.77
 2022-09-20,75.25
+2022-09-21,74.48
diff --git a/s_and_p_data/AME.csv b/s_and_p_data/AME.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,118.95
 2022-09-19,120.53
 2022-09-20,118.86
+2022-09-21,117.56
diff --git a/s_and_p_data/AMGN.csv b/s_and_p_data/AMGN.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,231.14
 2022-09-19,230.76
 2022-09-20,227.71
+2022-09-21,224.46
diff --git a/s_and_p_data/AMP.csv b/s_and_p_data/AMP.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,272.26
 2022-09-19,278.14
 2022-09-20,275.14
+2022-09-21,269.87
diff --git a/s_and_p_data/AMT.csv b/s_and_p_data/AMT.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,245.89
 2022-09-19,247.5
 2022-09-20,237.9
+2022-09-21,234.15
diff --git a/s_and_p_data/AMZN.csv b/s_and_p_data/AMZN.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,123.53
 2022-09-19,124.66
 2022-09-20,122.19
+2022-09-21,118.54
diff --git a/s_and_p_data/ANET.csv b/s_and_p_data/ANET.csv
@@ -2087,3 +2087,4 @@ Date,Close
 2022-09-16,115.73
 2022-09-19,114.94
 2022-09-20,114.07
+2022-09-21,113.82
diff --git a/s_and_p_data/ANSS.csv b/s_and_p_data/ANSS.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,240.74
 2022-09-19,241.43
 2022-09-20,239.35
+2022-09-21,235.42
diff --git a/s_and_p_data/AON.csv b/s_and_p_data/AON.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,277.12
 2022-09-19,278.71
 2022-09-20,276.22
+2022-09-21,272.99
diff --git a/s_and_p_data/AOS.csv b/s_and_p_data/AOS.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,51.72
 2022-09-19,52.59
 2022-09-20,51.22
+2022-09-21,51.06
diff --git a/s_and_p_data/APA.csv b/s_and_p_data/APA.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,40.46
 2022-09-19,40.45
 2022-09-20,39.6
+2022-09-21,38.43
diff --git a/s_and_p_data/APD.csv b/s_and_p_data/APD.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,247.36
 2022-09-19,249.38
 2022-09-20,244.89
+2022-09-21,241.46
diff --git a/s_and_p_data/APH.csv b/s_and_p_data/APH.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,72.73
 2022-09-19,73.17
 2022-09-20,72.15
+2022-09-21,71.81
diff --git a/s_and_p_data/APTV.csv b/s_and_p_data/APTV.csv
@@ -2726,3 +2726,4 @@ Date,Close
 2022-09-16,93.28
 2022-09-19,96.2
 2022-09-20,93.03
+2022-09-21,90.85
diff --git a/s_and_p_data/ARE.csv b/s_and_p_data/ARE.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,150.66
 2022-09-19,149.02
 2022-09-20,144.74
+2022-09-21,141.24
diff --git a/s_and_p_data/ATO.csv b/s_and_p_data/ATO.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,114.01
 2022-09-19,115.22
 2022-09-20,113.51
+2022-09-21,112.63
diff --git a/s_and_p_data/ATVI.csv b/s_and_p_data/ATVI.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,76.02
 2022-09-19,75.94
 2022-09-20,75.04
+2022-09-21,75.32
diff --git a/s_and_p_data/AVB.csv b/s_and_p_data/AVB.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,201.98
 2022-09-19,199.63
 2022-09-20,192.88
+2022-09-21,188.97
diff --git a/s_and_p_data/AVGO.csv b/s_and_p_data/AVGO.csv
@@ -3303,3 +3303,4 @@ Date,Close
 2022-09-16,502.5
 2022-09-19,501.84
 2022-09-20,493.06
+2022-09-21,482.14
diff --git a/s_and_p_data/AVY.csv b/s_and_p_data/AVY.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,173.37
 2022-09-19,179.24
 2022-09-20,175.83
+2022-09-21,172.94
diff --git a/s_and_p_data/AWK.csv b/s_and_p_data/AWK.csv
@@ -3628,3 +3628,4 @@ Date,Close
 2022-09-16,148.4
 2022-09-19,148.55
 2022-09-20,145.44
+2022-09-21,144.32
diff --git a/s_and_p_data/AXP.csv b/s_and_p_data/AXP.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,153.08
 2022-09-19,155.36
 2022-09-20,153.48
+2022-09-21,148.71
diff --git a/s_and_p_data/AZO.csv b/s_and_p_data/AZO.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,2165.65
 2022-09-19,2097.59
 2022-09-20,2131.47
+2022-09-21,2104.02
diff --git a/s_and_p_data/BA.csv b/s_and_p_data/BA.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,144.29
 2022-09-19,144.88
 2022-09-20,145.94
+2022-09-21,143.29
diff --git a/s_and_p_data/BAC.csv b/s_and_p_data/BAC.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,34.12
 2022-09-19,34.69
 2022-09-20,34.17
+2022-09-21,33.15
diff --git a/s_and_p_data/BALL.csv b/s_and_p_data/BALL.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,56.66
 2022-09-19,56.99
 2022-09-20,55.27
+2022-09-21,53.9
diff --git a/s_and_p_data/BAX.csv b/s_and_p_data/BAX.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,58.18
 2022-09-19,58.43
 2022-09-20,56.58
+2022-09-21,55.47
diff --git a/s_and_p_data/BBWI.csv b/s_and_p_data/BBWI.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,37.82
 2022-09-19,38.77
 2022-09-20,37.55
+2022-09-21,37.01
diff --git a/s_and_p_data/BBY.csv b/s_and_p_data/BBY.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,72.63
 2022-09-19,73.97
 2022-09-20,70.92
+2022-09-21,69.98
diff --git a/s_and_p_data/BDX.csv b/s_and_p_data/BDX.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,254.32
 2022-09-19,251.26
 2022-09-20,244.11
+2022-09-21,238.01
diff --git a/s_and_p_data/BEN.csv b/s_and_p_data/BEN.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,24.14
 2022-09-19,24.82
 2022-09-20,24.54
+2022-09-21,24.25
diff --git a/s_and_p_data/BF-B.csv b/s_and_p_data/BF-B.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,70.56
 2022-09-19,71.23
 2022-09-20,71.01
+2022-09-21,70.8
diff --git a/s_and_p_data/BIIB.csv b/s_and_p_data/BIIB.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,208.26
 2022-09-19,209.26
 2022-09-20,204.2
+2022-09-21,199.34
diff --git a/s_and_p_data/BIO.csv b/s_and_p_data/BIO.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,448.54
 2022-09-19,445.5
 2022-09-20,437.39
+2022-09-21,430.97
diff --git a/s_and_p_data/BK.csv b/s_and_p_data/BK.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,43.89
 2022-09-19,44.21
 2022-09-20,43.27
+2022-09-21,42.3
diff --git a/s_and_p_data/BKNG.csv b/s_and_p_data/BKNG.csv
@@ -3956,3 +3956,4 @@ Date,Close
 2022-09-16,1876.45
 2022-09-19,1902.99
 2022-09-20,1896.63
+2022-09-21,1806.7