Started adding linear regression plot

IanLKaplan · Sep 16, 2022 · 9b43a13 · 9b43a13
1 parent 245377a
commit 9b43a13
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diff --git a/pairs_trading.py b/pairs_trading.py
@@ -12,6 +12,12 @@
 from statsmodels.tsa.stattools import adfuller
 from tabulate import tabulate
 
+# Import seaborn
+import seaborn as sns
+
+# Apply the default theme
+sns.set_theme()
+
 s_and_p_file = 's_and_p_sector_components/sp_stocks.csv'
 s_and_p_data = 's_and_p_data'
 start_date_str = '2007-01-03'
@@ -464,4 +470,9 @@ def compute_halflife(prices: pd.Series, lookback_window: int) -> float:
 # standard deviation above and below the middle line.   A trade is entered when price spread hits either the
 # top or bottom Bollinger range and exited when cutting cross the middle of the range.
 
+first_pair_df = close_prices_df[['AAPL', 'MPWR']]
+
+# https://seaborn.pydata.org/tutorial/regression.html
+sns.regplot(x="total_bill", y="tip", data=tips);
+
 pass
diff --git a/s_and_p_data/A.csv b/s_and_p_data/A.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,139.87
 2022-09-13,133.54
 2022-09-14,133.25
+2022-09-15,133.16
diff --git a/s_and_p_data/AAL.csv b/s_and_p_data/AAL.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,14.47
 2022-09-13,13.68
 2022-09-14,14.03
+2022-09-15,14.27
diff --git a/s_and_p_data/AAP.csv b/s_and_p_data/AAP.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,181.49
 2022-09-13,172.83
 2022-09-14,170.04
+2022-09-15,167.62
diff --git a/s_and_p_data/AAPL.csv b/s_and_p_data/AAPL.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,163.43
 2022-09-13,153.84
 2022-09-14,155.31
+2022-09-15,152.37
diff --git a/s_and_p_data/ABBV.csv b/s_and_p_data/ABBV.csv
@@ -2442,3 +2442,4 @@ Date,Close
 2022-09-12,142.24
 2022-09-13,138.53
 2022-09-14,139.55
+2022-09-15,142.51
diff --git a/s_and_p_data/ABC.csv b/s_and_p_data/ABC.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,147.71
 2022-09-13,140.98
 2022-09-14,140.11
+2022-09-15,139.81
diff --git a/s_and_p_data/ABMD.csv b/s_and_p_data/ABMD.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,279.16
 2022-09-13,266.39
 2022-09-14,264.33
+2022-09-15,263.72
diff --git a/s_and_p_data/ABT.csv b/s_and_p_data/ABT.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,109.29
 2022-09-13,105.84
 2022-09-14,105.78
+2022-09-15,105.06
diff --git a/s_and_p_data/ACN.csv b/s_and_p_data/ACN.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,295.26
 2022-09-13,281.52
 2022-09-14,278.53
+2022-09-15,273.86
diff --git a/s_and_p_data/ADBE.csv b/s_and_p_data/ADBE.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,396.36
 2022-09-13,368.39
 2022-09-14,371.52
+2022-09-15,309.13
diff --git a/s_and_p_data/ADI.csv b/s_and_p_data/ADI.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,155.65
 2022-09-13,148.25
 2022-09-14,150.25
+2022-09-15,147.87
diff --git a/s_and_p_data/ADM.csv b/s_and_p_data/ADM.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,88.21
 2022-09-13,86.35
 2022-09-14,86.17
+2022-09-15,85.26
diff --git a/s_and_p_data/ADP.csv b/s_and_p_data/ADP.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,243.95
 2022-09-13,235.06
 2022-09-14,234.48
+2022-09-15,230.71
diff --git a/s_and_p_data/ADSK.csv b/s_and_p_data/ADSK.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,215.16
 2022-09-13,208.34
 2022-09-14,208.52
+2022-09-15,201.3
diff --git a/s_and_p_data/AEE.csv b/s_and_p_data/AEE.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,95.93
 2022-09-13,93.08
 2022-09-14,93.73
+2022-09-15,91.18
diff --git a/s_and_p_data/AEP.csv b/s_and_p_data/AEP.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,105.18
 2022-09-13,102.2
 2022-09-14,103.32
+2022-09-15,100.19
diff --git a/s_and_p_data/AES.csv b/s_and_p_data/AES.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,27.59
 2022-09-13,26.83
 2022-09-14,27.03
+2022-09-15,26.69
diff --git a/s_and_p_data/AFL.csv b/s_and_p_data/AFL.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,62.5
 2022-09-13,60.79
 2022-09-14,60.13
+2022-09-15,59.56
diff --git a/s_and_p_data/AIG.csv b/s_and_p_data/AIG.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,56.53
 2022-09-13,54.34
 2022-09-14,54.2
+2022-09-15,54.18
diff --git a/s_and_p_data/AIZ.csv b/s_and_p_data/AIZ.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,163.49
 2022-09-13,158.49
 2022-09-14,155.92
+2022-09-15,155.76
diff --git a/s_and_p_data/AJG.csv b/s_and_p_data/AJG.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,187.63
 2022-09-13,184.81
 2022-09-14,185.1
+2022-09-15,184.52
diff --git a/s_and_p_data/AKAM.csv b/s_and_p_data/AKAM.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,93.11
 2022-09-13,89.66
 2022-09-14,89.39
+2022-09-15,88.24
diff --git a/s_and_p_data/ALB.csv b/s_and_p_data/ALB.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,296.97
 2022-09-13,298.09
 2022-09-14,307.05
+2022-09-15,286.75
diff --git a/s_and_p_data/ALGN.csv b/s_and_p_data/ALGN.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,267.79
 2022-09-13,247.06
 2022-09-14,246.74
+2022-09-15,252.0
diff --git a/s_and_p_data/ALK.csv b/s_and_p_data/ALK.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,46.82
 2022-09-13,44.94
 2022-09-14,45.96
+2022-09-15,46.26
diff --git a/s_and_p_data/ALL.csv b/s_and_p_data/ALL.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,127.1
 2022-09-13,122.54
 2022-09-14,124.0
+2022-09-15,129.02
diff --git a/s_and_p_data/ALLE.csv b/s_and_p_data/ALLE.csv
@@ -2220,3 +2220,4 @@ Date,Close
 2022-09-12,101.21
 2022-09-13,95.89
 2022-09-14,95.15
+2022-09-15,93.15
diff --git a/s_and_p_data/AMAT.csv b/s_and_p_data/AMAT.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,96.3
 2022-09-13,90.39
 2022-09-14,90.64
+2022-09-15,88.92
diff --git a/s_and_p_data/AMCR.csv b/s_and_p_data/AMCR.csv
@@ -2600,3 +2600,4 @@ Date,Close
 2022-09-12,12.37
 2022-09-13,11.94
 2022-09-14,11.74
+2022-09-15,11.79
diff --git a/s_and_p_data/AMD.csv b/s_and_p_data/AMD.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,84.64
 2022-09-13,77.03
 2022-09-14,77.45
+2022-09-15,76.66
diff --git a/s_and_p_data/AME.csv b/s_and_p_data/AME.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,126.83
 2022-09-13,123.25
 2022-09-14,123.06
+2022-09-15,121.44
diff --git a/s_and_p_data/AMGN.csv b/s_and_p_data/AMGN.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,237.62
 2022-09-13,226.86
 2022-09-14,228.12
+2022-09-15,227.66
diff --git a/s_and_p_data/AMP.csv b/s_and_p_data/AMP.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,289.24
 2022-09-13,277.72
 2022-09-14,277.96
+2022-09-15,277.35
diff --git a/s_and_p_data/AMT.csv b/s_and_p_data/AMT.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,265.09
 2022-09-13,254.63
 2022-09-14,251.82
+2022-09-15,245.06
diff --git a/s_and_p_data/AMZN.csv b/s_and_p_data/AMZN.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,136.45
 2022-09-13,126.82
 2022-09-14,128.55
+2022-09-15,126.28
diff --git a/s_and_p_data/ANET.csv b/s_and_p_data/ANET.csv
@@ -2083,3 +2083,4 @@ Date,Close
 2022-09-12,124.75
 2022-09-13,119.92
 2022-09-14,122.26
+2022-09-15,116.94
diff --git a/s_and_p_data/ANSS.csv b/s_and_p_data/ANSS.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,261.42
 2022-09-13,248.76
 2022-09-14,247.0
+2022-09-15,241.45
diff --git a/s_and_p_data/AON.csv b/s_and_p_data/AON.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,294.01
 2022-09-13,284.04
 2022-09-14,283.77
+2022-09-15,280.13
diff --git a/s_and_p_data/AOS.csv b/s_and_p_data/AOS.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,56.17
 2022-09-13,54.18
 2022-09-14,52.27
+2022-09-15,52.92
diff --git a/s_and_p_data/APA.csv b/s_and_p_data/APA.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,40.0
 2022-09-13,39.11
 2022-09-14,41.74
+2022-09-15,41.49
diff --git a/s_and_p_data/APD.csv b/s_and_p_data/APD.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,263.5
 2022-09-13,256.08
 2022-09-14,255.18
+2022-09-15,248.47
diff --git a/s_and_p_data/APH.csv b/s_and_p_data/APH.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,76.4
 2022-09-13,74.2
 2022-09-14,73.93
+2022-09-15,72.89
diff --git a/s_and_p_data/APTV.csv b/s_and_p_data/APTV.csv
@@ -2722,3 +2722,4 @@ Date,Close
 2022-09-12,99.75
 2022-09-13,97.03
 2022-09-14,97.64
+2022-09-15,96.75
diff --git a/s_and_p_data/ARE.csv b/s_and_p_data/ARE.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,160.28
 2022-09-13,153.73
 2022-09-14,151.99
+2022-09-15,150.89
diff --git a/s_and_p_data/ATO.csv b/s_and_p_data/ATO.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,119.44
 2022-09-13,116.46
 2022-09-14,117.03
+2022-09-15,114.12
diff --git a/s_and_p_data/ATVI.csv b/s_and_p_data/ATVI.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,78.13
 2022-09-13,76.76
 2022-09-14,76.6
+2022-09-15,76.83
diff --git a/s_and_p_data/AVB.csv b/s_and_p_data/AVB.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,214.22
 2022-09-13,207.85
 2022-09-14,205.08
+2022-09-15,201.32
diff --git a/s_and_p_data/AVGO.csv b/s_and_p_data/AVGO.csv
@@ -3299,3 +3299,4 @@ Date,Close
 2022-09-12,529.06
 2022-09-13,503.65
 2022-09-14,510.75
+2022-09-15,500.14
diff --git a/s_and_p_data/AVY.csv b/s_and_p_data/AVY.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,192.05
 2022-09-13,184.67
 2022-09-14,180.19
+2022-09-15,179.36
diff --git a/s_and_p_data/AWK.csv b/s_and_p_data/AWK.csv
@@ -3624,3 +3624,4 @@ Date,Close
 2022-09-12,156.87
 2022-09-13,152.14
 2022-09-14,153.48
+2022-09-15,147.86
diff --git a/s_and_p_data/AXP.csv b/s_and_p_data/AXP.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,162.45
 2022-09-13,155.35
 2022-09-14,156.3
+2022-09-15,156.13
diff --git a/s_and_p_data/AZO.csv b/s_and_p_data/AZO.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,2220.38
 2022-09-13,2138.36
 2022-09-14,2133.01
+2022-09-15,2144.94
diff --git a/s_and_p_data/BA.csv b/s_and_p_data/BA.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,158.72
 2022-09-13,147.31
 2022-09-14,149.26
+2022-09-15,149.78
diff --git a/s_and_p_data/BAC.csv b/s_and_p_data/BAC.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,35.27
 2022-09-13,34.0
 2022-09-14,33.87
+2022-09-15,34.51
diff --git a/s_and_p_data/BALL.csv b/s_and_p_data/BALL.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,60.69
 2022-09-13,58.58
 2022-09-14,57.41
+2022-09-15,57.66
diff --git a/s_and_p_data/BAX.csv b/s_and_p_data/BAX.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,59.78
 2022-09-13,58.13
 2022-09-14,59.11
+2022-09-15,58.97
diff --git a/s_and_p_data/BBWI.csv b/s_and_p_data/BBWI.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,40.44
 2022-09-13,37.79
 2022-09-14,38.31
+2022-09-15,37.38
diff --git a/s_and_p_data/BBY.csv b/s_and_p_data/BBY.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,77.82
 2022-09-13,73.69
 2022-09-14,73.55
+2022-09-15,72.42
diff --git a/s_and_p_data/BDX.csv b/s_and_p_data/BDX.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,264.23
 2022-09-13,256.78
 2022-09-14,258.95
+2022-09-15,256.7
diff --git a/s_and_p_data/BEN.csv b/s_and_p_data/BEN.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,26.75
 2022-09-13,24.64
 2022-09-14,24.54
+2022-09-15,24.53
diff --git a/s_and_p_data/BF-B.csv b/s_and_p_data/BF-B.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,73.49
 2022-09-13,71.24
 2022-09-14,72.04
+2022-09-15,70.33
diff --git a/s_and_p_data/BIIB.csv b/s_and_p_data/BIIB.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,212.88
 2022-09-13,203.91
 2022-09-14,204.11
+2022-09-15,206.72
diff --git a/s_and_p_data/BIO.csv b/s_and_p_data/BIO.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,512.79
 2022-09-13,479.4
 2022-09-14,477.48
+2022-09-15,472.75
diff --git a/s_and_p_data/BK.csv b/s_and_p_data/BK.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,44.28
 2022-09-13,44.11
 2022-09-14,43.72
+2022-09-15,44.44
diff --git a/s_and_p_data/BKNG.csv b/s_and_p_data/BKNG.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,2013.32
 2022-09-13,1920.8
 2022-09-14,1967.38
+2022-09-15,1956.77
diff --git a/s_and_p_data/BKR.csv b/s_and_p_data/BKR.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,25.46
 2022-09-13,24.54
 2022-09-14,25.39
+2022-09-15,24.33
diff --git a/s_and_p_data/BLK.csv b/s_and_p_data/BLK.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,696.81
 2022-09-13,644.91
 2022-09-14,643.58
+2022-09-15,632.34
diff --git a/s_and_p_data/BMY.csv b/s_and_p_data/BMY.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,72.36
 2022-09-13,71.04
 2022-09-14,70.47
+2022-09-15,71.78
diff --git a/s_and_p_data/BR.csv b/s_and_p_data/BR.csv
@@ -3898,3 +3898,4 @@ Date,Close
 2022-09-12,173.04
 2022-09-13,168.5
 2022-09-14,166.76
+2022-09-15,163.61
diff --git a/s_and_p_data/BRK-B.csv b/s_and_p_data/BRK-B.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,288.51
 2022-09-13,278.29
 2022-09-14,278.42
+2022-09-15,276.7
diff --git a/s_and_p_data/BRO.csv b/s_and_p_data/BRO.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,65.3
 2022-09-13,62.76
 2022-09-14,62.52
+2022-09-15,61.49
diff --git a/s_and_p_data/BSX.csv b/s_and_p_data/BSX.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,43.46
 2022-09-13,42.18
 2022-09-14,42.07
+2022-09-15,42.2
diff --git a/s_and_p_data/BWA.csv b/s_and_p_data/BWA.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,39.43
 2022-09-13,37.94
 2022-09-14,37.08
+2022-09-15,37.08
diff --git a/s_and_p_data/BXP.csv b/s_and_p_data/BXP.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,87.21
 2022-09-13,84.52
 2022-09-14,83.72
+2022-09-15,82.77
diff --git a/s_and_p_data/C.csv b/s_and_p_data/C.csv
@@ -3952,3 +3952,4 @@ Date,Close
 2022-09-12,50.87
 2022-09-13,49.0
 2022-09-14,48.43
+2022-09-15,48.44