Basic stock data Manipulation - Python Programming for Finance p.3

Hello and welcome to part 3 of the Python for Finance tutorial series. In this tutorial, we're going to further break down some basic data manipulation and visualizations with our stock data. The starting code that we're going to be using (which was covered in the previous tutorial) is:

import datetime as dt
import matplotlib.pyplot as plt
from matplotlib import style
import pandas as pd
import pandas_datareader.data as web
style.use('ggplot')

df = pd.read_csv('tsla.csv', parse_dates=True, index_col=0)

The Pandas module comes equipped with a bunch of built-in functionality that you can leverage, along with ways to create custom Pandas functions. We'll cover some custom functions later, but, for now, let's do a very common operation to this data: Moving Averages.

The idea of a simple moving average is to take a window of time, and calculate the average price in that window. Then we shift that window over one period, and do it again. In our case, we'll do a 100 day rolling moving average. So this will take the current price, and the prices from the past 99 days, add them up, divide by 100, and there's your current 100-day moving average. Then we move the window over 1 day, and do the same thing again. Doing this in Pandas is as simple as:

df['100ma'] = df['Adj Close'].rolling(window=100).mean()

Doing df['100ma'] allows us to either re-define what comprises an existing column if we had one called '100ma,' or create a new one, which is what we're doing here. We're saying that the df['100ma'] column is equal to being the df['Adj Close'] column with a rolling method applied to it, with a window of 100, and this window is going to be a mean() (average) operation.

Now, we could do:

print(df.head())

                  Date       Open   High        Low      Close    Volume  \
Date                                                                       
2010-06-29  2010-06-29  19.000000  25.00  17.540001  23.889999  18766300   
2010-06-30  2010-06-30  25.790001  30.42  23.299999  23.830000  17187100   
2010-07-01  2010-07-01  25.000000  25.92  20.270000  21.959999   8218800   
2010-07-02  2010-07-02  23.000000  23.10  18.709999  19.200001   5139800   
2010-07-06  2010-07-06  20.000000  20.00  15.830000  16.110001   6866900   

            Adj Close  100ma  
Date                          
2010-06-29  23.889999    NaN  
2010-06-30  23.830000    NaN  
2010-07-01  21.959999    NaN  
2010-07-02  19.200001    NaN  
2010-07-06  16.110001    NaN  

What happened? Under the 100ma column we just see NaN. We chose a 100 moving average, which theoretically requires 100 prior datapoints to compute, so we wont have any data here for the first 100 rows. NaN means "Not a Number." With Pandas, you can decide to do lots of things with missing data, but, for now, let's actually just change the minimum periods parameter:

df['100ma'] = df['Adj Close'].rolling(window=100,min_periods=0).mean()
print(df.head())

                  Date       Open   High        Low      Close    Volume  \
Date                                                                       
2010-06-29  2010-06-29  19.000000  25.00  17.540001  23.889999  18766300   
2010-06-30  2010-06-30  25.790001  30.42  23.299999  23.830000  17187100   
2010-07-01  2010-07-01  25.000000  25.92  20.270000  21.959999   8218800   
2010-07-02  2010-07-02  23.000000  23.10  18.709999  19.200001   5139800   
2010-07-06  2010-07-06  20.000000  20.00  15.830000  16.110001   6866900   

            Adj Close      100ma  
Date                              
2010-06-29  23.889999  23.889999  
2010-06-30  23.830000  23.860000  
2010-07-01  21.959999  23.226666  
2010-07-02  19.200001  22.220000  
2010-07-06  16.110001  20.998000 

Alright, that worked, now we want to see it! But we've already seen simple graphs, how about something slightly more complex?

ax1 = plt.subplot2grid((6,1), (0,0), rowspan=5, colspan=1)
ax2 = plt.subplot2grid((6,1), (5,0), rowspan=1, colspan=1,sharex=ax1)

If you want to know more about subplot2grid, check out this subplots with Matplotlib tutorial.

Basically, we're saying we want to create two subplots, and both subplots are going to act like they're on a 6x1 grid, where we have 6 rows and 1 column. The first subplot starts at (0,0) on that grid, spans 5 rows, and spans 1 column. The next axis is also on a 6x1 grid, but it starts at (5,0), spans 1 row, and 1 column. The 2nd axis also has the sharex=ax1, which means that ax2 will always align its x axis with whatever ax1's is, and visa-versa. Now we just make our plots:

ax1.plot(df.index, df['Adj Close'])
ax1.plot(df.index, df['100ma'])
ax2.bar(df.index, df['Volume'])

plt.show()

Above, we've graphed the close and the 100ma on the first axis, and the volume on the 2nd axis. Our result:

Full code up to this point:

import datetime as dt
import matplotlib.pyplot as plt
from matplotlib import style
import pandas as pd
import pandas_datareader.data as web
style.use('ggplot')

df = pd.read_csv('tsla.csv', parse_dates=True, index_col=0)
df['100ma'] = df['Adj Close'].rolling(window=100, min_periods=0).mean()
print(df.head())

ax1 = plt.subplot2grid((6,1), (0,0), rowspan=5, colspan=1)
ax2 = plt.subplot2grid((6,1), (5,0), rowspan=1, colspan=1, sharex=ax1)

ax1.plot(df.index, df['Adj Close'])
ax1.plot(df.index, df['100ma'])
ax2.bar(df.index, df['Volume'])

plt.show()

In the next few tutorial, we'll learn how to make a candlestick graph via a Pandas resample of the data, and learn a bit more on working with Matplotlib.

The next tutorial: More stock manipulations - Python Programming for Finance p.4