File name:
project.py, plot.py, daily_return.py
project.py: used for computing values of different parameters and writing the, to excel
plot.py: used for graphs plotting
daily_return.py: used for calculating daily returns
Packages used:
Pandas, Numpy, Datetime, Dateutil, Stastics, Openpyxl, Matplot
Excel Files used:
btc.xlsx: BTC
bletchley_index.xlsx: Bletchley Index
Coinbase_index.xlsx: Coinbase index
Amun_index.xlsx: AMUN Index
bitx.xlsx: BITX
mvis.xlsx: MVIS CC DA 10 Index
SEBAX.xlsx: SEBAX
crix_index.xlsx: CRIX Index
\n
Final Excel: Peer Analysis.xlsx
The code has to be run only after each excel has the data and index sorted from newest to oldest. Date in the report and the rest of the files must be in same format.
Parameters Calculated: For each parameter a seperate function hs been defined with each function calculating the parameter by passing the dataframe for which the calculation has to be done and the file name where it has to be stored.
Absolute Return:
Function: absolute_return passed with parameters dataframe and file_name
Formula: price after time t/price today
Annualised volatility:
Function: annualised_volatility passed with parameters dataframe and file_name
Formula: (standard deviation of daily return data over t time)*(square root of t)
Absolute Return by Drawdown:
Calculated in the function absolute_return passed with parameters dataframe and file_name
Formula: Absoulte Return/Drawdown
Return by volatility:
Calculated in the function annualised_volatility passed with parameters dataframe and file_name
Formula: Daily Return/volatility
Drawdown:
Function: Drawdown passed with parameters dataframe and file_name
Formula: max(0, max(X(t)-x(T)) where t belongs from (0, T))
Maximum Drawdown:
Calculated in the function in Drawdown passed with parameters dataframe and file_name
Formula: Minimun of drawdown
Correlation:
Calculated directly in the excel files and then copied to the final report
Formula: Covariance(X,Y)/Std(X)*Std(Y)
Beta:
Calculated directly in the excel files and then copied to the final report
Formula: Covariance(X,Y)/Var(X)
A seperate function has been defined to write each parameter (write_excel) to its corresponding sheet and call each dataframe (call_all_function) .
Window sizes:
As per the requirement of report, each parameter has been calculated on a weekly basis, monthly basis, 3-month basis, annually, two-year basis, 3-year basis, year to date basis, and inception till date basis.
Each window size has been definied in the function window_size passed with parameters of inception date and window type.