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pandasfinance

Convert daily stock returns to weekly stock returns

I'm very new to pandas and I'm trying to convert daily stock return into weekly stock returns by finding the product of (1 + return) for each day Monday to Friday.

Here is an example of what i have so far (data is just an example, not real numbers):

 In[1]: df
 In [2]:
      Date       AAPL      NFLX       INTC  
 2019-09-09      0.01    0.0012    0.00873
 2019-09-10     0.014    0.0074  0.0837738
 2019-09-11    0.0123  0.007123    0.09383
 2019-09-12    0.0028   0.07234     0.0484
 2019-09-13   0.00172    0.8427    0.09484

My dataset is much larger than what I'm showing. But essentially I just want to find the product of (1+return) for every consecutive Monday to Friday.

The ideal output would be a dataframe with fridays as indices, and then weekly return values displayed under the stock tickers

Solution

  • The line of code below should do it:

    (1+df).resample('W-FRI').prod()-1

    What the line above is doing is resampling the (1 + daily return) (check pandas resample documentation for further information) to a weekly frequency with Friday set as the resampling day ('W-FRI'). Finally, the prod() is multiplying the (1 + daily return) when weekly resampling is perfomed to return the accumulated return for each week.