python类get_data()的实例源码

def compute_portvals(orders_file = "./orders/orders2.csv", \
                     start_val = 1000000, leverLimit = True):
    # this is the function the autograder will call to test your code
    order = pd.read_csv(orders_file, index_col = 'Date', parse_dates = True, 
                          na_values=['nan'])

    """Create dataframe prices with symbol/dates/prices relevant to the order"""
    start_date = order.index[0]
    end_date = order.index[-1]
    dates = pd.date_range(start_date, end_date)
    symbols = list( order.ix[:,0].unique() ) #ndarray to list of symbols in order
    prices = get_data(symbols, dates)

    """Create dataframe of cash and deposits in stocks, indexed by date"""
    cashStocks = get_cash_stocks(order, prices, symbols, start_val, leverLimit)
    posVals = get_position_values(cashStocks, prices, symbols)
    portVals = posVals.sum(axis = 1)

    return portVals

def main(_):
    """Does all the things that we need to do:
        - gets data
        - sets up the graph for inference and sampling
        - gets training ops etc.
        - initialise or reload the variables.
        - train until it's time to go.
    """
    _start_msg('getting data')
    data = util.get_data(FLAGS.batch_size, FLAGS.sequence_length,
                         FLAGS.dataset, FLAGS.embedding_size)
    _end_msg('got data')

    _start_msg('getting forward model')
    rnn_model = get_forward(data)
    _end_msg('got forward model')

    _start_msg('getting train ops')
    # TODO(pfcm): be more flexible with this
    global_step = tf.Variable(0, name='global_step', trainable=False)
    saver = tf.train.Saver(tf.all_variables(),
                           max_to_keep=1)
    loss_op, train_op = minimise_xent(
        rnn_model['inference']['logits'], data['placeholders']['targets'],
        global_step=global_step)
    _end_msg('got train ops')
    do_training(data, rnn_model, loss_op, train_op, saver=saver)

def compute_prices(sd = dt.datetime(2008,1,1),ed = dt.datetime(2009,12,31),lookback = 21,syms = ['AAPL'], gen_plot = False):
    #Read in adjusted closing prices for given symbols, date range
    dates = pd.date_range(sd,ed)

    prices_all = get_data(syms,dates) #automatically adds SPY
    prices = prices_all[syms] #only portfolio symbols
    prices_SPY = prices_all['SPY'] #only SPY, for comparision later



    return prices, prices_all, prices_SPY

###calculate the stochastic indicator

def main():

    legend = []

    # p0 = Profolio('All short-only')
    # for etf in ETFs:
    #     data = util.get_data(etf, '2016/1/1', '2016/12/31')
    #     p0.profits -= data.Return
    # label, = plt.plot(range(1, 253), p0.accProfits(), 'y--', label=p0.name)
    # legend.append(label)

    # baseline1 SPY long-only
    p1 = Profolio('SPY long-only')
    data = util.get_data('SPY', '2016/1/1', '2016/12/31')
    p1.profits = data.Return * 9
    label, = plt.plot(range(1, 253), p1.accProfits(), 'b--', label=p1.name)
    legend.append(label)

    # baseline2 All long-only
    p2 = Profolio('All long-only')
    for etf in ETFs:
        data = util.get_data(etf, '2016/1/1', '2016/12/31')
        p2.profits += data.Return
    label, = plt.plot(range(1, 253), p2.accProfits(), 'g--', label=p2.name)
    legend.append(label)

    # My strategy
    my = Profolio('My strategy')
    my.profits = numpy.zeros(252)
    for etf in ETFs:
        my.profits += smart_trade(etf, 'SVM', 4)
    label, = plt.plot(range(1, 253), my.accProfits(), 'r--', label=my.name)
    legend.append(label)

    plt.legend(handles=legend)
    plt.show()

    print p1.annualSharpeRatio(), p2.annualSharpeRatio(), my.annualSharpeRatio()

def assess_portfolio(sd = dt.datetime(2008,1,1), ed = dt.datetime(2009,1,1), \
    syms = ['GOOG','AAPL','GLD','XOM'], \
    allocs=[0.1,0.2,0.3,0.4], \
    sv=1000000, rfr=0.0, sf=252.0, \
    gen_plot=False):

    # Read in adjusted closing prices for given symbols, date range
    dates = pd.date_range(sd, ed)
    prices_all = get_data(syms, dates)  # automatically adds SPY
    prices = prices_all[syms]  # only portfolio symbols
    prices_SPY = prices_all['SPY']  # only SPY, for comparison later

    portVal = get_portfolio_value(prices, allocs, sv)
    cr, adr, sddr, sr = get_portfolio_stats(portVal, rfr, sf)

    # Compare daily portfolio value with SPY using a normalized plot
    if gen_plot:
        # add code to plot here
        df_temp = pd.concat([portVal, prices_SPY], keys=['Portfolio', 'SPY'], axis=1)
        plot_normalized_data(df_temp,'Daily portfolio value and SPY',\
                             'date', 'normalized price')
#        ( df_temp / df_temp.values[0,:] ).plot()

    # Add code here to properly compute end value
    ev = portVal[-1]

    return cr, adr, sddr, sr, ev

def defineData(startDate = '01-01-2008', stopDate = '31-12-2009', symList = ['AAPL']):
    """
    @Summary: Create a Series of a single stock price
    @param startDate: starting date
    @param stopDate: end date
    @param symList: List of a single stock symbol
    @returns a Series containing the prices with the specified dates as indices
    """


    dates = pd.date_range(startDate, stopDate)
    df = get_data(symList, dates)
    data = df.ix[:,1] # First column is SPY by default

    return data

def optimize_portfolio(sd=dt.datetime(2008,1,1), ed=dt.datetime(2009,1,1), \
    syms=['GOOG','AAPL','GLD','XOM'], gen_plot=False):
    start_val = 1000000
    daily_rf = 0
    samples_per_year = 252
    # Read in adjusted closing prices for given symbols, date range
    dates = pd.date_range(sd, ed)
    prices_all = get_data(syms, dates)  # automatically adds SPY
    prices = prices_all[syms]  # only portfolio symbols
    prices_SPY = prices_all['SPY']  # only SPY, for comparison later

    # find the allocations for the optimal portfolio
    allocGuess = np.ones(len(syms), dtype = 'float32') / len(syms)
    setBnds = tuple( [(0,1) for x,y in enumerate(allocGuess)] )#create tuple of (0,1) tuples
    # 'constraints' below constrains allocations to sum to 1 
    # and 'setBnds' forces each allocation to lie in (0,1)
    srMax = spo.minimize(cost, allocGuess, bounds = setBnds, \
            constraints = ({ 'type': 'eq', 'fun': lambda inputs: 1.0 - np.sum(inputs) }), \
            args = (prices,start_val,daily_rf,samples_per_year,), \
            method = 'SLSQP', options = {'disp': True})
    allocs = srMax.x

    portVal = get_portfolio_value(prices, allocs, start_val)
    cr, adr, sddr, sr = get_portfolio_stats(portVal, daily_rf, samples_per_year)

    # Compare daily portfolio value with SPY using a normalized plot
    if gen_plot:
        df_temp = pd.concat([portVal, prices_SPY], keys=['Portfolio', 'SPY'], axis=1)
        plot_normalized_data(df_temp, 'Optimized portfolio values', 'date', \
                             'normalized price')

    return allocs, cr, adr, sddr, sr

def __init__(self, symbols,
        start_date=dt.datetime(2008,1,1),                           #CHANGE DATES TO ACTUAL RANGE!!!
        end_date= dt.datetime(2009,1,1)):

        # frame a time period as world
        self.dates_range = pd.date_range(start_date, end_date)

        # initialize cash holdings
        init_cash = 100000

        #for visualization
        self.data_out = []

        # preprocessing time series
        # stock symbol data
        stock_symbols = symbols[:]
        symbols.append('interest_rates')
        symbols.append('vix')
        # price data
        prices_all = util.get_data(symbols, self.dates_range, True)

        self.stock_A = stock_symbols[0]
        self.stock_B = stock_symbols[1]

        """
        #unemployment rate
        temp_unemp = {}
        unemployment = {}
        with open('unemployment.csv') as unemp_file:
            for line in csv.reader(unemp_file, delimiter=','):
                curr_date = dt.strptime(line[0], '%B-%y')
                temp_unemp[curr_date] = line[1]
        for d in prices_all.keys():
            temp_date = dt.datetime(d.year, d.month)
            if temp_date in temp_unemp:
                unemployment[d] = temp_unemp[temp_date]
        """

        # first trading day
        self.dateIdx = 0
        self.date = prices_all.index[0]
        self.start_date = start_date
        self.end_date = end_date

        self.prices = prices_all[stock_symbols]
        self.prices_SPY = prices_all['spy']
        self.prices_VIX = prices_all['vix']
        self.prices_interest_rate = prices_all['interest_rates']

        # keep track of portfolio value as a series
        self.portfolio = {'cash': init_cash, 'a_vol': [], 'a_price': [], 'b_vol': [], 'b_price': [], 'longA': 0}
        self.port_val = self.port_value_for_output()

        # hardcode enumerating of features
        """
        self.sma = SMA(self.dates_range)
        self.bbp = BBP(self.dates_range)
        self.rsi = RSI(self.dates_range)
        """

def sample(model, data, sess, seed=None):
    """Draws a sample from the model

    Args:
        model (dict): return value of one of the get_model functions.
        data (dict): return from the get_data function.
        sess (tf.Session): a session in which to run the sampling ops.
        seed (Optional): either a sequence to feed into the first few batches
            or None, in which case just the GO symbol is fed in.

    Returns:
        str: the sample.
    """
    if 'inverse_vocab' not in data:
        data['inverse_vocab'] = {b: a for a, b in data['vocab'].items()}

    if seed is not None:
        # run it a bit to get a starting state
        state, inputs = _init_nextstep_state(model, data, seed, sess)
    else:
        # otherwise start from zero
        state = sess.run(model['sampling']['initial_state'])
        inputs = np.array(
            [[data['go_symbol']] * FLAGS.batch_size] * FLAGS.sequence_length)

    seq = []

    # now just roll through
    while len(seq) < FLAGS.sample_length:
        results = sess.run(
            model['sampling']['sequence'] + model['sampling']['final_state'],
            _fill_feed(data, inputs,
                       state_var=model['sampling']['initial_state'],
                       state_val=state))
        seq.extend(results[:FLAGS.sequence_length-2])
        state = results[FLAGS.sequence_length-1:]
        inputs = np.array(
            [seq[-1]] * FLAGS.sequence_length)

    batch_index = random.randint(0, FLAGS.batch_size)
    samp = ''.join([str(data['inverse_vocab'][symbol[batch_index]])
                    for symbol in seq])

    return samp

def compute_portvals2(orders_file="train.csv", start_val=100000):
    # this is the function the autograder will call to test your code
    # TODO: Your code here
    of= open(orders_file, 'w+')
    of.write('Date,Symbol,Order,Shares\n')
    if orders_file == "train.csv":
        of.write("2006-01-03,IBM,BUY,500\n")
        of.write("2009-12-31,IBM,SELL,500\n")
    else:
        of.write("2010-01-04,IBM,BUY,500\n")
        of.write("2010-12-31,IBM,SELL,500\n")
    of.close()

    orders_df = pd.read_csv(orders_file, index_col='Date', parse_dates=True, na_values=['nan'])
    os.remove(orders_file)
    # In the template, instead of computing the value of the portfolio, we just
    # read in the value of IBM over 6 months
    start_date = orders_df.index[0]
    end_date = orders_df.index[-1]
    orders_df.index = orders_df.index - start_date
    bad_index = datetime(2011, 6, 15) - start_date

    cos = orders_df['Symbol'].unique()
    portvals = get_data(cos, pd.date_range(start_date, end_date), addSPY=False)
    portMatrix = portvals.as_matrix()
    rows = np.isfinite(portMatrix[:, 0])

    Allocs = np.zeros((orders_df.index[-1].days + 1, len(cos)))
    Cash = np.zeros(orders_df.index[-1].days + 1)
    Cash.fill(100000)
    leverage = 0;  # (sum(abs(all stock positions))) / (sum(all stock positions) + cash)
    stockVal = 0;
    for order in orders_df.iterrows():
        day = order[0].days
        sym = np.where(cos == order[1][0])[0][0]
        amt = order[1][2]
        if day == bad_index.days:
            continue
        if order[1][1] == 'BUY':
            Allocs[day][sym] += amt
            Cash[day:] -= amt * portMatrix[day][sym]
        else:
            Allocs[day][sym] -= amt
            Cash[day:] += amt * portMatrix[day][sym]

    Allocs = np.cumsum(Allocs, axis=0)
    norm_vals = np.sum(np.multiply(Allocs, portMatrix), axis=1);
    norm_vals = np.add(norm_vals, Cash)
    norm_vals = pd.DataFrame(data=norm_vals[rows], index=portvals.index[rows])
    return norm_vals

def get_indicators (symbols, start_date, end_date, lookback=14):

  # Construct an appropriate DatetimeIndex object.
  dates = pd.date_range(start_date, end_date)

  # Read all the relevant price data (plus SPY) into a DataFrame.
  price = util.get_data(symbols, dates)

  # Add SPY to the symbol list for convenience.
  symbols.append('SPY')


  #Simple Moving Average
  sma = price.rolling(window=lookback,min_periods=lookback).mean()

  smaRatio = sma.copy()
  smaRatio = price / sma


  # Exponentially Moving Average
  ewma = price.ewm(ignore_na=False, span=lookback, min_periods=0, adjust=True).mean()
  ewmaRatio = ewma.copy()
  ewmaRatio = price / ewma

  #Momentum
  momentum = price.copy()
  momentum /= momentum.shift(lookback)
  momentum -= 1
  momentum = momentum.fillna(0)


  #Bollinger Bands
  rolling_std = price.rolling(window=lookback,min_periods=lookback).std()
  top_band = sma + (2 * rolling_std)
  bottom_band = sma - (2 * rolling_std)

  bbp = (price - bottom_band) / (top_band - bottom_band)



  data = pd.concat([price, sma, smaRatio, bbp, ewma, ewmaRatio, momentum], keys=['Price', 'SMA', 'SMA Ratio', 'BBP', 'EMA', 'EMA Ratio', 'Momentum'], axis=1)
  return data

def print_port(of, sv=1000000, output=False, lvrg=False, symbol='SPY'):
    '''
    :param of: .csv order file
    :param sv: starting value of the portfolio
    :param output: whether to output info
    :param lvrg: whether to consider leverage of the portfolio
    :param symbol: stock symbol to consider
    :return: void
    '''

    portvals, start_date, end_date = compute_portvals(orders_file=of, start_val=sv, lvrg=lvrg)
    if isinstance(portvals, pd.DataFrame):
        portvals = portvals[portvals.columns[0]]  # just get the first column
    else:
        "warning, code did not return a DataFrame"

    cum_ret, avg_daily_ret, std_daily_ret, sharpe_ratio = compute_portfolio_stats(portvals)
    # SPX data originally has a'$" in front which creates problem as an improper name
    symb_vals = get_data([symbol], pd.date_range(start_date, end_date))

    cum_ret_SPY, avg_daily_ret_SPY, std_daily_ret_SPY, sharpe_ratio_SPY = compute_portfolio_stats(symb_vals.SPY_test)

    if output:
        # Compare portfolio against $SPX
        print "Date Range: {} to {}".format(start_date, end_date)
        print
        print "Sharpe Ratio of Fund: {}".format(sharpe_ratio)
        print "Sharpe Ratio of SPY : {}".format(sharpe_ratio_SPY)
        print
        print "Cumulative Return of Fund: {}".format(cum_ret)
        print "Cumulative Return of SPY : {}".format(cum_ret_SPY)
        print
        print "Standard Deviation of Fund: {}".format(std_daily_ret)
        print "Standard Deviation of SPY : {}".format(std_daily_ret_SPY)
        print
        print "Average Daily Return of Fund: {}".format(avg_daily_ret)
        print "Average Daily Return of SPY : {}".format(avg_daily_ret_SPY)
        print
        print "Final Portfolio Value: {}".format(portvals[-1])

        norm_port = portvals / portvals[0]
        norm_SPY = symb_vals.SPY_test / symb_vals.SPY_test[0]
        plt.plot(norm_port)
        plt.plot(norm_SPY)
        plt.title('Daily portfolio value and SPY')
        plt.ylabel('Normalized price')
        plt.legend(['Portfolio', 'SPY'], loc=2)
        plt.show()

def query_model(sym=['AAPL'], sd=dt.datetime(2017,5,1), ed=dt.datetime(2017,7,1),
                holdings=None, inds_list=['bbp','ATR'], div_file='Dividers.csv', QT_file='Q_Table.csv'):

    data = get_data(sym, dates=pd.date_range(sd - dt.timedelta(days=35), ed))
    data = add_bband(data)
    data = add_ATR(data)

    # make a divider dictionary from saved csv file
    try:
        divider = pd.read_csv(div_file, index_col=0)
    except IOError as e:
        print(e)
    div_dict = {};
    for ind in inds_list:
        div_dict[ind] = divider[ind].tolist()

    # create a StrategyLearner just to get states
    sLeaner = sl.StrategyLearner()
    sLeaner.div_dict = div_dict
    indicators = data[inds_list].dropna(how='all')
    states = sLeaner._get_state(indicators)
    # slicing out only required date range
    # able to deal with non-trading sd
    pass_day = 0
    while sd not in indicators.index.tolist():
        sd = sd + dt.timedelta(days=1)
        pass_day += 1
        if sd > indicators.index[-1]:
            print('something wrong with the start date')
            break
    start_index = indicators.index.get_loc(sd)
    states = states[start_index:]

    if holdings is None:
        states = states + 100  # in this two indicator case, assume no holdings
    else:
        try:
            new_holdings = holdings[pass_day:]
            for i, hold in zip(range(len(states)), new_holdings):
                states[i] = states[i] + hold
        except:
            print('may have different length of holding information in this case')

    try:
        Q_table = pd.read_csv(QT_file, index_col=0)
    except IOError as e:
        print(e)
    Q_table = np.matrix(Q_table)

    qLearner = ql.QLearner(rar=0)  # no random choice
    qLearner.Q_table = Q_table
    look_up = {0: 'SELL', 1: 'NOTHING', 2: 'BUY'}
    suggestions = []
    for state in states:
        suggestions.append(look_up[qLearner.querysetstate(state)])
    effect_dates = indicators.index[start_index:]
    guide_df = pd.DataFrame(suggestions, index=effect_dates, columns=['{}'.format(sym[0])])

    return guide_df

def test_code():
    # this is a helper function you can use to test your code
    # note that during autograding his function will not be called.
    # Define input parameters
    verbose = False
    # # initializating by reading data from files
    data_start = '2007-12-01'
    data_end = '2011-12-31'
    data = get_data(['IBM'], pd.date_range(data_start, data_end))
    data, data['SMA'], data['StDev'] = add_bband(data,N=20)
    data = add_mmt(data)
    data = add_MACD(data)
    # generate the daily return
    data['DRet'] = data.iloc[:,1].slice_shift(-1)/data.iloc[:,1] - 1

    # for testing of bollinger band only
    plt.plot(data.iloc[:,1][20:300])
    plt.plot(data.SMA[20:300]+2*data.StDev[20:300])
    plt.plot(data.SMA[20:300]-2*data.StDev[20:300])
    plt.plot(data.SMA[20:300])
    plt.show()


    # mmt_div = bin_divider(data.mmt)
    # bbp_div = bin_divider(data.bbp)
    # MACD_div = bin_divider(data.MACD)
    #
    # sd = dt.datetime(2008, 1, 1); ed = dt.datetime(2009, 1, 1)
    # temp = data.index[data.index > sd]
    # print temp[0]

    if verbose:
        print 'mmt_div:', mmt_div
        print 'bbp_div:', bbp_div
        print 'MACD_div:', MACD_div
        test = [data.mmt[500],data.bbp[500],data.MACD[500]]
        print test
        s = get_state(test,[mmt_div,bbp_div,MACD_div],1)
        print s
    # # start and end date the learner concerns
    # start_date = '2007-12-31'
    # end_date = '2009-12-31'
    # # generate training data
    # trainX = data[['bband','mmt','MACD']][start_date:end_date].values
    # trainY = data.Y[start_date:end_date].values
    #
    # plt.plot(data.iloc[:,1]['2007-12-31':'2009-12-31'],'r')
    # # adjust prediction Y to scale up with price
    # enlarge = (data.iloc[:,1].max()-data.iloc[:,1].min())/(trainY.max()-trainY.min())
    # plt.plot(data.Y[start_date:end_date]*enlarge+(data.iloc[:,1].min()+data.iloc[:,1].max())/2,'g')
    # plt.show()
    #
    # # orders = generate_order(ana_data)

def main():

    stock_name = 'SPY'
    delta = 4
    start = datetime.datetime(2010,1,1)
    end = datetime.datetime(2015,12,31)
    start_test = datetime.datetime(2015,1,1)

    dataset = util.get_data(stock_name, start, end)
    delta = range(1, delta)
    dataset = util.applyFeatures(dataset, delta)
    dataset = util.preprocessData(dataset)
    X_train, y_train, X_test, y_test  = \
        classifier.prepareDataForClassification(dataset, start_test)

    X_train = numpy.reshape(numpy.array(X_train), (X_train.shape[0], 1, X_train.shape[1]))

    X_test = numpy.reshape(numpy.array(X_test), (X_test.shape[0], 1, X_test.shape[1]))

    #Step 2 Build Model
    model = Sequential()

    model.add(LSTM(
        128,
        input_shape=(None, X_train.shape[2]),
        return_sequences=True))
    model.add(Dropout(0.2))

    model.add(LSTM(
        240,
        return_sequences=False))
    model.add(Dropout(0.2))

    model.add(Dense(
        units=1))
    model.add(Activation('sigmoid'))

    start = time.time()
    model.compile(loss='binary_crossentropy', optimizer='adam', metrics=['accuracy'])

    #Step 3 Train the model
    model.fit(
        X_train,
        y_train,
        batch_size=4,
        epochs=4,
        validation_split=0.1)

    print model.predict(X_train)
    print model.evaluate(X_train, y_train)

def smart_trade(etf, method, delta):
    parameters = [8, 0.0125]

    data = util.get_data(etf, '2014/1/1', '2016/12/31')

    # keep a copy for unscaled data for later gain calculation
    # TODO replace by MinMax_Scaler.inverse_transform()
    #
    # the first day of test is 2015/12/31. Using this data on this day to predict
    # Up/Down of 2016/01/04
    test = data[data.index > datetime.datetime(2015,12,30)]

    le = preprocessing.LabelEncoder()
    test['UpDown'] = (test['Close'] - test['Open']) / test['Open']
    threshold = 0.000
    test.UpDown[test.UpDown >= threshold] = 'Up'
    test.UpDown[test.UpDown < threshold] = 'Down'
    test.UpDown = le.fit(test.UpDown).transform(test.UpDown)
    test.UpDown = test.UpDown.shift(-1) # shift 1, so the y is actually next day's up/down

    dataMod = util.applyFeatures(data, range(1, delta))
    dataMod = util.preprocessData(dataMod)

    tr = dataMod[dataMod.index <= datetime.datetime(2015,12,30)]
    #tr = dataMod[dataMod.index <= datetime.datetime(2016,06,30)]
    te = dataMod[dataMod.index > datetime.datetime(2015,12,30)]
    te = te[te.columns[0:-1]] # remove Up/Down label from testing
    clf = classifier.buildModel(tr, method, parameters)

    if method == 'RNN':
        te = numpy.reshape(numpy.array(te), (te.shape[0], 1, te.shape[1]))

    pred = clf.predict(te)

    profits = numpy.zeros(pred.size)
    for i in range(pred.size):
      if pred[i] < 0.5: # predict long
        p = (test.Close[i+1] - test.Open[i+1]) / test.Open[i+1]
      else: # predict short
        p = -(test.Close[i+1] - test.Open[i+1]) / test.Open[i+1]
      profits[i] = p
    return profits

def testcode_marketsim(symbol = 'ML_based', base_dir = './orders/', \
                       sv = 100000, leverLimit = True, verbose = True):
###    Use one of the order folders below    ###
#    of = "./orders/benchmark.csv"
#    of = "./orders/bestPossibleStrategy.csv"
#    of = "./orders/rule_based.csv"
#    of = "./orders/ML_based.csv"
    of = symbol_to_path(symbol, base_dir)

#    sv = 100000 # starting value of portfolio, i.e. initial cash available

    # Process orders
    portVals = compute_portvals(of, sv, leverLimit)
    if isinstance(portVals, pd.DataFrame):
        portVals = portVals[portVals.columns[0]] # just get the first column as a Series
    else:
        "warning, code did not return a DataFrame"

    start_date = portVals.index[0]
    end_date = portVals.index[-1]
    pricesSPX = get_data(['$SPX'], pd.date_range(start_date, end_date))
    pricesSPX = pricesSPX['$SPX']

    cum_ret, avg_daily_ret, std_daily_ret, sharpe_ratio = get_portfolio_stats(portVals, \
                                                daily_rf = 0, samples_per_year = 252)
    cum_ret_SPY, avg_daily_ret_SPY, std_daily_ret_SPY, sharpe_ratio_SPY = \
            get_portfolio_stats(pricesSPX, daily_rf = 0, samples_per_year = 252)

    # Compare portfolio against $SPX
    if verbose == True:
        dfTemp = pd.concat([portVals, pricesSPX], axis = 1, keys = ['portfolio', '$SPX'])
        plot_normalized_data(dfTemp,'', '', '')

        print "\nDate Range: {} to {}".format(start_date.date(), end_date.date())
        print
        print "Sharpe Ratio of Fund: {}".format(sharpe_ratio)
        print "Sharpe Ratio of SPY : {}".format(sharpe_ratio_SPY)
        print
        print "Cumulative Return of Fund: {}".format(cum_ret)
        print "Cumulative Return of SPY : {}".format(cum_ret_SPY)
        print
        print "Standard Deviation of Fund: {}".format(std_daily_ret)
        print "Standard Deviation of SPY : {}".format(std_daily_ret_SPY)
        print
        print "Average Daily Return of Fund: {}".format(avg_daily_ret)
        print "Average Daily Return of SPY : {}".format(avg_daily_ret_SPY)
        print
        print "Final Portfolio Value: {}".format(portVals[-1])

    return cum_ret, portVals

def test_code():
###    Use one of the order folders below    ###
###    of = "./orders/orders-leverage-3.csv" # verify from wiki
    of = "./orders_mc2p1_spr2016/orders-12-modified.csv" #verify from saved pdf
    sv = 1000000 # starting value of portfolio, i.e. initial cash available

    # Process orders
    portVals = compute_portvals(orders_file = of, start_val = sv)
    if isinstance(portVals, pd.DataFrame):
        portVals = portVals[portVals.columns[0]] # just get the first column as a Series
    else:
        "warning, code did not return a DataFrame"

    start_date = portVals.index[0]
    end_date = portVals.index[-1]
    pricesSPX = get_data(['$SPX'], pd.date_range(start_date, end_date))
    pricesSPX = pricesSPX['$SPX']

    dfTemp = pd.concat([portVals, pricesSPX], axis = 1, keys = ['portfolio', '$SPX'])
    plot_normalized_data(dfTemp,'', '', '')

    cum_ret, avg_daily_ret, std_daily_ret, sharpe_ratio = get_portfolio_stats(portVals, \
                                                daily_rf = 0, samples_per_year = 252)
    cum_ret_SPY, avg_daily_ret_SPY, std_daily_ret_SPY, sharpe_ratio_SPY = \
            get_portfolio_stats(pricesSPX, daily_rf = 0, samples_per_year = 252)

    # Compare portfolio against $SPX
    print "\nDate Range: {} to {}".format(start_date.date(), end_date.date())
    print
    print "Sharpe Ratio of Fund: {}".format(sharpe_ratio)
    print "Sharpe Ratio of SPY : {}".format(sharpe_ratio_SPY)
    print
    print "Cumulative Return of Fund: {}".format(cum_ret)
    print "Cumulative Return of SPY : {}".format(cum_ret_SPY)
    print
    print "Standard Deviation of Fund: {}".format(std_daily_ret)
    print "Standard Deviation of SPY : {}".format(std_daily_ret_SPY)
    print
    print "Average Daily Return of Fund: {}".format(avg_daily_ret)
    print "Average Daily Return of SPY : {}".format(avg_daily_ret_SPY)
    print
    print "Final Portfolio Value: {}".format(portVals[-1])