dalio package

Subpackages

Submodules

dalio.ops module

Define various operations

dalio.ops.get_comps_by_sic(data, ticker, max_ticks=None)

Get an equity’s comps based on market cap and sic code similarity

This has the major flaw of getting too many comps for common industries.

Parameters
  • data (pd.DataFrame) – data containing all possible comparisson candidates.

  • ticker (str) – ticker of main stock.

  • max_ticks (int) – maximum number of tickers to return.

Raises

KeyError – if stock is not present in data.

dalio.ops.index_cols(df, i=100)

Index columns at some value

dalio.ops.risk_metrics(data, lam, ignore_first=True)

Apply the basic RiskMetrics (EWMA) continuous volatility measure to a a dataframe

Parameters
  • lam (float) – lambda parameter

  • ignore_first (bool) – whether to ignore the first row. This is often the case after a change pipe.

Returns

A copy of data with the continuous volatility of each value

Module contents