dalio package

Submodules

dalio.datadef module

Defines DataDef base class

DataDef instances describe data inputs throughout the graph and ensure the integrity of data continuously. These are composed of various validators that serve both to describe approved data and check for whether data passes a test.

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)

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

Parameters

lam (float) – lambda parameter

Returns

A copy of data with the continuous volatility of each value