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
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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.
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dalio.ops.
index_cols
(df, i=100)¶ Index columns at some value
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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