Create statistical_returns.py

Author: purvasingh96

Term 1/1. Stock Prices/Quizes/statistical_returns.py

@@ -0,0 +1,38 @@
+import pandas as pd
+import numpy as np
+import scipy.stats as stats
+
+def analyze_returns(net_returns):
+    """
+    Perform a t-test, with the null hypothesis being that the mean return is zero.
+    
+    Parameters
+    ----------
+    net_returns : Pandas Series
+        A Pandas Series for each date
+    
+    Returns
+    -------
+    t_value
+        t-statistic from t-test
+    p_value
+        Corresponding p-value
+    """
+    # TODO: Perform one-tailed t-test on net_returns
+    # Hint: You can use stats.ttest_1samp() to perform the test.
+    #       However, this performs a two-tailed t-test.
+    #       You'll need to divde the p-value by 2 to get the results of a one-tailed p-value.
+    null_hypothesis = 0.0
+    t_value, p_value = stats.ttest_1samp(net_returns, null_hypothesis)
+    
+    return t_value, p_value/2
+    
+def test_run(filename='net_returns.csv'):
+    """Test run analyze_returns() with net strategy returns from a file."""
+    net_returns = pd.Series.from_csv(filename, header=0)
+    t, p = analyze_returns(net_returns)
+    print("t-statistic: {:.3f}\np-value: {:.6f}".format(t, p))
+
+
+if __name__ == '__main__':
+    test_run()