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Z-Score for Stock Returns

Hi All,

Could someone help me calculate the returns for individual stocks in a loop as well as finding the z-score for those stock returns?

Thanks,

Rohit

Clone Algorithm
10
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5919fd6d1f05586184bba71b
There was a runtime error.
2 responses

Rohit ,

Try this :

    for stock in context.my_securities:  
        # Get returns for all stocks in security list  
        prices = data.history(stock, 'price', 21 , '1d')  
        returns = prices.pct_change()[-20:]  
        # Calculate z-score for returns  
        context.z_score = stats.zscore(returns)[-1]


it should work.

Thanks for the help, it did work. However, I'm now getting an unrelated error when I try to calculate my weights. Essentially, my longs and shorts list isn't being appended even if the conditions are met. Would you know how to fix this?

Clone Algorithm
10
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 591b0438d0221166619f6b20
There was a runtime error.