Implement Fama-French Factor Model#3
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@CameronBeneteau I am working on the OOP version of this as well. Can I make a ticket for it once this is accepted? |
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Looks great so far @JeremyOrr4, just a few deprecation warnings to fix if they're quick and easy. I'm good if you keep this file and add a file for the OOP version in this PR.
The main things I want to see from OOP are:
- Custom input ticker
- Custom input start/end dates (yyyy-mm-dd)
- Custom input list of factors (you can assume they will be in the CSV columns because we will be calculating/storing them separately)
OOP version should work with any combination of this set of inputs.
Also not sure if you prefer notebooks (.ipynb) or Python files (.py) for development. I'm good with either as long as it's easy to follow and we can clearly see the steps. I almost want to say notebooks might be better for the time being just so we can see intermediate steps and calculations, but up to you.
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Yeah for your comments I agree with the shift to notebook. I'll make that change and fix the deprecations. Also sounds good, I will keep the branch open and work on the newer version with what you mentioned. I think I will create a src folder for it as well |
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@CameronBeneteau I have the basic OOP and functionalities requested. I still have some minor code improvements and ideas of what to add but we can chat at weekly meeting |
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Revert this committed file
| .venv No newline at end of file | ||
| .venv | ||
| .vscode/ | ||
| venv/ No newline at end of file |
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Add __pycache__ to this (make sure it's global for any folder/directory)
| start_date = "2006-01-01" # Start date for the analysis (format: YYYY-MM-DD) | ||
| end_date = "2023-12-31" # End date for the analysis (format: YYYY-MM-DD) | ||
| ff_data_path = "../data/F-F_Research_Data_Factors_Jer.CSV" # Path to the Fama-French factors CSV file | ||
| factors = ["Mkt-RF"] # List of factors to include in the regression (e.g., "Mkt-RF", "SMB", "HML") No newline at end of file |
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Show an example workflow on how to run
python3 -m .venv venv
source .venv/bin/activate
etc...
python3 main.pyComments at the end of lines here look funny, maybe do something like:
ticker: The stock or ETF ticker symbol (e.g., "QQQ" for the Nasdaq-100 ETF)
etc...
| ticker = "QQQ" | ||
| start_date = "2006-01-01" | ||
| end_date = "2023-12-31" | ||
| ff_data_path = "../data/F-F_Research_Data_Factors_Jer.CSV" | ||
| factors = ["Mkt-RF"] |
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Can these be passed as CLI arguments instead? Default values can be these, though.
Example: https://github.com/DFIC-Quant-Fund/Fund-Monitor/blob/main/Portfolio.py#L206
| regression.run_fama_fetch() | ||
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| if __name__ == "__main__": | ||
| main() |
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Don't call main() in here, remove the function and put logic here, will make it easier to read CLI params.
2 participants
Closes #1
Added my example of the fama-fetch tutorial