-p 0 (plotting) -f orders/orders4.csv (ordersfile) -n -1 (order_id) -c 1000000 (start_value) -t 9.95 (transaction_fee) -m 0.005 (market_impact_factor) -l 0 (do_leverage) -s solution (do_leverage) --- begin student code ------------------------------------------------ 1) orders are (panda frame): Symbol Order Shares Date 2012-04-13 NSM BUY 1000 2012-09-04 NSM SELL 1000 2011-02-03 BIIB BUY 5000 2012-09-04 BIIB SELL 5000: 2) orders are (sorted): Symbol Order Shares Date 2011-02-03 BIIB BUY 5000 2012-04-13 NSM BUY 1000 2012-09-04 NSM SELL 1000 2012-09-04 BIIB SELL 5000 4) 'change' order (list) is: [('2011-02-03', 'BIIB', 5000), ('2012-04-13', 'NSM', 1000), ('2012-09-04', 'NSM', -1000), ('2012-09-04', 'BIIB', -5000)] 5) symbols to pull are: ['BIIB', 'NSM', 'NSM', 'BIIB'] 6) symbols (non duplicates) to pull are: ['BIIB', 'NSM'] 7) dates: DatetimeIndex(['2011-02-03', '2011-02-04', '2011-02-05', '2011-02-06', '2011-02-07', '2011-02-08', '2011-02-09', '2011-02-10', '2011-02-11', '2011-02-12', ... '2012-08-26', '2012-08-27', '2012-08-28', '2012-08-29', '2012-08-30', '2012-08-31', '2012-09-01', '2012-09-02', '2012-09-03', '2012-09-04'], dtype='datetime64[ns]', length=580, freq='D') 8) get adjusting closing prices of symbols date range : SPY BIIB NSM 2011-02-03 126.88 65.58 NaN 2011-02-04 127.24 65.93 NaN 2011-02-07 128.03 65.25 NaN 2011-02-08 128.61 66.15 NaN 2011-02-09 128.32 66.00 NaN 2011-02-10 128.37 66.22 NaN 2011-02-11 129.14 65.83 NaN 2011-02-14 129.45 67.27 NaN 2011-02-15 129.04 67.09 NaN 2011-02-16 129.85 67.36 NaN 2011-02-17 130.24 67.65 NaN 2011-02-18 130.51 67.64 NaN 2011-02-22 127.90 67.09 NaN 2011-02-23 127.11 66.76 NaN 2011-02-24 127.02 67.26 NaN 2011-02-25 128.38 67.78 NaN 2011-02-28 129.18 68.40 NaN 2011-03-01 127.02 70.18 NaN 2011-03-02 127.29 70.00 NaN 2011-03-03 129.49 71.42 NaN 2011-03-04 128.52 71.15 NaN 2011-03-07 127.51 71.24 NaN 2011-03-08 128.62 71.60 NaN 2011-03-09 128.44 71.74 NaN 2011-03-10 126.06 70.60 NaN 2011-03-11 126.93 71.00 NaN 2011-03-14 126.17 70.65 NaN 2011-03-15 124.72 69.56 NaN 2011-03-16 122.41 68.70 NaN 2011-03-17 124.03 69.25 NaN ... ... ... ... 2012-07-24 133.93 139.48 22.99 2012-07-25 133.96 143.45 22.52 2012-07-26 136.17 147.75 21.90 2012-07-27 138.68 149.47 21.90 2012-07-30 138.68 147.28 22.30 2012-07-31 137.71 145.83 22.02 2012-08-01 137.59 144.28 22.32 2012-08-02 136.64 143.80 23.66 2012-08-03 139.35 145.06 24.15 2012-08-06 139.62 145.46 23.87 2012-08-07 140.32 146.18 24.33 2012-08-08 140.49 145.05 24.97 2012-08-09 140.61 143.09 25.10 2012-08-10 140.84 145.51 25.63 2012-08-13 140.77 144.54 25.31 2012-08-14 140.79 145.50 27.60 2012-08-15 140.95 146.87 27.31 2012-08-16 141.99 146.84 28.42 2012-08-17 142.18 145.09 28.24 2012-08-20 142.19 144.69 27.70 2012-08-21 141.76 143.97 27.14 2012-08-22 141.82 144.92 26.40 2012-08-23 140.66 145.15 25.86 2012-08-24 141.51 147.03 25.85 2012-08-27 141.54 147.39 25.90 2012-08-28 141.40 146.43 27.32 2012-08-29 141.51 145.89 27.87 2012-08-30 140.49 145.95 27.36 2012-08-31 141.16 146.59 27.12 2012-09-04 141.03 147.07 28.76 [400 rows x 3 columns] 9) extract SPY from prices : BIIB NSM 2011-02-03 65.58 NaN 2011-02-04 65.93 NaN 2011-02-07 65.25 NaN 2011-02-08 66.15 NaN 2011-02-09 66.00 NaN 2011-02-10 66.22 NaN 2011-02-11 65.83 NaN 2011-02-14 67.27 NaN 2011-02-15 67.09 NaN 2011-02-16 67.36 NaN 2011-02-17 67.65 NaN 2011-02-18 67.64 NaN 2011-02-22 67.09 NaN 2011-02-23 66.76 NaN 2011-02-24 67.26 NaN 2011-02-25 67.78 NaN 2011-02-28 68.40 NaN 2011-03-01 70.18 NaN 2011-03-02 70.00 NaN 2011-03-03 71.42 NaN 2011-03-04 71.15 NaN 2011-03-07 71.24 NaN 2011-03-08 71.60 NaN 2011-03-09 71.74 NaN 2011-03-10 70.60 NaN 2011-03-11 71.00 NaN 2011-03-14 70.65 NaN 2011-03-15 69.56 NaN 2011-03-16 68.70 NaN 2011-03-17 69.25 NaN ... ... ... 2012-07-24 139.48 22.99 2012-07-25 143.45 22.52 2012-07-26 147.75 21.90 2012-07-27 149.47 21.90 2012-07-30 147.28 22.30 2012-07-31 145.83 22.02 2012-08-01 144.28 22.32 2012-08-02 143.80 23.66 2012-08-03 145.06 24.15 2012-08-06 145.46 23.87 2012-08-07 146.18 24.33 2012-08-08 145.05 24.97 2012-08-09 143.09 25.10 2012-08-10 145.51 25.63 2012-08-13 144.54 25.31 2012-08-14 145.50 27.60 2012-08-15 146.87 27.31 2012-08-16 146.84 28.42 2012-08-17 145.09 28.24 2012-08-20 144.69 27.70 2012-08-21 143.97 27.14 2012-08-22 144.92 26.40 2012-08-23 145.15 25.86 2012-08-24 147.03 25.85 2012-08-27 147.39 25.90 2012-08-28 146.43 27.32 2012-08-29 145.89 27.87 2012-08-30 145.95 27.36 2012-08-31 146.59 27.12 2012-09-04 147.07 28.76 [400 rows x 2 columns] 10) address the NaNs : BIIB NSM 2011-02-03 65.58 14.20 2011-02-04 65.93 14.20 2011-02-07 65.25 14.20 2011-02-08 66.15 14.20 2011-02-09 66.00 14.20 2011-02-10 66.22 14.20 2011-02-11 65.83 14.20 2011-02-14 67.27 14.20 2011-02-15 67.09 14.20 2011-02-16 67.36 14.20 2011-02-17 67.65 14.20 2011-02-18 67.64 14.20 2011-02-22 67.09 14.20 2011-02-23 66.76 14.20 2011-02-24 67.26 14.20 2011-02-25 67.78 14.20 2011-02-28 68.40 14.20 2011-03-01 70.18 14.20 2011-03-02 70.00 14.20 2011-03-03 71.42 14.20 2011-03-04 71.15 14.20 2011-03-07 71.24 14.20 2011-03-08 71.60 14.20 2011-03-09 71.74 14.20 2011-03-10 70.60 14.20 2011-03-11 71.00 14.20 2011-03-14 70.65 14.20 2011-03-15 69.56 14.20 2011-03-16 68.70 14.20 2011-03-17 69.25 14.20 ... ... ... 2012-07-24 139.48 22.99 2012-07-25 143.45 22.52 2012-07-26 147.75 21.90 2012-07-27 149.47 21.90 2012-07-30 147.28 22.30 2012-07-31 145.83 22.02 2012-08-01 144.28 22.32 2012-08-02 143.80 23.66 2012-08-03 145.06 24.15 2012-08-06 145.46 23.87 2012-08-07 146.18 24.33 2012-08-08 145.05 24.97 2012-08-09 143.09 25.10 2012-08-10 145.51 25.63 2012-08-13 144.54 25.31 2012-08-14 145.50 27.60 2012-08-15 146.87 27.31 2012-08-16 146.84 28.42 2012-08-17 145.09 28.24 2012-08-20 144.69 27.70 2012-08-21 143.97 27.14 2012-08-22 144.92 26.40 2012-08-23 145.15 25.86 2012-08-24 147.03 25.85 2012-08-27 147.39 25.90 2012-08-28 146.43 27.32 2012-08-29 145.89 27.87 2012-08-30 145.95 27.36 2012-08-31 146.59 27.12 2012-09-04 147.07 28.76 [400 rows x 2 columns] 11) add cash column (value of cash $1 is worth $1) to prices : BIIB NSM _CASH 2011-02-03 65.58 14.20 1.0 2011-02-04 65.93 14.20 1.0 2011-02-07 65.25 14.20 1.0 2011-02-08 66.15 14.20 1.0 2011-02-09 66.00 14.20 1.0 2011-02-10 66.22 14.20 1.0 2011-02-11 65.83 14.20 1.0 2011-02-14 67.27 14.20 1.0 2011-02-15 67.09 14.20 1.0 2011-02-16 67.36 14.20 1.0 2011-02-17 67.65 14.20 1.0 2011-02-18 67.64 14.20 1.0 2011-02-22 67.09 14.20 1.0 2011-02-23 66.76 14.20 1.0 2011-02-24 67.26 14.20 1.0 2011-02-25 67.78 14.20 1.0 2011-02-28 68.40 14.20 1.0 2011-03-01 70.18 14.20 1.0 2011-03-02 70.00 14.20 1.0 2011-03-03 71.42 14.20 1.0 2011-03-04 71.15 14.20 1.0 2011-03-07 71.24 14.20 1.0 2011-03-08 71.60 14.20 1.0 2011-03-09 71.74 14.20 1.0 2011-03-10 70.60 14.20 1.0 2011-03-11 71.00 14.20 1.0 2011-03-14 70.65 14.20 1.0 2011-03-15 69.56 14.20 1.0 2011-03-16 68.70 14.20 1.0 2011-03-17 69.25 14.20 1.0 ... ... ... ... 2012-07-24 139.48 22.99 1.0 2012-07-25 143.45 22.52 1.0 2012-07-26 147.75 21.90 1.0 2012-07-27 149.47 21.90 1.0 2012-07-30 147.28 22.30 1.0 2012-07-31 145.83 22.02 1.0 2012-08-01 144.28 22.32 1.0 2012-08-02 143.80 23.66 1.0 2012-08-03 145.06 24.15 1.0 2012-08-06 145.46 23.87 1.0 2012-08-07 146.18 24.33 1.0 2012-08-08 145.05 24.97 1.0 2012-08-09 143.09 25.10 1.0 2012-08-10 145.51 25.63 1.0 2012-08-13 144.54 25.31 1.0 2012-08-14 145.50 27.60 1.0 2012-08-15 146.87 27.31 1.0 2012-08-16 146.84 28.42 1.0 2012-08-17 145.09 28.24 1.0 2012-08-20 144.69 27.70 1.0 2012-08-21 143.97 27.14 1.0 2012-08-22 144.92 26.40 1.0 2012-08-23 145.15 25.86 1.0 2012-08-24 147.03 25.85 1.0 2012-08-27 147.39 25.90 1.0 2012-08-28 146.43 27.32 1.0 2012-08-29 145.89 27.87 1.0 2012-08-30 145.95 27.36 1.0 2012-08-31 146.59 27.12 1.0 2012-09-04 147.07 28.76 1.0 [400 rows x 3 columns] 12) create change frame with index and symbols : BIIB NSM 2011-02-03 NaN NaN 2011-02-04 NaN NaN 2011-02-07 NaN NaN 2011-02-08 NaN NaN 2011-02-09 NaN NaN 2011-02-10 NaN NaN 2011-02-11 NaN NaN 2011-02-14 NaN NaN 2011-02-15 NaN NaN 2011-02-16 NaN NaN 2011-02-17 NaN NaN 2011-02-18 NaN NaN 2011-02-22 NaN NaN 2011-02-23 NaN NaN 2011-02-24 NaN NaN 2011-02-25 NaN NaN 2011-02-28 NaN NaN 2011-03-01 NaN NaN 2011-03-02 NaN NaN 2011-03-03 NaN NaN 2011-03-04 NaN NaN 2011-03-07 NaN NaN 2011-03-08 NaN NaN 2011-03-09 NaN NaN 2011-03-10 NaN NaN 2011-03-11 NaN NaN 2011-03-14 NaN NaN 2011-03-15 NaN NaN 2011-03-16 NaN NaN 2011-03-17 NaN NaN ... ... ... 2012-07-24 NaN NaN 2012-07-25 NaN NaN 2012-07-26 NaN NaN 2012-07-27 NaN NaN 2012-07-30 NaN NaN 2012-07-31 NaN NaN 2012-08-01 NaN NaN 2012-08-02 NaN NaN 2012-08-03 NaN NaN 2012-08-06 NaN NaN 2012-08-07 NaN NaN 2012-08-08 NaN NaN 2012-08-09 NaN NaN 2012-08-10 NaN NaN 2012-08-13 NaN NaN 2012-08-14 NaN NaN 2012-08-15 NaN NaN 2012-08-16 NaN NaN 2012-08-17 NaN NaN 2012-08-20 NaN NaN 2012-08-21 NaN NaN 2012-08-22 NaN NaN 2012-08-23 NaN NaN 2012-08-24 NaN NaN 2012-08-27 NaN NaN 2012-08-28 NaN NaN 2012-08-29 NaN NaN 2012-08-30 NaN NaN 2012-08-31 NaN NaN 2012-09-04 NaN NaN [400 rows x 2 columns] 13) fill changes with zeros : BIIB NSM 2011-02-03 0 0 2011-02-04 0 0 2011-02-07 0 0 2011-02-08 0 0 2011-02-09 0 0 2011-02-10 0 0 2011-02-11 0 0 2011-02-14 0 0 2011-02-15 0 0 2011-02-16 0 0 2011-02-17 0 0 2011-02-18 0 0 2011-02-22 0 0 2011-02-23 0 0 2011-02-24 0 0 2011-02-25 0 0 2011-02-28 0 0 2011-03-01 0 0 2011-03-02 0 0 2011-03-03 0 0 2011-03-04 0 0 2011-03-07 0 0 2011-03-08 0 0 2011-03-09 0 0 2011-03-10 0 0 2011-03-11 0 0 2011-03-14 0 0 2011-03-15 0 0 2011-03-16 0 0 2011-03-17 0 0 ... ... ... 2012-07-24 0 0 2012-07-25 0 0 2012-07-26 0 0 2012-07-27 0 0 2012-07-30 0 0 2012-07-31 0 0 2012-08-01 0 0 2012-08-02 0 0 2012-08-03 0 0 2012-08-06 0 0 2012-08-07 0 0 2012-08-08 0 0 2012-08-09 0 0 2012-08-10 0 0 2012-08-13 0 0 2012-08-14 0 0 2012-08-15 0 0 2012-08-16 0 0 2012-08-17 0 0 2012-08-20 0 0 2012-08-21 0 0 2012-08-22 0 0 2012-08-23 0 0 2012-08-24 0 0 2012-08-27 0 0 2012-08-28 0 0 2012-08-29 0 0 2012-08-30 0 0 2012-08-31 0 0 2012-09-04 0 0 [400 rows x 2 columns] 14) A separae cash series index by prices with zeros: 2011-02-03 0.0 2011-02-04 0.0 2011-02-07 0.0 2011-02-08 0.0 2011-02-09 0.0 2011-02-10 0.0 2011-02-11 0.0 2011-02-14 0.0 2011-02-15 0.0 2011-02-16 0.0 2011-02-17 0.0 2011-02-18 0.0 2011-02-22 0.0 2011-02-23 0.0 2011-02-24 0.0 2011-02-25 0.0 2011-02-28 0.0 2011-03-01 0.0 2011-03-02 0.0 2011-03-03 0.0 2011-03-04 0.0 2011-03-07 0.0 2011-03-08 0.0 2011-03-09 0.0 2011-03-10 0.0 2011-03-11 0.0 2011-03-14 0.0 2011-03-15 0.0 2011-03-16 0.0 2011-03-17 0.0 ... 2012-07-24 0.0 2012-07-25 0.0 2012-07-26 0.0 2012-07-27 0.0 2012-07-30 0.0 2012-07-31 0.0 2012-08-01 0.0 2012-08-02 0.0 2012-08-03 0.0 2012-08-06 0.0 2012-08-07 0.0 2012-08-08 0.0 2012-08-09 0.0 2012-08-10 0.0 2012-08-13 0.0 2012-08-14 0.0 2012-08-15 0.0 2012-08-16 0.0 2012-08-17 0.0 2012-08-20 0.0 2012-08-21 0.0 2012-08-22 0.0 2012-08-23 0.0 2012-08-24 0.0 2012-08-27 0.0 2012-08-28 0.0 2012-08-29 0.0 2012-08-30 0.0 2012-08-31 0.0 2012-09-04 0.0 Length: 400, dtype: float64 15) first value in cash series is amount that we start out with: 2011-02-03 1000000.0 2011-02-04 0.0 2011-02-07 0.0 2011-02-08 0.0 2011-02-09 0.0 2011-02-10 0.0 2011-02-11 0.0 2011-02-14 0.0 2011-02-15 0.0 2011-02-16 0.0 2011-02-17 0.0 2011-02-18 0.0 2011-02-22 0.0 2011-02-23 0.0 2011-02-24 0.0 2011-02-25 0.0 2011-02-28 0.0 2011-03-01 0.0 2011-03-02 0.0 2011-03-03 0.0 2011-03-04 0.0 2011-03-07 0.0 2011-03-08 0.0 2011-03-09 0.0 2011-03-10 0.0 2011-03-11 0.0 2011-03-14 0.0 2011-03-15 0.0 2011-03-16 0.0 2011-03-17 0.0 ... 2012-07-24 0.0 2012-07-25 0.0 2012-07-26 0.0 2012-07-27 0.0 2012-07-30 0.0 2012-07-31 0.0 2012-08-01 0.0 2012-08-02 0.0 2012-08-03 0.0 2012-08-06 0.0 2012-08-07 0.0 2012-08-08 0.0 2012-08-09 0.0 2012-08-10 0.0 2012-08-13 0.0 2012-08-14 0.0 2012-08-15 0.0 2012-08-16 0.0 2012-08-17 0.0 2012-08-20 0.0 2012-08-21 0.0 2012-08-22 0.0 2012-08-23 0.0 2012-08-24 0.0 2012-08-27 0.0 2012-08-28 0.0 2012-08-29 0.0 2012-08-30 0.0 2012-08-31 0.0 2012-09-04 0.0 Length: 400, dtype: float64 16) iterate through sorted series of orders and execute the orders impacts our cash series, and the change frame 2011-02-03: BUYING 5000 BIIB Other costs +1,649.4500 price +327,900.0000 @ +65.5800 Total cash CHANGE is: -329,549.4500 Total cash available: +670,450.5500 2012-04-13: BUYING 1000 NSM Other costs +80.8000 price +14,170.0000 @ +14.1700 Total cash CHANGE is: -14,250.8000 Total cash available: +656,199.7500 2012-09-04: SELLING -1000 NSM Other costs +153.7500 price -28,760.0000 @ +28.7600 Total cash CHANGE is: +28,606.2500 Total cash available: +684,806.0000 2012-09-04: SELLING -5000 BIIB Other costs +3,686.7000 price -735,350.0000 @ +147.0700 Total cash CHANGE is: +731,663.3000 Total cash available: +1,416,469.3000 16) append cash to changes: BIIB NSM _CASH 2011-02-03 5000 0 670450.55 2011-02-04 0 0 0.00 2011-02-07 0 0 0.00 2011-02-08 0 0 0.00 2011-02-09 0 0 0.00 2011-02-10 0 0 0.00 2011-02-11 0 0 0.00 2011-02-14 0 0 0.00 2011-02-15 0 0 0.00 2011-02-16 0 0 0.00 2011-02-17 0 0 0.00 2011-02-18 0 0 0.00 2011-02-22 0 0 0.00 2011-02-23 0 0 0.00 2011-02-24 0 0 0.00 2011-02-25 0 0 0.00 2011-02-28 0 0 0.00 2011-03-01 0 0 0.00 2011-03-02 0 0 0.00 2011-03-03 0 0 0.00 2011-03-04 0 0 0.00 2011-03-07 0 0 0.00 2011-03-08 0 0 0.00 2011-03-09 0 0 0.00 2011-03-10 0 0 0.00 2011-03-11 0 0 0.00 2011-03-14 0 0 0.00 2011-03-15 0 0 0.00 2011-03-16 0 0 0.00 2011-03-17 0 0 0.00 ... ... ... ... 2012-07-24 0 0 0.00 2012-07-25 0 0 0.00 2012-07-26 0 0 0.00 2012-07-27 0 0 0.00 2012-07-30 0 0 0.00 2012-07-31 0 0 0.00 2012-08-01 0 0 0.00 2012-08-02 0 0 0.00 2012-08-03 0 0 0.00 2012-08-06 0 0 0.00 2012-08-07 0 0 0.00 2012-08-08 0 0 0.00 2012-08-09 0 0 0.00 2012-08-10 0 0 0.00 2012-08-13 0 0 0.00 2012-08-14 0 0 0.00 2012-08-15 0 0 0.00 2012-08-16 0 0 0.00 2012-08-17 0 0 0.00 2012-08-20 0 0 0.00 2012-08-21 0 0 0.00 2012-08-22 0 0 0.00 2012-08-23 0 0 0.00 2012-08-24 0 0 0.00 2012-08-27 0 0 0.00 2012-08-28 0 0 0.00 2012-08-29 0 0 0.00 2012-08-30 0 0 0.00 2012-08-31 0 0 0.00 2012-09-04 -5000 -1000 760269.55 [400 rows x 3 columns] 17) compute the holding everyday (same as) cumulative sum (cumsum): BIIB NSM _CASH 2011-02-03 5000.0 0.0 670450.55 2011-02-04 5000.0 0.0 670450.55 2011-02-07 5000.0 0.0 670450.55 2011-02-08 5000.0 0.0 670450.55 2011-02-09 5000.0 0.0 670450.55 2011-02-10 5000.0 0.0 670450.55 2011-02-11 5000.0 0.0 670450.55 2011-02-14 5000.0 0.0 670450.55 2011-02-15 5000.0 0.0 670450.55 2011-02-16 5000.0 0.0 670450.55 2011-02-17 5000.0 0.0 670450.55 2011-02-18 5000.0 0.0 670450.55 2011-02-22 5000.0 0.0 670450.55 2011-02-23 5000.0 0.0 670450.55 2011-02-24 5000.0 0.0 670450.55 2011-02-25 5000.0 0.0 670450.55 2011-02-28 5000.0 0.0 670450.55 2011-03-01 5000.0 0.0 670450.55 2011-03-02 5000.0 0.0 670450.55 2011-03-03 5000.0 0.0 670450.55 2011-03-04 5000.0 0.0 670450.55 2011-03-07 5000.0 0.0 670450.55 2011-03-08 5000.0 0.0 670450.55 2011-03-09 5000.0 0.0 670450.55 2011-03-10 5000.0 0.0 670450.55 2011-03-11 5000.0 0.0 670450.55 2011-03-14 5000.0 0.0 670450.55 2011-03-15 5000.0 0.0 670450.55 2011-03-16 5000.0 0.0 670450.55 2011-03-17 5000.0 0.0 670450.55 ... ... ... ... 2012-07-24 5000.0 1000.0 656199.75 2012-07-25 5000.0 1000.0 656199.75 2012-07-26 5000.0 1000.0 656199.75 2012-07-27 5000.0 1000.0 656199.75 2012-07-30 5000.0 1000.0 656199.75 2012-07-31 5000.0 1000.0 656199.75 2012-08-01 5000.0 1000.0 656199.75 2012-08-02 5000.0 1000.0 656199.75 2012-08-03 5000.0 1000.0 656199.75 2012-08-06 5000.0 1000.0 656199.75 2012-08-07 5000.0 1000.0 656199.75 2012-08-08 5000.0 1000.0 656199.75 2012-08-09 5000.0 1000.0 656199.75 2012-08-10 5000.0 1000.0 656199.75 2012-08-13 5000.0 1000.0 656199.75 2012-08-14 5000.0 1000.0 656199.75 2012-08-15 5000.0 1000.0 656199.75 2012-08-16 5000.0 1000.0 656199.75 2012-08-17 5000.0 1000.0 656199.75 2012-08-20 5000.0 1000.0 656199.75 2012-08-21 5000.0 1000.0 656199.75 2012-08-22 5000.0 1000.0 656199.75 2012-08-23 5000.0 1000.0 656199.75 2012-08-24 5000.0 1000.0 656199.75 2012-08-27 5000.0 1000.0 656199.75 2012-08-28 5000.0 1000.0 656199.75 2012-08-29 5000.0 1000.0 656199.75 2012-08-30 5000.0 1000.0 656199.75 2012-08-31 5000.0 1000.0 656199.75 2012-09-04 0.0 0.0 1416469.30 [400 rows x 3 columns] 18) compute the portfolue value (multiply * holdings): BIIB NSM _CASH 2011-02-03 327900.0 0.0 670450.55 2011-02-04 329650.0 0.0 670450.55 2011-02-07 326250.0 0.0 670450.55 2011-02-08 330750.0 0.0 670450.55 2011-02-09 330000.0 0.0 670450.55 2011-02-10 331100.0 0.0 670450.55 2011-02-11 329150.0 0.0 670450.55 2011-02-14 336350.0 0.0 670450.55 2011-02-15 335450.0 0.0 670450.55 2011-02-16 336800.0 0.0 670450.55 2011-02-17 338250.0 0.0 670450.55 2011-02-18 338200.0 0.0 670450.55 2011-02-22 335450.0 0.0 670450.55 2011-02-23 333800.0 0.0 670450.55 2011-02-24 336300.0 0.0 670450.55 2011-02-25 338900.0 0.0 670450.55 2011-02-28 342000.0 0.0 670450.55 2011-03-01 350900.0 0.0 670450.55 2011-03-02 350000.0 0.0 670450.55 2011-03-03 357100.0 0.0 670450.55 2011-03-04 355750.0 0.0 670450.55 2011-03-07 356200.0 0.0 670450.55 2011-03-08 358000.0 0.0 670450.55 2011-03-09 358700.0 0.0 670450.55 2011-03-10 353000.0 0.0 670450.55 2011-03-11 355000.0 0.0 670450.55 2011-03-14 353250.0 0.0 670450.55 2011-03-15 347800.0 0.0 670450.55 2011-03-16 343500.0 0.0 670450.55 2011-03-17 346250.0 0.0 670450.55 ... ... ... ... 2012-07-24 697400.0 22990.0 656199.75 2012-07-25 717250.0 22520.0 656199.75 2012-07-26 738750.0 21900.0 656199.75 2012-07-27 747350.0 21900.0 656199.75 2012-07-30 736400.0 22300.0 656199.75 2012-07-31 729150.0 22020.0 656199.75 2012-08-01 721400.0 22320.0 656199.75 2012-08-02 719000.0 23660.0 656199.75 2012-08-03 725300.0 24150.0 656199.75 2012-08-06 727300.0 23870.0 656199.75 2012-08-07 730900.0 24330.0 656199.75 2012-08-08 725250.0 24970.0 656199.75 2012-08-09 715450.0 25100.0 656199.75 2012-08-10 727550.0 25630.0 656199.75 2012-08-13 722700.0 25310.0 656199.75 2012-08-14 727500.0 27600.0 656199.75 2012-08-15 734350.0 27310.0 656199.75 2012-08-16 734200.0 28420.0 656199.75 2012-08-17 725450.0 28240.0 656199.75 2012-08-20 723450.0 27700.0 656199.75 2012-08-21 719850.0 27140.0 656199.75 2012-08-22 724600.0 26400.0 656199.75 2012-08-23 725750.0 25860.0 656199.75 2012-08-24 735150.0 25850.0 656199.75 2012-08-27 736950.0 25900.0 656199.75 2012-08-28 732150.0 27320.0 656199.75 2012-08-29 729450.0 27870.0 656199.75 2012-08-30 729750.0 27360.0 656199.75 2012-08-31 732950.0 27120.0 656199.75 2012-09-04 0.0 0.0 1416469.30 [400 rows x 3 columns] 19) sum the rows you got the value of portfolio!: 2011-02-03 998350.55 2011-02-04 1000100.55 2011-02-07 996700.55 2011-02-08 1001200.55 2011-02-09 1000450.55 2011-02-10 1001550.55 2011-02-11 999600.55 2011-02-14 1006800.55 2011-02-15 1005900.55 2011-02-16 1007250.55 2011-02-17 1008700.55 2011-02-18 1008650.55 2011-02-22 1005900.55 2011-02-23 1004250.55 2011-02-24 1006750.55 2011-02-25 1009350.55 2011-02-28 1012450.55 2011-03-01 1021350.55 2011-03-02 1020450.55 2011-03-03 1027550.55 2011-03-04 1026200.55 2011-03-07 1026650.55 2011-03-08 1028450.55 2011-03-09 1029150.55 2011-03-10 1023450.55 2011-03-11 1025450.55 2011-03-14 1023700.55 2011-03-15 1018250.55 2011-03-16 1013950.55 2011-03-17 1016700.55 ... 2012-07-24 1376589.75 2012-07-25 1395969.75 2012-07-26 1416849.75 2012-07-27 1425449.75 2012-07-30 1414899.75 2012-07-31 1407369.75 2012-08-01 1399919.75 2012-08-02 1398859.75 2012-08-03 1405649.75 2012-08-06 1407369.75 2012-08-07 1411429.75 2012-08-08 1406419.75 2012-08-09 1396749.75 2012-08-10 1409379.75 2012-08-13 1404209.75 2012-08-14 1411299.75 2012-08-15 1417859.75 2012-08-16 1418819.75 2012-08-17 1409889.75 2012-08-20 1407349.75 2012-08-21 1403189.75 2012-08-22 1407199.75 2012-08-23 1407809.75 2012-08-24 1417199.75 2012-08-27 1419049.75 2012-08-28 1415669.75 2012-08-29 1413519.75 2012-08-30 1413309.75 2012-08-31 1416269.75 2012-09-04 1416469.30 Length: 400, dtype: float64 --- end student code ------------------------------------------------ portfolio values: 2011-02-03 998350.55 2011-02-04 1000100.55 2011-02-07 996700.55 2011-02-08 1001200.55 2011-02-09 1000450.55 2011-02-10 1001550.55 2011-02-11 999600.55 2011-02-14 1006800.55 2011-02-15 1005900.55 2011-02-16 1007250.55 2011-02-17 1008700.55 2011-02-18 1008650.55 2011-02-22 1005900.55 2011-02-23 1004250.55 2011-02-24 1006750.55 2011-02-25 1009350.55 2011-02-28 1012450.55 2011-03-01 1021350.55 2011-03-02 1020450.55 2011-03-03 1027550.55 2011-03-04 1026200.55 2011-03-07 1026650.55 2011-03-08 1028450.55 2011-03-09 1029150.55 2011-03-10 1023450.55 2011-03-11 1025450.55 2011-03-14 1023700.55 2011-03-15 1018250.55 2011-03-16 1013950.55 2011-03-17 1016700.55 ... 2012-07-24 1376589.75 2012-07-25 1395969.75 2012-07-26 1416849.75 2012-07-27 1425449.75 2012-07-30 1414899.75 2012-07-31 1407369.75 2012-08-01 1399919.75 2012-08-02 1398859.75 2012-08-03 1405649.75 2012-08-06 1407369.75 2012-08-07 1411429.75 2012-08-08 1406419.75 2012-08-09 1396749.75 2012-08-10 1409379.75 2012-08-13 1404209.75 2012-08-14 1411299.75 2012-08-15 1417859.75 2012-08-16 1418819.75 2012-08-17 1409889.75 2012-08-20 1407349.75 2012-08-21 1403189.75 2012-08-22 1407199.75 2012-08-23 1407809.75 2012-08-24 1417199.75 2012-08-27 1419049.75 2012-08-28 1415669.75 2012-08-29 1413519.75 2012-08-30 1413309.75 2012-08-31 1416269.75 2012-09-04 1416469.30 Length: 400, dtype: float64 --- begin statistic ------------------------------------------------- Date Range: 2011-02-03 to 2012-09-04 (portfolio) Date Range: 2011-01-10 to 2011-12-20 (on web page) Number of Trading Days: 400 Sharpe Ratio of Fund: +1.82425486233 Average Daily Return of Fund: +0.00090798996 Final Portfolio Value: +1,416,469.30000000005 XX solution 4 400 +1.82425486233 +0.00090798996 +1,416,469.30000000005