[Python] Creating a stock price drawdown chart
Code to create a drawdown chart based on exponential data.
Loading the library
python
import numpy as np
import matplotlib.pyplot as plt
import pandas as pd
from datetime import datetime
import seaborn as sns
sns.set()
Read ETF data
I am using the csv file obtained from the NASDAQ site, but any exponential data will do.
python
#Combine the closing prices of CSV files saved from the following sites in advance into one
#https://www.nasdaq.com/market-activity/funds-and-etfs/vti/historical
def make_df(etfs):
df = pd.DataFrame()
for etf in etfs:
csvfile = etf +'.csv'
csv_data = pd.read_csv(csvfile)
csv_data.Date = pd.to_datetime(csv_data.Date)
csv_data = csv_data.set_index('Date')
csv_data= csv_data.rename(columns={' Close/Last': etf})
df[etf] = csv_data[etf]
df = df.sort_index().dropna()
return df
Drawdown chart creation
python
#Drawdown chart
def dd_chart(df):
#DfDD calculated drawdown for all funds_Create all
dfDD_all = pd.DataFrame()
for i in range(0,df.shape[1]):
dfDD = pd.DataFrame(df.iloc[:,i])
dfDD['max'] = dfDD.iloc[:,0].cummax()
dfDD[dfDD.columns[0]+'_DD'] = dfDD.iloc[:,0] / dfDD['max'] -1
dfDD_all[dfDD.columns[0]+'_DD'] = dfDD[dfDD.columns[0]+'_DD']
#Create a chart
fig = plt.figure()
dfDD_all.plot(figsize = (15, round(dfDD_all.shape[1]/2+0.4,0)*5), subplots=True,
layout=(-1, 2),sharey=True, title ='Drawdown')
plt.savefig('dd_plot.png',bbox_inches="tight")
Run
python
etfs = ['VTI','SPXL']
df = make_df(etfs)
dd_chart(df)
A graph like this is created.
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