master_premarket_tests.ipynb

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   "cell_type": "code",
   "execution_count": 1,
   "metadata": {},
   "outputs": [],
   "source": [
    "import pandas as pd\n",
    "from EOD_parser import qqq, spy\n",
    "from tests_main import test_sample_earnings, test_sample_contribution, test_sample_indication, test_sample_long"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "First we need to define our sample of stocks. Each test can be run for all of the S&P 500 and Nasdaq 100 constituents, however it will take significantly more time than running for individual securities. This lists are taken from a two CSV files located in the home directory. To run the tests on a single stock, or different stocks, define the stocks as elements of a list by using their ticker. "
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "metadata": {},
   "outputs": [],
   "source": [
    "stocks = qqq() + spy()\n",
    "stocks = [\"AAPL\", \"TSLA\", \"AMZN\"]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### How much does pre-market and after-hours price action contribute to the total daily (DTD) return ?  "
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Crunching numbers ... (this may take a while)\n",
      "AAPL 0.41954617834394853\n",
      "TSLA 0.38368630573248375\n",
      "AMZN 0.41084394904458604\n",
      "Result:\n",
      "On average premarket trading contributes to  nan % of daily price action within the selected sample.\n",
      " \n"
     ]
    },
    {
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       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Symbol</th>\n",
       "      <th>Result</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>AAPL</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>TSLA</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>AMZN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
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      ],
      "text/plain": [
       "  Symbol  Result\n",
       "0   AAPL     NaN\n",
       "1   TSLA     NaN\n",
       "2   AMZN     NaN"
      ]
     },
     "execution_count": 9,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "test_sample_contribution(stocks)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### What is the probability that a stock that is increasing in value during pre-market will continue to increase throughout the intraday ?   "
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "This may take a while if you have defined a large number of stocks.\n",
      "AAPL 0.5124\n",
      "TSLA 0.4617\n",
      "AMZN 0.4959\n",
      "Result:\n",
      "On average for the provided sample, a stock increasing in value during premarket has a  49.0 % probability of further increasing in intraday.\n"
     ]
    },
    {
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       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Symbol</th>\n",
       "      <th>Result</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>AAPL</td>\n",
       "      <td>0.5124</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>TSLA</td>\n",
       "      <td>0.4617</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>AMZN</td>\n",
       "      <td>0.4959</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
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      ],
      "text/plain": [
       "  Symbol  Result\n",
       "0   AAPL  0.5124\n",
       "1   TSLA  0.4617\n",
       "2   AMZN  0.4959"
      ]
     },
     "execution_count": 4,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "test_sample_long(stocks)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### What is the probability that a stock maintains it's pre-market price-action vector throughout the intraday ?"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "This may take a while if you have defined a large number of stocks\n",
      "AAPL 0.4873\n",
      "TSLA 0.4554\n",
      "AMZN 0.4984\n",
      "Result:\n",
      "A stock increasing or decreasing in value during premarket has a  48.04 % probability of maintaining price action in the same direction.\n"
     ]
    },
    {
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       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Symbol</th>\n",
       "      <th>Result</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>AAPL</td>\n",
       "      <td>0.4873</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>TSLA</td>\n",
       "      <td>0.4554</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>AMZN</td>\n",
       "      <td>0.4984</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
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      ],
      "text/plain": [
       "  Symbol  Result\n",
       "0   AAPL  0.4873\n",
       "1   TSLA  0.4554\n",
       "2   AMZN  0.4984"
      ]
     },
     "execution_count": 5,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "test_sample_indication(stocks)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### Post Earnings Announcement Price Action Drift Analysis: "
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "The following test is different in that it considers the average price-action in the pre-market session following an earnings announcement. The timeseries sampling period is 5 years, and it will match as many reporting days as possible for this period from the SEC EDGAR database."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Getting historical results for AAPL\n",
      "Getting historical results for TSLA\n",
      "Getting historical results for AMZN\n",
      "Parsing results dataframe...\n"
     ]
    },
    {
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       "  <thead>\n",
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       "      <th></th>\n",
       "      <th>Symbol</th>\n",
       "      <th>- increases in both premarket and intraday x% of the time.</th>\n",
       "      <th>- if increasing in premarket has a x% chance of increasing in intraday.</th>\n",
       "      <th>- if increasing in premarket has a x% change of falling in intraday.</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>AAPL</td>\n",
       "      <td>0.35</td>\n",
       "      <td>0.5385</td>\n",
       "      <td>0.4615</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>TSLA</td>\n",
       "      <td>0.30</td>\n",
       "      <td>0.8571</td>\n",
       "      <td>0.1429</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>AMZN</td>\n",
       "      <td>0.25</td>\n",
       "      <td>0.3846</td>\n",
       "      <td>0.6154</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
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      "text/plain": [
       "  Symbol  - increases in both premarket and intraday x% of the time.  \\\n",
       "0   AAPL                                               0.35            \n",
       "1   TSLA                                               0.30            \n",
       "2   AMZN                                               0.25            \n",
       "\n",
       "   - if increasing in premarket has a x% chance of increasing in intraday.  \\\n",
       "0                                             0.5385                         \n",
       "1                                             0.8571                         \n",
       "2                                             0.3846                         \n",
       "\n",
       "   - if increasing in premarket has a x% change of falling in intraday.  \n",
       "0                                             0.4615                     \n",
       "1                                             0.1429                     \n",
       "2                                             0.6154                     "
      ]
     },
     "execution_count": 6,
     "metadata": {},
     "output_type": "execute_result"
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   ],
   "source": [
    "test_sample_earnings(stocks)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
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