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@chilango74 chilango74 released this 05 Jun 08:47
· 206 commits to master since this release
v1.2.0
aec2eb8

New Macroeconomic class Indicator

3 macroeconomic classes are available (and Documented):

  • Indicator : Macroeconomic indicators and ratios. (.RATIO NEW namespace)
  • Inflation : Inflation related data and methods (.INFL namespace)
  • Rates : Rates of central banks and banks (.RATE namesapce)

Cyclically adjusted price-to-earnings ratios (CAPE10) for 20+ countries are in the DataBase: USA_CAPE10.RATIO, CHN_CAPE10.RATIO, CHN_CAPE10.RATIO etc.

Daily value time series for Macro classes

Rate class has .values_daily property which can be used with bak raters and some other symbols:
ok.Rate("RUONIA.RATE").values_daily
all Macro classes have .values_monthly property.

.describe() methods in all macroeconomic classes

.describe() methods show descriptive statistics for YTD and given periods:

  • arithmetic mean
  • median
  • max and min values

Inflation class .describe() method is different. It generates inflation-specific statistics:

  • YTD compound inflation
  • Annual inflation (geometric mean) for a given list of periods
  • max 12 months inflation for the periods
  • Annual inflation (geometric mean) for the whole history

Rolling tracking difference for stock indexes and ETFs

.tracking_difference() and tracking_difference_annualized() in AssetList class are now methods (where properties). Methods have rolling_window attribute to set wolling window size (in months).
To calclulate 24 months movig tracking difference:
x.tracking_difference(rolling_window=24)

Full Changelog: v1.1.6...v1.2.0

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