1 files changed, 28 insertions, 0 deletions
diff --git a/python/exploration/backtest.py b/python/exploration/backtest.py
new file mode 100644
index 00000000..4b174288
--- /dev/null
+++ b/python/exploration/backtest.py
@@ -0,0 +1,28 @@
+from db import dbengine
+import pandas as pd
+import numpy as np
+
+def calc_mark_diff():
+    df = pd.read_sql_query("select * from external_marks_mapped where mark < 1000",
+                           dbengine('dawndb'), parse_dates=['date'],
+                           index_col=['date', 'identifier'])
+    df_manager = df[df.source == 'MANAGER']
+    df_ext = df[df.source != 'MANAGER']
+
+    def closest(s):
+        temp = abs(s - df_manager.loc[s.index].mark).values
+        idx = np.argmin(temp)
+        if np.isnan(idx):
+            return np.NaN
+        else:
+            return s.iat[idx]
+
+    def avg_minus_maxmin(s):
+        if s.count() >= 3:
+            return (s.sum() - s.max() - s.min()) / (s.count() - 2)
+        else:
+            return s.mean()
+
+    df_scheme = (df_ext.groupby(['date', 'identifier']).
+                 agg({'mark': ['mean', 'median', avg_minus_maxmin, closest]}))
+    return df_scheme.apply(lambda x: x - df_manager.mark)