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<!doctype html><html lang=en dir=ltr class="blog-wrapper blog-post-page plugin-blog plugin-id-default" data-has-hydrated=false><meta charset=UTF-8><meta name=generator content="Docusaurus v3.6.0"><title data-rh=true>Event studies and earnings releases | The Old Speice Guy</title><meta data-rh=true name=viewport content="width=device-width,initial-scale=1.0"><meta data-rh=true name=twitter:card content=summary_large_image><meta data-rh=true property=og:url content=https://speice.io/2016/06/event-studies-and-earnings-releases><meta data-rh=true property=og:locale content=en><meta data-rh=true name=docusaurus_locale content=en><meta data-rh=true name=docusaurus_tag content=default><meta data-rh=true name=docsearch:language content=en><meta data-rh=true name=docsearch:docusaurus_tag content=default><meta data-rh=true property=og:title content="Event studies and earnings releases | The Old Speice Guy"><meta data-rh=true name=description content="Or, being suspicious of market 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clean-list"><li class=sidebarItem__DBe><a class=sidebarItemLink_mo7H href=/2015/11/welcome>Welcome, and an algorithm</a></ul></div></nav></aside><main class="col col--7"><article><header><h1 class=title_f1Hy>Event studies and earnings releases</h1><div class="container_mt6G margin-vert--md"><time datetime=2016-06-08T12:00:00.000Z>June 8, 2016</time> · <!-- -->17 min read</div><div class="margin-top--md margin-bottom--sm row"><div class="col col--12 authorCol_Hf19"><div class="avatar margin-bottom--sm"><div class="avatar__intro authorDetails_lV9A"><div class=avatar__name><span class=authorName_yefp>Bradlee Speice</span></div><div class=authorSocials_rSDt><a href=https://github.com/bspeice target=_blank rel="noopener noreferrer" class=authorSocialLink_owbf title=GitHub><svg viewBox="0 0 256 250" width=1em height=1em class="authorSocialLink_owbf githubSvg_Uu4N" style=--dark:#000;--light:#fff preserveAspectRatio=xMidYMid><path d="M128.001 0C57.317 0 0 57.307 0 128.001c0 56.554 36.676 104.535 87.535 121.46 6.397 1.185 8.746-2.777 8.746-6.158 0-3.052-.12-13.135-.174-23.83-35.61 7.742-43.124-15.103-43.124-15.103-5.823-14.795-14.213-18.73-14.213-18.73-11.613-7.944.876-7.78.876-7.78 12.853.902 19.621 13.19 19.621 13.19 11.417 19.568 29.945 13.911 37.249 10.64 1.149-8.272 4.466-13.92 8.127-17.116-28.431-3.236-58.318-14.212-58.318-63.258 0-13.975 5-25.394 13.188-34.358-1.329-3.224-5.71-16.242 1.24-33.874 0 0 10.749-3.44 35.21 13.121 10.21-2.836 21.16-4.258 32.038-4.307 10.878.049 21.837 1.47 32.066 4.307 24.431-16.56 35.165-13.12 35.165-13.12 6.967 17.63 2.584 30.65 1.255 33.873 8.207 8.964 13.173 20.383 13.173 34.358 0 49.163-29.944 59.988-58.447 63.157 4.591 3.972 8.682 11.762 8.682 23.704 0 17.126-.148 30.91-.148 35.126 0 3.407 2.304 7.398 8.792 6.14C219.37 232.5 256 184.537 256 128.002 256 57.307 198.691 0 128.001 0Zm-80.06 182.34c-.282.636-1.283.827-2.194.39-.929-.417-1.45-1.284-1.15-1.922.276-.655 1.279-.838 2.205-.399.93.418 1.46 1.293 1.139 1.931Zm6.296 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<h2 class="anchor anchorWithStickyNavbar_LWe7" id=the-market-just-knew>The Market Just Knew<a href=#the-market-just-knew class=hash-link aria-label="Direct link to The Market Just Knew" title="Direct link to The Market Just Knew">​</a></h2>
<p>I recently saw two examples of stock charts that have kept me thinking for a while. And now that the semester is complete, I finally have enough time to really look at them and give them the treatment they deserve. The first is good old Apple:</p>
<details class="details_lb9f alert alert--info details_b_Ee" data-collapsed=true><summary>Code</summary><div><div class=collapsibleContent_i85q><div class="language-python codeBlockContainer_Ckt0 theme-code-block" style="--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)"><div class=codeBlockContent_biex><pre tabindex=0 class="prism-code language-python codeBlock_bY9V thin-scrollbar" style="background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)"><code class=codeBlockLines_e6Vv><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token keyword" style="color:hsl(301, 63%, 40%)">from</span><span class="token plain"> secrets </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> QUANDL_KEY</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> matplotlib</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">pyplot </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">as</span><span class="token plain"> plt</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">from</span><span class="token plain"> matplotlib</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">dates </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> date2num</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">from</span><span class="token plain"> matplotlib</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">finance </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> candlestick_ohlc</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">from</span><span class="token plain"> matplotlib</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">dates </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> DateFormatter</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> WeekdayLocator</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain">\</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> DayLocator</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> MONDAY</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> quandl</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">from</span><span class="token plain"> datetime </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> datetime</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> pandas </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">as</span><span class="token plain"> pd</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token operator" style="color:hsl(221, 87%, 60%)">%</span><span class="token plain">matplotlib inline</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">def</span><span class="token plain"> </span><span class="token function" style="color:hsl(221, 87%, 60%)">fetch_ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> start</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> end</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Quandl is currently giving me issues with returning</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># the entire dataset and not slicing server-side.</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># So instead, we'll do it client-side!</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> q_format </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token string" style="color:hsl(119, 34%, 47%)">'%Y-%m-%d'</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> ticker_data </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> quandl</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">get</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'YAHOO/'</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token plain"> ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> start_date</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain">start</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">strftime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">q_format</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> end_date</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain">end</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">strftime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">q_format</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> authtoken</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain">QUANDL_KEY</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">return</span><span class="token plain"> ticker_data</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">def</span><span class="token plain"> </span><span class="token function" style="color:hsl(221, 87%, 60%)">ohlc_dataframe</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> ax</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token boolean" style="color:hsl(35, 99%, 36%)">None</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Much of this code re-used from:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># http://matplotlib.org/examples/pylab_examples/finance_demo.html</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">if</span><span class="token plain"> ax </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">is</span><span class="token plain"> </span><span class="token boolean" style="color:hsl(35, 99%, 36%)">None</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> f</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> ax </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> plt</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">subplots</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> vals </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">date2num</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">date</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">*</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">loc</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">date</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">for</span><span class="token plain"> date </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">in</span><span class="token plain"> data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">index</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> candlestick_ohlc</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">ax</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> vals</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> mondays </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> WeekdayLocator</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">MONDAY</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> alldays </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> DayLocator</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> weekFormatter </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> DateFormatter</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'%b %d'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> ax</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">xaxis</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">set_major_locator</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">mondays</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> ax</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">xaxis</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">set_minor_locator</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">alldays</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> ax</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">xaxis</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">set_major_formatter</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">weekFormatter</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">return</span><span class="token plain"> ax</span><br></span></code></pre><div class=buttonGroup__atx><button type=button aria-label="Copy code to clipboard" title=Copy class=clean-btn><span class=copyButtonIcons_eSgA aria-hidden=true><svg viewBox="0 0 24 24" class=copyButtonIcon_y97N><path fill=currentColor d="M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z"/></svg><svg viewBox="0 0 24 24" class=copyButtonSuccessIcon_LjdS><path fill=currentColor d=M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z /></svg></span></button></div></div></div></div></div></details>
<div class="language-python codeBlockContainer_Ckt0 theme-code-block" style="--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)"><div class=codeBlockContent_biex><pre tabindex=0 class="prism-code language-python codeBlock_bY9V thin-scrollbar" style="background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)"><code class=codeBlockLines_e6Vv><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">AAPL </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> fetch_ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'AAPL'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> datetime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">2016</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">3</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> datetime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">2016</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">5</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">ax </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> ohlc_dataframe</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">AAPL</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">plt</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">vlines</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">date2num</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">datetime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">2016</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">4</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">26</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">12</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> ax</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">get_ylim</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> ax</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">get_ylim</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> color</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token string" style="color:hsl(119, 34%, 47%)">'b'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> label</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token string" style="color:hsl(119, 34%, 47%)">'Earnings Release'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">plt</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">legend</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">loc</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">3</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">plt</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">title</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">"Apple Price 3/1/2016 - 5/1/2016"</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">;</span><br></span></code></pre><div class=buttonGroup__atx><button type=button aria-label="Copy code to clipboard" title=Copy class=clean-btn><span class=copyButtonIcons_eSgA aria-hidden=true><svg viewBox="0 0 24 24" class=copyButtonIcon_y97N><path fill=currentColor d="M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z"/></svg><svg viewBox="0 0 24 24" class=copyButtonSuccessIcon_LjdS><path fill=currentColor d=M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z /></svg></span></button></div></div></div>
<p><img decoding=async loading=lazy alt=png src=/assets/images/_notebook_3_0-6ba22789c3bcc8bd99c64f3fbfa11b30.png width=372 height=266 class=img_ev3q></p>
<p>The second chart is from Facebook:</p>
<div class="language-python codeBlockContainer_Ckt0 theme-code-block" style="--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)"><div class=codeBlockContent_biex><pre tabindex=0 class="prism-code language-python codeBlock_bY9V thin-scrollbar" style="background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)"><code class=codeBlockLines_e6Vv><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">FB </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> fetch_ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'FB'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> datetime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">2016</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">3</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> datetime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">2016</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">5</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">5</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">ax </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> ohlc_dataframe</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">FB</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">plt</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">vlines</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">date2num</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">datetime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">2016</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">4</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">27</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">12</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> ax</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">get_ylim</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> ax</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">get_ylim</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> color</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token string" style="color:hsl(119, 34%, 47%)">'b'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> label</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token string" style="color:hsl(119, 34%, 47%)">'Earnings Release'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">plt</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">title</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'Facebook Price 3/5/2016 - 5/5/2016'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">plt</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">legend</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">loc</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">2</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">;</span><br></span></code></pre><div class=buttonGroup__atx><button type=button aria-label="Copy code to clipboard" title=Copy class=clean-btn><span class=copyButtonIcons_eSgA aria-hidden=true><svg viewBox="0 0 24 24" class=copyButtonIcon_y97N><path fill=currentColor d="M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z"/></svg><svg viewBox="0 0 24 24" class=copyButtonSuccessIcon_LjdS><path fill=currentColor d=M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z /></svg></span></button></div></div></div>
<p><img decoding=async loading=lazy alt=png src=/assets/images/_notebook_5_0-34febf65365a147cd218c9266b77e4fb.png width=374 height=266 class=img_ev3q></p>
<p>These two charts demonstrate two very specific phonomena: how the market prepares for earnings releases. Let's look at those charts again, but with some extra information. As we're about the see, the market "knew" in advance that Apple was going to perform poorly. The market expected that Facebook was going to perform poorly, and instead shot the lights out. Let's see that trend in action:</p>
<details class="details_lb9f alert alert--info details_b_Ee" data-collapsed=true><summary>Code</summary><div><div class=collapsibleContent_i85q><div class="language-python codeBlockContainer_Ckt0 theme-code-block" style="--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)"><div class=codeBlockContent_biex><pre tabindex=0 class="prism-code language-python codeBlock_bY9V thin-scrollbar" style="background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)"><code class=codeBlockLines_e6Vv><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token keyword" style="color:hsl(301, 63%, 40%)">def</span><span class="token plain"> </span><span class="token function" style="color:hsl(221, 87%, 60%)">plot_hilo</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">ax</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> start</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> end</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> ax</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">plot</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">date2num</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">start</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> date2num</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">end</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">loc</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">start</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token string" style="color:hsl(119, 34%, 47%)">'High'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">loc</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">end</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token string" style="color:hsl(119, 34%, 47%)">'High'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> color</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token string" style="color:hsl(119, 34%, 47%)">'b'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> ax</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">plot</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">date2num</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">start</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> date2num</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">end</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">loc</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">start</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token string" style="color:hsl(119, 34%, 47%)">'Low'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">loc</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">end</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token string" style="color:hsl(119, 34%, 47%)">'Low'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> color</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token string" style="color:hsl(119, 34%, 47%)">'b'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">f</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> axarr </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> plt</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">subplots</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">2</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">ax_aapl </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> axarr</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">ax_fb </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> axarr</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Plot the AAPL trend up and down</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">ohlc_dataframe</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">AAPL</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> ax</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain">ax_aapl</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">plot_hilo</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">ax_aapl</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> datetime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">2016</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">3</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> datetime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">2016</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">4</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">15</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> AAPL</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">plot_hilo</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">ax_aapl</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> datetime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">2016</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">4</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">18</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> datetime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">2016</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">4</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">26</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> AAPL</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">ax_aapl</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">vlines</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">date2num</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">datetime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">2016</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">4</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">26</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">12</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> ax_aapl</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">get_ylim</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> ax_aapl</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">get_ylim</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> color</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token string" style="color:hsl(119, 34%, 47%)">'g'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> label</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token string" style="color:hsl(119, 34%, 47%)">'Earnings Release'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">ax_aapl</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">legend</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">loc</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">2</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">ax_aapl</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">set_title</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'AAPL Price History'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Plot the FB trend down and up</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">ohlc_dataframe</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">FB</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> ax</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain">ax_fb</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">plot_hilo</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">ax_fb</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> datetime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">2016</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">3</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">30</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> datetime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">2016</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">4</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">27</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> FB</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">plot_hilo</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">ax_fb</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> datetime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">2016</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">4</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">28</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> datetime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">2016</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">5</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">5</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> FB</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">ax_fb</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">vlines</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">date2num</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">datetime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">2016</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">4</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">27</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">12</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> ax_fb</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">get_ylim</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> ax_fb</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">get_ylim</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> color</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token string" style="color:hsl(119, 34%, 47%)">'g'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> label</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token string" style="color:hsl(119, 34%, 47%)">'Earnings Release'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">ax_fb</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">legend</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">loc</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">2</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">ax_fb</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">set_title</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'FB Price History'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">f</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">set_size_inches</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">18</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">6</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><br></span></code></pre><div class=buttonGroup__atx><button type=button aria-label="Copy code to clipboard" title=Copy class=clean-btn><span class=copyButtonIcons_eSgA aria-hidden=true><svg viewBox="0 0 24 24" class=copyButtonIcon_y97N><path fill=currentColor d="M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z"/></svg><svg viewBox="0 0 24 24" class=copyButtonSuccessIcon_LjdS><path fill=currentColor d=M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z /></svg></span></button></div></div></div></div></div></details>
<p><img decoding=async loading=lazy alt=png src=/assets/images/_notebook_7_0-a9df30d31e6b96a01619455d5040eb8b.png width=1041 height=378 class=img_ev3q></p>
<p>As we can see above, the market broke a prevailing trend on Apple in order to go down, and ultimately predict the earnings release. For Facebook, the opposite happened. While the trend was down, the earnings were fantastic and the market corrected itself much higher.</p>
<h2 class="anchor anchorWithStickyNavbar_LWe7" id=formulating-the-question>Formulating the Question<a href=#formulating-the-question class=hash-link aria-label="Direct link to Formulating the Question" title="Direct link to Formulating the Question">​</a></h2>
<p>While these are two specific examples, there are plenty of other examples you could cite one way or another. Even if the preponderance of evidence shows that the market correctly predicts earnings releases, we need not accuse people of collusion; for a company like Apple with many suppliers we can generally forecast how Apple has done based on those same suppliers.</p>
<p>The question then, is this: <strong>how well does the market predict the earnings releases?</strong> It's an incredibly broad question that I want to disect in a couple of different ways:</p>
<ol>
<li>Given a stock that has been trending down over the past N days before an earnings release, how likely does it continue downward after the release?</li>
<li>Given a stock trending up, how likely does it continue up?</li>
<li>Is there a difference in accuracy between large- and small-cap stocks?</li>
<li>How often, and for how long, do markets trend before an earnings release?</li>
</ol>
<p><strong>I want to especially thank Alejandro Saltiel for helping me retrieve the data.</strong> He's great. And now for all of the interesting bits.</p>
<h2 class="anchor anchorWithStickyNavbar_LWe7" id=event-studies>Event Studies<a href=#event-studies class=hash-link aria-label="Direct link to Event Studies" title="Direct link to Event Studies">​</a></h2>
<p>Before we go too much further, I want to introduce the actual event study. Each chart intends to capture a lot of information and present an easy-to-understand pattern:</p>
<details class="details_lb9f alert alert--info details_b_Ee" data-collapsed=true><summary>Code</summary><div><div class=collapsibleContent_i85q><div class="language-python codeBlockContainer_Ckt0 theme-code-block" style="--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)"><div class=codeBlockContent_biex><pre tabindex=0 class="prism-code language-python codeBlock_bY9V thin-scrollbar" style="background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)"><code class=codeBlockLines_e6Vv><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> numpy </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">as</span><span class="token plain"> np</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> pandas </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">as</span><span class="token plain"> pd</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">from</span><span class="token plain"> pandas</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">tseries</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">holiday </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> USFederalHolidayCalendar</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">from</span><span class="token plain"> pandas</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">tseries</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">offsets </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> CustomBusinessDay</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">from</span><span class="token plain"> datetime </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> datetime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> timedelta</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token comment" style="color:hsl(230, 4%, 64%)"># If you remove rules, it removes them from *all* calendars</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token comment" style="color:hsl(230, 4%, 64%)"># To ensure we don't pop rules we don't want to, first make</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token comment" style="color:hsl(230, 4%, 64%)"># sure to fully copy the object</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">trade_calendar </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> USFederalHolidayCalendar</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">trade_calendar</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">rules</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">pop</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">6</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Remove Columbus day</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">trade_calendar</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">rules</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">pop</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">7</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Remove Veteran's day</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">TradeDay </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">lambda</span><span class="token plain"> days</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"> CustomBusinessDay</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">days</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> calendar</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain">trade_calendar</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">def</span><span class="token plain"> </span><span class="token function" style="color:hsl(221, 87%, 60%)">plot_study</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">array</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Given a 2-d array, we assume the event happens at index `lookback`,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># and create all of our summary statistics from there.</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> lookback </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token builtin" style="color:hsl(119, 34%, 47%)">int</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">array</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">shape</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">/</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">2</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> norm_factor </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> np</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">repeat</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">array</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain">lookback</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">reshape</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> array</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">shape</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> axis</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> centered_data </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> array </span><span class="token operator" style="color:hsl(221, 87%, 60%)">/</span><span class="token plain"> norm_factor </span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> lookforward </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> centered_data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">shape</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain"> lookback</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> means </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> centered_data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">mean</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">axis</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> lookforward_data </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> centered_data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain">lookforward</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> std_dev </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> np</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">hstack</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> lookforward_data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">std</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">axis</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> maxes </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> lookforward_data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token builtin" style="color:hsl(119, 34%, 47%)">max</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">axis</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> mins </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> lookforward_data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token builtin" style="color:hsl(119, 34%, 47%)">min</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">axis</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> f</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> axarr </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> plt</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">subplots</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">2</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> range_begin </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain">lookback</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> range_end </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> lookforward</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> axarr</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">plot</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token builtin" style="color:hsl(119, 34%, 47%)">range</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">range_begin</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> range_end</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> means</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> axarr</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">plot</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token builtin" style="color:hsl(119, 34%, 47%)">range</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">range_begin</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> range_end</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> means</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> axarr</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">fill_between</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token builtin" style="color:hsl(119, 34%, 47%)">range</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> range_end</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> means</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain">lookforward</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token plain"> std_dev</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> means</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain">lookforward</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain"> std_dev</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> alpha</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">.5</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> label</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token string" style="color:hsl(119, 34%, 47%)">"$\pm$ 1 s.d."</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> axarr</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">fill_between</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token builtin" style="color:hsl(119, 34%, 47%)">range</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> range_end</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> means</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain">lookforward</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token plain"> std_dev</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> means</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain">lookforward</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain"> std_dev</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> alpha</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">.5</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> label</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token string" style="color:hsl(119, 34%, 47%)">"$\pm$ 1 s.d."</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> max_err </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> maxes </span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain"> means</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain">lookforward</span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> min_err </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> means</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain">lookforward</span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain"> mins</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> axarr</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">errorbar</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token builtin" style="color:hsl(119, 34%, 47%)">range</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> range_end</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> means</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain">lookforward</span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> yerr</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">min_err</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> max_err</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> label</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token string" style="color:hsl(119, 34%, 47%)">'Max & Min'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> axarr</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">legend</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">loc</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">2</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> axarr</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">legend</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">loc</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">2</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> axarr</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">set_xlim</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain">lookback</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> lookback</span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> axarr</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">set_xlim</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain">lookback</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> lookback</span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">def</span><span class="token plain"> </span><span class="token function" style="color:hsl(221, 87%, 60%)">plot_study_small</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">array</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Given a 2-d array, we assume the event happens at index `lookback`,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># and create all of our summary statistics from there.</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> lookback </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token builtin" style="color:hsl(119, 34%, 47%)">int</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">array</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">shape</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">/</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">2</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> norm_factor </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> np</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">repeat</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">array</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain">lookback</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">reshape</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> array</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">shape</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> axis</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> centered_data </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> array </span><span class="token operator" style="color:hsl(221, 87%, 60%)">/</span><span class="token plain"> norm_factor </span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> lookforward </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> centered_data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">shape</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain"> lookback</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> means </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> centered_data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">mean</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">axis</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> lookforward_data </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> centered_data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain">lookforward</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> std_dev </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> np</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">hstack</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> lookforward_data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">std</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">axis</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> maxes </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> lookforward_data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token builtin" style="color:hsl(119, 34%, 47%)">max</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">axis</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> mins </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> lookforward_data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token builtin" style="color:hsl(119, 34%, 47%)">min</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">axis</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> range_begin </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain">lookback</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> range_end </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> lookforward</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> plt</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">plot</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token builtin" style="color:hsl(119, 34%, 47%)">range</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">range_begin</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> range_end</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> means</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> plt</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">fill_between</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token builtin" style="color:hsl(119, 34%, 47%)">range</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> range_end</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> means</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain">lookforward</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token plain"> std_dev</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> means</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain">lookforward</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain"> std_dev</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> alpha</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">.5</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> label</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token string" style="color:hsl(119, 34%, 47%)">"$\pm$ 1 s.d."</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> max_err </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> maxes </span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain"> means</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain">lookforward</span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> min_err </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> means</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain">lookforward</span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain"> mins</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> plt</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">errorbar</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token builtin" style="color:hsl(119, 34%, 47%)">range</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> range_end</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> means</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain">lookforward</span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> yerr</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">min_err</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> max_err</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> label</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token string" style="color:hsl(119, 34%, 47%)">'Max & Min'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> plt</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">legend</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">loc</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">2</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> plt</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">xlim</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain">lookback</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> lookback</span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">def</span><span class="token plain"> </span><span class="token function" style="color:hsl(221, 87%, 60%)">fetch_event_data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> events</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> horizon</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">5</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Use horizon+1 to account for including the day of the event,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># and half-open interval - that is, for a horizon of 5,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># we should be including 11 events. Additionally, using the</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># CustomBusinessDay means we automatically handle issues if</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># for example a company reports Friday afternoon - the date</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># calculator will turn this into a "Saturday" release, but</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># we effectively shift that to Monday with the logic below.</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> td_back </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> TradeDay</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">horizon</span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> td_forward </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> TradeDay</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">horizon</span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> start_date </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token builtin" style="color:hsl(119, 34%, 47%)">min</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">events</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain"> td_back</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> end_date </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token builtin" style="color:hsl(119, 34%, 47%)">max</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">events</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token plain"> td_forward</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> total_data </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> fetch_ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> start_date</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> end_date</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> event_data </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">total_data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">ix</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">event</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain">td_back</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain">event</span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token plain">td_forward</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain">\</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain">horizon</span><span class="token operator" style="color:hsl(221, 87%, 60%)">*</span><span class="token number" style="color:hsl(35, 99%, 36%)">2</span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain">\</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token string" style="color:hsl(119, 34%, 47%)">'Adjusted Close'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">for</span><span class="token plain"> event </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">in</span><span class="token plain"> events</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">return</span><span class="token plain"> np</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">array</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">event_data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><br></span></code></pre><div class=buttonGroup__atx><button type=button aria-label="Copy code to clipboard" title=Copy class=clean-btn><span class=copyButtonIcons_eSgA aria-hidden=true><svg viewBox="0 0 24 24" class=copyButtonIcon_y97N><path fill=currentColor d="M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z"/></svg><svg viewBox="0 0 24 24" class=copyButtonSuccessIcon_LjdS><path fill=currentColor d=M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z /></svg></span></button></div></div></div></div></div></details>
<div class="language-python codeBlockContainer_Ckt0 theme-code-block" style="--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)"><div class=codeBlockContent_biex><pre tabindex=0 class="prism-code language-python codeBlock_bY9V thin-scrollbar" style="background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)"><code class=codeBlockLines_e6Vv><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token comment" style="color:hsl(230, 4%, 64%)"># Generate a couple of random events</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">event_dates </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">datetime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">2016</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">5</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">27</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain"> timedelta</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">days</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain"> TradeDay</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">x</span><span class="token operator" style="color:hsl(221, 87%, 60%)">*</span><span class="token number" style="color:hsl(35, 99%, 36%)">20</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">for</span><span class="token plain"> x </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">in</span><span class="token plain"> </span><span class="token builtin" style="color:hsl(119, 34%, 47%)">range</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">40</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">data </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> fetch_event_data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'CELG'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> event_dates</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">plot_study_small</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">plt</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">legend</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">loc</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">3</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">plt</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">gcf</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">set_size_inches</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">12</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">6</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">;</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">plt</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">annotate</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'Mean price for days leading up to each event'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token number" style="color:hsl(35, 99%, 36%)">5</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token number" style="color:hsl(35, 99%, 36%)">.01</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token number" style="color:hsl(35, 99%, 36%)">4.5</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">.025</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> arrowprops</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token builtin" style="color:hsl(119, 34%, 47%)">dict</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">facecolor</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token string" style="color:hsl(119, 34%, 47%)">'black'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> shrink</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">0.05</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">plt</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">annotate</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">''</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token number" style="color:hsl(35, 99%, 36%)">.1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">.005</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token number" style="color:hsl(35, 99%, 36%)">.5</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">.02</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> arrowprops</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">{</span><span class="token string" style="color:hsl(119, 34%, 47%)">'facecolor'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"> </span><span class="token string" style="color:hsl(119, 34%, 47%)">'black'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token string" style="color:hsl(119, 34%, 47%)">'shrink'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">.05</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">}</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">plt</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">annotate</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'$\pm$ 1 std. dev. each day'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> 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class=copyButtonIcons_eSgA aria-hidden=true><svg viewBox="0 0 24 24" class=copyButtonIcon_y97N><path fill=currentColor d="M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z"/></svg><svg viewBox="0 0 24 24" class=copyButtonSuccessIcon_LjdS><path fill=currentColor d=M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z /></svg></span></button></div></div></div>
<p><img decoding=async loading=lazy alt=png src=/assets/images/_notebook_11_0-1c14b9b64e0cc03bce9e40f936d85202.png width=721 height=368 class=img_ev3q></p>
<p>And as a quick textual explanation as well:</p>
<ul>
<li>The blue line represents the mean price for each day, represented as a percentage of the price on the '0-day'. For example, if we defined an 'event' as whenever the stock price dropped for three days, we would see a decreasing blue line to the left of the 0-day.</li>
<li>The blue shaded area represents one standard deviation above and below the mean price for each day following an event. This is intended to give us an idea of what the stock price does in general following an event.</li>
<li>The green bars are the minimum and maximum price for each day following an event. This instructs us as to how much it's possible for the stock to move.</li>
</ul>
<h2 class="anchor anchorWithStickyNavbar_LWe7" id=event-type-1-trending-down-over-the-past-n-days>Event Type 1: Trending down over the past N days<a href=#event-type-1-trending-down-over-the-past-n-days class=hash-link aria-label="Direct link to Event Type 1: Trending down over the past N days" title="Direct link to Event Type 1: Trending down over the past N days">​</a></h2>
<p>The first type of event I want to study is how stocks perform when they've been trending down over the past couple of days prior to a release. However, we need to clarify what exactly is meant by "trending down." To do so, we'll use the following metric: <strong>the midpoint between each day's opening and closing price goes down over a period of N days</strong>.</p>
<p>It's probably helpful to have an example:</p>
<details class="details_lb9f alert alert--info details_b_Ee" data-collapsed=true><summary>Code</summary><div><div class=collapsibleContent_i85q><div class="language-python codeBlockContainer_Ckt0 theme-code-block" style="--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)"><div class=codeBlockContent_biex><pre tabindex=0 class="prism-code language-python codeBlock_bY9V thin-scrollbar" style="background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)"><code class=codeBlockLines_e6Vv><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">f</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> axarr </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> plt</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">subplots</span><span class="token punctuation" style="color:hsl(119, 34%, 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style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">FB_truncated </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> FB</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">datetime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">2016</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">4</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">18</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 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style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">datetime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">2016</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">4</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">10</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> AAPL_plot</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">AAPL_truncated </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> AAPL</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">datetime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">2016</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">4</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">10</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain">datetime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">2016</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">4</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">26</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">midpoint </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> AAPL_truncated</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token string" style="color:hsl(119, 34%, 47%)">'Open'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token operator" style="color:hsl(221, 87%, 60%)">/</span><span class="token number" style="color:hsl(35, 99%, 36%)">2</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token plain"> AAPL_truncated</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token string" style="color:hsl(119, 34%, 47%)">'Close'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token operator" style="color:hsl(221, 87%, 60%)">/</span><span class="token number" style="color:hsl(35, 99%, 36%)">2</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">AAPL_plot</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">plot</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">AAPL_truncated</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">index</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> midpoint</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> label</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token string" style="color:hsl(119, 34%, 47%)">'Midpoint'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">AAPL_plot</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">vlines</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">date2num</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">datetime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">2016</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">4</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">26</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">12</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> ax_aapl</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">get_ylim</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> ax_aapl</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">get_ylim</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> color</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token string" style="color:hsl(119, 34%, 47%)">'g'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> label</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token string" style="color:hsl(119, 34%, 47%)">'Earnings Release'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">AAPL_plot</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">legend</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">loc</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">3</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">AAPL_plot</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">set_title</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'AAPL Midpoint Plot'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">;</span><br></span></code></pre><div class=buttonGroup__atx><button type=button aria-label="Copy code to clipboard" title=Copy class=clean-btn><span class=copyButtonIcons_eSgA aria-hidden=true><svg viewBox="0 0 24 24" class=copyButtonIcon_y97N><path fill=currentColor d="M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z"/></svg><svg viewBox="0 0 24 24" class=copyButtonSuccessIcon_LjdS><path fill=currentColor d=M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z /></svg></span></button></div></div></div></div></div></details>
<p><img decoding=async loading=lazy alt=png src=/assets/images/_notebook_14_0-8fad23eda4377ce379465c56be3eb022.png width=1041 height=378 class=img_ev3q></p>
<p>Given these charts, we can see that FB was trending down for the four days preceding the earnings release, and AAPL was trending down for a whopping 8 days (we don't count the peak day). This will define the methodology that we will use for the study.</p>
<p>So what are the results? For a given horizon, how well does the market actually perform?</p>
<details class="details_lb9f alert alert--info details_b_Ee" data-collapsed=true><summary>Code</summary><div><div class=collapsibleContent_i85q><div class="language-python codeBlockContainer_Ckt0 theme-code-block" style="--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)"><div class=codeBlockContent_biex><pre tabindex=0 class="prism-code language-python codeBlock_bY9V thin-scrollbar" style="background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)"><code class=codeBlockLines_e6Vv><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token comment" style="color:hsl(230, 4%, 64%)"># Read in the events for each stock;</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token comment" style="color:hsl(230, 4%, 64%)"># The file was created using the first code block in the Appendix</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> yaml</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">from</span><span class="token plain"> dateutil</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">parser </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> parse</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">from</span><span class="token plain"> progressbar </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> ProgressBar</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">data_str </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token builtin" style="color:hsl(119, 34%, 47%)">open</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'earnings_dates.yaml'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token string" style="color:hsl(119, 34%, 47%)">'r'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">read</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Need to remove invalid lines</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">filtered </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token builtin" style="color:hsl(119, 34%, 47%)">filter</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token keyword" style="color:hsl(301, 63%, 40%)">lambda</span><span class="token plain"> x</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"> </span><span class="token string" style="color:hsl(119, 34%, 47%)">'{'</span><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">not</span><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">in</span><span class="token plain"> x</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> data_str</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">split</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'\n'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">earnings_data </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> yaml</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">load</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'\n'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">join</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">filtered</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Convert our earnings data into a list of (ticker, date) pairs</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token comment" style="color:hsl(230, 4%, 64%)"># to make it easy to work with.</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token comment" style="color:hsl(230, 4%, 64%)"># This is horribly inefficient, but should get us what we need</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">ticker_dates </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">for</span><span class="token plain"> ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> date_list </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">in</span><span class="token plain"> earnings_data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">items</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">for</span><span class="token plain"> iso_str </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">in</span><span class="token plain"> date_list</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> ticker_dates</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">append</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> parse</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">iso_str</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">def</span><span class="token plain"> </span><span class="token function" style="color:hsl(221, 87%, 60%)">does_trend_down</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> event</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> horizon</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Figure out if the `event` has a downtrend for</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># the `horizon` days preceding it</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># As an interpretation note: it is assumed that</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># the closing price of day `event` is the reference</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># point, and we want `horizon` days before that.</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># The price_data.hdf was created in the second appendix code block</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">try</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> ticker_data </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> pd</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">read_hdf</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'price_data.hdf'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> data </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> ticker_data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">event</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain">TradeDay</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">horizon</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain">event</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> midpoints </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token string" style="color:hsl(119, 34%, 47%)">'Open'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token operator" style="color:hsl(221, 87%, 60%)">/</span><span class="token number" style="color:hsl(35, 99%, 36%)">2</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token plain"> data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token string" style="color:hsl(119, 34%, 47%)">'Close'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token operator" style="color:hsl(221, 87%, 60%)">/</span><span class="token number" style="color:hsl(35, 99%, 36%)">2</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Shift dates one forward into the future and subtract</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Effectively: do we trend down over all days?</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> elems </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> midpoints </span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain"> midpoints</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">shift</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">return</span><span class="token plain"> </span><span class="token builtin" style="color:hsl(119, 34%, 47%)">len</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">elems</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">==</span><span class="token plain"> </span><span class="token builtin" style="color:hsl(119, 34%, 47%)">len</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">elems</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">dropna</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">elems </span><span class="token operator" style="color:hsl(221, 87%, 60%)">&lt;=</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">except</span><span class="token plain"> KeyError</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># If the stock doesn't exist, it doesn't qualify as trending down</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Mostly this is here to make sure the entire analysis doesn't </span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># blow up if there were issues in data retrieval</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">return</span><span class="token plain"> </span><span class="token boolean" style="color:hsl(35, 99%, 36%)">False</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">def</span><span class="token plain"> </span><span class="token function" style="color:hsl(221, 87%, 60%)">study_trend</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">horizon</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> trend_function</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> five_day_events </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> np</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">zeros</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> horizon</span><span class="token operator" style="color:hsl(221, 87%, 60%)">*</span><span class="token number" style="color:hsl(35, 99%, 36%)">2</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> invalid_events </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">for</span><span class="token plain"> ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> event </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">in</span><span class="token plain"> ProgressBar</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">ticker_dates</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">if</span><span class="token plain"> trend_function</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> event</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> horizon</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> ticker_data </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> pd</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">read_hdf</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'price_data.hdf'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> event_data </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> ticker_data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">event</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain">TradeDay</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">horizon</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain">event</span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token plain">TradeDay</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">horizon</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token string" style="color:hsl(119, 34%, 47%)">'Close'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">try</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> five_day_events </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> np</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">vstack</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">five_day_events</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> event_data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">except</span><span class="token plain"> ValueError</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Sometimes we don't get exactly the right number of values due to calendar</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># issues. I've fixed most everything I can, and the few issues that are left</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># I assume don't systemically bias the results (i.e. data could be missing</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># because it doesn't exist, etc.). After running through, ~1% of events get</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># discarded this way</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> invalid_events</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">append</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> event</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Remove our initial zero row</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> five_day_events </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> five_day_events</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> plot_study</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">five_day_events</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> plt</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">gcf</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">suptitle</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'Action over {} days: {} events'</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token builtin" style="color:hsl(119, 34%, 47%)">format</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">horizon</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain">five_day_events</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">shape</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> plt</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">gcf</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">set_size_inches</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">18</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">6</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Start with a 5 day study</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">study_trend</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">5</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> does_trend_down</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><br></span></code></pre><div class=buttonGroup__atx><button type=button aria-label="Copy code to clipboard" title=Copy class=clean-btn><span 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0:21:38</span><br></span></code></pre><div class=buttonGroup__atx><button type=button aria-label="Copy code to clipboard" title=Copy class=clean-btn><span class=copyButtonIcons_eSgA aria-hidden=true><svg viewBox="0 0 24 24" class=copyButtonIcon_y97N><path fill=currentColor d="M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z"/></svg><svg viewBox="0 0 24 24" class=copyButtonSuccessIcon_LjdS><path fill=currentColor d=M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z /></svg></span></button></div></div></div></div></div></details>
<p><img decoding=async loading=lazy alt=png src=/assets/images/_notebook_16_1-144f4c4021e22c02fe015acc38d26343.png width=1050 height=397 class=img_ev3q></p>
<p>When a stock has been trending down for 5 days, once the earnings are announced it really doesn't move on average. However, the variability is <em>incredible</em>. This implies two important things:</p>
<ol>
<li>The market is just as often wrong about an earnings announcement before it happens as it is correct</li>
<li>The incredible width of the min/max bars and standard deviation area tell us that the market reacts <em>violently</em> after the earnings are released.</li>
</ol>
<p>Let's repeat the same study, but over a time horizon of 8 days and 3 days. Presumably if a stock has been going down for 8 days at a time before the earnings, the market should be more accurate.</p>
<details class="details_lb9f alert alert--info details_b_Ee" data-collapsed=true><summary>Code</summary><div><div class=collapsibleContent_i85q><div class="language-python codeBlockContainer_Ckt0 theme-code-block" style="--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)"><div class=codeBlockContent_biex><pre tabindex=0 class="prism-code language-python codeBlock_bY9V thin-scrollbar" style="background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)"><code class=codeBlockLines_e6Vv><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token comment" style="color:hsl(230, 4%, 64%)"># 8 day study next</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">study_trend</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">8</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> does_trend_down</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><br></span></code></pre><div class=buttonGroup__atx><button type=button aria-label="Copy code to clipboard" title=Copy class=clean-btn><span class=copyButtonIcons_eSgA aria-hidden=true><svg viewBox="0 0 24 24" class=copyButtonIcon_y97N><path fill=currentColor d="M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z"/></svg><svg viewBox="0 0 24 24" class=copyButtonSuccessIcon_LjdS><path fill=currentColor d=M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z /></svg></span></button></div></div></div><div class="codeBlockContainer_Ckt0 theme-code-block" style="--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)"><div class=codeBlockContent_biex><pre tabindex=0 class="prism-code language-text codeBlock_bY9V thin-scrollbar" style="background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)"><code class=codeBlockLines_e6Vv><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> 100% (47578 of 47578) |###########################################################| Elapsed Time: 0:20:29 Time: 0:20:29</span><br></span></code></pre><div class=buttonGroup__atx><button type=button aria-label="Copy code to clipboard" title=Copy class=clean-btn><span class=copyButtonIcons_eSgA aria-hidden=true><svg viewBox="0 0 24 24" class=copyButtonIcon_y97N><path fill=currentColor d="M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z"/></svg><svg viewBox="0 0 24 24" class=copyButtonSuccessIcon_LjdS><path fill=currentColor d=M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z /></svg></span></button></div></div></div></div></div></details>
<p><img decoding=async loading=lazy alt=png src=/assets/images/_notebook_18_1-0c204d1f3b296db4c925816140a946f2.png width=1047 height=397 class=img_ev3q></p>
<p>However, looking only at stocks that trended down for 8 days prior to a release, the same pattern emerges: on average, the stock doesn't move, but the market reaction is often incredibly violent.</p>
<details class="details_lb9f alert alert--info details_b_Ee" data-collapsed=true><summary>Code</summary><div><div class=collapsibleContent_i85q><div class="language-python codeBlockContainer_Ckt0 theme-code-block" style="--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)"><div class=codeBlockContent_biex><pre tabindex=0 class="prism-code language-python codeBlock_bY9V thin-scrollbar" style="background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)"><code class=codeBlockLines_e6Vv><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token comment" style="color:hsl(230, 4%, 64%)"># 3 day study after that</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">study_trend</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">3</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> does_trend_down</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><br></span></code></pre><div class=buttonGroup__atx><button type=button aria-label="Copy code to clipboard" title=Copy class=clean-btn><span class=copyButtonIcons_eSgA aria-hidden=true><svg viewBox="0 0 24 24" class=copyButtonIcon_y97N><path fill=currentColor d="M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z"/></svg><svg viewBox="0 0 24 24" class=copyButtonSuccessIcon_LjdS><path fill=currentColor d=M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z /></svg></span></button></div></div></div><div class="codeBlockContainer_Ckt0 theme-code-block" style="--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)"><div class=codeBlockContent_biex><pre tabindex=0 class="prism-code language-text codeBlock_bY9V thin-scrollbar" style="background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)"><code class=codeBlockLines_e6Vv><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> 100% (47578 of 47578) |###########################################################| Elapsed Time: 0:26:26 Time: 0:26:26</span><br></span></code></pre><div class=buttonGroup__atx><button type=button aria-label="Copy code to clipboard" title=Copy class=clean-btn><span class=copyButtonIcons_eSgA aria-hidden=true><svg viewBox="0 0 24 24" class=copyButtonIcon_y97N><path fill=currentColor d="M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z"/></svg><svg viewBox="0 0 24 24" class=copyButtonSuccessIcon_LjdS><path fill=currentColor d=M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z /></svg></span></button></div></div></div></div></div></details>
<p><img decoding=async loading=lazy alt=png src=/assets/images/_notebook_20_1-76d1356ea34f0db5122ddbeb90dc117c.png width=1040 height=397 class=img_ev3q></p>
<p>Finally, when we look at a 3-day horizon, we start getting some incredible outliers. Stocks have a potential to move over ~300% up, and the standard deviation width is again, incredible. The results for a 3-day horizon follow the same pattern we've seen in the 5- and 8-day horizons.</p>
<h2 class="anchor anchorWithStickyNavbar_LWe7" id=event-type-2-trending-up-for-n-days>Event Type 2: Trending up for N days<a href=#event-type-2-trending-up-for-n-days class=hash-link aria-label="Direct link to Event Type 2: Trending up for N days" title="Direct link to Event Type 2: Trending up for N days">​</a></h2>
<p>We're now going to repeat the analysis, but do it for uptrends instead. That is, instead of looking at stocks that have been trending down over the past number of days, we focus only on stocks that have been trending up.</p>
<details class="details_lb9f alert alert--info details_b_Ee" data-collapsed=true><summary>Code</summary><div><div class=collapsibleContent_i85q><div class="language-python codeBlockContainer_Ckt0 theme-code-block" style="--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)"><div class=codeBlockContent_biex><pre tabindex=0 class="prism-code language-python codeBlock_bY9V thin-scrollbar" style="background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)"><code class=codeBlockLines_e6Vv><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token keyword" style="color:hsl(301, 63%, 40%)">def</span><span class="token plain"> </span><span class="token function" style="color:hsl(221, 87%, 60%)">does_trend_up</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> event</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> horizon</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Figure out if the `event` has an uptrend for</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># the `horizon` days preceding it</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># As an interpretation note: it is assumed that</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># the closing price of day `event` is the reference</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># point, and we want `horizon` days before that.</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># The price_data.hdf was created in the second appendix code block</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">try</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> ticker_data </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> pd</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">read_hdf</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'price_data.hdf'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> data </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> ticker_data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">event</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain">TradeDay</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">horizon</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain">event</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> midpoints </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token string" style="color:hsl(119, 34%, 47%)">'Open'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token operator" style="color:hsl(221, 87%, 60%)">/</span><span class="token number" style="color:hsl(35, 99%, 36%)">2</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token plain"> data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token string" style="color:hsl(119, 34%, 47%)">'Close'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token operator" style="color:hsl(221, 87%, 60%)">/</span><span class="token number" style="color:hsl(35, 99%, 36%)">2</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Shift dates one forward into the future and subtract</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Effectively: do we trend down over all days?</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> elems </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> midpoints </span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain"> midpoints</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">shift</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">return</span><span class="token plain"> </span><span class="token builtin" style="color:hsl(119, 34%, 47%)">len</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">elems</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">==</span><span class="token plain"> </span><span class="token builtin" style="color:hsl(119, 34%, 47%)">len</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">elems</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">dropna</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">elems </span><span class="token operator" style="color:hsl(221, 87%, 60%)">>=</span><span class="token plain"> </span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">except</span><span class="token plain"> KeyError</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># If the stock doesn't exist, it doesn't qualify as trending down</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Mostly this is here to make sure the entire analysis doesn't </span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># blow up if there were issues in data retrieval</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">return</span><span class="token plain"> </span><span class="token boolean" style="color:hsl(35, 99%, 36%)">False</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">study_trend</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">5</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> does_trend_up</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><br></span></code></pre><div class=buttonGroup__atx><button type=button aria-label="Copy code to clipboard" title=Copy class=clean-btn><span class=copyButtonIcons_eSgA aria-hidden=true><svg viewBox="0 0 24 24" class=copyButtonIcon_y97N><path fill=currentColor d="M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z"/></svg><svg viewBox="0 0 24 24" class=copyButtonSuccessIcon_LjdS><path fill=currentColor d=M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z /></svg></span></button></div></div></div><div class="codeBlockContainer_Ckt0 theme-code-block" style="--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)"><div class=codeBlockContent_biex><pre tabindex=0 class="prism-code language-text codeBlock_bY9V thin-scrollbar" style="background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)"><code class=codeBlockLines_e6Vv><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> 100% (47578 of 47578) |###########################################################| Elapsed Time: 0:22:51 Time: 0:22:51</span><br></span></code></pre><div class=buttonGroup__atx><button type=button aria-label="Copy code to clipboard" title=Copy class=clean-btn><span class=copyButtonIcons_eSgA aria-hidden=true><svg viewBox="0 0 24 24" class=copyButtonIcon_y97N><path fill=currentColor d="M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z"/></svg><svg viewBox="0 0 24 24" class=copyButtonSuccessIcon_LjdS><path fill=currentColor d=M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z /></svg></span></button></div></div></div></div></div></details>
<p><img decoding=async loading=lazy alt=png src=/assets/images/_notebook_23_1-86585ab19c818b386afb7ec00dbec595.png width=1040 height=397 class=img_ev3q></p>
<p>The patterns here are very similar. With the exception of noting that stocks can go to nearly 400% after an earnings announcement (most likely this included a takeover announcement, etc.), we still see large min/max bars and wide standard deviation of returns.</p>
<p>We'll repeat the pattern for stocks going up for both 8 and 3 days straight, but at this point, the results should be very predictable:</p>
<details class="details_lb9f alert alert--info details_b_Ee" data-collapsed=true><summary>Code</summary><div><div class=collapsibleContent_i85q><div class="language-python codeBlockContainer_Ckt0 theme-code-block" style="--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)"><div class=codeBlockContent_biex><pre tabindex=0 class="prism-code language-python codeBlock_bY9V thin-scrollbar" style="background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)"><code class=codeBlockLines_e6Vv><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">study_trend</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">8</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> does_trend_up</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><br></span></code></pre><div class=buttonGroup__atx><button type=button aria-label="Copy code to clipboard" title=Copy class=clean-btn><span class=copyButtonIcons_eSgA aria-hidden=true><svg viewBox="0 0 24 24" class=copyButtonIcon_y97N><path fill=currentColor d="M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z"/></svg><svg viewBox="0 0 24 24" class=copyButtonSuccessIcon_LjdS><path fill=currentColor d=M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z /></svg></span></button></div></div></div><div class="codeBlockContainer_Ckt0 theme-code-block" style="--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)"><div class=codeBlockContent_biex><pre tabindex=0 class="prism-code language-text codeBlock_bY9V thin-scrollbar" style="background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)"><code class=codeBlockLines_e6Vv><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> 100% (47578 of 47578) |###########################################################| Elapsed Time: 0:20:51 Time: 0:20:51</span><br></span></code></pre><div class=buttonGroup__atx><button type=button aria-label="Copy code to clipboard" title=Copy class=clean-btn><span class=copyButtonIcons_eSgA aria-hidden=true><svg viewBox="0 0 24 24" class=copyButtonIcon_y97N><path fill=currentColor d="M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z"/></svg><svg viewBox="0 0 24 24" class=copyButtonSuccessIcon_LjdS><path fill=currentColor d=M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z /></svg></span></button></div></div></div></div></div></details>
<p><img decoding=async loading=lazy alt=png src=/assets/images/_notebook_25_1-0db87f90eaf0febd08b4775910528a75.png width=1047 height=397 class=img_ev3q></p>
<details class="details_lb9f alert alert--info details_b_Ee" data-collapsed=true><summary>Code</summary><div><div class=collapsibleContent_i85q><div class="language-python codeBlockContainer_Ckt0 theme-code-block" style="--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)"><div class=codeBlockContent_biex><pre tabindex=0 class="prism-code language-python codeBlock_bY9V thin-scrollbar" style="background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)"><code class=codeBlockLines_e6Vv><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">study_trend</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">3</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> does_trend_up</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><br></span></code></pre><div class=buttonGroup__atx><button type=button aria-label="Copy code to clipboard" title=Copy class=clean-btn><span class=copyButtonIcons_eSgA aria-hidden=true><svg viewBox="0 0 24 24" class=copyButtonIcon_y97N><path fill=currentColor d="M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z"/></svg><svg viewBox="0 0 24 24" class=copyButtonSuccessIcon_LjdS><path fill=currentColor d=M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z /></svg></span></button></div></div></div><div class="codeBlockContainer_Ckt0 theme-code-block" style="--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)"><div class=codeBlockContent_biex><pre tabindex=0 class="prism-code language-text codeBlock_bY9V thin-scrollbar" style="background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)"><code class=codeBlockLines_e6Vv><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> 100% (47578 of 47578) |###########################################################| Elapsed Time: 0:26:56 Time: 0:26:56</span><br></span></code></pre><div class=buttonGroup__atx><button type=button aria-label="Copy code to clipboard" title=Copy class=clean-btn><span class=copyButtonIcons_eSgA aria-hidden=true><svg viewBox="0 0 24 24" class=copyButtonIcon_y97N><path fill=currentColor d="M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z"/></svg><svg viewBox="0 0 24 24" class=copyButtonSuccessIcon_LjdS><path fill=currentColor d=M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z /></svg></span></button></div></div></div></div></div></details>
<p><img decoding=async loading=lazy alt=png src=/assets/images/_notebook_26_1-686b3995a84cbcac983b369843d1e222.png width=1040 height=397 class=img_ev3q></p>
<h2 class="anchor anchorWithStickyNavbar_LWe7" id=conclusion-and-summary>Conclusion and Summary<a href=#conclusion-and-summary class=hash-link aria-label="Direct link to Conclusion and Summary" title="Direct link to Conclusion and Summary">​</a></h2>
<p>I guess the most important thing to summarize with is this: <strong>looking at the entire market, stock performance prior to an earnings release has no bearing on the stock's performance.</strong> Honestly: given the huge variability of returns after an earnings release, even when the stock has been trending for a long time, you're best off divesting before an earnings release and letting the market sort itself out.</p>
<p><em>However</em>, there is a big caveat. These results are taken when we look at the entire market. So while we can say that the market as a whole knows nothing and just reacts violently, I want to take a closer look into this data. Does the market typically perform poorly on large-cap/high liquidity stocks? Do smaller companies have investors that know them better and can thus predict performance better? Are specific market sectors better at prediction? Presumably technology stocks are more volatile than the industrials.</p>
<p>So there are some more interesting questions I still want to ask with this data. Knowing that the hard work of data processing is largely already done, it should be fairly simple to continue this analysis and get much more refined with it. Until next time.</p>
<h1>Appendix</h1>
<p>Export event data for Russell 3000 companies:</p>
<details class="details_lb9f alert alert--info details_b_Ee" data-collapsed=true><summary>Code</summary><div><div class=collapsibleContent_i85q><div class="language-python codeBlockContainer_Ckt0 theme-code-block" style="--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)"><div class=codeBlockContent_biex><pre tabindex=0 class="prism-code language-python codeBlock_bY9V thin-scrollbar" style="background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)"><code class=codeBlockLines_e6Vv><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> pandas </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">as</span><span class="token plain"> pd</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">from</span><span class="token plain"> html</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">parser </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> HTMLParser</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">from</span><span class="token plain"> datetime </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> datetime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> timedelta</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> requests</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> re</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">from</span><span class="token plain"> dateutil </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> parser</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> progressbar</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">from</span><span class="token plain"> concurrent </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> futures</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> yaml</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">class</span><span class="token plain"> </span><span class="token class-name" style="color:hsl(35, 99%, 36%)">EarningsParser</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">HTMLParser</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> store_dates </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token boolean" style="color:hsl(35, 99%, 36%)">False</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> earnings_offset </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token boolean" style="color:hsl(35, 99%, 36%)">None</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> dates </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">def</span><span class="token plain"> </span><span class="token function" style="color:hsl(221, 87%, 60%)">__init__</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">self</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">*</span><span class="token plain">args</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">**</span><span class="token plain">kwargs</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token builtin" style="color:hsl(119, 34%, 47%)">super</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">__init__</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token operator" style="color:hsl(221, 87%, 60%)">*</span><span class="token plain">args</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">**</span><span class="token plain">kwargs</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> self</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">dates </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">def</span><span class="token plain"> </span><span class="token function" style="color:hsl(221, 87%, 60%)">handle_starttag</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">self</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> tag</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> attrs</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">if</span><span class="token plain"> tag </span><span class="token operator" style="color:hsl(221, 87%, 60%)">==</span><span class="token plain"> </span><span class="token string" style="color:hsl(119, 34%, 47%)">'table'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> self</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">store_dates </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token boolean" style="color:hsl(35, 99%, 36%)">True</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">def</span><span class="token plain"> </span><span class="token function" style="color:hsl(221, 87%, 60%)">handle_data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">self</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">if</span><span class="token plain"> self</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">store_dates</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">match</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> re</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token keyword" style="color:hsl(301, 63%, 40%)">match</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">r'\d+/\d+/\d+'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">if</span><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">match</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> self</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">dates</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">append</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token keyword" style="color:hsl(301, 63%, 40%)">match</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">group</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># If a company reports before the bell, record the earnings date</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># being at midnight the day before. Ex: WMT reports 5/19/2016,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># but we want the reference point to be the closing price on 5/18/2016</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">if</span><span class="token plain"> </span><span class="token string" style="color:hsl(119, 34%, 47%)">'After Close'</span><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">in</span><span class="token plain"> data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> self</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">earnings_offset </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> timedelta</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">days</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">elif</span><span class="token plain"> </span><span class="token string" style="color:hsl(119, 34%, 47%)">'Before Open'</span><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">in</span><span class="token plain"> data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> self</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">earnings_offset </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> timedelta</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">days</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token number" style="color:hsl(35, 99%, 36%)">1</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">def</span><span class="token plain"> </span><span class="token function" style="color:hsl(221, 87%, 60%)">handle_endtag</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">self</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> tag</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">if</span><span class="token plain"> tag </span><span class="token operator" style="color:hsl(221, 87%, 60%)">==</span><span class="token plain"> </span><span class="token string" style="color:hsl(119, 34%, 47%)">'table'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> self</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">store_dates </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token boolean" style="color:hsl(35, 99%, 36%)">False</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">def</span><span class="token plain"> </span><span class="token function" style="color:hsl(221, 87%, 60%)">earnings_releases</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)">#print("Looking up ticker {}".format(ticker))</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> user_agent </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token string" style="color:hsl(119, 34%, 47%)">'Mozilla/5.0 (Windows NT 10.0; WOW64; rv:46.0) '</span><span class="token plain">\</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token string" style="color:hsl(119, 34%, 47%)">'Gecko/20100101 Firefox/46.0'</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> headers </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">{</span><span class="token string" style="color:hsl(119, 34%, 47%)">'user-agent'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"> user_agent</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">}</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> base_url </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token string" style="color:hsl(119, 34%, 47%)">'http://www.streetinsider.com/ec_earnings.php?q={}'</span><span class="token plain">\</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token builtin" style="color:hsl(119, 34%, 47%)">format</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> e </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> EarningsParser</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> s </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> requests</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">Session</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> a </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> requests</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">adapters</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">HTTPAdapter</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">max_retries</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> s</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">mount</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'http://'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> a</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> e</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">feed</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token builtin" style="color:hsl(119, 34%, 47%)">str</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">s</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">get</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">base_url</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> headers</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain">headers</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">content</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">if</span><span class="token plain"> e</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">earnings_offset </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">is</span><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">not</span><span class="token plain"> </span><span class="token boolean" style="color:hsl(35, 99%, 36%)">None</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> dates </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token builtin" style="color:hsl(119, 34%, 47%)">map</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token keyword" style="color:hsl(301, 63%, 40%)">lambda</span><span class="token plain"> x</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"> parser</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">parse</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">x</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token plain"> e</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">earnings_offset</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> e</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">dates</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> past </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token builtin" style="color:hsl(119, 34%, 47%)">filter</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token keyword" style="color:hsl(301, 63%, 40%)">lambda</span><span class="token plain"> x</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"> x </span><span class="token operator" style="color:hsl(221, 87%, 60%)">&lt;</span><span class="token plain"> datetime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">now</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> dates</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">return</span><span class="token plain"> </span><span class="token builtin" style="color:hsl(119, 34%, 47%)">list</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token builtin" style="color:hsl(119, 34%, 47%)">map</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token keyword" style="color:hsl(301, 63%, 40%)">lambda</span><span class="token plain"> d</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"> d</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">isoformat</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> past</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Use a Russell-3000 ETF tracker (ticker IWV) to get a list of holdings</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">r3000 </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> pd</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">read_csv</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'https://www.ishares.com/us/products/239714/'</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token string" style="color:hsl(119, 34%, 47%)">'ishares-russell-3000-etf/1449138789749.ajax?'</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token string" style="color:hsl(119, 34%, 47%)">'fileType=csv&fileName=IWV_holdings&dataType=fund'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> header</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">10</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">r3000_equities </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> r3000</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">r3000</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token string" style="color:hsl(119, 34%, 47%)">'Exchange'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">==</span><span class="token plain"> </span><span class="token string" style="color:hsl(119, 34%, 47%)">'NASDAQ'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">|</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">r3000</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token string" style="color:hsl(119, 34%, 47%)">'Exchange'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">==</span><span class="token plain"> </span><span class="token string" style="color:hsl(119, 34%, 47%)">'New York Stock Exchange Inc.'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">dates_file </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token builtin" style="color:hsl(119, 34%, 47%)">open</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'earnings_dates.yaml'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token string" style="color:hsl(119, 34%, 47%)">'w'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">with</span><span class="token plain"> futures</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">ThreadPoolExecutor</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">max_workers</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">8</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">as</span><span class="token plain"> pool</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> fs </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">{</span><span class="token plain">pool</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">submit</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">earnings_releases</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> r3000_equities</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">ix</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">t</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token string" style="color:hsl(119, 34%, 47%)">'Ticker'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"> t</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">for</span><span class="token plain"> t </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">in</span><span class="token plain"> r3000_equities</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">index</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">}</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> pbar </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> progressbar</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">ProgressBar</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">term_width</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">80</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> max_value</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain">r3000_equities</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">index</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token builtin" style="color:hsl(119, 34%, 47%)">max</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">for</span><span class="token plain"> future </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">in</span><span class="token plain"> futures</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">as_completed</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">fs</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> i </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> fs</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">future</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> pbar</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">update</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">i</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> dates_file</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">write</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">yaml</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">dump</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">{</span><span class="token plain">r3000_equities</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">ix</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">i</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token string" style="color:hsl(119, 34%, 47%)">'Ticker'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> future</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">result</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">}</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><br></span></code></pre><div class=buttonGroup__atx><button type=button aria-label="Copy code to clipboard" title=Copy class=clean-btn><span class=copyButtonIcons_eSgA aria-hidden=true><svg viewBox="0 0 24 24" class=copyButtonIcon_y97N><path fill=currentColor d="M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z"/></svg><svg viewBox="0 0 24 24" class=copyButtonSuccessIcon_LjdS><path fill=currentColor d=M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z /></svg></span></button></div></div></div></div></div></details>
<p>Downloading stock price data needed for the event studies:</p>
<details class="details_lb9f alert alert--info details_b_Ee" data-collapsed=true><summary>Code</summary><div><div class=collapsibleContent_i85q><div class="language-python codeBlockContainer_Ckt0 theme-code-block" style="--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)"><div class=codeBlockContent_biex><pre tabindex=0 class="prism-code language-python codeBlock_bY9V thin-scrollbar" style="background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)"><code class=codeBlockLines_e6Vv><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token keyword" style="color:hsl(301, 63%, 40%)">from</span><span class="token plain"> secrets </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> QUANDL_KEY</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> pandas </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">as</span><span class="token plain"> pd</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> yaml</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">from</span><span class="token plain"> dateutil</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">parser </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> parse</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">from</span><span class="token plain"> datetime </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> timedelta</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> quandl</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">from</span><span class="token plain"> progressbar </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">import</span><span class="token plain"> ProgressBar</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">def</span><span class="token plain"> </span><span class="token function" style="color:hsl(221, 87%, 60%)">fetch_ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> start</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> end</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Quandl is currently giving me issues with returning</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># the entire dataset and not slicing server-side.</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># So instead, we'll do it client-side!</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> q_format </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token string" style="color:hsl(119, 34%, 47%)">'%Y-%m-%d'</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> ticker_data </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> quandl</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">get</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'YAHOO/'</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token plain"> ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> start_date</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain">start</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">strftime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">q_format</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> end_date</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain">end</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">strftime</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">q_format</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> authtoken</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain">QUANDL_KEY</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">return</span><span class="token plain"> ticker_data</span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">data_str </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token builtin" style="color:hsl(119, 34%, 47%)">open</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'earnings_dates.yaml'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token string" style="color:hsl(119, 34%, 47%)">'r'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">read</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Need to remove invalid lines</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">filtered </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token builtin" style="color:hsl(119, 34%, 47%)">filter</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token keyword" style="color:hsl(301, 63%, 40%)">lambda</span><span class="token plain"> x</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"> </span><span class="token string" style="color:hsl(119, 34%, 47%)">'{'</span><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">not</span><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">in</span><span class="token plain"> x</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> data_str</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">split</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'\n'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">earnings_data </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> yaml</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">load</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'\n'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">join</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">filtered</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Get the first 1500 keys - split up into two statements</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token comment" style="color:hsl(230, 4%, 64%)"># because of Quandl rate limits</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">tickers </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token builtin" style="color:hsl(119, 34%, 47%)">list</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">earnings_data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">keys</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain" style=display:inline-block></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">price_dict </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">{</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">}</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">invalid_tickers </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">for</span><span class="token plain"> ticker </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">in</span><span class="token plain"> ProgressBar</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">tickers</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">0</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token number" style="color:hsl(35, 99%, 36%)">1500</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">try</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Replace '.' with '-' in name for some tickers</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> fixed </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">replace</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'.'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token string" style="color:hsl(119, 34%, 47%)">'-'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> event_strs </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> earnings_data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> events </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">parse</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">event</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">for</span><span class="token plain"> event </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">in</span><span class="token plain"> event_strs</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> td </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> timedelta</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">days</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">20</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> price_dict</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> fetch_ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">fixed</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token builtin" style="color:hsl(119, 34%, 47%)">min</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">events</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain">td</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token builtin" style="color:hsl(119, 34%, 47%)">max</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">events</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token plain">td</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">except</span><span class="token plain"> quandl</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">NotFoundError</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> invalid_tickers</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">append</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Execute this after 10 minutes have passed</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">for</span><span class="token plain"> ticker </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">in</span><span class="token plain"> ProgressBar</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">tickers</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token number" style="color:hsl(35, 99%, 36%)">1500</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">try</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token comment" style="color:hsl(230, 4%, 64%)"># Replace '.' with '-' in name for some tickers</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> fixed </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">replace</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'.'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token string" style="color:hsl(119, 34%, 47%)">'-'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> event_strs </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> earnings_data</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> events </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> </span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">parse</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">event</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">for</span><span class="token plain"> event </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">in</span><span class="token plain"> event_strs</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> td </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> timedelta</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">days</span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token number" style="color:hsl(35, 99%, 36%)">20</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> price_dict</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> fetch_ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">fixed</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token builtin" style="color:hsl(119, 34%, 47%)">min</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">events</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token operator" style="color:hsl(221, 87%, 60%)">-</span><span class="token plain">td</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> </span><span class="token builtin" style="color:hsl(119, 34%, 47%)">max</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">events</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token operator" style="color:hsl(221, 87%, 60%)">+</span><span class="token plain">td</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">except</span><span class="token plain"> quandl</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">NotFoundError</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> invalid_tickers</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">append</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token plain">ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> </span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain">prices_store </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> pd</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">HDFStore</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token string" style="color:hsl(119, 34%, 47%)">'price_data.hdf'</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"></span><span class="token keyword" style="color:hsl(301, 63%, 40%)">for</span><span class="token plain"> ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">,</span><span class="token plain"> prices </span><span class="token keyword" style="color:hsl(301, 63%, 40%)">in</span><span class="token plain"> price_dict</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">.</span><span class="token plain">items</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">(</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">)</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">:</span><span class="token plain"></span><br></span><span class=token-line style="color:hsl(230, 8%, 24%)"><span class="token plain"> prices_store</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">[</span><span class="token plain">ticker</span><span class="token punctuation" style="color:hsl(119, 34%, 47%)">]</span><span class="token plain"> </span><span class="token operator" style="color:hsl(221, 87%, 60%)">=</span><span class="token plain"> prices</span><br></span></code></pre><div class=buttonGroup__atx><button type=button aria-label="Copy code to clipboard" title=Copy class=clean-btn><span class=copyButtonIcons_eSgA aria-hidden=true><svg viewBox="0 0 24 24" class=copyButtonIcon_y97N><path fill=currentColor d="M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z"/></svg><svg viewBox="0 0 24 24" class=copyButtonSuccessIcon_LjdS><path fill=currentColor d=M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z /></svg></span></button></div></div></div></div></div></details></div></article><nav class="pagination-nav docusaurus-mt-lg" aria-label="Blog post page navigation"><a class="pagination-nav__link pagination-nav__link--prev" href=/2016/05/the-unfair-casino><div class=pagination-nav__sublabel>Older post</div><div class=pagination-nav__label>The unfair casino</div></a><a class="pagination-nav__link pagination-nav__link--next" href=/2016/10/rustic-repodcasting><div class=pagination-nav__sublabel>Newer post</div><div class=pagination-nav__label>A Rustic re-podcasting server</div></a></nav></main><div class="col col--2"><div class="tableOfContents_bqdL thin-scrollbar"><ul class="table-of-contents table-of-contents__left-border"><li><a href=#the-market-just-knew class="table-of-contents__link toc-highlight">The Market Just Knew</a><li><a href=#formulating-the-question class="table-of-contents__link toc-highlight">Formulating the Question</a><li><a href=#event-studies class="table-of-contents__link toc-highlight">Event Studies</a><li><a href=#event-type-1-trending-down-over-the-past-n-days class="table-of-contents__link toc-highlight">Event Type 1: Trending down over the past N days</a><li><a href=#event-type-2-trending-up-for-n-days class="table-of-contents__link toc-highlight">Event Type 2: Trending up for N days</a><li><a href=#conclusion-and-summary class="table-of-contents__link toc-highlight">Conclusion and Summary</a></ul></div></div></div></div></div><footer class=footer><div class="container container-fluid"><div class="footer__bottom text--center"><div class=footer__copyright>Copyright © 2024 Bradlee Speice</div></div></div></footer></div>
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