performance.py

import pandas as pd
import matplotlib.pyplot as plt

def performance(df):
    d = dict()
    d['365days'] = round((df['Close'].iloc[-1] - df['Close'].rolling(7).mean().iloc[-356]) /  df['Close'].iloc[-365] * 100, 2)
    d['180days'] = round((df['Close'].iloc[-1] - df['Close'].rolling(7).mean().iloc[-180]) /  df['Close'].iloc[-180] * 100, 2)
    d['90days'] = round((df['Close'].iloc[-1] - df['Close'].rolling(7).mean().iloc[-90]) /  df['Close'].iloc[-90] * 100, 2)
    d['21days'] = round((df['Close'].iloc[-1] - df['Close'].rolling(7).mean().iloc[-21]) /  df['Close'].iloc[-21] * 100, 2)
    d['7days'] = round((df['Close'].iloc[-1] - df['Close'].rolling(2).mean().iloc[-7]) /  df['Close'].iloc[-7] * 100, 2)
    return pd.DataFrame.from_dict(d, orient = 'index')

def corr(firstAsset, secondAsset, ranges, firstAssetCol='Close', secondAssetCol = 'Close', firstAssetName='first', secondAssetName='second'):
    d = dict()
    firstAsset = firstAsset[[firstAssetCol]]
    secondAsset = secondAsset[[secondAssetCol]]
    firstAsset = firstAsset.rename(columns = {firstAssetCol:firstAssetName})
    secondAsset = secondAsset.rename(columns = {secondAssetCol:secondAssetName})
    joinDf = firstAsset.join(secondAsset)
    joinDf.dropna(inplace=True)
    for r in ranges:
        tmpDf = joinDf.iloc[-r:]
        d[str(r)+'days'] = tmpDf.corr().iloc[0, 1:].values
    return pd.DataFrame.from_dict(d, orient = 'index')


if __name__ == '__main__':
    import yfinance as yf
    gold = yf.download('IAU', start='2020-01-01', end='2022-01-01')
    btc = yf.download('BTC-USD', start='2020-01-01', end='2022-01-01')
    ris = corr(btc, gold, [180,90,30])
    print (ris)