{
 "cells": [
  {
   "cell_type": "markdown",
   "id": "9bcf2ee3",
   "metadata": {},
   "source": [
    "<div style=\"background-color:#000;\"><img src=\"pqn.png\"></img></div>"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "a5b4c5df",
   "metadata": {},
   "source": [
    "This code retrieves historical stock price data for Netflix from Yahoo Finance and performs statistical analysis. It calculates the rolling z-score of the closing prices over a 30-day window, allowing for the detection of significant deviations from the mean. The z-score is then plotted and its distribution visualized using a histogram. Additionally, it computes the minimum percentage change in closing prices over a 30-day rolling window and visualizes it. This is useful for identifying extreme price movements and understanding the stock's volatility."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "50d5e330",
   "metadata": {},
   "outputs": [],
   "source": [
    "import yfinance as yf"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "393360c8",
   "metadata": {},
   "source": [
    "Download historical stock price data for Netflix from Yahoo Finance"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "b89ccf32",
   "metadata": {
    "lines_to_next_cell": 1
   },
   "outputs": [],
   "source": [
    "data = yf.download(\"NFLX\", start=\"2020-01-01\", end=\"2022-06-30\")"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "87c13794",
   "metadata": {},
   "source": [
    "Define a function to calculate the z-score for a given chunk of data"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "2b6152e4",
   "metadata": {
    "lines_to_next_cell": 1
   },
   "outputs": [],
   "source": [
    "def z_score(chunk):\n",
    "    \"\"\"Calculate z-score for a given chunk.\n",
    "    \n",
    "    Parameters\n",
    "    ----------\n",
    "    chunk : pd.Series\n",
    "        A series of stock prices or values.\n",
    "    \n",
    "    Returns\n",
    "    -------\n",
    "    float\n",
    "        The z-score of the last value in the chunk.\n",
    "    \n",
    "    Notes\n",
    "    -----\n",
    "    This method computes the z-score, which is the number \n",
    "    of standard deviations a value is from the mean.\n",
    "    \"\"\"\n",
    "    return (chunk[-1] - chunk.mean()) / chunk.std()"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "d92d5b53",
   "metadata": {},
   "source": [
    "Calculate the rolling z-score of the closing prices over a 30-day window"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "9c3b8292",
   "metadata": {},
   "outputs": [],
   "source": [
    "rolled = data.Close.rolling(window=30).apply(z_score)"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "f0c0ce32",
   "metadata": {},
   "source": [
    "Plot the rolling z-score to visualize deviations from the mean"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "5c0f3295",
   "metadata": {},
   "outputs": [],
   "source": [
    "rolled.plot()"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "5fc5a361",
   "metadata": {},
   "source": [
    "Plot a histogram of the rolling z-score to understand its distribution"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "979cf4f9",
   "metadata": {},
   "outputs": [],
   "source": [
    "rolled.hist(bins=20)"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "1acedb50",
   "metadata": {},
   "source": [
    "Find the minimum z-score value to identify significant deviations"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "127b0f43",
   "metadata": {},
   "outputs": [],
   "source": [
    "rolled.min()"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "f13fc8f4",
   "metadata": {},
   "source": [
    "Calculate the percentage change from the closing price on 20 April 2022"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "502e5d91",
   "metadata": {},
   "outputs": [],
   "source": [
    "(226.19 - 348.61) / 348.61"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "da9e48db",
   "metadata": {},
   "source": [
    "Calculate the minimum percentage change in closing prices over a 30-day rolling window"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "5c98be53",
   "metadata": {},
   "outputs": [],
   "source": [
    "min_pct_change = (\n",
    "    data\n",
    "    .Close\n",
    "    .pct_change()\n",
    "    .rolling(window=30)\n",
    "    .min()\n",
    ")"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "47be23a9",
   "metadata": {},
   "source": [
    "Plot the minimum percentage change to visualize extreme price movements"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "e1fabbf2",
   "metadata": {},
   "outputs": [],
   "source": [
    "min_pct_change.plot()"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "3c0c5951",
   "metadata": {},
   "source": [
    "Plot a histogram of the minimum percentage change to understand its distribution"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "a1697d6b",
   "metadata": {},
   "outputs": [],
   "source": [
    "min_pct_change.hist(bins=20)"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "d97d6472",
   "metadata": {},
   "source": [
    "<a href=\"https://pyquantnews.com/\">PyQuant News</a> is where finance practitioners level up with Python for quant finance, algorithmic trading, and market data analysis. Looking to get started? Check out the fastest growing, top-selling course to <a href=\"https://gettingstartedwithpythonforquantfinance.com/\">get started with Python for quant finance</a>. For educational purposes. Not investment advise. Use at your own risk."
   ]
  }
 ],
 "metadata": {
  "jupytext": {
   "cell_metadata_filter": "-all",
   "main_language": "python",
   "notebook_metadata_filter": "-all"
  },
  "kernelspec": {
   "display_name": "Python 3 (ipykernel)",
   "language": "python",
   "name": "python3"
  },
  "language_info": {
   "codemirror_mode": {
    "name": "ipython",
    "version": 3
   },
   "file_extension": ".py",
   "mimetype": "text/x-python",
   "name": "python",
   "nbconvert_exporter": "python",
   "pygments_lexer": "ipython3",
   "version": "3.10.13"
  }
 },
 "nbformat": 4,
 "nbformat_minor": 5
}