Lesson 15
Boolean Arrays¶
This lesson covers:
 Creating Boolean arrays
 Combining Boolean arrays

all
andany
Begin by loading the data in momentum.csv.
# Setup: Load the momentum data
import numpy as np
import pandas as pd
momentum = pd.read_csv("data/momentum.csv", index_col="date", parse_dates=True)
print(momentum.head())
mom_01 = momentum["mom_01"]
mom_10 = momentum["mom_10"]
mom_05 = momentum["mom_05"]
Problem: Boolean arrays¶
For portfolios 1 and 10, determine whether each return is $<0$ (separately).
Problem: Combining boolean arrays¶
Count the number of times that the returns in both portfolio 1 and portfolio 10 are negative. Next count the number of times that the returns in portfolios 1 and 10 are both greater, in absolute value, that 2 times their respective standard deviations.
Problem: Combining boolean arrays¶
For portfolios 1 and 10, count the number of times either of the returns is $<0$.
Problem: Count the frequency of negative returns¶
What percent of returns are negative for each of the 10 momentum portfolios?
Problem: Use any
to find large losses¶
Use any to determine if any of the 10 portfolios experienced a loss greater than 5%.
Use all
and negation to do the same check as any
.
Exercise: Count Extreme Days¶
Count the number of days where each of the portfolio returns is less than the 5% quantile for the portfolio. Also report the fraction of days where all are in their lower 5% tail.