DataFrame resample ohlc from daily to weekly

joel

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Jul 12, 2020

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import pandas_datareader as pdr# Load the Data
 datadf = pdr.DataReader(“MSFT”,
 start=’2019–1–1',
 end=’2020–12–31',
 data_source=’yahoo’)[[‘Open’, ‘High’, ‘Low’, ‘Close’, ‘Volume’]]data = bt.feeds.PandasData(dataname=datadf)
 cerebro.adddata(data) # First add the original data — smaller timeframe# this is key function to resample data to weekly
 datadf1 = datadf.resample(‘W’, label=’left’).agg({
 ‘Open’: ‘first’,
 ‘High’: ‘max’,
 ‘Low’: ‘min’,
 ‘Close’: ‘last’,
 ‘Volume’: ‘sum’
 })datadf1.reset_index(level=0, inplace=True)
 # have to add 1 day to each ‘Date’, tried many ways, only this works.
 datadf1[‘Date’] = pd.to_datetime(datadf1[‘Date’]).apply(pd.DateOffset(1))
 datadf1 = datadf1.set_index(‘Date’)
 # end of resample to weekly