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from __future__ import print_function

from matplotlib.finance import quotes_historical_yahoo

from datetime import date

import numpy as np

from scipy import stats

from statsmodels.stats.stattools import jarque_bera

import matplotlib.pyplot as plt

def get_close(symbol):

today = date.today()

start = (today.year - 1, today.month, today.day)

quotes = quotes_historical_yahoo(symbol, start, today)

quotes = np.array(quotes)

return quotes.T[4]

spy = np.diff(np.log(get_close("SPY")))

dia = np.diff(np.log(get_close("DIA")))

print("Means comparison", stats.ttest_ind(spy, dia))

print("Kolmogorov smirnov test", stats.ks_2samp(spy, dia))

print("Jarque Bera test", jarque_bera(spy - dia)[1])

plt.title('Log returns of SPY and DIA')

plt.hist(spy, histtype="step", lw=1, label="SPY")

plt.hist(dia, histtype="step", lw=2, label="DIA")

plt.hist(spy - dia, histtype="step", lw=3, label="Delta")

plt.xlabel('Log returns')

plt.ylabel('Counts')

plt.grid()

plt.legend(loc='best')

plt.show()