05-insiders.ipynb

{
 "cells": [
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Insider Trades Analysis\n",
    "\n",
    "Trades made by insiders are filed with the SEC on Form 4s. A large literature shows that these trades contain information about future stock performance.\n",
    "\n",
    "Quandl data: Core US Insiders Data (SHARADAR/SF2)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {},
   "outputs": [],
   "source": [
    "import quandl\n",
    "import pandas as pd\n",
    "quandl.ApiConfig.api_key = \"YOUR-KEY-HERE\""
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "df = quandl.get_table('SHARADAR/SF2', filingdate={'gte': '2022-12-31'}, paginate=True)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "<class 'pandas.core.frame.DataFrame'>\n",
      "RangeIndex: 29246 entries, 0 to 29245\n",
      "Data columns (total 24 columns):\n",
      " #   Column                           Non-Null Count  Dtype         \n",
      "---  ------                           --------------  -----         \n",
      " 0   ticker                           29246 non-null  object        \n",
      " 1   filingdate                       29246 non-null  datetime64[ns]\n",
      " 2   formtype                         29246 non-null  object        \n",
      " 3   issuername                       29246 non-null  object        \n",
      " 4   ownername                        29246 non-null  object        \n",
      " 5   officertitle                     17629 non-null  object        \n",
      " 6   isdirector                       29246 non-null  object        \n",
      " 7   isofficer                        29246 non-null  object        \n",
      " 8   istenpercentowner                29246 non-null  object        \n",
      " 9   transactiondate                  20872 non-null  datetime64[ns]\n",
      " 10  securityadcode                   29246 non-null  object        \n",
      " 11  transactioncode                  20872 non-null  object        \n",
      " 12  sharesownedbeforetransaction     26804 non-null  float64       \n",
      " 13  transactionshares                20710 non-null  float64       \n",
      " 14  sharesownedfollowingtransaction  27490 non-null  float64       \n",
      " 15  transactionpricepershare         10295 non-null  float64       \n",
      " 16  transactionvalue                 10288 non-null  float64       \n",
      " 17  securitytitle                    29246 non-null  object        \n",
      " 18  directorindirect                 29246 non-null  object        \n",
      " 19  natureofownership                6334 non-null   object        \n",
      " 20  dateexercisable                  2207 non-null   datetime64[ns]\n",
      " 21  priceexercisable                 5369 non-null   float64       \n",
      " 22  expirationdate                   4679 non-null   datetime64[ns]\n",
      " 23  rownum                           29246 non-null  int64         \n",
      "dtypes: datetime64[ns](4), float64(6), int64(1), object(13)\n",
      "memory usage: 5.4+ MB\n"
     ]
    }
   ],
   "source": [
    "df.info()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 10,
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>ticker</th>\n",
       "      <th>filingdate</th>\n",
       "      <th>formtype</th>\n",
       "      <th>issuername</th>\n",
       "      <th>ownername</th>\n",
       "      <th>officertitle</th>\n",
       "      <th>isdirector</th>\n",
       "      <th>isofficer</th>\n",
       "      <th>istenpercentowner</th>\n",
       "      <th>transactiondate</th>\n",
       "      <th>...</th>\n",
       "      <th>sharesownedfollowingtransaction</th>\n",
       "      <th>transactionpricepershare</th>\n",
       "      <th>transactionvalue</th>\n",
       "      <th>securitytitle</th>\n",
       "      <th>directorindirect</th>\n",
       "      <th>natureofownership</th>\n",
       "      <th>dateexercisable</th>\n",
       "      <th>priceexercisable</th>\n",
       "      <th>expirationdate</th>\n",
       "      <th>rownum</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>None</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
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       "      <th></th>\n",
       "      <th></th>\n",
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       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
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       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>ZYXI</td>\n",
       "      <td>2023-01-10</td>\n",
       "      <td>4</td>\n",
       "      <td>ZYNEX INC</td>\n",
       "      <td>MOORHEAD DANIEL J</td>\n",
       "      <td>Chief Financial Officer</td>\n",
       "      <td>N</td>\n",
       "      <td>Y</td>\n",
       "      <td>N</td>\n",
       "      <td>2023-01-09</td>\n",
       "      <td>...</td>\n",
       "      <td>26556.0</td>\n",
       "      <td>15.65</td>\n",
       "      <td>19860.0</td>\n",
       "      <td>Common Stock</td>\n",
       "      <td>D</td>\n",
       "      <td>None</td>\n",
       "      <td>NaT</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaT</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>ZYME</td>\n",
       "      <td>2023-01-06</td>\n",
       "      <td>4</td>\n",
       "      <td>ZYMEWORKS INC</td>\n",
       "      <td>MOORE PAUL ANDREW</td>\n",
       "      <td>Chief Scientific Officer</td>\n",
       "      <td>N</td>\n",
       "      <td>Y</td>\n",
       "      <td>N</td>\n",
       "      <td>2023-01-05</td>\n",
       "      <td>...</td>\n",
       "      <td>51500.0</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>Restricted Stock Unit</td>\n",
       "      <td>D</td>\n",
       "      <td>None</td>\n",
       "      <td>NaT</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaT</td>\n",
       "      <td>2</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>ZYME</td>\n",
       "      <td>2023-01-06</td>\n",
       "      <td>4</td>\n",
       "      <td>ZYMEWORKS INC</td>\n",
       "      <td>MOORE PAUL ANDREW</td>\n",
       "      <td>Chief Scientific Officer</td>\n",
       "      <td>N</td>\n",
       "      <td>Y</td>\n",
       "      <td>N</td>\n",
       "      <td>2023-01-05</td>\n",
       "      <td>...</td>\n",
       "      <td>77500.0</td>\n",
       "      <td>8.00</td>\n",
       "      <td>620000.0</td>\n",
       "      <td>Stock Option Right to Buy</td>\n",
       "      <td>D</td>\n",
       "      <td>None</td>\n",
       "      <td>NaT</td>\n",
       "      <td>8.00</td>\n",
       "      <td>2033-01-04</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>ZYME</td>\n",
       "      <td>2023-01-06</td>\n",
       "      <td>4</td>\n",
       "      <td>ZYMEWORKS INC</td>\n",
       "      <td>KLOMPAS NEIL A</td>\n",
       "      <td>President  COO</td>\n",
       "      <td>N</td>\n",
       "      <td>Y</td>\n",
       "      <td>N</td>\n",
       "      <td>2023-01-05</td>\n",
       "      <td>...</td>\n",
       "      <td>58500.0</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>Restricted Stock Unit</td>\n",
       "      <td>D</td>\n",
       "      <td>None</td>\n",
       "      <td>NaT</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaT</td>\n",
       "      <td>2</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>ZYME</td>\n",
       "      <td>2023-01-06</td>\n",
       "      <td>4</td>\n",
       "      <td>ZYMEWORKS INC</td>\n",
       "      <td>KLOMPAS NEIL A</td>\n",
       "      <td>President  COO</td>\n",
       "      <td>N</td>\n",
       "      <td>Y</td>\n",
       "      <td>N</td>\n",
       "      <td>2023-01-05</td>\n",
       "      <td>...</td>\n",
       "      <td>87500.0</td>\n",
       "      <td>8.00</td>\n",
       "      <td>700000.0</td>\n",
       "      <td>Stock Option Right to Buy</td>\n",
       "      <td>D</td>\n",
       "      <td>None</td>\n",
       "      <td>NaT</td>\n",
       "      <td>8.00</td>\n",
       "      <td>2033-01-04</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>29241</th>\n",
       "      <td>AAMC</td>\n",
       "      <td>2023-01-04</td>\n",
       "      <td>4</td>\n",
       "      <td>ALTISOURCE ASSET MANAGEME</td>\n",
       "      <td>KOPCAK JASON A</td>\n",
       "      <td>None</td>\n",
       "      <td>Y</td>\n",
       "      <td>N</td>\n",
       "      <td>N</td>\n",
       "      <td>2022-12-30</td>\n",
       "      <td>...</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>10.00</td>\n",
       "      <td>10000.0</td>\n",
       "      <td>Series N Preferred Stock</td>\n",
       "      <td>D</td>\n",
       "      <td>None</td>\n",
       "      <td>NaT</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaT</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>29242</th>\n",
       "      <td>AAL</td>\n",
       "      <td>2023-01-06</td>\n",
       "      <td>3</td>\n",
       "      <td>AMERICAN AIRLINES GROUP I</td>\n",
       "      <td>MAY DEVON E</td>\n",
       "      <td>EVP Chief Financial Officer</td>\n",
       "      <td>N</td>\n",
       "      <td>Y</td>\n",
       "      <td>N</td>\n",
       "      <td>NaT</td>\n",
       "      <td>...</td>\n",
       "      <td>205321.0</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>Common Stock</td>\n",
       "      <td>D</td>\n",
       "      <td>None</td>\n",
       "      <td>NaT</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaT</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>29243</th>\n",
       "      <td>AADI</td>\n",
       "      <td>2023-01-04</td>\n",
       "      <td>4</td>\n",
       "      <td>AADI BIOSCIENCE INC</td>\n",
       "      <td>DESAI NEIL</td>\n",
       "      <td>Executive Chairman</td>\n",
       "      <td>Y</td>\n",
       "      <td>Y</td>\n",
       "      <td>Y</td>\n",
       "      <td>2023-01-03</td>\n",
       "      <td>...</td>\n",
       "      <td>150000.0</td>\n",
       "      <td>12.31</td>\n",
       "      <td>1846500.0</td>\n",
       "      <td>Stock option right to buy</td>\n",
       "      <td>D</td>\n",
       "      <td>None</td>\n",
       "      <td>NaT</td>\n",
       "      <td>12.31</td>\n",
       "      <td>2033-01-03</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>29244</th>\n",
       "      <td>AADI</td>\n",
       "      <td>2023-01-04</td>\n",
       "      <td>4</td>\n",
       "      <td>AADI BIOSCIENCE INC</td>\n",
       "      <td>DELANEY BRENDAN</td>\n",
       "      <td>President and Chief Executive Officer</td>\n",
       "      <td>Y</td>\n",
       "      <td>Y</td>\n",
       "      <td>N</td>\n",
       "      <td>2023-01-03</td>\n",
       "      <td>...</td>\n",
       "      <td>150000.0</td>\n",
       "      <td>12.31</td>\n",
       "      <td>1846500.0</td>\n",
       "      <td>Stock option right to buy</td>\n",
       "      <td>D</td>\n",
       "      <td>None</td>\n",
       "      <td>NaT</td>\n",
       "      <td>12.31</td>\n",
       "      <td>2033-01-03</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>29245</th>\n",
       "      <td>AA</td>\n",
       "      <td>2023-01-09</td>\n",
       "      <td>4</td>\n",
       "      <td>ALCOA CORP</td>\n",
       "      <td>WILLIAMS STEVEN W</td>\n",
       "      <td>None</td>\n",
       "      <td>Y</td>\n",
       "      <td>N</td>\n",
       "      <td>N</td>\n",
       "      <td>2023-01-05</td>\n",
       "      <td>...</td>\n",
       "      <td>71979.0</td>\n",
       "      <td>45.49</td>\n",
       "      <td>69964.0</td>\n",
       "      <td>Common Stock par value 0.01 per share</td>\n",
       "      <td>D</td>\n",
       "      <td>None</td>\n",
       "      <td>NaT</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaT</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>29246 rows × 24 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "      ticker filingdate formtype                 issuername  \\\n",
       "None                                                          \n",
       "0       ZYXI 2023-01-10        4                  ZYNEX INC   \n",
       "1       ZYME 2023-01-06        4              ZYMEWORKS INC   \n",
       "2       ZYME 2023-01-06        4              ZYMEWORKS INC   \n",
       "3       ZYME 2023-01-06        4              ZYMEWORKS INC   \n",
       "4       ZYME 2023-01-06        4              ZYMEWORKS INC   \n",
       "...      ...        ...      ...                        ...   \n",
       "29241   AAMC 2023-01-04        4  ALTISOURCE ASSET MANAGEME   \n",
       "29242    AAL 2023-01-06        3  AMERICAN AIRLINES GROUP I   \n",
       "29243   AADI 2023-01-04        4        AADI BIOSCIENCE INC   \n",
       "29244   AADI 2023-01-04        4        AADI BIOSCIENCE INC   \n",
       "29245     AA 2023-01-09        4                 ALCOA CORP   \n",
       "\n",
       "               ownername                           officertitle isdirector  \\\n",
       "None                                                                         \n",
       "0      MOORHEAD DANIEL J                Chief Financial Officer          N   \n",
       "1      MOORE PAUL ANDREW               Chief Scientific Officer          N   \n",
       "2      MOORE PAUL ANDREW               Chief Scientific Officer          N   \n",
       "3         KLOMPAS NEIL A                         President  COO          N   \n",
       "4         KLOMPAS NEIL A                         President  COO          N   \n",
       "...                  ...                                    ...        ...   \n",
       "29241     KOPCAK JASON A                                   None          Y   \n",
       "29242        MAY DEVON E            EVP Chief Financial Officer          N   \n",
       "29243         DESAI NEIL                     Executive Chairman          Y   \n",
       "29244    DELANEY BRENDAN  President and Chief Executive Officer          Y   \n",
       "29245  WILLIAMS STEVEN W                                   None          Y   \n",
       "\n",
       "      isofficer istenpercentowner transactiondate  ...  \\\n",
       "None                                               ...   \n",
       "0             Y                 N      2023-01-09  ...   \n",
       "1             Y                 N      2023-01-05  ...   \n",
       "2             Y                 N      2023-01-05  ...   \n",
       "3             Y                 N      2023-01-05  ...   \n",
       "4             Y                 N      2023-01-05  ...   \n",
       "...         ...               ...             ...  ...   \n",
       "29241         N                 N      2022-12-30  ...   \n",
       "29242         Y                 N             NaT  ...   \n",
       "29243         Y                 Y      2023-01-03  ...   \n",
       "29244         Y                 N      2023-01-03  ...   \n",
       "29245         N                 N      2023-01-05  ...   \n",
       "\n",
       "      sharesownedfollowingtransaction transactionpricepershare  \\\n",
       "None                                                             \n",
       "0                             26556.0                    15.65   \n",
       "1                             51500.0                      NaN   \n",
       "2                             77500.0                     8.00   \n",
       "3                             58500.0                      NaN   \n",
       "4                             87500.0                     8.00   \n",
       "...                               ...                      ...   \n",
       "29241                          1000.0                    10.00   \n",
       "29242                        205321.0                      NaN   \n",
       "29243                        150000.0                    12.31   \n",
       "29244                        150000.0                    12.31   \n",
       "29245                         71979.0                    45.49   \n",
       "\n",
       "       transactionvalue                          securitytitle  \\\n",
       "None                                                             \n",
       "0               19860.0                           Common Stock   \n",
       "1                   NaN                  Restricted Stock Unit   \n",
       "2              620000.0              Stock Option Right to Buy   \n",
       "3                   NaN                  Restricted Stock Unit   \n",
       "4              700000.0              Stock Option Right to Buy   \n",
       "...                 ...                                    ...   \n",
       "29241           10000.0               Series N Preferred Stock   \n",
       "29242               NaN                           Common Stock   \n",
       "29243         1846500.0              Stock option right to buy   \n",
       "29244         1846500.0              Stock option right to buy   \n",
       "29245           69964.0  Common Stock par value 0.01 per share   \n",
       "\n",
       "       directorindirect  natureofownership  dateexercisable priceexercisable  \\\n",
       "None                                                                           \n",
       "0                     D               None              NaT              NaN   \n",
       "1                     D               None              NaT              NaN   \n",
       "2                     D               None              NaT             8.00   \n",
       "3                     D               None              NaT              NaN   \n",
       "4                     D               None              NaT             8.00   \n",
       "...                 ...                ...              ...              ...   \n",
       "29241                 D               None              NaT              NaN   \n",
       "29242                 D               None              NaT              NaN   \n",
       "29243                 D               None              NaT            12.31   \n",
       "29244                 D               None              NaT            12.31   \n",
       "29245                 D               None              NaT              NaN   \n",
       "\n",
       "      expirationdate rownum  \n",
       "None                         \n",
       "0                NaT      1  \n",
       "1                NaT      2  \n",
       "2         2033-01-04      1  \n",
       "3                NaT      2  \n",
       "4         2033-01-04      1  \n",
       "...              ...    ...  \n",
       "29241            NaT      1  \n",
       "29242            NaT      1  \n",
       "29243     2033-01-03      1  \n",
       "29244     2033-01-03      1  \n",
       "29245            NaT      1  \n",
       "\n",
       "[29246 rows x 24 columns]"
      ]
     },
     "execution_count": 10,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 11,
   "metadata": {},
   "outputs": [],
   "source": [
    "df['ddate']=pd.to_datetime(df.filingdate)\n",
    "df['month']=df.ddate.dt.month\n",
    "df['year']=df.ddate.dt.year"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 12,
   "metadata": {},
   "outputs": [],
   "source": [
    "# Subset for trades\n",
    "df = df[df.formtype=='4'].copy()"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Transaction codes\n",
    "The available [Transaction Codes] [Transaction Categories] Descriptions are as follows: \n",
    "\n",
    "[P] [General] Open market or private purchase of non-derivative or derivative security \n",
    "\n",
    "[S] [General] Open market or private sale of non-derivative or derivative security \n",
    "\n",
    "[V] [General] Transaction voluntarily reported earlier than required \n",
    "\n",
    "[A] [Rule 16b-3] Grant; award or other acquisition pursuant to Rule 16b-3(d) \n",
    "\n",
    "[D] [Rule 16b-3] Disposition to the issuer of issuer equity securities pursuant to Rule 16b-3(e) \n",
    "\n",
    "[F] [Rule 16b-3] Payment of exercise price or tax liability by delivering or withholding securities \n",
    "\n",
    "[I] [Rule 16b-3] Discretionary transaction in accordance with Rule 16b-3(f) \n",
    "\n",
    "[M] [Rule 16b-3] Exercise or conversion of derivative security exempted pursuant to Rule 16b-3 \n",
    "\n",
    "[C] [Derivative Codes] Conversion of derivative security \n",
    "\n",
    "[E] [Derivative Codes] Expiration of short derivative position \n",
    "\n",
    "[H] [Derivative Codes] Expiration (or cancellation) of long derivative position with value received \n",
    "\n",
    "[O] [Derivative Codes] Exercise of out-of-the-money derivative security \n",
    "\n",
    "[X] [Derivative Codes] Exercise of in-the-money or at-the-money derivative security \n",
    "\n",
    "[G] [Other Section 16(b) Exempt] Bona fide gift \n",
    "\n",
    "[L] [Other Section 16(b) Exempt] Small acquisition under Rule 16a-6 \n",
    "\n",
    "[W] [Other Section 16(b) Exempt] Acquisition or disposition by will or the laws of descent and distribution \n",
    "\n",
    "[Z] [Other Section 16(b) Exempt] Deposit into or withdrawal from voting trust \n",
    "\n",
    "[J] [Other] Other acquisition or disposition \n",
    "\n",
    "[K] [Other] Transaction in equity swap or instrument with similar characteristics \n",
    "\n",
    "[U] [Other] Disposition pursuant to a tender of shares in a change of control transaction"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 13,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "A    7599\n",
       "M    4612\n",
       "F    2737\n",
       "S    2428\n",
       "P     899\n",
       "D     743\n",
       "J     490\n",
       "G     439\n",
       "C     291\n",
       "U      26\n",
       "L      14\n",
       "I       9\n",
       "X       5\n",
       "E       3\n",
       "W       2\n",
       "Z       2\n",
       "Name: transactioncode, dtype: int64"
      ]
     },
     "execution_count": 13,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "df.transactioncode.value_counts()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 14,
   "metadata": {},
   "outputs": [],
   "source": [
    "# Subset for open-market purchases and sales\n",
    "df = df[(df.transactioncode=='P') | (df.transactioncode=='S')].copy()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 15,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
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       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
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       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>count</th>\n",
       "      <th>mean</th>\n",
       "      <th>std</th>\n",
       "      <th>min</th>\n",
       "      <th>25%</th>\n",
       "      <th>50%</th>\n",
       "      <th>75%</th>\n",
       "      <th>max</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>transactioncode</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>P</th>\n",
       "      <td>896.0</td>\n",
       "      <td>97777.888393</td>\n",
       "      <td>1.009995e+06</td>\n",
       "      <td>-5206.0</td>\n",
       "      <td>236.5</td>\n",
       "      <td>2992.5</td>\n",
       "      <td>20000.0</td>\n",
       "      <td>27272727.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>S</th>\n",
       "      <td>2428.0</td>\n",
       "      <td>-239478.748353</td>\n",
       "      <td>4.206290e+06</td>\n",
       "      <td>-112863282.0</td>\n",
       "      <td>-10507.0</td>\n",
       "      <td>-2893.0</td>\n",
       "      <td>-823.5</td>\n",
       "      <td>-1.0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                  count           mean           std          min      25%  \\\n",
       "transactioncode                                                              \n",
       "P                 896.0   97777.888393  1.009995e+06      -5206.0    236.5   \n",
       "S                2428.0 -239478.748353  4.206290e+06 -112863282.0 -10507.0   \n",
       "\n",
       "                    50%      75%         max  \n",
       "transactioncode                               \n",
       "P                2992.5  20000.0  27272727.0  \n",
       "S               -2893.0   -823.5        -1.0  "
      ]
     },
     "execution_count": 15,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# Check transactionshares signing (transactionshares usually positive for purchases and negative for sales)\n",
    "df.groupby('transactioncode').transactionshares.describe()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 16,
   "metadata": {},
   "outputs": [],
   "source": [
    "# Sum purchases and sales within a month\n",
    "df_mthly = df.groupby(['ticker','ownername','year','month','transactioncode']).transactionshares.sum()\n",
    "buys  = df_mthly.loc[(slice(None),slice(None),slice(None),slice(None),'P')]\n",
    "sells = -1*df_mthly.loc[(slice(None),slice(None),slice(None),slice(None),'S')]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 17,
   "metadata": {},
   "outputs": [],
   "source": [
    "# Aggregate to firm-month level\n",
    "buys = buys.groupby(level=['ticker','year','month']).sum()\n",
    "buys.name = 'buys'\n",
    "sells = sells.groupby(level=['ticker','year','month']).sum()\n",
    "sells.name = 'sells'"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 18,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "count    709.000000\n",
       "mean      -0.515157\n",
       "std        0.846563\n",
       "min       -1.000000\n",
       "25%       -1.000000\n",
       "50%       -1.000000\n",
       "75%       -0.665226\n",
       "max        1.000000\n",
       "Name: oib, dtype: float64"
      ]
     },
     "execution_count": 18,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# Calculate insider order-imbalance\n",
    "bs = pd.merge(buys,sells, 'outer', left_index=True,right_index=True)\n",
    "bs = bs.fillna(0)\n",
    "# drop obs with negative buys or positive sells\n",
    "bs = bs[(bs.buys >=0) & (bs.sells >=0)]\n",
    "bs['oib'] = (bs.buys - bs.sells) / (bs.buys + bs.sells)\n",
    "bs.oib.describe()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 19,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th>buys</th>\n",
       "      <th>sells</th>\n",
       "      <th>oib</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>ticker</th>\n",
       "      <th>year</th>\n",
       "      <th>month</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>ABM</th>\n",
       "      <th>2023</th>\n",
       "      <th>1</th>\n",
       "      <td>0.0</td>\n",
       "      <td>2520.0</td>\n",
       "      <td>-1.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>ABNB</th>\n",
       "      <th>2023</th>\n",
       "      <th>1</th>\n",
       "      <td>0.0</td>\n",
       "      <td>8000.0</td>\n",
       "      <td>-1.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>ABT</th>\n",
       "      <th>2023</th>\n",
       "      <th>1</th>\n",
       "      <td>0.0</td>\n",
       "      <td>4200.0</td>\n",
       "      <td>-1.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>ACAD</th>\n",
       "      <th>2023</th>\n",
       "      <th>1</th>\n",
       "      <td>0.0</td>\n",
       "      <td>17525.0</td>\n",
       "      <td>-1.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>ACCD</th>\n",
       "      <th>2023</th>\n",
       "      <th>1</th>\n",
       "      <td>74.0</td>\n",
       "      <td>74.0</td>\n",
       "      <td>0.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <th>...</th>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>ZI</th>\n",
       "      <th>2023</th>\n",
       "      <th>1</th>\n",
       "      <td>0.0</td>\n",
       "      <td>1041667.0</td>\n",
       "      <td>-1.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>ZM</th>\n",
       "      <th>2023</th>\n",
       "      <th>1</th>\n",
       "      <td>0.0</td>\n",
       "      <td>11018.0</td>\n",
       "      <td>-1.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>ZNTL</th>\n",
       "      <th>2023</th>\n",
       "      <th>1</th>\n",
       "      <td>0.0</td>\n",
       "      <td>10000.0</td>\n",
       "      <td>-1.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>ZUO</th>\n",
       "      <th>2023</th>\n",
       "      <th>1</th>\n",
       "      <td>0.0</td>\n",
       "      <td>109381.0</td>\n",
       "      <td>-1.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>ZYME</th>\n",
       "      <th>2023</th>\n",
       "      <th>1</th>\n",
       "      <td>1026300.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>1.0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>711 rows × 3 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                        buys      sells  oib\n",
       "ticker year month                           \n",
       "ABM    2023 1            0.0     2520.0 -1.0\n",
       "ABNB   2023 1            0.0     8000.0 -1.0\n",
       "ABT    2023 1            0.0     4200.0 -1.0\n",
       "ACAD   2023 1            0.0    17525.0 -1.0\n",
       "ACCD   2023 1           74.0       74.0  0.0\n",
       "...                      ...        ...  ...\n",
       "ZI     2023 1            0.0  1041667.0 -1.0\n",
       "ZM     2023 1            0.0    11018.0 -1.0\n",
       "ZNTL   2023 1            0.0    10000.0 -1.0\n",
       "ZUO    2023 1            0.0   109381.0 -1.0\n",
       "ZYME   2023 1      1026300.0        0.0  1.0\n",
       "\n",
       "[711 rows x 3 columns]"
      ]
     },
     "execution_count": 19,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "bs"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 20,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "<AxesSubplot:>"
      ]
     },
     "execution_count": 20,
     "metadata": {},
     "output_type": "execute_result"
    },
    {
     "data": {
      "image/png": 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",
      "text/plain": [
       "<Figure size 432x288 with 1 Axes>"
      ]
     },
     "metadata": {
      "needs_background": "light"
     },
     "output_type": "display_data"
    }
   ],
   "source": [
    "jan = bs.loc[(slice(None),2023,1)]\n",
    "jan.sort_values('oib')\n",
    "jan.oib.hist()"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "Add in trading volume and returns from SEP file"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 21,
   "metadata": {},
   "outputs": [],
   "source": [
    "sep = quandl.get_table('SHARADAR/SEP', DATE={'gte': '2022-12-31'}, paginate=True)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 22,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "<class 'pandas.core.frame.DataFrame'>\n",
      "RangeIndex: 87627 entries, 0 to 87626\n",
      "Data columns (total 10 columns):\n",
      " #   Column       Non-Null Count  Dtype         \n",
      "---  ------       --------------  -----         \n",
      " 0   ticker       87627 non-null  object        \n",
      " 1   date         87627 non-null  datetime64[ns]\n",
      " 2   open         87627 non-null  float64       \n",
      " 3   high         87627 non-null  float64       \n",
      " 4   low          87627 non-null  float64       \n",
      " 5   close        87627 non-null  float64       \n",
      " 6   volume       87627 non-null  float64       \n",
      " 7   closeadj     87627 non-null  float64       \n",
      " 8   closeunadj   87627 non-null  float64       \n",
      " 9   lastupdated  87627 non-null  datetime64[ns]\n",
      "dtypes: datetime64[ns](2), float64(7), object(1)\n",
      "memory usage: 6.7+ MB\n"
     ]
    }
   ],
   "source": [
    "sep.info()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 24,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>ticker</th>\n",
       "      <th>date</th>\n",
       "      <th>open</th>\n",
       "      <th>high</th>\n",
       "      <th>low</th>\n",
       "      <th>close</th>\n",
       "      <th>volume</th>\n",
       "      <th>closeadj</th>\n",
       "      <th>closeunadj</th>\n",
       "      <th>lastupdated</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>None</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>ZYXI</td>\n",
       "      <td>2023-01-18</td>\n",
       "      <td>16.79</td>\n",
       "      <td>17.160</td>\n",
       "      <td>15.070</td>\n",
       "      <td>15.21</td>\n",
       "      <td>345529.0</td>\n",
       "      <td>15.21</td>\n",
       "      <td>15.21</td>\n",
       "      <td>2023-01-18</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>ZYXI</td>\n",
       "      <td>2023-01-17</td>\n",
       "      <td>16.62</td>\n",
       "      <td>16.830</td>\n",
       "      <td>16.270</td>\n",
       "      <td>16.74</td>\n",
       "      <td>179496.0</td>\n",
       "      <td>16.74</td>\n",
       "      <td>16.74</td>\n",
       "      <td>2023-01-17</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>ZYXI</td>\n",
       "      <td>2023-01-13</td>\n",
       "      <td>16.62</td>\n",
       "      <td>16.980</td>\n",
       "      <td>16.410</td>\n",
       "      <td>16.80</td>\n",
       "      <td>160222.0</td>\n",
       "      <td>16.80</td>\n",
       "      <td>16.80</td>\n",
       "      <td>2023-01-13</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>ZYXI</td>\n",
       "      <td>2023-01-12</td>\n",
       "      <td>16.34</td>\n",
       "      <td>16.640</td>\n",
       "      <td>16.000</td>\n",
       "      <td>16.62</td>\n",
       "      <td>167070.0</td>\n",
       "      <td>16.62</td>\n",
       "      <td>16.62</td>\n",
       "      <td>2023-01-12</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>ZYXI</td>\n",
       "      <td>2023-01-11</td>\n",
       "      <td>16.56</td>\n",
       "      <td>16.979</td>\n",
       "      <td>16.110</td>\n",
       "      <td>16.30</td>\n",
       "      <td>310493.0</td>\n",
       "      <td>16.30</td>\n",
       "      <td>16.30</td>\n",
       "      <td>2023-01-11</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5</th>\n",
       "      <td>ZYXI</td>\n",
       "      <td>2023-01-10</td>\n",
       "      <td>15.59</td>\n",
       "      <td>17.240</td>\n",
       "      <td>15.575</td>\n",
       "      <td>16.54</td>\n",
       "      <td>503513.0</td>\n",
       "      <td>16.54</td>\n",
       "      <td>16.54</td>\n",
       "      <td>2023-01-10</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>ZYXI</td>\n",
       "      <td>2023-01-09</td>\n",
       "      <td>15.79</td>\n",
       "      <td>16.100</td>\n",
       "      <td>15.100</td>\n",
       "      <td>15.65</td>\n",
       "      <td>332975.0</td>\n",
       "      <td>15.65</td>\n",
       "      <td>15.65</td>\n",
       "      <td>2023-01-09</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>7</th>\n",
       "      <td>ZYXI</td>\n",
       "      <td>2023-01-06</td>\n",
       "      <td>14.55</td>\n",
       "      <td>17.250</td>\n",
       "      <td>14.530</td>\n",
       "      <td>15.65</td>\n",
       "      <td>1141885.0</td>\n",
       "      <td>15.65</td>\n",
       "      <td>15.65</td>\n",
       "      <td>2023-01-06</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>8</th>\n",
       "      <td>ZYXI</td>\n",
       "      <td>2023-01-05</td>\n",
       "      <td>14.15</td>\n",
       "      <td>14.260</td>\n",
       "      <td>13.960</td>\n",
       "      <td>14.14</td>\n",
       "      <td>122011.0</td>\n",
       "      <td>14.14</td>\n",
       "      <td>14.14</td>\n",
       "      <td>2023-01-05</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>9</th>\n",
       "      <td>ZYXI</td>\n",
       "      <td>2023-01-04</td>\n",
       "      <td>13.91</td>\n",
       "      <td>14.240</td>\n",
       "      <td>13.860</td>\n",
       "      <td>14.11</td>\n",
       "      <td>99747.0</td>\n",
       "      <td>14.11</td>\n",
       "      <td>14.11</td>\n",
       "      <td>2023-01-04</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "     ticker       date   open    high     low  close     volume  closeadj  \\\n",
       "None                                                                        \n",
       "0      ZYXI 2023-01-18  16.79  17.160  15.070  15.21   345529.0     15.21   \n",
       "1      ZYXI 2023-01-17  16.62  16.830  16.270  16.74   179496.0     16.74   \n",
       "2      ZYXI 2023-01-13  16.62  16.980  16.410  16.80   160222.0     16.80   \n",
       "3      ZYXI 2023-01-12  16.34  16.640  16.000  16.62   167070.0     16.62   \n",
       "4      ZYXI 2023-01-11  16.56  16.979  16.110  16.30   310493.0     16.30   \n",
       "5      ZYXI 2023-01-10  15.59  17.240  15.575  16.54   503513.0     16.54   \n",
       "6      ZYXI 2023-01-09  15.79  16.100  15.100  15.65   332975.0     15.65   \n",
       "7      ZYXI 2023-01-06  14.55  17.250  14.530  15.65  1141885.0     15.65   \n",
       "8      ZYXI 2023-01-05  14.15  14.260  13.960  14.14   122011.0     14.14   \n",
       "9      ZYXI 2023-01-04  13.91  14.240  13.860  14.11    99747.0     14.11   \n",
       "\n",
       "      closeunadj lastupdated  \n",
       "None                          \n",
       "0          15.21  2023-01-18  \n",
       "1          16.74  2023-01-17  \n",
       "2          16.80  2023-01-13  \n",
       "3          16.62  2023-01-12  \n",
       "4          16.30  2023-01-11  \n",
       "5          16.54  2023-01-10  \n",
       "6          15.65  2023-01-09  \n",
       "7          15.65  2023-01-06  \n",
       "8          14.14  2023-01-05  \n",
       "9          14.11  2023-01-04  "
      ]
     },
     "execution_count": 24,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# sep.volume.describe()\n",
    "sep.head(10)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 27,
   "metadata": {},
   "outputs": [],
   "source": [
    "sep['ddate']=pd.to_datetime(sep.date)\n",
    "sep['month']=sep.ddate.dt.month\n",
    "sep['year'] =sep.ddate.dt.year"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 28,
   "metadata": {},
   "outputs": [],
   "source": [
    "# Aggregate volume to monthly frequency\n",
    "sep_mthly = sep.groupby(['ticker','year','month']).volume.sum()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 29,
   "metadata": {},
   "outputs": [],
   "source": [
    "# Add monthly volume to insider order imbalance\n",
    "bs = bs.merge(sep_mthly,how='inner',left_index=True,right_index=True)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 30,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "count    666.000000\n",
       "mean       0.061457\n",
       "std        1.731623\n",
       "min       -8.138352\n",
       "25%       -0.005518\n",
       "50%       -0.000975\n",
       "75%       -0.000049\n",
       "max       42.383890\n",
       "Name: str, dtype: float64"
      ]
     },
     "execution_count": 30,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# Calculate insider trading strength\n",
    "bs['str'] = (bs.buys-bs.sells)/bs.volume\n",
    "bs.str.describe()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 38,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>ticker</th>\n",
       "      <th>year</th>\n",
       "      <th>month</th>\n",
       "      <th>buys</th>\n",
       "      <th>sells</th>\n",
       "      <th>oib</th>\n",
       "      <th>volume</th>\n",
       "      <th>str</th>\n",
       "      <th>str_rnk</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>140</th>\n",
       "      <td>CNFR</td>\n",
       "      <td>2023</td>\n",
       "      <td>1</td>\n",
       "      <td>0.0</td>\n",
       "      <td>200000.0</td>\n",
       "      <td>-1.00000</td>\n",
       "      <td>24575.0</td>\n",
       "      <td>-8.138352</td>\n",
       "      <td>1.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>347</th>\n",
       "      <td>KRNL</td>\n",
       "      <td>2023</td>\n",
       "      <td>1</td>\n",
       "      <td>0.0</td>\n",
       "      <td>7493750.0</td>\n",
       "      <td>-1.00000</td>\n",
       "      <td>1530568.0</td>\n",
       "      <td>-4.896058</td>\n",
       "      <td>2.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>390</th>\n",
       "      <td>MIXT</td>\n",
       "      <td>2023</td>\n",
       "      <td>1</td>\n",
       "      <td>0.0</td>\n",
       "      <td>1300000.0</td>\n",
       "      <td>-1.00000</td>\n",
       "      <td>411910.0</td>\n",
       "      <td>-3.156029</td>\n",
       "      <td>3.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>338</th>\n",
       "      <td>KFS</td>\n",
       "      <td>2023</td>\n",
       "      <td>1</td>\n",
       "      <td>877.0</td>\n",
       "      <td>714997.0</td>\n",
       "      <td>-0.99755</td>\n",
       "      <td>524810.0</td>\n",
       "      <td>-1.360721</td>\n",
       "      <td>4.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>368</th>\n",
       "      <td>LOV</td>\n",
       "      <td>2023</td>\n",
       "      <td>1</td>\n",
       "      <td>0.0</td>\n",
       "      <td>410501.0</td>\n",
       "      <td>-1.00000</td>\n",
       "      <td>402781.0</td>\n",
       "      <td>-1.019167</td>\n",
       "      <td>5.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>371</th>\n",
       "      <td>LSAK</td>\n",
       "      <td>2023</td>\n",
       "      <td>1</td>\n",
       "      <td>213438.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>1.00000</td>\n",
       "      <td>186130.0</td>\n",
       "      <td>1.146715</td>\n",
       "      <td>662.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>356</th>\n",
       "      <td>LABP</td>\n",
       "      <td>2023</td>\n",
       "      <td>1</td>\n",
       "      <td>30909090.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>1.00000</td>\n",
       "      <td>11029560.0</td>\n",
       "      <td>2.802386</td>\n",
       "      <td>663.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>609</th>\n",
       "      <td>TZOO</td>\n",
       "      <td>2023</td>\n",
       "      <td>1</td>\n",
       "      <td>6820000.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>1.00000</td>\n",
       "      <td>1433668.0</td>\n",
       "      <td>4.757029</td>\n",
       "      <td>664.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>81</th>\n",
       "      <td>BDSX</td>\n",
       "      <td>2023</td>\n",
       "      <td>1</td>\n",
       "      <td>10869565.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>1.00000</td>\n",
       "      <td>1419911.0</td>\n",
       "      <td>7.655103</td>\n",
       "      <td>665.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>132</th>\n",
       "      <td>CLRD</td>\n",
       "      <td>2023</td>\n",
       "      <td>1</td>\n",
       "      <td>1776436.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>1.00000</td>\n",
       "      <td>41913.0</td>\n",
       "      <td>42.383890</td>\n",
       "      <td>666.0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>666 rows × 9 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "    ticker  year  month        buys      sells      oib      volume  \\\n",
       "140   CNFR  2023      1         0.0   200000.0 -1.00000     24575.0   \n",
       "347   KRNL  2023      1         0.0  7493750.0 -1.00000   1530568.0   \n",
       "390   MIXT  2023      1         0.0  1300000.0 -1.00000    411910.0   \n",
       "338    KFS  2023      1       877.0   714997.0 -0.99755    524810.0   \n",
       "368    LOV  2023      1         0.0   410501.0 -1.00000    402781.0   \n",
       "..     ...   ...    ...         ...        ...      ...         ...   \n",
       "371   LSAK  2023      1    213438.0        0.0  1.00000    186130.0   \n",
       "356   LABP  2023      1  30909090.0        0.0  1.00000  11029560.0   \n",
       "609   TZOO  2023      1   6820000.0        0.0  1.00000   1433668.0   \n",
       "81    BDSX  2023      1  10869565.0        0.0  1.00000   1419911.0   \n",
       "132   CLRD  2023      1   1776436.0        0.0  1.00000     41913.0   \n",
       "\n",
       "           str  str_rnk  \n",
       "140  -8.138352      1.0  \n",
       "347  -4.896058      2.0  \n",
       "390  -3.156029      3.0  \n",
       "338  -1.360721      4.0  \n",
       "368  -1.019167      5.0  \n",
       "..         ...      ...  \n",
       "371   1.146715    662.0  \n",
       "356   2.802386    663.0  \n",
       "609   4.757029    664.0  \n",
       "81    7.655103    665.0  \n",
       "132  42.383890    666.0  \n",
       "\n",
       "[666 rows x 9 columns]"
      ]
     },
     "execution_count": 38,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "bs['str_rnk'] = bs.groupby(['year','month'])['str'].rank(method='average')\n",
    "bs.reset_index().sort_values(['year','month','str'])"
   ]
  }
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