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.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.legend()
plt.show()