def test_sortino_translation_same(self, returns, required_return,
translation):
sr = empyrical.sortino_ratio(returns, required_return)
sr_depressed = empyrical.sortino_ratio(returns - translation,
required_return - translation)
sr_raised = empyrical.sortino_ratio(returns + translation,
required_return + translation)
assert_almost_equal(sr, sr_depressed, DECIMAL_PLACES)
assert_almost_equal(sr, sr_raised, DECIMAL_PLACES)
def test_sortino_ratio(self, test_required_return):
res_a = empyrical.sortino_ratio(ret['a'], required_return=test_required_return)
res_b = empyrical.sortino_ratio(ret['b'], required_return=test_required_return)
res_c = empyrical.sortino_ratio(ret['c'], required_return=test_required_return)
assert isclose(ret['a'].vbt.returns.sortino_ratio(required_return=test_required_return), res_a)
pd.testing.assert_series_equal(
ret.vbt.returns.sortino_ratio(required_return=test_required_return),
pd.Series([res_a, res_b, res_c], index=ret.columns).rename('sortino_ratio')
)
def test_sortino_sub_noise(self, returns, required_return):
sr_1 = empyrical.sortino_ratio(returns, required_return)
downside_values = returns[returns < required_return].index.tolist()
# Replace some values below the required return to the required return
loss_loc = random.sample(downside_values, 2)
returns[loss_loc[0]] = required_return
sr_2 = empyrical.sortino_ratio(returns, required_return)
returns[loss_loc[1]] = required_return
sr_3 = empyrical.sortino_ratio(returns, required_return)
assert sr_1 <= sr_2
assert sr_2 <= sr_3
def test_sortino_add_noise(self, returns, required_return):
sr_1 = empyrical.sortino_ratio(returns, required_return)
upside_values = returns[returns > required_return].index.tolist()
# Add large losses at random upside locations
loss_loc = random.sample(upside_values, 2)
returns[loss_loc[0]] = -0.01
sr_2 = empyrical.sortino_ratio(returns, required_return)
returns[loss_loc[1]] = -0.01
sr_3 = empyrical.sortino_ratio(returns, required_return)
assert sr_1 > sr_2
assert sr_2 > sr_3
def test_sortino_translation_diff(self, returns, required_return,
translation_returns,
translation_required):
sr = empyrical.sortino_ratio(returns, required_return)
sr_depressed = empyrical.sortino_ratio(
returns - translation_returns,
required_return - translation_required)
sr_raised = empyrical.sortino_ratio(
returns + translation_returns,
required_return + translation_required)
assert sr != sr_depressed
assert sr != sr_raised
def evaluation(self):
ap.sound(f'entry: create_df')
mdd = empyrical.max_drawdown(self.df.eac_stgy_rt)
stgy_ret_an = empyrical.annual_return(self.df.eac_stgy_rt, annualization=self.cls.annualization)
bcmk_ret_an = empyrical.annual_return(self.df.eac_bcmk_rt, annualization=self.cls.annualization)
stgy_vlt_an = empyrical.annual_volatility(self.df.eac_stgy_rt, annualization=self.cls.annualization)
bcmk_vlt_an = empyrical.annual_volatility(self.df.eac_bcmk_rt, annualization=self.cls.annualization)
calmar = empyrical.calmar_ratio(self.df.eac_stgy_rt, annualization=self.cls.annualization)
omega = empyrical.omega_ratio(self.df.eac_stgy_rt, risk_free=self.cls.rf, annualization=self.cls.annualization)
sharpe = qp.sharpe_ratio(stgy_ret_an, self.df.cum_stgy_rt, self.cls.rf)
sortino = empyrical.sortino_ratio(self.df.eac_stgy_rt, annualization=self.cls.annualization)
dsrk = empyrical.downside_risk(self.df.eac_stgy_rt, annualization=self.cls.annualization)
information = empyrical.information_ratio(self.df.eac_stgy_rt, factor_returns=self.df.eac_bcmk_rt)
beta = empyrical.beta(self.df.eac_stgy_rt, factor_returns=self.df.eac_bcmk_rt, risk_free=self.cls.rf)
tail_rt = empyrical.tail_ratio(self.df.eac_stgy_rt)
alpha = qp.alpha_ratio(stgy_ret_an, bcmk_ret_an, self.cls.rf, beta)
stgy_ttrt_rt = (self.cls.yd.ttas[-1] - self.cls.yd.ttas[0]) / self.cls.yd.ttas[0]
bcmk_ttrt_rt = (self.cls.pc.close[-1] - self.cls.pc.close[0]) / self.cls.pc.close[0]
car_rt = stgy_ttrt_rt - bcmk_ttrt_rt
car_rt_an = stgy_ret_an - bcmk_ret_an
self.cls.df_output = pd.DataFrame(
{'sgty_ttrt_rt': [stgy_ttrt_rt], 'bcmk_ttrt_rt': [bcmk_ttrt_rt], 'car_rt': [car_rt],
'stgy_ret_an': [stgy_ret_an], 'bcmk_ret_an': [bcmk_ret_an], 'car_rt_an': [car_rt_an],
'stgy_vlt_an': [stgy_vlt_an], 'bcmk_vlt_an': [bcmk_vlt_an], 'mdd': [mdd],
'sharpe': [sharpe], 'alpha': [alpha], 'beta': [beta], 'information': [information],
'tail_rt': [tail_rt], 'calmar': [calmar], 'omega': [omega], 'sortino': [sortino], 'dsrk': [dsrk]})
print(f'feedback: \n{self.cls.df_output.T}')
def step_act(self, action):
if action == 1:
self.buy(size=.1)
for i in self.trades:
if i.is_short:
i.close()
elif action == 2:
self.sell(size=.1)
for i in self.trades:
if i.is_long:
i.close()
self.account_history.append(self.equity)
length = min(self.step, self.reward_length)
ret = np.diff(self.account_history)[-length:]
r = sortino_ratio(ret)
if abs(r) != np.inf and not np.isnan(r):
reward = r
else:
reward = 0
if self.step > 5:
if self.last_action[-1] == self.last_action[-2] and reward < 0:
reward -= 5
done = False
if reward > 10:
done = True
c = self.data.index[-1]
new_state = get_state(c + 1)
return new_state, reward, done
def calculate_metrics(self):
self.benchmark_period_returns = \
cum_returns(self.benchmark_returns).iloc[-1]
self.algorithm_period_returns = \
cum_returns(self.algorithm_returns).iloc[-1]
if not self.algorithm_returns.index.equals(
self.benchmark_returns.index):
message = "Mismatch between benchmark_returns ({bm_count}) and \
algorithm_returns ({algo_count}) in range {start} : {end}"
message = message.format(bm_count=len(self.benchmark_returns),
algo_count=len(self.algorithm_returns),
start=self._start_session,
end=self._end_session)
raise Exception(message)
self.num_trading_days = len(self.benchmark_returns)
self.mean_algorithm_returns = (
self.algorithm_returns.cumsum() /
np.arange(1, self.num_trading_days + 1, dtype=np.float64))
self.benchmark_volatility = annual_volatility(self.benchmark_returns)
self.algorithm_volatility = annual_volatility(self.algorithm_returns)
self.treasury_period_return = choose_treasury(
self.treasury_curves,
self._start_session,
self._end_session,
self.trading_calendar,
)
self.sharpe = sharpe_ratio(self.algorithm_returns, )
# The consumer currently expects a 0.0 value for sharpe in period,
# this differs from cumulative which was np.nan.
# When factoring out the sharpe_ratio, the different return types
# were collapsed into `np.nan`.
# TODO: Either fix consumer to accept `np.nan` or make the
# `sharpe_ratio` return type configurable.
# In the meantime, convert nan values to 0.0
if pd.isnull(self.sharpe):
self.sharpe = 0.0
self.downside_risk = downside_risk(self.algorithm_returns.values)
self.sortino = sortino_ratio(
self.algorithm_returns.values,
_downside_risk=self.downside_risk,
)
self.information = information_ratio(
self.algorithm_returns.values,
self.benchmark_returns.values,
)
self.alpha, self.beta = alpha_beta_aligned(
self.algorithm_returns.values,
self.benchmark_returns.values,
)
self.excess_return = self.algorithm_period_returns - \
self.treasury_period_return
self.max_drawdown = max_drawdown(self.algorithm_returns.values)
self.max_leverage = self.calculate_max_leverage()
def sortino_ratio(returns, required_return=0, period=DAILY):
"""
Determines the Sortino ratio of a strategy.
Parameters
----------
returns : pd.Series or pd.DataFrame
Daily returns of the strategy, noncumulative.
- See full explanation in :func:`~pyfolio.timeseries.cum_returns`.
required_return: float / series
minimum acceptable return
period : str, optional
Defines the periodicity of the 'returns' data for purposes of
annualizing. Can be 'monthly', 'weekly', or 'daily'.
- Defaults to 'daily'.
Returns
-------
depends on input type
series ==> float
DataFrame ==> np.array
Annualized Sortino ratio.
"""
return ep.sortino_ratio(returns, required_return=required_return)
def getSortinoRatio(returns,
required_return=0,
period='daily',
annualization=None,
_downside_risk=None):
return empyrical.sortino_ratio(returns, required_return, period,
annualization, _downside_risk)
def get_perf_att(series, bnchmark, rf=0.03 / 12, freq='monthly'):
"""F: that provides performance statistic of the returns
params
-------
series: daily or monthly returns
returns:
dataframe of Strategy name and statistics"""
port_mean, port_std, port_sr = (get_stats(series, dtime=freq))
perf = pd.Series(
{
'Annualized_Mean':
'{:,.2f}'.format(round(port_mean, 3)),
'Annualized_Volatility':
round(port_std, 3),
'Sharpe Ratio':
round(port_sr, 3),
'Calmar Ratio':
round(empyrical.calmar_ratio(series, period=freq), 3),
'Alpha':
round(empyrical.alpha(series, bnchmark, risk_free=rf, period=freq),
3),
'Beta':
round(empyrical.beta(series, bnchmark), 3),
'Max Drawdown':
'{:,.2%}'.format(drawdown(series, ret_='nottext')),
'Sortino Ratio':
round(
empyrical.sortino_ratio(
series, required_return=rf, period=freq), 3),
}, )
perf.name = series.name
return perf.to_frame()
def small_metrics():
return {
Returns(),
ReturnsStatistic(
lambda returns: empyrical.sortino_ratio(returns, period='monthly'),
'sortino monthly'),
}
def _get_reward(self) -> float:
"""
This method computes the reward from each action, by looking at the annualized
ratio, provided in the reward_function
:return: annualized value of the selected reward ratio
"""
lookback = min(self.current_step, self._returns_lookback)
returns = np.diff(self.portfolio[-lookback:])
if np.count_nonzero(returns) < 1:
return 0
if np.count_nonzero(returns) < 1:
return 0
if self._reward_function == 'sortino':
reward = sortino_ratio(returns, annualization=365 * 24)
elif self._reward_function == 'calmar':
reward = calmar_ratio(returns, annualization=365 * 24)
elif self._reward_function == 'omega':
reward = omega_ratio(returns, annualization=365 * 24)
else:
reward = returns[-1]
return reward if np.isfinite(reward) else 0
def sortino_ratio(returns, required_return=0, period=DAILY):
"""
Determines the Sortino ratio of a strategy.
Parameters
----------
returns : pd.Series or pd.DataFrame
Daily returns of the strategy, noncumulative.
- See full explanation in :func:`~pyfolio.timeseries.cum_returns`.
required_return: float / series
minimum acceptable return
period : str, optional
Defines the periodicity of the 'returns' data for purposes of
annualizing. Can be 'monthly', 'weekly', or 'daily'.
- Defaults to 'daily'.
Returns
-------
depends on input type
series ==> float
DataFrame ==> np.array
Annualized Sortino ratio.
"""
return empyrical.sortino_ratio(returns, required_return=required_return)
def get_sortino_ratio(self, data):
data = copy.deepcopy(data)
sortino_ratio = empyrical.sortino_ratio(data.rets.dropna(),
required_return=self.rft_ret /
self.q,
period='weekly')
return sortino_ratio
def get_performance_summary(returns):
stats = {'annualized_returns': ep.annual_return(returns),
'cumulative_returns': ep.cum_returns_final(returns),
'annual_volatility': ep.annual_volatility(returns),
'sharpe_ratio': ep.sharpe_ratio(returns),
'sortino_ratio': ep.sortino_ratio(returns),
'max_drawdown': ep.max_drawdown(returns)}
return pd.Series(stats)
def test_sortino(self, returns, required_return, period, expected):
sortino_ratio = empyrical.sortino_ratio(
returns, required_return=required_return, period=period)
if isinstance(sortino_ratio, float):
assert_almost_equal(sortino_ratio, expected, DECIMAL_PLACES)
else:
for i in range(sortino_ratio.size):
assert_almost_equal(sortino_ratio[i], expected[i],
DECIMAL_PLACES)
def plot(self):
# show a plot of portfolio vs mean market performance
df_info = pd.DataFrame(self.infos)
df_info.set_index('current step', inplace=True)
# df_info.set_index('date', inplace=True)
rn = np.asarray(df_info['portfolio return'])
try:
spf = df_info['portfolio value'].iloc[1] # Start portfolio value
epf = df_info['portfolio value'].iloc[-1] # End portfolio value
pr = (epf - spf) / spf
except:
pr = 0
try:
sr = sharpe_ratio(rn)
except:
sr = 0
try:
sor = sortino_ratio(rn)
except:
sor = 0
try:
mdd = max_drawdown(rn)
except:
mdd = 0
try:
cr = calmar_ratio(rn)
except:
cr = 0
try:
om = omega_ratio(rn)
except:
om = 0
try:
dr = downside_risk(rn)
except:
dr = 0
print("First portfolio value: ",
np.round(df_info['portfolio value'].iloc[1]))
print("Last portfolio value: ",
np.round(df_info['portfolio value'].iloc[-1]))
title = self.strategy_name + ': ' + 'profit={: 2.2%} sharpe={: 2.2f} sortino={: 2.2f} max drawdown={: 2.2%} calmar={: 2.2f} omega={: 2.2f} downside risk={: 2.2f}'.format(
pr, sr, sor, mdd, cr, om, dr)
# df_info[['market value', 'portfolio value']].plot(title=title, fig=plt.gcf(), figsize=(15,10), rot=30)
df_info[['portfolio value']].plot(title=title,
fig=plt.gcf(),
figsize=(15, 10),
rot=30)
def _get_reward(self, current_prices, next_prices):
if self.compute_reward == compute_reward.profit:
returns_rate = next_prices / current_prices
# pip_value = self._calculate_pip_value_in_account_currency(account_currency.USD, next_prices)
# returns_rate = np.multiply(returns_rate, pip_value)
log_returns = np.log(returns_rate)
last_weight = self.current_weights
securities_value = self.current_portfolio_values[:-1] * returns_rate
self.current_portfolio_values[:-1] = securities_value
self.current_weights = self.current_portfolio_values / np.sum(
self.current_portfolio_values)
reward = last_weight[:-1] * log_returns
elif self.compute_reward == compute_reward.sharpe:
try:
sr = sharpe_ratio(np.asarray(self.returns))
except:
sr = 0
reward = sr
elif self.compute_reward == compute_reward.sortino:
try:
sr = sortino_ratio(np.asarray(self.returns))
except:
sr = 0
reward = sr
elif self.compute_reward == compute_reward.max_drawdown:
try:
mdd = max_drawdown(np.asarray(self.returns))
except:
mdd = 0
reward = mdd
elif self.compute_reward == compute_reward.calmar:
try:
cr = calmar_ratio(np.asarray(self.returns))
except:
cr = 0
reward = cr
elif self.compute_reward == compute_reward.omega:
try:
om = omega_ratio(np.asarray(self.returns))
except:
om = 0
reward = om
elif self.compute_reward == compute_reward.downside_risk:
try:
dr = downside_risk(np.asarray(self.returns))
except:
dr = 0
reward = dr
try:
reward = reward.mean()
except:
reward = reward
return reward
def RiskRewardStats(df):
global RiskRewardList
RiskRewardIndex = ['Sharpe Ratio','Sortino Ratio','Omega Ratio','Skewness','Kurtosis',
'Correlation vs MSCI World TR Index','Correlation vs Bloomberg Index']
OmegaRatio = omega_ratio(df['Monthly Return'])
Kurtosis = df['Monthly Return'].kurt()
Skewness = df['Monthly Return'].skew()
SharpeRatio = sharpe_ratio(df['Monthly Return'],period='monthly')
SortinoRatio = sortino_ratio(df['Monthly Return'],period='monthly')
RiskRewardList = [SharpeRatio,SortinoRatio,OmegaRatio,Skewness,Kurtosis,MSCIIndex,BloombergIndex]
RiskRewardDf = pd.DataFrame(RiskRewardList,columns=['Value'],index=RiskRewardIndex)
return RiskRewardDf
def sortino_ratio_calc(self, net_worths):
#Sortino Ratio
if net_worths:
length = len(net_worths)
if length < 100:
returns = np.diff(net_worths)[-length:]
else:
returns = np.diff(net_worths)[-100:]
s_r = sortino_ratio(returns = returns)
return s_r
else:
return 0
def _reward(self):
length = min(self.current_step, self.reward_len)
returns = np.diff(self.net_worths)[-length:]
if self.reward_func == 'sortino':
reward = sortino_ratio(returns)
elif self.reward_func == 'calmar':
reward = calmar_ratio(returns)
elif self.reward_func == 'omega':
reward = omega_ratio(returns)
else
reward = np.mean(returns)
return reward if abs(reward) != inf and not np.isnan(reward) else 0
def get_perf_att(series, bnchmark, rf=0.03 / 12, freq='monthly'):
"""F: that provides performance statistic of the returns
params
-------
series: daily or monthly returns
returns:
dataframe of Strategy name and statistics"""
port_mean, port_std, port_sr = (get_stats(series, dtime=freq))
regs = sm.OLS(series, sm.add_constant(bnchmark)).fit()
alpha, beta = regs.params
t_alpha, t_beta = regs.tvalues
perf = pd.Series(
{
'Annualized_Mean':
'{:,.5f}'.format(round(port_mean, 5)),
'Annualized_Volatility':
round(port_std, 5),
'Sharpe Ratio':
round(port_sr, 3),
'Calmar Ratio':
round(empyrical.calmar_ratio(series, period=freq), 3),
# 'Alpha' : round(empyrical.alpha(series,
# bnchmark,
# risk_free = rf,
# period = freq),
'Alpha':
round(alpha, 3),
# 'Beta': round(empyrical.beta(series,
# bnchmark),
'Beta':
round(beta, 3),
'T Value (Alpha)':
round(t_alpha, 3),
'T Value (Beta)':
round(t_beta, 3),
'Max Drawdown':
'{:,.2%}'.format(drawdown(series, ret_='nottext')),
'Sortino Ratio':
round(
empyrical.sortino_ratio(
series, required_return=rf, period=freq), 3),
}, )
perf.name = series.name
return perf.to_frame()
def _reward(self):
length = min(self.current_step, self.forecast_len)
returns = np.diff(self.net_worths[-length:])
if np.count_nonzero(returns) < 1:
return 0
if self.reward_func == 'sortino':
reward = sortino_ratio(returns, annualization=365 * 24)
elif self.reward_func == 'calmar':
reward = calmar_ratio(returns, annualization=365 * 24)
elif self.reward_func == 'omega':
reward = omega_ratio(returns, annualization=365 * 24)
else:
reward = returns[-1]
return reward if np.isfinite(reward) else 0
def _reward(self):
length = min(self.current_step, self.window_size)
returns = np.diff(self.net_worths[-length:])
if np.count_nonzero(returns) < 1:
return 0
if self.reward_func == 'sortino':
reward = sortino_ratio(returns, annualization=self.annualization)
elif self.reward_func == 'calmar':
reward = calmar_ratio(returns, annualization=self.annualization)
elif self.reward_func == 'omega':
reward = omega_ratio(returns, annualization=self.annualization)
elif self.reward_func == "logret":
reward = np.log(returns[-1])
else:
reward = returns[-1]
return reward if np.isfinite(reward) else 0
def sortino_ratio(daily_returns,
required_return=0,
period='daily',
annualization=None,
out=None,
_downside_risk=None):
"""Sortino Ratio"""
try:
logger.info("Calculating Sortino Ratio...")
sr_data = empyrical.sortino_ratio(daily_returns,
required_return,
period=period,
annualization=annualization,
out=out,
_downside_risk=_downside_risk)
return sr_data
except Exception as exception:
logger.error('Oops! An Error Occurred ⚠️')
raise exception
def _reward(self):
# print("current step: " +str(self.current_step))
returns = np.diff(self.net_worths)
if np.count_nonzero(returns) < 1:
return 0
if self.reward_func == 'sortino':
reward = sortino_ratio(returns, annualization=self.annualization)
else:
reward = returns[-1]
# # Add decay incentive against
# # stat hold position
# hold_decay = 0
# margin_dist = 0
# if self.consec_steps > 60:
# hold_decay = self.consec_steps * self.decay
# # print("hold_decay: " +str(hold_decay))
# # print(hold_decay)
# # else:
# # hold_decay = self.consec_steps * self.decay
# # hold_decay = 0
# # margin_dist = -(self.margin_ratio - self.maint_margin_ratio)
# # print("margin_frac: " +str(margin_dist))
# # print(margin_frac)
# # print("-" *90)
# # print("equity before: " +str(equity))
# # equity = equity - (margin_frac+hold_decay)
# # print("equity after: " +str(equity))
# reward = reward - (hold_decay + margin_dist)
return reward if np.isfinite(reward) else 0
def plot_function(epoch_weights):
ew = np.concatenate(epoch_weights).reshape(-1, No_Channels)
comm = np.sum(np.abs(ew[1:] - ew[:-1]), axis=1)
ret = np.sum(np.multiply(ew, y_test.numpy()), axis=1)[1:]
ind = pd.date_range("20180101", periods=len(ret), freq='H')
ret = pd.DataFrame(ret - comm * cost, index = ind)
exp = np.exp(ret.resample('1D').sum()) - 1.0
ggg = 'Drawdown:', emp.max_drawdown(exp).values[0], 'Sharpe:', emp.sharpe_ratio(exp)[0], \
'Sortino:', emp.sortino_ratio(exp).values[0], 'Stability:', emp.stability_of_timeseries(exp), \
'Tail:', emp.tail_ratio(exp), 'ValAtRisk:', emp.value_at_risk(exp)
ttt = ' '.join(str(x) for x in ggg)
print(ttt)
plt.figure()
np.exp(ret).cumprod().plot(figsize=(48, 12), title=ttt)
plt.savefig('cumulative_return')
plt.close()
ret = ret.resample('1W').sum()
plt.figure(figsize=(48, 12))
pal = sns.color_palette("Greens_d", len(ret))
rank = ret.iloc[:,0].argsort()
ax = sns.barplot(x=ret.index.strftime('%d-%m'), y=ret.values.reshape(-1), palette=np.array(pal[::-1])[rank])
ax.text(0.5, 1.0, ttt, horizontalalignment='center', verticalalignment='top', transform=ax.transAxes)
plt.savefig('weekly_returns')
plt.close()
ew_df = pd.DataFrame(ew)
plt.figure(figsize=(48, 12))
ax = sns.heatmap(ew_df.T, cmap=cmap, center=0, xticklabels=False, robust=True)
ax.text(0.5, 1.0, ttt, horizontalalignment='center', verticalalignment='top', transform=ax.transAxes)
plt.savefig('portfolio_weights')
plt.close()
tr = np.diff(ew.T, axis=1)
plt.figure(figsize=(96, 12))
ax = sns.heatmap(tr, cmap=cmap, center=0, robust=True, yticklabels=False, xticklabels=False)
ax.text(0.5, 1.0, ttt, horizontalalignment='center', verticalalignment='top', transform=ax.transAxes)
plt.savefig('transactions')
plt.close()
def get_performance_summary(returns):
'''
Calculate selected performance evaluation metrics using provided returns.
Parameters
------------
returns : pd.Series
Series of returns we want to evaluate
Returns
-----------
stats : pd.Series
The calculated performance metrics
'''
stats = {
'annualized_returns': ep.annual_return(returns),
'cumulative_returns': ep.cum_returns_final(returns),
'annual_volatility': ep.annual_volatility(returns),
'sharpe_ratio': ep.sharpe_ratio(returns),
'sortino_ratio': ep.sortino_ratio(returns),
'max_drawdown': ep.max_drawdown(returns)
}
return pd.Series(stats)
def calculate_metrics(self):
self.benchmark_period_returns = \
cum_returns(self.benchmark_returns).iloc[-1]
self.algorithm_period_returns = \
cum_returns(self.algorithm_returns).iloc[-1]
if not self.algorithm_returns.index.equals(
self.benchmark_returns.index
):
message = "Mismatch between benchmark_returns ({bm_count}) and \
algorithm_returns ({algo_count}) in range {start} : {end}"
message = message.format(
bm_count=len(self.benchmark_returns),
algo_count=len(self.algorithm_returns),
start=self._start_session,
end=self._end_session
)
raise Exception(message)
self.num_trading_days = len(self.benchmark_returns)
self.mean_algorithm_returns = (
self.algorithm_returns.cumsum() /
np.arange(1, self.num_trading_days + 1, dtype=np.float64)
)
self.benchmark_volatility = annual_volatility(self.benchmark_returns)
self.algorithm_volatility = annual_volatility(self.algorithm_returns)
self.treasury_period_return = choose_treasury(
self.treasury_curves,
self._start_session,
self._end_session,
self.trading_calendar,
)
self.sharpe = sharpe_ratio(
self.algorithm_returns,
)
# The consumer currently expects a 0.0 value for sharpe in period,
# this differs from cumulative which was np.nan.
# When factoring out the sharpe_ratio, the different return types
# were collapsed into `np.nan`.
# TODO: Either fix consumer to accept `np.nan` or make the
# `sharpe_ratio` return type configurable.
# In the meantime, convert nan values to 0.0
if pd.isnull(self.sharpe):
self.sharpe = 0.0
self.downside_risk = downside_risk(
self.algorithm_returns.values
)
self.sortino = sortino_ratio(
self.algorithm_returns.values,
_downside_risk=self.downside_risk,
)
self.information = information_ratio(
self.algorithm_returns.values,
self.benchmark_returns.values,
)
self.alpha, self.beta = alpha_beta_aligned(
self.algorithm_returns.values,
self.benchmark_returns.values,
)
self.excess_return = self.algorithm_period_returns - \
self.treasury_period_return
self.max_drawdown = max_drawdown(self.algorithm_returns.values)
self.max_leverage = self.calculate_max_leverage()
def update(self, dt, algorithm_returns, benchmark_returns, leverage):
# Keep track of latest dt for use in to_dict and other methods
# that report current state.
self.latest_dt = dt
dt_loc = self.cont_index.get_loc(dt)
self.latest_dt_loc = dt_loc
self.algorithm_returns_cont[dt_loc] = algorithm_returns
self.algorithm_returns = self.algorithm_returns_cont[:dt_loc + 1]
self.num_trading_days = len(self.algorithm_returns)
if self.create_first_day_stats:
if len(self.algorithm_returns) == 1:
self.algorithm_returns = np.append(0.0, self.algorithm_returns)
self.algorithm_cumulative_returns[dt_loc] = cum_returns(
self.algorithm_returns)[-1]
algo_cumulative_returns_to_date = \
self.algorithm_cumulative_returns[:dt_loc + 1]
self.mean_returns_cont[dt_loc] = \
algo_cumulative_returns_to_date[dt_loc] / self.num_trading_days
self.mean_returns = self.mean_returns_cont[:dt_loc + 1]
self.annualized_mean_returns_cont[dt_loc] = \
self.mean_returns_cont[dt_loc] * 252
self.annualized_mean_returns = \
self.annualized_mean_returns_cont[:dt_loc + 1]
if self.create_first_day_stats:
if len(self.mean_returns) == 1:
self.mean_returns = np.append(0.0, self.mean_returns)
self.annualized_mean_returns = np.append(
0.0, self.annualized_mean_returns)
self.benchmark_returns_cont[dt_loc] = benchmark_returns
self.benchmark_returns = self.benchmark_returns_cont[:dt_loc + 1]
if self.create_first_day_stats:
if len(self.benchmark_returns) == 1:
self.benchmark_returns = np.append(0.0, self.benchmark_returns)
self.benchmark_cumulative_returns[dt_loc] = cum_returns(
self.benchmark_returns)[-1]
benchmark_cumulative_returns_to_date = \
self.benchmark_cumulative_returns[:dt_loc + 1]
self.mean_benchmark_returns_cont[dt_loc] = \
benchmark_cumulative_returns_to_date[dt_loc] / \
self.num_trading_days
self.mean_benchmark_returns = self.mean_benchmark_returns_cont[:dt_loc]
self.annualized_mean_benchmark_returns_cont[dt_loc] = \
self.mean_benchmark_returns_cont[dt_loc] * 252
self.annualized_mean_benchmark_returns = \
self.annualized_mean_benchmark_returns_cont[:dt_loc + 1]
self.algorithm_cumulative_leverages_cont[dt_loc] = leverage
self.algorithm_cumulative_leverages = \
self.algorithm_cumulative_leverages_cont[:dt_loc + 1]
if self.create_first_day_stats:
if len(self.algorithm_cumulative_leverages) == 1:
self.algorithm_cumulative_leverages = np.append(
0.0, self.algorithm_cumulative_leverages)
if not len(self.algorithm_returns) and len(self.benchmark_returns):
message = "Mismatch between benchmark_returns ({bm_count}) and \
algorithm_returns ({algo_count}) in range {start} : {end} on {dt}"
message = message.format(bm_count=len(self.benchmark_returns),
algo_count=len(self.algorithm_returns),
start=self.start_session,
end=self.end_session,
dt=dt)
raise Exception(message)
self.update_current_max()
self.benchmark_volatility[dt_loc] = annual_volatility(
self.benchmark_returns)
self.algorithm_volatility[dt_loc] = annual_volatility(
self.algorithm_returns)
# caching the treasury rates for the minutely case is a
# big speedup, because it avoids searching the treasury
# curves on every minute.
# In both minutely and daily, the daily curve is always used.
treasury_end = dt.replace(hour=0, minute=0)
if np.isnan(self.daily_treasury[treasury_end]):
treasury_period_return = choose_treasury(
self.treasury_curves,
self.start_session,
treasury_end,
self.trading_calendar,
)
self.daily_treasury[treasury_end] = treasury_period_return
self.treasury_period_return = self.daily_treasury[treasury_end]
self.excess_returns[dt_loc] = (
self.algorithm_cumulative_returns[dt_loc] -
self.treasury_period_return)
self.alpha[dt_loc], self.beta[dt_loc] = alpha_beta_aligned(
self.algorithm_returns,
self.benchmark_returns,
)
self.sharpe[dt_loc] = sharpe_ratio(self.algorithm_returns, )
self.downside_risk[dt_loc] = downside_risk(self.algorithm_returns)
self.sortino[dt_loc] = sortino_ratio(
self.algorithm_returns, _downside_risk=self.downside_risk[dt_loc])
self.max_drawdown = max_drawdown(self.algorithm_returns)
self.max_drawdowns[dt_loc] = self.max_drawdown
self.max_leverage = self.calculate_max_leverage()
self.max_leverages[dt_loc] = self.max_leverage
import pandas as pd
import empyrical as emp
df = pd.read_csv('ac-worth-from-2017/002138.csv')
df['daily_return'] = df['worth'].pct_change()
days = df['date'].count()
return_days = days / 3.347
risk_free = 0.03 / return_days
annual_return = emp.annual_return(df['daily_return'],
annualization=return_days)
max_drawdown = emp.max_drawdown(df['daily_return'])
sharpe_ratio = emp.sharpe_ratio(df['daily_return'],
risk_free,
annualization=return_days)
sortino_ratio = emp.sortino_ratio(df['daily_return'],
risk_free,
annualization=return_days)
omega_ratio = emp.omega_ratio(df['daily_return'],
risk_free,
annualization=return_days)
print(annual_return, max_drawdown, sharpe_ratio, sortino_ratio, omega_ratio)
def risk_metric_period(cls,
start_session,
end_session,
algorithm_returns,
benchmark_returns,
algorithm_leverages):
"""
Creates a dictionary representing the state of the risk report.
Parameters
----------
start_session : pd.Timestamp
Start of period (inclusive) to produce metrics on
end_session : pd.Timestamp
End of period (inclusive) to produce metrics on
algorithm_returns : pd.Series(pd.Timestamp -> float)
Series of algorithm returns as of the end of each session
benchmark_returns : pd.Series(pd.Timestamp -> float)
Series of benchmark returns as of the end of each session
algorithm_leverages : pd.Series(pd.Timestamp -> float)
Series of algorithm leverages as of the end of each session
Returns
-------
risk_metric : dict[str, any]
Dict of metrics that with fields like:
{
'algorithm_period_return': 0.0,
'benchmark_period_return': 0.0,
'treasury_period_return': 0,
'excess_return': 0.0,
'alpha': 0.0,
'beta': 0.0,
'sharpe': 0.0,
'sortino': 0.0,
'period_label': '1970-01',
'trading_days': 0,
'algo_volatility': 0.0,
'benchmark_volatility': 0.0,
'max_drawdown': 0.0,
'max_leverage': 0.0,
}
"""
algorithm_returns = algorithm_returns[
(algorithm_returns.index >= start_session) &
(algorithm_returns.index <= end_session)
]
# Benchmark needs to be masked to the same dates as the algo returns
benchmark_returns = benchmark_returns[
(benchmark_returns.index >= start_session) &
(benchmark_returns.index <= algorithm_returns.index[-1])
]
benchmark_period_returns = ep.cum_returns(benchmark_returns).iloc[-1]
algorithm_period_returns = ep.cum_returns(algorithm_returns).iloc[-1]
alpha, beta = ep.alpha_beta_aligned(
algorithm_returns.values,
benchmark_returns.values,
)
sharpe = ep.sharpe_ratio(algorithm_returns)
# The consumer currently expects a 0.0 value for sharpe in period,
# this differs from cumulative which was np.nan.
# When factoring out the sharpe_ratio, the different return types
# were collapsed into `np.nan`.
# TODO: Either fix consumer to accept `np.nan` or make the
# `sharpe_ratio` return type configurable.
# In the meantime, convert nan values to 0.0
if pd.isnull(sharpe):
sharpe = 0.0
sortino = ep.sortino_ratio(
algorithm_returns.values,
_downside_risk=ep.downside_risk(algorithm_returns.values),
)
rval = {
'algorithm_period_return': algorithm_period_returns,
'benchmark_period_return': benchmark_period_returns,
'treasury_period_return': 0,
'excess_return': algorithm_period_returns,
'alpha': alpha,
'beta': beta,
'sharpe': sharpe,
'sortino': sortino,
'period_label': end_session.strftime("%Y-%m"),
'trading_days': len(benchmark_returns),
'algo_volatility': ep.annual_volatility(algorithm_returns),
'benchmark_volatility': ep.annual_volatility(benchmark_returns),
'max_drawdown': ep.max_drawdown(algorithm_returns.values),
'max_leverage': algorithm_leverages.max(),
}
# check if a field in rval is nan or inf, and replace it with None
# except period_label which is always a str
return {
k: (
None
if k != 'period_label' and not np.isfinite(v) else
v
)
for k, v in iteritems(rval)
}
def update(self, dt, algorithm_returns, benchmark_returns, leverage):
# Keep track of latest dt for use in to_dict and other methods
# that report current state.
self.latest_dt = dt
dt_loc = self.cont_index.get_loc(dt)
self.latest_dt_loc = dt_loc
self.algorithm_returns_cont[dt_loc] = algorithm_returns
self.algorithm_returns = self.algorithm_returns_cont[:dt_loc + 1]
self.num_trading_days = len(self.algorithm_returns)
if self.create_first_day_stats:
if len(self.algorithm_returns) == 1:
self.algorithm_returns = np.append(0.0, self.algorithm_returns)
self.algorithm_cumulative_returns[dt_loc] = cum_returns(
self.algorithm_returns
)[-1]
algo_cumulative_returns_to_date = \
self.algorithm_cumulative_returns[:dt_loc + 1]
self.mean_returns_cont[dt_loc] = \
algo_cumulative_returns_to_date[dt_loc] / self.num_trading_days
self.mean_returns = self.mean_returns_cont[:dt_loc + 1]
self.annualized_mean_returns_cont[dt_loc] = \
self.mean_returns_cont[dt_loc] * 252
self.annualized_mean_returns = \
self.annualized_mean_returns_cont[:dt_loc + 1]
if self.create_first_day_stats:
if len(self.mean_returns) == 1:
self.mean_returns = np.append(0.0, self.mean_returns)
self.annualized_mean_returns = np.append(
0.0, self.annualized_mean_returns)
self.benchmark_returns_cont[dt_loc] = benchmark_returns
self.benchmark_returns = self.benchmark_returns_cont[:dt_loc + 1]
if self.create_first_day_stats:
if len(self.benchmark_returns) == 1:
self.benchmark_returns = np.append(0.0, self.benchmark_returns)
self.benchmark_cumulative_returns[dt_loc] = cum_returns(
self.benchmark_returns
)[-1]
benchmark_cumulative_returns_to_date = \
self.benchmark_cumulative_returns[:dt_loc + 1]
self.mean_benchmark_returns_cont[dt_loc] = \
benchmark_cumulative_returns_to_date[dt_loc] / \
self.num_trading_days
self.mean_benchmark_returns = self.mean_benchmark_returns_cont[:dt_loc]
self.annualized_mean_benchmark_returns_cont[dt_loc] = \
self.mean_benchmark_returns_cont[dt_loc] * 252
self.annualized_mean_benchmark_returns = \
self.annualized_mean_benchmark_returns_cont[:dt_loc + 1]
self.algorithm_cumulative_leverages_cont[dt_loc] = leverage
self.algorithm_cumulative_leverages = \
self.algorithm_cumulative_leverages_cont[:dt_loc + 1]
if self.create_first_day_stats:
if len(self.algorithm_cumulative_leverages) == 1:
self.algorithm_cumulative_leverages = np.append(
0.0,
self.algorithm_cumulative_leverages)
if not len(self.algorithm_returns) and len(self.benchmark_returns):
message = "Mismatch between benchmark_returns ({bm_count}) and \
algorithm_returns ({algo_count}) in range {start} : {end} on {dt}"
message = message.format(
bm_count=len(self.benchmark_returns),
algo_count=len(self.algorithm_returns),
start=self.start_session,
end=self.end_session,
dt=dt
)
raise Exception(message)
self.update_current_max()
self.benchmark_volatility[dt_loc] = annual_volatility(
self.benchmark_returns
)
self.algorithm_volatility[dt_loc] = annual_volatility(
self.algorithm_returns
)
# caching the treasury rates for the minutely case is a
# big speedup, because it avoids searching the treasury
# curves on every minute.
# In both minutely and daily, the daily curve is always used.
treasury_end = dt.replace(hour=0, minute=0)
if np.isnan(self.daily_treasury[treasury_end]):
treasury_period_return = choose_treasury(
self.treasury_curves,
self.start_session,
treasury_end,
self.trading_calendar,
)
self.daily_treasury[treasury_end] = treasury_period_return
self.treasury_period_return = self.daily_treasury[treasury_end]
self.excess_returns[dt_loc] = (
self.algorithm_cumulative_returns[dt_loc] -
self.treasury_period_return)
self.alpha[dt_loc], self.beta[dt_loc] = alpha_beta_aligned(
self.algorithm_returns,
self.benchmark_returns,
)
self.sharpe[dt_loc] = sharpe_ratio(
self.algorithm_returns,
)
self.downside_risk[dt_loc] = downside_risk(
self.algorithm_returns
)
self.sortino[dt_loc] = sortino_ratio(
self.algorithm_returns,
_downside_risk=self.downside_risk[dt_loc]
)
self.information[dt_loc] = information_ratio(
self.algorithm_returns,
self.benchmark_returns,
)
self.max_drawdown = max_drawdown(
self.algorithm_returns
)
self.max_drawdowns[dt_loc] = self.max_drawdown
self.max_leverage = self.calculate_max_leverage()
self.max_leverages[dt_loc] = self.max_leverage
