def __init__(self, algorithm_returns, sim_params, benchmark_returns=None):
"""
algorithm_returns needs to be a list of daily_return objects
sorted in date ascending order
"""
self.algorithm_returns = algorithm_returns
self.sim_params = sim_params
self.benchmark_returns = benchmark_returns
self.created = epoch_now()
if len(self.algorithm_returns) == 0:
start_date = self.sim_params.period_start
end_date = self.sim_params.period_end
else:
# FIXME: Papering over multiple algorithm_return types
if isinstance(self.algorithm_returns, list):
start_date = self.algorithm_returns[0].date
end_date = self.algorithm_returns[-1].date
else:
start_date = self.algorithm_returns.index[0]
end_date = self.algorithm_returns.index[-1]
self.month_periods = self.periods_in_range(1, start_date, end_date)
self.three_month_periods = self.periods_in_range(3, start_date,
end_date)
self.six_month_periods = self.periods_in_range(6, start_date, end_date)
self.year_periods = self.periods_in_range(12, start_date, end_date)
def __init__(self, algorithm_returns, sim_params, benchmark_returns=None):
"""
algorithm_returns needs to be a list of daily_return objects
sorted in date ascending order
"""
self.algorithm_returns = algorithm_returns
self.sim_params = sim_params
self.benchmark_returns = benchmark_returns
self.created = epoch_now()
if len(self.algorithm_returns) == 0:
start_date = self.sim_params.period_start
end_date = self.sim_params.period_end
else:
# FIXME: Papering over multiple algorithm_return types
if isinstance(self.algorithm_returns, list):
start_date = self.algorithm_returns[0].date
end_date = self.algorithm_returns[-1].date
else:
start_date = self.algorithm_returns.index[0]
end_date = self.algorithm_returns.index[-1]
self.month_periods = self.periods_in_range(1, start_date, end_date)
self.three_month_periods = self.periods_in_range(
3, start_date, end_date)
self.six_month_periods = self.periods_in_range(6, start_date, end_date)
self.year_periods = self.periods_in_range(12, start_date, end_date)
def __init__(
self,
algorithm_returns,
trading_environment,
):
"""
algorithm_returns needs to be a list of daily_return objects
sorted in date ascending order
"""
self.algorithm_returns = algorithm_returns
self.trading_environment = trading_environment
self.created = epoch_now()
if len(self.algorithm_returns) == 0:
start_date = self.trading_environment.period_start
end_date = self.trading_environment.period_end
else:
start_date = self.algorithm_returns[0].date
end_date = self.algorithm_returns[-1].date
self.month_periods = self.periods_in_range(1, start_date, end_date)
self.three_month_periods = self.periods_in_range(
3, start_date, end_date)
self.six_month_periods = self.periods_in_range(6, start_date, end_date)
self.year_periods = self.periods_in_range(12, start_date, end_date)
def __init__(
self,
algorithm_returns,
trading_environment,
):
"""
algorithm_returns needs to be a list of daily_return objects
sorted in date ascending order
"""
self.algorithm_returns = algorithm_returns
self.trading_environment = trading_environment
self.created = epoch_now()
if len(self.algorithm_returns) == 0:
start_date = self.trading_environment.period_start
end_date = self.trading_environment.period_end
else:
start_date = self.algorithm_returns[0].date
end_date = self.algorithm_returns[-1].date
self.month_periods = self.periods_in_range(1, start_date, end_date)
self.three_month_periods = self.periods_in_range(
3, start_date, end_date)
self.six_month_periods = self.periods_in_range(6, start_date, end_date)
self.year_periods = self.periods_in_range(12, start_date, end_date)
