Ejemplos de moving_accumulate en Python

Lenguaje de programación: Python

Namespace/Package Name: pgportfolio.tools.indicator

Método / Función: moving_accumulate

Ejemplos en hotexamples.com: 2

Python moving_accumulate - 2 ejemplos encontrados. Estos son los ejemplos en Python del mundo real mejor valorados de pgportfolio.tools.indicator.moving_accumulate extraídos de proyectos de código abierto. Puedes valorar ejemplos para ayudarnos a mejorar la calidad de los ejemplos.

Ejemplo n.º 1

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Archivo: plot.py Proyecto: idogilboa/CryptoProject

import json
import numpy as np
import datetime
from pgportfolio.tools.indicator import max_drawdown, sharpe, positive_count, negative_count, moving_accumulate
from pgportfolio.tools.configprocess import parse_time, check_input_same
from pgportfolio.tools.shortcut import execute_backtest

# the dictionary of name of indicators mapping to the function of related indicators
# input is portfolio changes
INDICATORS = {
    "portfolio value": np.prod,
    "sharpe ratio": sharpe,
    "max drawdown": max_drawdown,
    "positive periods": positive_count,
    "negative periods": negative_count,
    "postive day": lambda pcs: positive_count(moving_accumulate(pcs, 48)),
    "negative day": lambda pcs: negative_count(moving_accumulate(pcs, 48)),
    "postive week": lambda pcs: positive_count(moving_accumulate(pcs, 336)),
    "negative week": lambda pcs: negative_count(moving_accumulate(pcs, 336)),
    "average": np.mean
}

NAMES = {
    "best": "Best Stock (Benchmark)",
    "crp": "UCRP (Benchmark)",
    "ubah": "UBAH (Benchmark)",
    "anticor": "ANTICOR",
    "olmar": "OLMAR",
    "pamr": "PAMR",
    "cwmr": "CWMR",
    "rmr": "RMR",

Ejemplo n.º 2

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Archivo: plot.py Proyecto: alextavgen/PGPortfolio

import logging
import json
import numpy as np
import datetime
from pgportfolio.tools.indicator import max_drawdown, sharpe, positive_count, negative_count, moving_accumulate
from pgportfolio.tools.configprocess import parse_time, check_input_same
from pgportfolio.tools.shortcut import execute_backtest

# the dictionary of name of indicators mapping to the function of related indicators
# input is portfolio changes
INDICATORS = {"portfolio value": np.prod,
              "sharpe ratio": sharpe,
              "max drawdown": max_drawdown,
              "positive periods": positive_count,
              "negative periods": negative_count,
              "postive day": lambda pcs: positive_count(moving_accumulate(pcs, 48)),
              "negative day": lambda pcs: negative_count(moving_accumulate(pcs, 48)),
              "postive week": lambda pcs: positive_count(moving_accumulate(pcs, 336)),
              "negative week": lambda pcs: negative_count(moving_accumulate(pcs, 336)),
              "average": np.mean}

NAMES = {"best": "Best Stock (Benchmark)",
         "crp": "UCRP (Benchmark)",
         "ubah": "UBAH (Benchmark)",
         "anticor": "ANTICOR",
         "olmar": "OLMAR",
         "pamr": "PAMR",
         "cwmr": "CWMR",
         "rmr": "RMR",
         "ons": "ONS",
         "up": "UP",