def plot_strategy_group_benchmark_pnl(self):
pf = PlotFactory()
gp = GraphProperties()
gp.title = self.FINAL_STRATEGY
gp.display_legend = True
gp.scale_factor = self.SCALE_FACTOR
#gp.color = 'RdYlGn'
gp.file_output = self.DUMP_PATH + self.FINAL_STRATEGY + ' (Group Benchmark PnL - cumulative).png'
# plot cumulative line of returns
pf.plot_line_graph(self.reduce_plot(
self._strategy_group_benchmark_pnl),
adapter='pythalesians',
gp=gp)
keys = self._strategy_group_benchmark_tsd.keys()
ir = []
for key in keys:
ir.append(self._strategy_group_benchmark_tsd[key].inforatio()[0])
ret_stats = pandas.DataFrame(index=keys, data=ir, columns=['IR'])
ret_stats = ret_stats.sort()
gp.file_output = self.DUMP_PATH + self.FINAL_STRATEGY + ' (Group Benchmark PnL - IR).png'
gp.display_brand_label = False
# plot ret stats
pf.plot_bar_graph(ret_stats, adapter='pythalesians', gp=gp)
def plot_strategy_group_benchmark_pnl(self):
pf = PlotFactory()
gp = GraphProperties()
gp.title = self.FINAL_STRATEGY
gp.display_legend = True
gp.scale_factor = self.SCALE_FACTOR
#gp.color = 'RdYlGn'
gp.file_output = self.DUMP_PATH + self.FINAL_STRATEGY + ' (Group Benchmark PnL - cumulative).png'
# plot cumulative line of returns
pf.plot_line_graph(self.reduce_plot(self._strategy_group_benchmark_pnl), adapter = 'pythalesians', gp = gp)
# needs write stats flag turned on
try:
keys = self._strategy_group_benchmark_tsd.keys()
ir = []
for key in keys: ir.append(self._strategy_group_benchmark_tsd[key].inforatio()[0])
ret_stats = pandas.DataFrame(index = keys, data = ir, columns = ['IR'])
ret_stats = ret_stats.sort_index()
gp.file_output = self.DUMP_PATH + self.FINAL_STRATEGY + ' (Group Benchmark PnL - IR).png'
gp.display_brand_label = False
# plot ret stats
pf.plot_bar_graph(ret_stats, adapter = 'pythalesians', gp = gp)
except: pass
def plot_strategy_group_benchmark_pnl(self, strip=None):
pf = PlotFactory()
gp = GraphProperties()
gp.title = self.FINAL_STRATEGY
gp.display_legend = True
gp.scale_factor = self.SCALE_FACTOR
#gp.color = 'RdYlGn'
gp.file_output = self.DUMP_PATH + self.FINAL_STRATEGY + ' (Group Benchmark PnL - cumulative).png'
strat_list = self._strategy_group_benchmark_pnl.columns.sort_values()
for line in strat_list:
self.logger.info(line)
# plot cumulative line of returns
pf.plot_line_graph(self.reduce_plot(
self._strategy_group_benchmark_pnl),
adapter='pythalesians',
gp=gp)
# needs write stats flag turned on
try:
keys = self._strategy_group_benchmark_tsd.keys()
ir = []
for key in keys:
ir.append(
self._strategy_group_benchmark_tsd[key].inforatio()[0])
if strip is not None: keys = [k.replace(strip, '') for k in keys]
ret_stats = pandas.DataFrame(index=keys, data=ir, columns=['IR'])
ret_stats = ret_stats.sort_index()
gp.file_output = self.DUMP_PATH + self.FINAL_STRATEGY + ' (Group Benchmark PnL - IR).png'
gp.display_brand_label = False
# plot ret stats
pf.plot_bar_graph(ret_stats, adapter='pythalesians', gp=gp)
except:
pass
# first use PyThalesians matplotlib wrapper
pf.plot_line_graph(daily_vals, adapter='pythalesians', gp=gp)
pf.plot_generic_graph(daily_vals, gp=gp, type='line')
# use modified 538 Matplotlib stylesheet
gp.style_sheet = '538-pythalesians'
pf.plot_line_graph(daily_vals, adapter='pythalesians', gp=gp)
# use miletus matplotlib stylesheet
gp.style_sheet = 'miletus-pythalesians'
pf.plot_line_graph(daily_vals, adapter='pythalesians', gp=gp)
# use ggplot matplotlib styleheet
gp.scale_factor = 1
gp.display_brand_label = False
gp.display_source = False
gp.style_sheet = 'ggplot-pythalesians'
gp.display_mpld3 = True
gp.html_file_output = 'output_data/demo.htm'
pf.plot_line_graph(daily_vals, adapter='pythalesians', gp=gp)
# now use PyThalesians bokeh wrapper (still needs a lot of work!)
gp.scale_factor = 2
gp.html_file_output = 'output_data/demo_bokeh.htm'
pf.plot_line_graph(daily_vals, adapter='bokeh', gp=gp)
# test simple PyThalesians bar charts - calculate yearly returns for various assets
if False:
ltsf = LightTimeSeriesFactory()
gp.scale_factor = 2
gp.style_sheet = 'pythalesians'
# first use PyThalesians matplotlib wrapper
pf.plot_line_graph(daily_vals, adapter = 'pythalesians', gp = gp)
pf.plot_generic_graph(daily_vals, gp = gp, type = 'line')
# use modified 538 Matplotlib stylesheet
gp.style_sheet = '538-pythalesians'
pf.plot_line_graph(daily_vals, adapter = 'pythalesians', gp = gp)
# use miletus matplotlib stylesheet
gp.style_sheet = 'miletus-pythalesians'
pf.plot_line_graph(daily_vals, adapter = 'pythalesians', gp = gp)
# use ggplot matplotlib styleheet
gp.scale_factor = 1
gp.display_brand_label = False
gp.display_source = False
gp.style_sheet = 'ggplot-pythalesians'
gp.display_mpld3 = True
gp.html_file_output = 'demo.htm'
pf.plot_line_graph(daily_vals, adapter = 'pythalesians', gp = gp)
# now use PyThalesians bokeh wrapper (still needs a lot of work!)
gp.scale_factor = 2
gp.html_file_output = 'demo_bokeh.htm'
pf.plot_line_graph(daily_vals, adapter = 'bokeh', gp = gp)
pass
