def _plot_txt_curve(self, stats):
"""
Output the statistics for the equity curve
"""
returns = stats["returns"]
cum_returns = stats['cum_returns']
if 'positions' not in stats:
trd_yr = 0
else:
positions = stats['positions']
trd_yr = positions.shape[0] / (
(returns.index[-1] - returns.index[0]).days / 365.0)
tot_ret = cum_returns[-1] - 1.0
cagr = perf.create_cagr(cum_returns, self.periods)
sharpe = perf.create_sharpe_ratio(returns, self.periods)
sortino = perf.create_sortino_ratio(returns, self.periods)
rsq = perf.rsquared(range(cum_returns.shape[0]), cum_returns)
dd, dd_max, dd_dur = perf.create_drawdowns(cum_returns)
header = ["Performance", "Value"]
rows = [["Total Return", "{:.0%}".format(tot_ret)],
["CAGR", "{:.2%}".format(cagr)],
["Sharpe Ratio", "{:.2f}".format(sharpe)],
["Sortino Ratio", "{:.2f}".format(sortino)],
[
"Annual Volatility",
"{:.2%}".format(returns.std() * np.sqrt(252))
], ["R-Squared", '{:.2f}'.format(rsq)],
["Max Daily Drawdown", '{:.2%}'.format(dd_max)],
["Max Drawdown Duration", '{:.0f}'.format(dd_dur)],
["Trades per Year", '{:.1f}'.format(trd_yr)]]
table = (Table().add(header, rows).set_global_opts(
title_opts=opts.ComponentTitleOpts(title="Curve")))
return table
def _plot_txt_curve(self, stats, ax=None, **kwargs):
"""
Outputs the statistics for the equity curve.
"""
def format_perc(x, pos):
return '%.0f%%' % x
returns = stats["returns"]
cum_returns = stats['cum_returns']
if 'positions' not in stats:
trd_yr = 0
else:
positions = stats['positions']
trd_yr = positions.shape[0] / (
(returns.index[-1] - returns.index[0]).days / 365.0
)
if ax is None:
ax = plt.gca()
y_axis_formatter = FuncFormatter(format_perc)
ax.yaxis.set_major_formatter(FuncFormatter(y_axis_formatter))
tot_ret = cum_returns[-1] - 1.0
cagr = perf.create_cagr(cum_returns, self.periods)
sharpe = perf.create_sharpe_ratio(returns, self.periods)
sortino = perf.create_sortino_ratio(returns, self.periods)
rsq = perf.rsquared(range(cum_returns.shape[0]), cum_returns)
dd, dd_max, dd_dur = perf.create_drawdowns(cum_returns)
ax.text(0.25, 8.9, 'Total Return', fontsize=8)
ax.text(7.50, 8.9, '{:.0%}'.format(tot_ret), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(0.25, 7.9, 'CAGR', fontsize=8)
ax.text(7.50, 7.9, '{:.2%}'.format(cagr), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(0.25, 6.9, 'Sharpe Ratio', fontsize=8)
ax.text(7.50, 6.9, '{:.2f}'.format(sharpe), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(0.25, 5.9, 'Sortino Ratio', fontsize=8)
ax.text(7.50, 5.9, '{:.2f}'.format(sortino), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(0.25, 4.9, 'Annual Volatility', fontsize=8)
ax.text(7.50, 4.9, '{:.2%}'.format(returns.std() * np.sqrt(252)), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(0.25, 3.9, 'R-Squared', fontsize=8)
ax.text(7.50, 3.9, '{:.2f}'.format(rsq), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(0.25, 2.9, 'Max Daily Drawdown', fontsize=8)
ax.text(7.50, 2.9, '{:.2%}'.format(dd_max), color='red', fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(0.25, 1.9, 'Max Drawdown Duration', fontsize=8)
ax.text(7.50, 1.9, '{:.0f}'.format(dd_dur), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(0.25, 0.9, 'Trades per Year', fontsize=8)
ax.text(7.50, 0.9, '{:.1f}'.format(trd_yr), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.set_title('Curve', fontweight='bold')
if self.benchmark is not None:
returns_b = stats['returns_b']
equity_b = stats['cum_returns_b']
tot_ret_b = equity_b[-1] - 1.0
cagr_b = perf.create_cagr(equity_b)
sharpe_b = perf.create_sharpe_ratio(returns_b)
sortino_b = perf.create_sortino_ratio(returns_b)
rsq_b = perf.rsquared(range(equity_b.shape[0]), equity_b)
dd_b, dd_max_b, dd_dur_b = perf.create_drawdowns(equity_b)
ax.text(9.75, 8.9, '{:.0%}'.format(tot_ret_b), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(9.75, 7.9, '{:.2%}'.format(cagr_b), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(9.75, 6.9, '{:.2f}'.format(sharpe_b), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(9.75, 5.9, '{:.2f}'.format(sortino_b), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(9.75, 4.9, '{:.2%}'.format(returns_b.std() * np.sqrt(252)), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(9.75, 3.9, '{:.2f}'.format(rsq_b), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(9.75, 2.9, '{:.2%}'.format(dd_max_b), color='red', fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(9.75, 1.9, '{:.0f}'.format(dd_dur_b), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.set_title('Curve vs. Benchmark', fontweight='bold')
ax.grid(False)
ax.spines['top'].set_linewidth(2.0)
ax.spines['bottom'].set_linewidth(2.0)
ax.spines['right'].set_visible(False)
ax.spines['left'].set_visible(False)
ax.get_yaxis().set_visible(False)
ax.get_xaxis().set_visible(False)
ax.set_ylabel('')
ax.set_xlabel('')
ax.axis([0, 10, 0, 10])
return ax
def _plot_txt_curve(self, stats, ax=None, **kwargs):
"""
Outputs the statistics for the equity curve.
"""
def format_perc(x, pos):
return '%.0f%%' % x
returns = stats["returns"]
cum_returns = stats['cum_returns']
if 'positions' not in stats:
trd_yr = 0
else:
positions = stats['positions']
trd_yr = positions.shape[0] / (
(returns.index[-1] - returns.index[0]).days / 365.0
)
if ax is None:
ax = plt.gca()
y_axis_formatter = FuncFormatter(format_perc)
ax.yaxis.set_major_formatter(FuncFormatter(y_axis_formatter))
tot_ret = cum_returns[-1] - 1.0
cagr = perf.create_cagr(cum_returns, self.periods)
sharpe = perf.create_sharpe_ratio(returns, self.periods)
sortino = perf.create_sortino_ratio(returns, self.periods)
rsq = perf.rsquared(range(cum_returns.shape[0]), cum_returns)
dd, dd_max, dd_dur = perf.create_drawdowns(cum_returns)
ax.text(0.25, 8.9, 'Total Return', fontsize=8)
ax.text(7.50, 8.9, '{:.0%}'.format(tot_ret), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(0.25, 7.9, 'CAGR', fontsize=8)
ax.text(7.50, 7.9, '{:.2%}'.format(cagr), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(0.25, 6.9, 'Sharpe Ratio', fontsize=8)
ax.text(7.50, 6.9, '{:.2f}'.format(sharpe), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(0.25, 5.9, 'Sortino Ratio', fontsize=8)
ax.text(7.50, 5.9, '{:.2f}'.format(sortino), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(0.25, 4.9, 'Annual Volatility', fontsize=8)
ax.text(7.50, 4.9, '{:.2%}'.format(returns.std() * np.sqrt(252)), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(0.25, 3.9, 'R-Squared', fontsize=8)
ax.text(7.50, 3.9, '{:.2f}'.format(rsq), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(0.25, 2.9, 'Max Daily Drawdown', fontsize=8)
ax.text(7.50, 2.9, '{:.2%}'.format(dd_max), color='red', fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(0.25, 1.9, 'Max Drawdown Duration', fontsize=8)
ax.text(7.50, 1.9, '{:.0f}'.format(dd_dur), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(0.25, 0.9, 'Trades per Year', fontsize=8)
ax.text(7.50, 0.9, '{:.1f}'.format(trd_yr), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.set_title('Curve', fontweight='bold')
if self.benchmark is not None:
returns_b = stats['returns_b']
equity_b = stats['cum_returns_b']
tot_ret_b = equity_b[-1] - 1.0
cagr_b = perf.create_cagr(equity_b)
sharpe_b = perf.create_sharpe_ratio(returns_b)
sortino_b = perf.create_sortino_ratio(returns_b)
rsq_b = perf.rsquared(range(equity_b.shape[0]), equity_b)
dd_b, dd_max_b, dd_dur_b = perf.create_drawdowns(equity_b)
ax.text(9.75, 8.9, '{:.0%}'.format(tot_ret_b), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(9.75, 7.9, '{:.2%}'.format(cagr_b), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(9.75, 6.9, '{:.2f}'.format(sharpe_b), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(9.75, 5.9, '{:.2f}'.format(sortino_b), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(9.75, 4.9, '{:.2%}'.format(returns_b.std() * np.sqrt(252)), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(9.75, 3.9, '{:.2f}'.format(rsq_b), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(9.75, 2.9, '{:.2%}'.format(dd_max_b), color='red', fontweight='bold', horizontalalignment='right', fontsize=8)
ax.text(9.75, 1.9, '{:.0f}'.format(dd_dur_b), fontweight='bold', horizontalalignment='right', fontsize=8)
ax.set_title('Curve vs. Benchmark', fontweight='bold')
ax.grid(False)
ax.spines['top'].set_linewidth(2.0)
ax.spines['bottom'].set_linewidth(2.0)
ax.spines['right'].set_visible(False)
ax.spines['left'].set_visible(False)
ax.get_yaxis().set_visible(False)
ax.get_xaxis().set_visible(False)
ax.set_ylabel('')
ax.set_xlabel('')
ax.axis([0, 10, 0, 10])
return ax