def trend_chart(self, target_stock: str):
"""Trend chart of the result using Bokeh."""
result = self.__check_result(target_stock)
tabs = []
for i in result.keys():
label_name = i
tickers = result[i]
cumprod = (self.daily_return[tickers] + 1).cumprod()
source = ColumnDataSource(data=cumprod)
p = figure(x_axis_type="datetime",
title="Trend Line",
plot_height=350,
plot_width=800)
p.xgrid.grid_line_color = None
p.ygrid.grid_line_alpha = 0.5
p.xaxis.axis_label = 'Time'
p.yaxis.axis_label = 'Total Return'
lines = []
for i in range(len(cumprod.columns)):
lines.append(
p.line("Date",
cumprod.columns[i],
source=source,
line_width=2,
line_alpha=0.8,
line_color=Spectral10[i % 10],
legend_label=cumprod.columns[i],
muted_color=Spectral10[i % 10],
muted_alpha=0.1))
p.legend.location = "top_left"
p.legend.click_policy = "mute"
LABELS = list(cumprod.columns)
checkbox_group = CheckboxGroup(labels=LABELS)
checkbox_group.active = list(range(len(LABELS)))
code = """ for (var i = 0; i < lines.length; i++) {
lines[i].visible = false;
if (cb_obj.active.includes(i)){lines[i].visible = true;}
}
"""
callback = CustomJS(code=code, args={'lines': lines})
checkbox_group.js_on_click(callback)
layout = row(p, checkbox_group)
tabs.append(Panel(child=layout, title=label_name))
tabs = Tabs(tabs=tabs)
show(tabs)
d3['ann'].push(d2['ann'][i])
d3['noise'].push(d2['noise'][i])
d3['change'].push(0)
}
}
}
s3.change.emit();
s4.change.emit();
""")
checkboxes = CheckboxGroup(name="Select beats to display",labels=['N','V','Q'], active=[0, 1,2],callback = callback3,height = 120)
checkboxes.active = []
checkboxes.js_on_click(callback3)
div = Div(text="""<b>Select annotations to change: </b>""",
width=200, height=0)
div2 = Div(text="""<b>Change annotations to : </b>""",
width=200, height=0)
div3 = Div(text="""<b>Select noise level : </b>""",
width=200, height=0)
def trend_chart(self,
policy_names: list,
compounding: bool = False,
height: int = 350,
width: int = 800):
"""Trend chart of the result using Bokeh.
Parameters
----------
policy_names : list
List of selected policy names
compounding : bool, default False
Whether returns are reinvested back into the account.
height : int
Height of the plot
width : int
Width of the plot
Returns
-------
None
"""
selected_rst_dict = {key: self.rst_dict[key] for key in policy_names}
data = pd.DataFrame(selected_rst_dict)
data["strategy_return"] = self.strategy_return
if compounding:
cum = (data + 1).cumprod()
else:
cum = data.cumsum() + 1
if compounding:
mdd = (cum / cum.cummax() - 1)
else:
mdd = cum - cum.cummax()
source = ColumnDataSource(data=cum)
source_mdd = ColumnDataSource(data=mdd)
p = figure(x_axis_type="datetime",
title="Trend Line",
plot_height=height,
plot_width=width)
p.xgrid.grid_line_color = None
p.ygrid.grid_line_alpha = 0.5
p.xaxis.axis_label = 'Time'
p.yaxis.axis_label = 'Total Return'
p_mdd = figure(x_axis_type="datetime",
title="Max Drawdown",
plot_height=height,
plot_width=width,
x_range=p.x_range)
p_mdd.xgrid.grid_line_color = None
p_mdd.ygrid.grid_line_alpha = 0.5
p_mdd.xaxis.axis_label = 'Time'
p_mdd.yaxis.axis_label = 'MDD'
lines = []
for i in range(len(cum.columns)):
lines.append(
p.line("Date",
cum.columns[i],
source=source,
line_width=2,
line_alpha=0.8,
line_color=Spectral10[i % 10],
legend_label=cum.columns[i],
muted_color=Spectral10[i % 10],
muted_alpha=0.1))
lines_mdd = []
for i in range(len(mdd.columns)):
lines_mdd.append(
p_mdd.line("Date",
mdd.columns[i],
source=source_mdd,
line_width=2,
line_alpha=0.8,
line_color=Spectral10[i % 10],
legend_label=mdd.columns[i],
muted_color=Spectral10[i % 10],
muted_alpha=0.1))
p.legend.location = "top_left"
p.legend.click_policy = "mute"
p_mdd.legend.location = "bottom_left"
p_mdd.legend.click_policy = "mute"
LABELS = list(cum.columns)
checkbox_group = CheckboxGroup(labels=LABELS)
checkbox_group.active = list(range(len(LABELS)))
code = """ for (var i = 0; i < lines.length; i++) {
lines[i].visible = false;
if (cb_obj.active.includes(i)){lines[i].visible = true;}
}
"""
callback = CustomJS(code=code, args={'lines': lines})
checkbox_group.js_on_click(callback)
callback = CustomJS(code=code, args={'lines': lines_mdd})
checkbox_group.js_on_click(callback)
grid = gridplot([[p, checkbox_group], [p_mdd]])
show(grid)
def trend_chart(returns_series,
compounding: bool = False,
height: int = 350,
width: int = 800):
"""Trend chart of the result using Bokeh.
Parameters
----------
returns_series : Pandas Series
Series contains returns.
compounding : bool, default False
Whether returns are reinvested back into the account.
height : int
Height of the plot
width : int
Width of the plot
Returns
-------
None
"""
data = returns_series
if compounding:
cum = (data + 1).cumprod()
else:
cum = data.cumsum() + 1
cum = pd.DataFrame(cum)
source = ColumnDataSource(data=cum)
p = figure(x_axis_type="datetime",
title="Trend Line",
plot_height=height,
plot_width=width)
p.xgrid.grid_line_color = None
p.ygrid.grid_line_alpha = 0.5
p.xaxis.axis_label = 'Time'
p.yaxis.axis_label = 'Total Return'
lines = []
for i in range(len(cum.columns)):
lines.append(
p.line("Date",
cum.columns[i],
source=source,
line_width=2,
line_alpha=0.8,
line_color=Spectral10[i % 10],
legend_label=cum.columns[i],
muted_color=Spectral10[i % 10],
muted_alpha=0.1))
p.legend.location = "top_left"
p.legend.click_policy = "mute"
LABELS = list(cum.columns)
checkbox_group = CheckboxGroup(labels=LABELS)
checkbox_group.active = list(range(len(LABELS)))
code = """ for (var i = 0; i < lines.length; i++) {
lines[i].visible = false;
if (cb_obj.active.includes(i)){lines[i].visible = true;}
}
"""
callback = CustomJS(code=code, args={'lines': lines})
checkbox_group.js_on_click(callback)
layout = row(p, checkbox_group)
show(layout)
