benchmark=0.02)
### Rolling alpha
rolling_alpha_df = m.rolling_alpha(df_data,
columns_name=columns_name,
window_length=36,
min_periods=36,
start_gap=6)
### Rolling correlation
rolling_corr_df = m.rolling_corr(df_data,
columns_name=columns_name,
target_benchmark='Russell 3000',
window_length=36,
min_periods=36,
start_gap=6)
### Draw Down
dd_df = 100 * m.draw_down(df_data, columns_name, start_gap)
### Graph for result
with PdfPages('Rolling Ratio Figure.pdf') as pdf:
plt.style.use('fivethirtyeight')
rolling_annual_return_df[[
'TeamCo Client Composite', 'HFRI Fund Weighted Composite Index',
'HFRI Fund of Funds Composite Index'
]].plot(title='36 Months Rolling Annual Return')
plt.legend(prop={'size': 12})
pdf.savefig()
cum_return_df[[
'TeamCo Client Composite', 'HFRI Fund Weighted Composite Index',
'HFRI Fund of Funds Composite Index'
]].plot(title='Cummulative Return')
### Rolling omega ratio
rolling_omega_ratio_df = m.rolling_omega_ratio(df_data, columns_name,
window_length, min_periods,
MAR)
### Rolling sharp ratio
rolling_sharpe_ratio_df = m.rolling_sharpe_ratio(df_data, columns_name,
window_length,
min_periods, benchmark)
### Rolling alpha
rolling_alpha_df = m.rolling_alpha(df_data, columns_name, window_length,
min_periods)
### Rolling correlation
rolling_corr_df = m.rolling_corr(df_data, columns_name, market_index,
window_length, min_periods)
### Draw Down
dd_df = 100 * m.draw_down(df_data, columns_name)
### Generate graph and save them to the pdf file
p.graph_gen('Rolling Ratio Figure and Radar Chart Result.pdf', index_name, rolling_annual_return_df, cum_return_df, \
rolling_alpha_df,rolling_beta_df, rolling_corr_df, rolling_sharpe_ratio_df, \
rolling_sortino_ratio_df,rolling_omega_ratio_df, dd_df, Beta_df, Beta_df_p, \
Beta_df_np, Corr_df, Corr_df_p, Corr_df_np)
### Output all static dataframe into excel file
dfs = [Annulized_Return_df,Calendar_Return_df,Sharpe_df,Sortino_df,\
Standard_deviation_df,Downside_Deviation_df,Beta_df,Beta_df_p,\
Beta_df_np,Omega_df,Corr_df,Corr_df_p,Corr_df_np,Summary_table_df]
put.multiple_dfs(dfs, 'Financial Ratio', 'Financial Ratio Result.xlsx', 1)
### Output all rolling data to seperated sheet in excel file
rolling_df_list = [rolling_beta_df,rolling_annual_return_df,cum_return_df,\