def print_industry_coer(fund_ts, ostream):
"""
@summary prints standard deviation of returns for a fund
@param fund_ts: pandas fund time series
@param years: list of years to print out
@param ostream: stream to print to
"""
industries = [['$DJUSBM', 'Materials'], ['$DJUSNC', 'Goods'],
['$DJUSCY', 'Services'], ['$DJUSFN', 'Financials'],
['$DJUSHC', 'Health'], ['$DJUSIN', 'Industrial'],
['$DJUSEN', 'Oil & Gas'], ['$DJUSTC', 'Technology'],
['$DJUSTL', 'TeleComm'], ['$DJUSUT', 'Utilities']]
for i in range(0, len(industries)):
if (i % 2 == 0):
ostream.write("\n")
#load data
norObj = de.DataAccess('mysql')
ldtTimestamps = du.getNYSEdays(fund_ts.index[0], fund_ts.index[-1],
dt.timedelta(hours=16))
ldfData = norObj.get_data(ldtTimestamps, [industries[i][0]], ['close'])
#get corelation
ldfData[0] = ldfData[0].fillna(method='pad')
ldfData[0] = ldfData[0].fillna(method='bfill')
a = np.corrcoef(np.ravel(tsu.daily(ldfData[0][industries[i][0]])),
np.ravel(tsu.daily(fund_ts.values)))
b = np.ravel(tsu.daily(ldfData[0][industries[i][0]]))
f = np.ravel(tsu.daily(fund_ts))
fBeta, unused = np.polyfit(b, f, 1)
ostream.write("%10s(%s):%+6.2f, %+6.2f " %
(industries[i][1], industries[i][0], a[0, 1], fBeta))
def print_other_coer(fund_ts, ostream):
"""
@summary prints standard deviation of returns for a fund
@param fund_ts: pandas fund time series
@param years: list of years to print out
@param ostream: stream to print to
"""
industries = [['$SPX', ' S&P Index'], ['$DJI', ' Dow Jones'],
['$DJUSEN', 'Oil & Gas'], ['$DJGSP', ' Metals']]
for i in range(0, len(industries)):
if (i % 2 == 0):
ostream.write("\n")
#load data
norObj = de.DataAccess('mysql')
ldtTimestamps = du.getNYSEdays(fund_ts.index[0], fund_ts.index[-1],
dt.timedelta(hours=16))
ldfData = norObj.get_data(ldtTimestamps, [industries[i][0]], ['close'])
#get corelation
ldfData[0] = ldfData[0].fillna(method='pad')
ldfData[0] = ldfData[0].fillna(method='bfill')
a = np.corrcoef(np.ravel(tsu.daily(ldfData[0][industries[i][0]])),
np.ravel(tsu.daily(fund_ts.values)))
b = np.ravel(tsu.daily(ldfData[0][industries[i][0]]))
f = np.ravel(tsu.daily(fund_ts))
fBeta, unused = np.polyfit(b, f, 1)
ostream.write("%10s(%s):%+6.2f, %+6.2f " %
(industries[i][1], industries[i][0], a[0, 1], fBeta))
def speedTest(lfcFeature, ldArgs):
'''
@Author: Tingyu Zhu
@summary: Function to test the runtime for a list of features, and output them by speed
@param lfcFeature: a list of features that will be sorted by runtime
@param dArgs: Arguments to pass into feature function
@return: A list of sorted tuples of format (time, function name/param string)
'''
'''pulling out 2 years data to run test'''
daData = de.DataAccess('mysql')
dtStart = dt.datetime(2010, 1, 1)
dtEnd = dt.datetime(2011, 12, 31)
dtTimeofday = dt.timedelta(hours=16)
lsSym = ['AAPL', 'GOOG', 'XOM', 'AMZN', 'BA', 'GILD', '$SPX']
#print lsSym
'''set up variables for applyFeatures'''
lsKeys = ['open', 'high', 'low', 'close', 'volume', 'actual_close']
ldtTimestamps = du.getNYSEdays(dtStart, dtEnd, dtTimeofday)
ldfData = daData.get_data(ldtTimestamps, lsSym, lsKeys)
dData = dict(zip(lsKeys, ldfData))
'''loop through features'''
ltResults = []
for i in range(len(lfcFeature)):
dtFuncStart = dt.datetime.now()
ldfFeatures = applyFeatures(dData, [lfcFeature[i]], [ldArgs[i]],
sMarketRel='$SPX')
ltResults.append((dt.datetime.now() - dtFuncStart,
lfcFeature[i].__name__ + ' : ' + str(ldArgs[i])))
ltResults.sort()
'''print out result'''
for tResult in ltResults:
print tResult[1], ':', tResult[0]
return ltResults
def share_table2fund(share_table):
"""
@summary converts data frame of shares into fund values
@param share_table: data frame containing shares on days transactions occured
@return fund : time series containing fund value over time
@return leverage : time series containing fund value over time
"""
# Get the data from the data store
dataobj = de.DataAccess('mysql')
startday = share_table.index[0]
endday = share_table.index[-1]
symbols = list(share_table.columns)
symbols.remove('_CASH')
# print symbols
# Get desired timestamps
timeofday = dt.timedelta(hours=16)
timestamps = du.getNYSEdays(startday - dt.timedelta(days=5),
endday + dt.timedelta(days=1), timeofday)
historic = dataobj.get_data(timestamps, symbols, ["close"])[0]
historic["_CASH"] = 1
closest = historic[historic.index <= share_table.index[0]].ix[:]
ts_leverage = pandas.Series(0, index=[closest.index[-1]])
# start shares/fund out as 100% cash
first_val = closest.ix[-1] * share_table.ix[0]
fund_ts = pandas.Series([first_val.sum(axis=1)], index=[closest.index[-1]])
prev_row = share_table.ix[0]
for row_index, row in share_table.iterrows():
# print row_index
trade_price = historic.ix[row_index:].ix[0:1]
trade_date = trade_price.index[0]
# print trade_date
# get stock prices on all the days up until this trade
to_calculate = historic[(historic.index <= trade_date)
& (historic.index > fund_ts.index[-1])]
# multiply prices by our current shares
values_by_stock = to_calculate * prev_row
# for date, sym in values_by_stock.iteritems():
# print date,sym
# print values_by_stock
prev_row = row
#update leverage
ts_leverage = _calculate_leverage(values_by_stock, ts_leverage)
# calculate total value and append to our fund history
fund_ts = fund_ts.append([values_by_stock.sum(axis=1)])
return [fund_ts, ts_leverage]
def generate_report(funds_list, graph_names, out_file, i_start_cash=10000):
"""
@summary generates a report given a list of fund time series
"""
html_file = open("report.html", "w")
print_header(html_file, out_file)
html_file.write("<IMG SRC = \'./funds.png\' width = 400/>\n")
html_file.write("<BR/>\n\n")
i = 0
pyplot.clf()
#load spx for time frame
symbol = ["$SPX"]
start_date = 0
end_date = 0
for fund in funds_list:
if (type(fund) != type(list())):
if (start_date == 0 or start_date > fund.index[0]):
start_date = fund.index[0]
if (end_date == 0 or end_date < fund.index[-1]):
end_date = fund.index[-1]
mult = i_start_cash / fund.values[0]
pyplot.plot(fund.index, fund.values * mult, label = \
path.basename(graph_names[i]))
else:
if (start_date == 0 or start_date > fund[0].index[0]):
start_date = fund[0].index[0]
if (end_date == 0 or end_date < fund[0].index[-1]):
end_date = fund[0].index[-1]
mult = i_start_cash / fund[0].values[0]
pyplot.plot(fund[0].index, fund[0].values * mult, label = \
path.basename(graph_names[i]))
i += 1
timeofday = dt.timedelta(hours=16)
timestamps = du.getNYSEdays(start_date, end_date, timeofday)
dataobj = de.DataAccess('mysql')
benchmark_close = dataobj.get_data(timestamps, symbol, ["close"], \
verbose = False)[0]
mult = i_start_cash / benchmark_close.values[0]
i = 0
for fund in funds_list:
if (type(fund) != type(list())):
print_stats(fund, ["$SPX"], graph_names[i])
else:
print_stats(fund[0], ["$SPX"], graph_names[i])
i += 1
pyplot.plot(benchmark_close.index, \
benchmark_close.values*mult, label = "SSPX")
pyplot.ylabel('Fund Value')
pyplot.xlabel('Date')
pyplot.legend()
savefig('funds.png', format='png')
print_footer(html_file)
def testFeature(fcFeature, dArgs):
'''
@summary: Quick function to run a feature on some data and plot it to see if it works.
@param fcFeature: Feature function to test
@param dArgs: Arguments to pass into feature function
@return: Void
'''
''' Get Train data for 2009-2010 '''
dtStart = dt.datetime(2011, 7, 1)
dtEnd = dt.datetime(2011, 12, 31)
''' Pull in current training data and test data '''
norObj = de.DataAccess('mysql')
''' Get 2 extra months for moving averages and future returns '''
ldtTimestamps = du.getNYSEdays(dtStart, dtEnd, dt.timedelta(hours=16))
lsSym = ['GOOG']
lsSym.append('WMT')
lsSym.append('$SPX')
lsSym.append('$VIX')
lsSym.sort()
lsKeys = ['open', 'high', 'low', 'close', 'volume', 'actual_close']
ldfData = norObj.get_data(ldtTimestamps, lsSym, lsKeys)
dData = dict(zip(lsKeys, ldfData))
dfPrice = dData['close']
#print dfPrice.values
''' Generate a list of DataFrames, one for each feature, with the same index/column structure as price data '''
dtStart = dt.datetime.now()
ldfFeatures = applyFeatures(dData, [fcFeature], [dArgs], sMarketRel='$SPX')
print 'Runtime:', dt.datetime.now() - dtStart
''' Use last 3 months of index, to avoid lookback nans '''
dfPrint = ldfFeatures[0]['GOOG']
print 'GOOG values:', dfPrint.values
print 'GOOG Sum:', dfPrint.ix[dfPrint.notnull()].sum()
for sSym in lsSym:
plt.subplot(211)
plt.plot(ldfFeatures[0].index[-60:], dfPrice[sSym].values[-60:])
plt.plot(
ldfFeatures[0].index[-60:], dfPrice['$SPX'].values[-60:] *
dfPrice[sSym].values[-60] / dfPrice['$SPX'].values[-60])
plt.legend((sSym, '$SPX'))
plt.title(sSym)
plt.subplot(212)
plt.plot(ldfFeatures[0].index[-60:], ldfFeatures[0][sSym].values[-60:])
plt.title('%s-%s' % (fcFeature.__name__, str(dArgs)))
plt.show()
def calculate_efficiency(dt_start_date, dt_end_date, s_stock):
"""
@summary calculates the exit-entry/high-low trade efficiency of a stock from historical data
@param start_date: entry point for the trade
@param end_date: exit point for the trade
@param stock: stock to compute efficiency for
@return: float representing efficiency
"""
# Get the data from the data store
dataobj = de.DataAccess('mysql')
# Get desired timestamps
timeofday=dt.timedelta(hours=16)
timestamps = du.getNYSEdays(dt_start_date,dt_end_date+dt.timedelta(days=1),timeofday)
historic = dataobj.get_data( timestamps, [s_stock] ,["close"] )[0]
# print "######"
# print historic
hi=numpy.max(historic.values)
low=numpy.min(historic.values)
entry=historic.values[0]
exit_price=historic.values[-1]
return (((exit_price-entry)/(hi-low))[0])
def get_data(ls_symbols, ls_keys):
'''
@summary: Gets a data chunk for backtesting
@param dt_start: Start time
@param dt_end: End time
@param ls_symbols: symbols to use
@note: More data will be pulled from before and after the limits to ensure
valid data on the start/enddates which requires lookback/forward
@return: data dictionry
'''
print "Getting Data from MySQL"
# Modify dates to ensure enough data for all features
dt_start = dt.datetime(2005,1,1)
dt_end = dt.datetime(2012, 8, 31)
ldt_timestamps = du.getNYSEdays( dt_start, dt_end, dt.timedelta(hours=16) )
c_da = de.DataAccess('mysql')
ldf_data = c_da.get_data(ldt_timestamps, ls_symbols, ls_keys)
d_data = dict(zip(ls_keys, ldf_data))
return d_data
def print_html(fund_ts,
benchmark,
name,
lf_dividend_rets=0.0,
original="",
s_fund_name="Fund",
s_original_name="Original",
d_trading_params="",
d_hedge_params="",
s_comments="",
directory=False,
leverage=False,
commissions=0,
slippage=0,
borrowcost=0,
ostream=sys.stdout,
i_start_cash=1000000):
"""
@summary prints stats of a provided fund and benchmark
@param fund_ts: fund value in pandas timeseries
@param benchmark: benchmark symbol to compare fund to
@param name: name to associate with the fund in the report
@param directory: parameter to specify printing to a directory
@param leverage: time series to plot with report
@param commissions: value to print with report
@param slippage: value to print with report
@param ostream: stream to print stats to, defaults to stdout
"""
#Set locale for currency conversions
locale.setlocale(locale.LC_ALL, '')
#make names length independent for alignment
s_formatted_original_name = "%15s" % s_original_name
s_formatted_fund_name = "%15s" % s_fund_name
fund_ts = fund_ts.fillna(method='pad')
if directory != False:
if not path.exists(directory):
makedirs(directory)
sfile = path.join(directory, "report-%s.html" % name)
splot = "plot-%s.png" % name
splot_dir = path.join(directory, splot)
ostream = open(sfile, "wb")
print "writing to ", sfile
if type(original) == type("str"):
if type(leverage) != type(False):
print_plot(fund_ts,
benchmark,
name,
splot_dir,
lf_dividend_rets,
leverage=leverage,
i_start_cash=i_start_cash)
else:
print_plot(fund_ts,
benchmark,
name,
splot_dir,
lf_dividend_rets,
i_start_cash=i_start_cash)
else:
if type(leverage) != type(False):
print_plot([fund_ts, original],
benchmark,
name,
splot_dir,
s_original_name,
lf_dividend_rets,
leverage=leverage,
i_start_cash=i_start_cash)
else:
print_plot([fund_ts, original],
benchmark,
name,
splot_dir,
s_original_name,
lf_dividend_rets,
i_start_cash=i_start_cash)
print_header(ostream, name)
start_date = fund_ts.index[0].strftime("%m/%d/%Y")
end_date = fund_ts.index[-1].strftime("%m/%d/%Y")
ostream.write("Performance Summary for "\
+ str(path.basename(name)) + " Backtest\n")
ostream.write("For the dates " + str(start_date) + " to "\
+ str(end_date) + "")
#paramater section
if d_trading_params != "":
ostream.write("\n\nTrading Paramaters\n\n")
for var in d_trading_params:
print_line(var, d_trading_params[var], ostream=ostream)
if d_hedge_params != "":
ostream.write("\nHedging Paramaters\n\n")
if type(d_hedge_params['Weight of Hedge']) == type(float):
d_hedge_params['Weight of Hedge'] = str(
int(d_hedge_params['Weight of Hedge'] * 100)) + '%'
for var in d_hedge_params:
print_line(var, d_hedge_params[var], ostream=ostream)
#comment section
if s_comments != "":
ostream.write("\nComments\n\n%s" % s_comments)
if directory != False:
ostream.write("\n\n<img src=" + splot + " width=600 />\n\n")
mult = i_start_cash / fund_ts.values[0]
timeofday = dt.timedelta(hours=16)
timestamps = du.getNYSEdays(fund_ts.index[0], fund_ts.index[-1], timeofday)
dataobj = de.DataAccess('mysql')
years = du.getYears(fund_ts)
benchmark_close = dataobj.get_data(timestamps, benchmark, ["close"])
benchmark_close = benchmark_close[0]
for bench_sym in benchmark:
benchmark_close[bench_sym] = benchmark_close[bench_sym].fillna(
method='pad')
if type(lf_dividend_rets) != type(0.0):
for i, sym in enumerate(benchmark):
benchmark_close[sym] = _dividend_rets_funds(
benchmark_close[sym], lf_dividend_rets[i])
ostream.write("Resulting Values in $ with an initial investment of " +
locale.currency(int(round(i_start_cash)), grouping=True) +
"\n")
print_line(s_formatted_fund_name + " Resulting Value",
(locale.currency(int(round(fund_ts.values[-1] * mult)),
grouping=True)),
i_spacing=3,
ostream=ostream)
if type(original) != type("str"):
mult3 = i_start_cash / original.values[0]
print_line(s_formatted_original_name + " Resulting Value",
(locale.currency(int(round(original.values[-1] * mult3)),
grouping=True)),
i_spacing=3,
ostream=ostream)
for bench_sym in benchmark:
mult2 = i_start_cash / benchmark_close[bench_sym].values[0]
print_line(bench_sym + " Resulting Value",
locale.currency(int(
round(benchmark_close[bench_sym].values[-1] * mult2)),
grouping=True),
i_spacing=3,
ostream=ostream)
ostream.write("\n")
if len(years) > 1:
print_line(s_formatted_fund_name + " Sharpe Ratio",
"%10.3f" % fu.get_sharpe_ratio(fund_ts.values)[0],
i_spacing=4,
ostream=ostream)
if type(original) != type("str"):
print_line(s_formatted_original_name + " Sharpe Ratio",
"%10.3f" % fu.get_sharpe_ratio(original.values)[0],
i_spacing=4,
ostream=ostream)
for bench_sym in benchmark:
print_line(
bench_sym + " Sharpe Ratio",
"%10.3f" %
fu.get_sharpe_ratio(benchmark_close[bench_sym].values)[0],
i_spacing=4,
ostream=ostream)
ostream.write("\n")
ostream.write("Transaction Costs\n")
print_line("Total Commissions"," %15s, %10.2f%%" % (locale.currency(int(round(commissions)), grouping=True), \
float((round(commissions)*100)/(fund_ts.values[-1]*mult))), i_spacing=4, ostream=ostream)
print_line("Total Slippage"," %15s, %10.2f%%" % (locale.currency(int(round(slippage)), grouping=True), \
float((round(slippage)*100)/(fund_ts.values[-1]*mult))), i_spacing=4, ostream=ostream)
print_line("Total Short Borrowing Cost"," %15s, %10.2f%%" % (locale.currency(int(round(borrowcost)), grouping=True), \
float((round(borrowcost)*100)/(fund_ts.values[-1]*mult))), i_spacing=4, ostream=ostream)
print_line("Total Costs"," %15s, %10.2f%%" % (locale.currency(int(round(borrowcost+slippage+commissions)), grouping=True), \
float((round(borrowcost+slippage+commissions)*100)/(fund_ts.values[-1]*mult))), i_spacing=4, ostream=ostream)
ostream.write("\n")
print_line(s_formatted_fund_name + " Std Dev of Returns",
get_std_dev(fund_ts),
i_spacing=8,
ostream=ostream)
if type(original) != type("str"):
print_line(s_formatted_original_name + " Std Dev of Returns",
get_std_dev(original),
i_spacing=8,
ostream=ostream)
for bench_sym in benchmark:
print_line(bench_sym + " Std Dev of Returns",
get_std_dev(benchmark_close[bench_sym]),
i_spacing=8,
ostream=ostream)
ostream.write("\n")
for bench_sym in benchmark:
print_benchmark_coer(fund_ts, benchmark_close[bench_sym],
str(bench_sym), ostream)
ostream.write("\n")
ostream.write("\nYearly Performance Metrics")
print_years(years, ostream)
s_line = ""
for f_token in get_annual_return(fund_ts, years):
s_line += " %+8.2f%%" % f_token
print_line(s_formatted_fund_name + " Annualized Return",
s_line,
i_spacing=4,
ostream=ostream)
lf_vals = [get_annual_return(fund_ts, years)]
ls_labels = [name]
if type(original) != type("str"):
s_line = ""
for f_token in get_annual_return(original, years):
s_line += " %+8.2f%%" % f_token
print_line(s_formatted_original_name + " Annualized Return",
s_line,
i_spacing=4,
ostream=ostream)
lf_vals.append(get_annual_return(original, years))
ls_labels.append(s_original_name)
for bench_sym in benchmark:
s_line = ""
for f_token in get_annual_return(benchmark_close[bench_sym], years):
s_line += " %+8.2f%%" % f_token
print_line(bench_sym + " Annualized Return",
s_line,
i_spacing=4,
ostream=ostream)
lf_vals.append(get_annual_return(benchmark_close[bench_sym], years))
ls_labels.append(bench_sym)
print lf_vals
print ls_labels
ls_year_labels = []
for i in range(0, len(years)):
ls_year_labels.append(str(years[i]))
print_bar_chart(lf_vals, ls_labels, ls_year_labels,
directory + "/annual_rets.png")
print_years(years, ostream)
print_line(s_formatted_fund_name + " Winning Days",
get_winning_days(fund_ts, years),
i_spacing=4,
ostream=ostream)
if type(original) != type("str"):
print_line(s_formatted_original_name + " Winning Days",
get_winning_days(original, years),
i_spacing=4,
ostream=ostream)
for bench_sym in benchmark:
print_line(bench_sym + " Winning Days",
get_winning_days(benchmark_close[bench_sym], years),
i_spacing=4,
ostream=ostream)
print_years(years, ostream)
print_line(s_formatted_fund_name + " Max Draw Down",
get_max_draw_down(fund_ts, years),
i_spacing=4,
ostream=ostream)
if type(original) != type("str"):
print_line(s_formatted_original_name + " Max Draw Down",
get_max_draw_down(original, years),
i_spacing=4,
ostream=ostream)
for bench_sym in benchmark:
print_line(bench_sym + " Max Draw Down",
get_max_draw_down(benchmark_close[bench_sym], years),
i_spacing=4,
ostream=ostream)
print_years(years, ostream)
print_line(s_formatted_fund_name + " Daily Sharpe Ratio",
get_daily_sharpe(fund_ts, years),
i_spacing=4,
ostream=ostream)
if type(original) != type("str"):
print_line(s_formatted_original_name + " Daily Sharpe Ratio",
get_daily_sharpe(original, years),
i_spacing=4,
ostream=ostream)
for bench_sym in benchmark:
print_line(bench_sym + " Daily Sharpe Ratio",
get_daily_sharpe(benchmark_close[bench_sym], years),
i_spacing=4,
ostream=ostream)
print_years(years, ostream)
print_line(s_formatted_fund_name + " Daily Sortino Ratio",
get_daily_sortino(fund_ts, years),
i_spacing=4,
ostream=ostream)
if type(original) != type("str"):
print_line(s_formatted_original_name + " Daily Sortino Ratio",
get_daily_sortino(original, years),
i_spacing=4,
ostream=ostream)
for bench_sym in benchmark:
print_line(bench_sym + " Daily Sortino Ratio",
get_daily_sortino(benchmark_close[bench_sym], years),
i_spacing=4,
ostream=ostream)
ostream.write(
"\n\n\nCorrelation and Beta with DJ Industries for the Fund ")
print_industry_coer(fund_ts, ostream)
ostream.write("\n\nCorrelation and Beta with Other Indices for the Fund ")
print_other_coer(fund_ts, ostream)
ostream.write("\n\n\nMonthly Returns for the Fund %\n")
print_monthly_returns(fund_ts, years, ostream)
print_footer(ostream)
def print_plot(fund,
benchmark,
graph_name,
filename,
s_original_name="",
lf_dividend_rets=0.0,
leverage=False,
i_start_cash=1000000):
"""
@summary prints a plot of a provided fund and benchmark
@param fund: fund value in pandas timeseries
@param benchmark: benchmark symbol to compare fund to
@param graph_name: name to associate with the fund in the report
@param filename: file location to store plot1
"""
pyplot.clf()
if type(leverage) != type(False):
gs = gridspec.GridSpec(2, 1, height_ratios=[3, 1])
pyplot.subplot(gs[0])
start_date = 0
end_date = 0
if (type(fund) != type(list())):
if (start_date == 0 or start_date > fund.index[0]):
start_date = fund.index[0]
if (end_date == 0 or end_date < fund.index[-1]):
end_date = fund.index[-1]
mult = i_start_cash / fund.values[0]
pyplot.plot(fund.index, fund.values * mult, label = \
path.basename(graph_name))
else:
i = 0
for entity in fund:
if (start_date == 0 or start_date > entity.index[0]):
start_date = entity.index[0]
if (end_date == 0 or end_date < entity.index[-1]):
end_date = entity.index[-1]
mult = i_start_cash / entity.values[0]
if i == 1 and len(fund) != 1:
pyplot.plot(entity.index, entity.values * mult, label = \
s_original_name)
else:
pyplot.plot(entity.index, entity.values * mult, label = \
path.basename(graph_name))
i = i + 1
timeofday = dt.timedelta(hours=16)
timestamps = du.getNYSEdays(start_date, end_date, timeofday)
dataobj = de.DataAccess('mysql')
benchmark_close = dataobj.get_data(timestamps, benchmark, ["close"])
benchmark_close = benchmark_close[0]
benchmark_close = benchmark_close.fillna(method='pad')
benchmark_close = benchmark_close.fillna(method='bfill')
benchmark_close = benchmark_close.fillna(1.0)
if type(lf_dividend_rets) != type(0.0):
for i, sym in enumerate(benchmark):
benchmark_close[sym] = _dividend_rets_funds(
benchmark_close[sym], lf_dividend_rets[i])
for sym in benchmark:
mult = i_start_cash / benchmark_close[sym].values[0]
pyplot.plot(benchmark_close[sym].index, \
benchmark_close[sym].values*mult, label = sym)
pyplot.gcf().autofmt_xdate()
pyplot.gca().fmt_xdata = mdates.DateFormatter('%m-%d-%Y')
pyplot.gca().xaxis.set_major_formatter(mdates.DateFormatter('%b %d %Y'))
pyplot.xlabel('Date')
pyplot.ylabel('Fund Value')
pyplot.legend(loc="best")
if type(leverage) != type(False):
pyplot.subplot(gs[1])
pyplot.plot(leverage.index, leverage.values, label="Leverage")
pyplot.gcf().autofmt_xdate()
pyplot.gca().fmt_xdata = mdates.DateFormatter('%m-%d-%Y')
pyplot.gca().xaxis.set_major_formatter(
mdates.DateFormatter('%b %d %Y'))
labels = []
max_label = max(leverage.values)
min_label = min(leverage.values)
rounder = -1 * (round(log10(max_label)) - 1)
labels.append(round(min_label * 0.9, int(rounder)))
labels.append(round((max_label + min_label) / 2, int(rounder)))
labels.append(round(max_label * 1.1, int(rounder)))
pyplot.yticks(labels)
pyplot.legend(loc="best")
pyplot.title(graph_name + " Leverage")
pyplot.xlabel('Date')
pyplot.legend()
savefig(filename, format='png')
