class AccountMetrics:
def __init__(self,con):
self.account_manager=AccountManager(con)
self.security_data=SecurityData(con)
def compare_vs_sharpe(self, acct1, acct2, acct2_vals): #acct1=S&P500 (unless comparing against S&P 500, where acct1=4% fixed rate); acct2=strategy
acct1_returns = self.all_returns(acct1)
acct2_returns = self.all_returns(acct2)
acct1_total = sum(acct1_returns)
acct2_total = sum(acct2_returns)
stdev_val = stdev(acct2_vals)
sharpe = (acct2_total - acct1_total) / stdev_val
return sharpe
def month_returns(self,account_id,as_of_date):
my_stocks=self.account_manager.get_holdings(account_id,as_of_date)
stock_ids=[ h[0] for h in my_stocks ]
stock_returns=self.security_data.get_returns(stock_ids,as_of_date)
my_value=0
my_base=0
for i in range(len(my_stocks)):
if stock_returns[i] is not None:
my_value=my_value+my_stocks[i][1]*(1+stock_returns[i])
else:
my_value=my_value+my_stocks[i][1]
my_base=my_base+my_stocks[i][1]
return (my_value - my_base)
def all_returns(self,account_id):
dates=self.security_data.get_dates()
annual=[]
for d in dates:
month=self.month_returns(account_id,d)
annual.append(month)
return annual
def show_stats(self,vals):
mean_val=mean(vals);
variance_val=variance(vals)
stdev_val=stdev(vals)
mdd_val=mdd(vals)
print("Average Return: %s" %mean_val)
#print("The variance: %s" %variance_val)
#print("The stdev: %s" %stdev_val)
print("Maximum drawdown: %s" %mdd_val)
for d in dates:
sp500_ids=security_data.get_sp500(d)
if len(sp500_ids)<500:
print("Warning! There are only %s securities on %s" %(len(sp500_ids), d))
for id in sp500_ids:
row=[new_id, id, 100, d]
rows.append(row)
account_manager.add_holdings(rows)
account_manager.add_account(new_id,0,"Invest 100 each month in stocks in the SP500 index")
all_acct=account_manager.get_accounts()
print "... All Accounts ..."
pprint(all_acct)
print
stocks_071231=account_manager.get_holdings(new_id,"2007-12-31")
num=len(stocks_071231)
print("The number of stocks in the account %s is %s on 2007-12-31" %(new_id,num))
#### Show performance metrics for the new account ####
rslt=account_metrics.all_returns(new_id)
total=sum(rslt)
up_months = 0
down_months = 0
for result in rslt:
if result > 0:
up_months += 1
else:
down_months += 1
print("Account %s Monthly Returns: " %new_id)
