def getYearRatioUsingMonth(funds, year):
days = []
for date in funds.index:
if (date.year == year):
days.append(date)
funds = funds.reindex(index=days)
m = tsu.monthly(funds)
avg = float(sum(m)) / len(m)
std = 0
for a in m:
std = std + float((float(a - avg))**2)
std = sqrt(float(std) / (len(m) - 1))
return (avg / std)
def getYearRatioUsingMonth(funds,year): days=[] for date in funds.index: if(date.year==year): days.append(date) funds=funds.reindex(index=days) m=tsu.monthly(funds) avg=float(sum(m))/len(m) std=0 for a in m: std=std+float((float(a-avg))**2) std=sqrt(float(std)/(len(m)-1)) return (avg/std)
def print_monthly_returns(fund_ts, years, ostream):
"""
@summary prints monthly returns for given fund and years to the given stream
@param fund_ts: pandas fund time series
@param years: list of years to print out
@param ostream: stream to print to
"""
ostream.write(" ")
month_names = du.getMonthNames()
for name in month_names:
ostream.write(" " + str(name))
ostream.write("\n")
i = 0
mrets = tsu.monthly(fund_ts)
for year in years:
ostream.write(str(year))
months = du.getMonths(fund_ts, year)
for k in range(1, months[0]):
ostream.write(" ")
for month in months:
ostream.write(" % + 6.2f" % (mrets[i] * 100))
i += 1
ostream.write("\n")
def print_monthly_returns(fund_ts, years, ostream):
"""
@summary prints monthly returns for given fund and years to the given stream
@param fund_ts: pandas fund time series
@param years: list of years to print out
@param ostream: stream to print to
"""
ostream.write(" ")
month_names = du.getMonthNames()
for name in month_names:
ostream.write(" " + str(name))
ostream.write("\n")
i = 0
mrets = tsu.monthly(fund_ts)
for year in years:
ostream.write(str(year))
months = du.getMonths(fund_ts, year)
for k in range(1, months[0]):
ostream.write(" ")
for month in months:
ostream.write(" % + 6.2f" % (mrets[i]*100))
i += 1
ostream.write("\n")
def reportFunctionality(funds, symbols, filename=sys.stdout):
if (len(symbols) != 0):
funds2 = runOther(funds, symbols)
arg2 = 1
else:
arg2 = 0
if (filename == sys.stdout):
html_file = sys.stdout
else:
html_file = open(filename, "w")
#top
html_file.write("<HTML>\n")
html_file.write("<HEAD>\n")
html_file.write("<TITLE>QSTK Generated Report from " +
readableDate(funds.index[0]) + " to " +
readableDate(funds.index[-1]) + "</TITLE>\n")
html_file.write("</HEAD>\n\n")
html_file.write("<BODY><CENTER>\n\n")
years = du.getYears(funds)
html_file.write("<H2>Performance Summary for " + sys.argv[1] + "</H2>\n")
html_file.write("For the dates " + readableDate(funds.index[0]) + " to " +
readableDate(funds.index[-1]) + "\n")
html_file.write("<H3>Yearly Performance Metrics</H3>\n")
html_file.write("<TABLE CELLPADDING=10>\n")
html_file.write("<TR><TH></TH>\n")
for year in years:
html_file.write("<TH>" + str(year) + "</TH>\n")
html_file.write("</TR>\n")
#yearly return
html_file.write("<TR>\n")
html_file.write("<TH>Annualized Return:</TH>\n")
for year in years:
retur = getYearReturn(funds, year)
html_file.write("<TD>\n")
print >> html_file, "%.2f\n" % (retur * 100)
html_file.write("%</TD>\n")
html_file.write("</TR>\n")
#yearly winning days
html_file.write("<TR>\n")
html_file.write("<TH>Winning Days:</TH>\n")
for year in years:
# change to compare to inputs - ratio=tsu.getYearRatio(funds,year)
if (arg2 != 0):
win = getWinningDays(funds, funds2, year)
html_file.write("<TD>\n")
print >> html_file, "%.2f\n" % (win * 100)
html_file.write("%</TD>\n")
else:
html_file.write("<TD>No comparison.</TD>\n")
html_file.write("</TR>\n")
#max draw down
html_file.write("<TR>\n")
html_file.write("<TH>Max Draw Down:</TH>\n")
for year in years:
drop = getYearMaxDrop(funds, year)
html_file.write("<TD>\n")
print >> html_file, "%.2f" % (drop * 100)
html_file.write("%</TD>\n")
html_file.write("</TR>\n")
#yearly sharpe ratio using daily rets
html_file.write("<TR>\n")
html_file.write("<TH>Daily Sharpe Ratio:</TH>\n")
for year in years:
ratio = tsu.getYearRatio(funds, year)
html_file.write("<TD>\n")
print >> html_file, "%.2f\n" % ratio
html_file.write("</TD>\n")
html_file.write("</TR>\n")
#yearly sharpe ratio using monthly rets
html_file.write("<TR>\n")
html_file.write("<TH>Monthly Sharpe Ratio:</TH>\n")
for year in years:
ratio = getYearRatioUsingMonth(funds, year)
html_file.write("<TD>\n")
print >> html_file, "%.2f\n" % ratio
html_file.write("</TD>\n")
html_file.write("</TR>\n")
html_file.write("</TABLE>\n")
html_file.write("<BR/>\n\n")
vals = funds.values
vals2 = np.append(vals, funds2.values, 2)
df = DataMatrix(index=funds.index, data=funds.values, columns=['fund'])
df2 = DataMatrix(index=funds2.index, data=funds2.values, columns=['other'])
df['other'] = df2['other']
corrcoef = numpy.corrcoef(funds.values[0:-1], funds2.values)
html_file.write("<H3>Correlation=")
print >> html_file, "%.2f\n" % corrcoef[0][1]
html_file.write("<H3>\n")
html_file.write("<BR/>\n\n")
#montly returns
mrets = tsu.monthly(funds)
html_file.write("<H2>Monthly Returns</H2>\n")
html_file.write("<TABLE CELLPADDING=10>\n")
html_file.write("<TR>\n")
html_file.write("<TH></TH>\n")
month_names = du.getMonthNames()
for name in month_names:
html_file.write("<TH>" + str(name) + "</TH>\n")
html_file.write("</TR>\n")
i = 0
for year in years:
html_file.write("<TR>\n")
html_file.write("<TH>" + str(year) + "</TH>\n")
months = du.getMonths(funds, year)
for month in months:
html_file.write("<TD>\n")
print >> html_file, "%.2f\n" % (mrets[i] * 100)
html_file.write("%</TD>\n")
i += 1
html_file.write("</TR>\n")
html_file.write("</TABLE>\n")
html_file.write("<BR/>\n\n")
#fund value graph
fundlist = []
fundlist.append(funds)
fundlist.append(funds2)
converter.fundsToPNG(fundlist, 'funds.png')
html_file.write("<IMG SRC=\'./funds.png\'/>\n")
html_file.write("<BR/>\n\n")
#end
html_file.write("</CENTER></BODY>\n\n")
html_file.write("</HTML>")
def reportFunctionality(funds, symbols,filename=sys.stdout):
if(len(symbols)!=0):
funds2=runOther(funds,symbols)
arg2=1
else:
arg2=0
if(filename==sys.stdout):
html_file=sys.stdout
else:
html_file = open(filename,"w")
#top
html_file.write("<HTML>\n")
html_file.write("<HEAD>\n")
html_file.write("<TITLE>QSTK Generated Report from "+readableDate(funds.index[0])+" to "+readableDate(funds.index[-1])+"</TITLE>\n")
html_file.write("</HEAD>\n\n")
html_file.write("<BODY><CENTER>\n\n")
years=du.getYears(funds)
html_file.write("<H2>Performance Summary for "+sys.argv[1]+"</H2>\n")
html_file.write("For the dates "+readableDate(funds.index[0])+" to "+readableDate(funds.index[-1])+"\n")
html_file.write("<H3>Yearly Performance Metrics</H3>\n")
html_file.write("<TABLE CELLPADDING=10>\n")
html_file.write("<TR><TH></TH>\n")
for year in years:
html_file.write("<TH>"+str(year)+"</TH>\n")
html_file.write("</TR>\n")
#yearly return
html_file.write("<TR>\n")
html_file.write("<TH>Annualized Return:</TH>\n")
for year in years:
retur=getYearReturn(funds,year)
html_file.write("<TD>\n")
print >>html_file, "%.2f\n" % (retur*100)
html_file.write("%</TD>\n")
html_file.write("</TR>\n")
#yearly winning days
html_file.write("<TR>\n")
html_file.write("<TH>Winning Days:</TH>\n")
for year in years:
# change to compare to inputs - ratio=tsu.getYearRatio(funds,year)
if(arg2!=0):
win=getWinningDays(funds,funds2,year)
html_file.write("<TD>\n")
print >>html_file, "%.2f\n" % (win*100)
html_file.write("%</TD>\n")
else:
html_file.write("<TD>No comparison.</TD>\n")
html_file.write("</TR>\n")
#max draw down
html_file.write("<TR>\n")
html_file.write("<TH>Max Draw Down:</TH>\n")
for year in years:
drop=getYearMaxDrop(funds,year)
html_file.write("<TD>\n")
print >>html_file, "%.2f" % (drop*100)
html_file.write("%</TD>\n")
html_file.write("</TR>\n")
#yearly sharpe ratio using daily rets
html_file.write("<TR>\n")
html_file.write("<TH>Daily Sharpe Ratio:</TH>\n")
for year in years:
ratio=tsu.getYearRatio(funds,year)
html_file.write("<TD>\n")
print >>html_file, "%.2f\n" % ratio
html_file.write("</TD>\n")
html_file.write("</TR>\n")
#yearly sharpe ratio using monthly rets
html_file.write("<TR>\n")
html_file.write("<TH>Monthly Sharpe Ratio:</TH>\n")
for year in years:
ratio=getYearRatioUsingMonth(funds,year)
html_file.write("<TD>\n")
print >>html_file, "%.2f\n" % ratio
html_file.write("</TD>\n")
html_file.write("</TR>\n")
html_file.write("</TABLE>\n")
html_file.write("<BR/>\n\n")
vals=funds.values;
vals2=np.append(vals,funds2.values,2)
df=DataMatrix(index=funds.index,data=funds.values, columns=['fund'])
df2=DataMatrix(index=funds2.index,data=funds2.values,columns=['other'])
df['other']=df2['other']
corrcoef=numpy.corrcoef(funds.values[0:-1],funds2.values)
html_file.write("<H3>Correlation=")
print >>html_file, "%.2f\n" % corrcoef[0][1]
html_file.write("<H3>\n")
html_file.write("<BR/>\n\n")
#montly returns
mrets=tsu.monthly(funds)
html_file.write("<H2>Monthly Returns</H2>\n")
html_file.write("<TABLE CELLPADDING=10>\n")
html_file.write("<TR>\n")
html_file.write("<TH></TH>\n")
month_names=du.getMonthNames()
for name in month_names:
html_file.write("<TH>"+str(name)+"</TH>\n")
html_file.write("</TR>\n")
i=0
for year in years:
html_file.write("<TR>\n")
html_file.write("<TH>"+str(year)+"</TH>\n")
months=du.getMonths(funds,year)
for month in months:
html_file.write("<TD>\n")
print >>html_file, "%.2f\n" % (mrets[i]*100)
html_file.write("%</TD>\n")
i+=1
html_file.write("</TR>\n")
html_file.write("</TABLE>\n")
html_file.write("<BR/>\n\n")
#fund value graph
fundlist=[];
fundlist.append(funds)
fundlist.append(funds2)
converter.fundsToPNG(fundlist,'funds.png')
html_file.write("<IMG SRC=\'./funds.png\'/>\n")
html_file.write("<BR/>\n\n")
#end
html_file.write("</CENTER></BODY>\n\n")
html_file.write("</HTML>")
