def __test_returns(self):
p = Performance()
df = pd.DataFrame(index=pd.date_range('2010-01-01', periods=10),
columns=[
'returns',
])
df['returns'] = [
0.1, 0.1, 0.1, -0.156, -0.1, 0.1, 0.1, 0.1, -0.11, -0.1
]
#print(df)
r = df['returns']
ret = p.calc_period_return(r)
ret_annual = p.calc_annual_return(r)
print(stats.cum_returns_final(r))
#收益率
self.assertEqual(ret, stats.cum_returns_final(r))
self.assertEqual(ret_annual, stats.annual_return(r))
#print('标准差-年化波动率',)
#print(stats.annual_volatility(df['returns']))
#波动率，夏普比
self.assertEqual(p.calc_volatility(r), stats.annual_volatility(r))
self.assertEqual(p.calc_sharpe(r), stats.sharpe_ratio(r))
def ret_vol_combos(ret1, ret2, nsteps, period='monthly', rebal_period=3):
"""Return and volatility that results from combining two return series in proportions from 0 to 100%.
Args:
- ret1: return series 1 (sequence of period returns, such as output by computePortfolioReturns())
- ret2: return series 2
- nsteps: number of steps to take in allocation to the returns, between 0 and 100%
- period: return interval in `ret1`, `ret2`: {'daily', 'weekly', 'monthly'}
- rebal_period: interval for rebalancing the allocation; expressed as number of periods of type `period`
Return:
- Dataframe with results for each allocation between 0 and 100%
- annualized return
- annualized standard deviation
- annualized downside deviation
- Date range of returns used for these results
"""
# convert period returns to wr's
ret1 = ret1.copy() + 1
ret2 = ret2.copy() + 1
# combine the two return sequences
combined = pd.concat([ret1, ret2], axis=1, join='inner')
# Note: the concat/join ensures we have the same date range for both return sequences;
# computing the date range here ensures that it accurately reflects dates to compute results
date_range = DateRange(
min(combined.index).date(),
max(combined.index).date())
stepsize = 1 / nsteps
return_list = []
vol_list = []
downside_list = []
w1_list = []
for ix in range(nsteps + 1):
w1 = 1 - ix * stepsize
w2 = ix * stepsize
res = rfp.pf_period_returns(combined, [w1, w2], rebal_period,
f'combined_{w1:4.2}')
# print(res.head())
ann_ret = estats.annual_return(res.values, period=period)
ann_vol = estats.annual_volatility(res.values, period=period)
ann_downside = estats.downside_risk(
res.values,
period=period) # option to add `required_return` parameter
#print(w1, w2, ann_ret, ann_vol)
return_list.append(ann_ret[0])
vol_list.append(ann_vol[0])
downside_list.append(ann_downside[0])
w1_list.append(w1)
df = pd.DataFrame({
'w1': w1_list,
'ann_ret': return_list,
'standard_dev': vol_list,
'downside_dev': downside_list
})
return df, date_range
def get_summary(self, freq='m'):
if freq == 'm':
monthlyRet = self.MonthlyRet(False)
monthlyBenchmarkRet = self.BenchmarkMonthlyRet()
hedgeMonthlyRet = self.MonthlyRet()
_dict = {
'annual_return':
stats.annual_return(hedgeMonthlyRet, annualization=12),
'annual_vol':
stats.annual_volatility(hedgeMonthlyRet, annualization=12),
'IR':
stats.information_ratio(monthlyRet, monthlyBenchmarkRet),
't_stats':
stats_scp.ttest_1samp(hedgeMonthlyRet, 0)[0],
'win_rate':
stats.win_rate(monthlyRet, monthlyBenchmarkRet),
'max_drawdown':
stats.max_drawdown(hedgeMonthlyRet),
'drawn_down_start':
pf.timeseries.get_top_drawdowns(hedgeMonthlyRet, 1)[0][0],
'draw_down_end':
pf.timeseries.get_top_drawdowns(hedgeMonthlyRet, 1)[0][1],
}
else:
_dict = {
'annual_return':
stats.annual_return(self.activeRet, annualization=12),
'annual_vol':
stats.annual_volatility(self.activeRet, annualization=12),
'IR':
stats.information_ratio(self.Ret, self.BenchmarkRet),
't_stats':
stats_scp.ttest_1samp(self.activeRet, 0)[0],
'win_rate':
stats.win_rate(self.Ret, self.BenchmarkRet),
'max_drawdown':
stats.max_drawdown(self.activeRet),
'drawn_down_start':
pf.timeseries.get_top_drawdowns(self.activeRet, 1)[0],
'draw_down_end':
pf.timeseries.get_top_drawdowns(self.activeRet, 1)[1],
}
return pd.Series(_dict)
def YearlyPerformance(self):
monthlyRet = self.MonthlyRet(False) # 单边做多模型月度收益率
benchmarkMonthlyRet = self.BenchmarkMonthlyRet()
hedgeMonthlyRet = self.MonthlyRet(True) # 对冲组合月收益率
a = stats.aggregate_returns(monthlyRet, 'yearly') # 多头组合分年收益
b = stats.aggregate_returns(benchmarkMonthlyRet, 'yearly') # 基准组合分年收益
_l = []
for i, year in enumerate(a.index):
hedgeMonthlyRet_current_year = hedgeMonthlyRet.ix[str(year)]
monthlyRet_current_year = monthlyRet.ix[str(year)]
benchmarkMonthlyRet_current_year = benchmarkMonthlyRet.ix[str(
year)]
hdSharp_current_year = stats.sharpe_ratio(
hedgeMonthlyRet_current_year, annualization=12)
hdMaxDown_current_year = stats.max_drawdown(
hedgeMonthlyRet_current_year)
hdReturn_current_year = stats.annual_return(
hedgeMonthlyRet_current_year, annualization=12)
hdWinRate_current_year = stats.win_rate(
monthlyRet_current_year, benchmarkMonthlyRet_current_year)
_l.append([
hdSharp_current_year, hdReturn_current_year,
hdMaxDown_current_year, hdWinRate_current_year
])
# 计算全年收益表现
hdSharp_all = stats.sharpe_ratio(hedgeMonthlyRet, annualization=12)
hdMaxDown_all = stats.max_drawdown(hedgeMonthlyRet)
hdReturn_all = stats.annual_return(hedgeMonthlyRet, annualization=12)
hdWinRate_all = stats.win_rate(hedgeMonthlyRet, benchmarkMonthlyRet)
_l.append([hdSharp_all, hdReturn_all, hdMaxDown_all, hdWinRate_all])
result = pd.DataFrame(_l,
columns=['夏普比率', '年化收益', '最大回撤', '胜率'],
index=list(a.index) + ['All'])
return result
def default_stats_spec(period='weekly', ann_rf_rate=0):
"""Generate specs for some standard statistics, given annual risk-free rate and return period of data."""
per_rf_rate = _ann_rate_to_period_rate(ann_rf_rate, period)
stats_spec = {
'Annual Return':
lambda x: estats.annual_return(x, period),
'Max Drawdown':
estats.max_drawdown,
'Annual Volatility':
lambda x: estats.annual_volatility(x, period),
'Sharpe Ratio':
lambda x: estats.sharpe_ratio(x, risk_free=per_rf_rate, period=period),
'Downside Volatility':
lambda x: estats.downside_risk(x, period=period),
'Sortino Ratio':
lambda x: estats.sortino_ratio(x, period=period)
}
return stats_spec
def total_performance(self):
"""策略全局表现"""
win_rate_func = lambda x, y: stats.win_rate(
x, factor_returns=0, period=y)
df = pd.DataFrame(
[[
self.abs_total_return, self.total_benchmark_return,
self.rel_total_return
],
[
self.abs_maxdrawdown,
stats.max_drawdown(self.benchmark_return),
self.rel_maxdrawdown
],
[
self.abs_annual_volatility,
stats.annual_volatility(self.benchmark_return),
self.rel_annual_volatility
],
[
self.abs_annual_return,
stats.annual_return(self.benchmark_return),
self.rel_annual_return
],
[
self.abs_sharp_ratio,
stats.sharpe_ratio(self.benchmark_return,
simple_interest=True), self.rel_sharp_ratio
],
[
win_rate_func(self.portfolio_return, 'monthly'),
win_rate_func(self.benchmark_return, 'monthly'),
win_rate_func(self.active_return, 'monthly')
]],
columns=['portfolio', 'benchmark', 'hedge'],
index=[
'total_return', 'maxdd', 'volatility', 'annual_return',
'sharp', 'win_rate'
])
return df
def portfolio_performance(weights, daily_returns, overall_returns=None, previous_weights=None):
"""
Calculates performance of a portfolio
"""
returns = np.matmul(daily_returns, weights)
# Add statistics present in SIMPLE_STAT_FUNCS
statistics = list([])
statistics.append(stats.annual_return(returns))
statistics.append(stats.annual_volatility(returns))
statistics.append(nan_to_zero(stats.sharpe_ratio(returns)))
statistics.append(stats.sortino_ratio(returns))
statistics.append(stats.omega_ratio(returns))
statistics.append(stats.calmar_ratio(returns))
statistics.append(stats.tail_ratio(returns))
statistics.append(ssd(returns))
statistics.append(scipy.stats.skew(returns))
statistics.append(scipy.stats.kurtosis(returns))
statistics.append(turnover(weights, previous_weights))
if overall_returns is not None:
overall_returns.extend(returns)
return statistics
def AnnualYield(self, hedge=True):
ret = self.activeRet if hedge else self.Ret
return stats.annual_return(ret, period=self.Freq)
def rel_annual_return(self):
return stats.annual_return(
self.portfolio_return) - stats.annual_return(self.benchmark_return)
def abs_annual_return(self):
return stats.annual_return(self.portfolio_return)
def ls_annual_return(self):
return stats.annual_return(self.long_short_return)
