def sortinofilter(funddf, rf, ratio):
funddfr = funddf.pct_change().fillna(0.0)
indexdfr = funddf.pct_change().fillna(0.0)
sortino = {}
cols = funddfr.columns
for col in cols:
p = []
rs = funddfr[col].values
for i in range(0, len(rs)):
if isnan(rs[i]):
continue
else:
p.append(rs[i])
sortino[col] = fin.sortino(p, rf)
x = sortino
sorted_x = sorted(x.iteritems(), key=lambda x : x[1], reverse=True)
sorted_sortino = sorted_x
result = []
for i in range(0, (int)(len(sorted_sortino) * ratio)):
result.append(sorted_sortino[i])
return result
def sortinomeasure(funddf, rf):
funddfr = funddf.pct_change().fillna(0.0)
indexdfr = funddf.pct_change().fillna(0.0)
sortino = {}
cols = funddfr.columns
for col in cols:
p = []
rs = funddfr[col].values
for i in range(0, len(rs)):
if isnan(rs[i]):
continue
else:
p.append(rs[i])
sortino_value = fin.sortino(p, rf)
#if np.isinf(sortino_value):
# continue
sortino[col] = sortino_value
return sortino
for i in range(1, len(indexvs)):
indexrs.append(indexvs[i] / indexvs[i-1] - 1)
rf = 0.025 / 52
jensen = {}
sortino = {}
for code in fundrs.keys():
rs = fundrs[code]
if len(rs) < len(indexrs):
continue
jensen[code] = fin.jensen(rs, indexrs, rf)
sortino[code] = fin.sortino(rs, rf)
#print jensen[codes[i]]
#print sortino[codes[i]]
#print jensen
#print sortino
#print dates
x = jensen
sorted_x = sorted(x.iteritems(), key=lambda x : x[1], reverse=True)
sorted_jensen = sorted_x
x = sortino
sorted_x = sorted(x.iteritems(), key=lambda x : x[1], reverse=True)