def monthly(funds):
"""
@summary Computes monthly returns centered around 0
@param funds: A time series containing daily fund values
@return an array of monthly returns
"""
funds2 = []
last_last_month = -1
years = qsdateutil.getYears(funds)
for year in years:
months = qsdateutil.getMonths(funds, year)
for month in months:
last_this_month = qsdateutil.getLastDay(funds, year, month)
if last_last_month == -1 :
last_last_month=qsdateutil.getFirstDay(funds, year, month)
if type(funds).__name__=='TimeSeries':
funds2.append(funds[last_this_month]/funds[last_last_month]-1)
else:
funds2.append(funds.xs(last_this_month)/funds.xs(last_last_month)-1)
last_last_month = last_this_month
return(funds2)
def average_monthly(funds):
"""
@summary Computes average monthly returns centered around 0
@param funds: A time series containing daily fund values
@return an array of average monthly returns
"""
rets = daily(funds)
ret_i = 0
years = qsdateutil.getYears(funds)
averages = []
for year in years:
months = qsdateutil.getMonths(funds, year)
for month in months:
avg = 0
count = 0
days = qsdateutil.getDays(funds, year, month)
for day in days:
avg += rets[ret_i]
ret_i += 1
count += 1
averages.append(float(avg) / count)
return (averages)
def average_monthly(funds):
"""
@summary Computes average monthly returns centered around 0
@param funds: A time series containing daily fund values
@return an array of average monthly returns
"""
rets = daily(funds)
ret_i = 0
years = qsdateutil.getYears(funds)
averages = []
for year in years:
months = qsdateutil.getMonths(funds, year)
for month in months:
avg = 0
count = 0
days = qsdateutil.getDays(funds, year, month)
for day in days:
avg += rets[ret_i]
ret_i += 1
count += 1
averages.append(float(avg) / count)
return(averages)
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, s_leverage_name="Leverage",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, s_leverage_name=s_leverage_name)
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, s_leverage_name=s_leverage_name)
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('Yahoo')
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_stats(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, s_leverage_name="Leverage", commissions = 0, slippage = 0, borrowcost = 0, ostream = sys.stdout,
i_start_cash=1000000, ts_turnover="False"):
"""
@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, '')
if original != "" and type(original) != type([]):
original = [original]
if type(s_original_name) != type([]):
s_original_name = [s_original_name]
#make names length independent for alignment
s_formatted_original_name = []
for name_temp in s_original_name:
s_formatted_original_name.append("%15s" % name_temp)
s_formatted_fund_name = "%15s" % s_fund_name
fund_ts=fund_ts.fillna(method='pad')
fund_ts=fund_ts.fillna(method='bfill')
fund_ts=fund_ts.fillna(1.0)
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")
ostream.write("<pre>")
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, s_leverage_name=s_leverage_name)
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, s_leverage_name=s_leverage_name)
else:
print_plot([fund_ts, original], benchmark, name, splot_dir, s_original_name, lf_dividend_rets, i_start_cash = i_start_cash)
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=700 />\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('Yahoo')
years = du.getYears(fund_ts)
benchmark_close = dataobj.get_data(timestamps, benchmark, ["close"], \
verbose = False)[0]
for bench_sym in benchmark:
benchmark_close[bench_sym]=benchmark_close[bench_sym].fillna(method='pad')
benchmark_close[bench_sym]=benchmark_close[bench_sym].fillna(method='bfill')
benchmark_close[bench_sym]=benchmark_close[bench_sym].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])
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"," %15s, %10.2f%%" % (locale.currency(int(round(fund_ts.values[-1]*mult)), grouping=True), \
float(100*((fund_ts.values[-1]/fund_ts.values[0])-1))), i_spacing=4, 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)
# print_line(s_formatted_original_name+" Resulting Value"," %15s, %10.2f%%" % (locale.currency(int(round(original.values[-1]*mult3)), grouping=True), \
# float(100*((original.values[-1]/original.values[0])-1))), i_spacing=4, ostream=ostream)
if type(original)!=type("str"):
for i in range(len(original)):
mult3 = i_start_cash / original[i].values[0]
# print_line(s_formatted_original_name +" Resulting Value",(locale.currency(int(round(original[i].values[-1]*mult3)), grouping=True)),i_spacing=3, ostream=ostream)
print_line(s_formatted_original_name[i]+" Resulting Value"," %15s, %10.2f%%" % (locale.currency(int(round(original[i].values[-1]*mult3)), grouping=True), \
float(100*((original[i].values[-1]/original[i].values[0])-1))), i_spacing=4, 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)
print_line(bench_sym+" Resulting Value"," %15s, %10.2f%%" % (locale.currency(int(round(benchmark_close[bench_sym].values[-1]*mult2)), grouping=True), \
float(100*((benchmark_close[bench_sym].values[-1]/benchmark_close[bench_sym].values[0])-1))), i_spacing=4, 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"):
for i in range(len(original)):
print_line(s_formatted_original_name[i]+" Sharpe Ratio","%10.3f" % fu.get_sharpe_ratio(original[i].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")
# KS - Similarity
# ks, p = ks_statistic(fund_ts);
# if ks!= -1 and p!= -1:
# if ks < p:
# ostream.write("\nThe last three month's returns are consistent with previous performance (KS = %2.5f, p = %2.5f) \n\n"% (ks, p))
# else:
# ostream.write("\nThe last three month's returns are NOT CONSISTENT with previous performance (KS = %2.5f, p = %2.5f) \n\n"% (ks, p))
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"):
for i in range(len(original)):
print_line(s_formatted_original_name[i]+" Std Dev of Returns", get_std_dev(original[i]), 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)
if type(original)!=type("str"):
for i in range(len(original)):
s_line=""
for f_token in get_annual_return(original[i], years):
s_line+=" %+8.2f%%" % f_token
print_line(s_formatted_original_name[i]+" Annualized Return", s_line, i_spacing=4, ostream=ostream)
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)
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"):
for i in range(len(original)):
print_line(s_formatted_original_name[i]+" Winning Days",get_winning_days(original[i], 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"):
for i in range(len(original)):
print_line(s_formatted_original_name[i]+" Max Draw Down",get_max_draw_down(original[i], 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"):
for i in range(len(original)):
print_line(s_formatted_original_name[i]+" Daily Sharpe Ratio",get_daily_sharpe(original[i], 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"):
for i in range(len(original)):
print_line(s_formatted_original_name[i]+" Daily Sortino Ratio",get_daily_sortino(original[i], 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)
if type(ts_turnover) != type("False"):
ostream.write("\n\nMonthly Turnover for the fund\n")
print_monthly_turnover(fund_ts, years, ts_turnover, ostream)
ostream.write("\n\n3 Month Kolmogorov-Smirnov 2-Sample Similarity Test\n")
print_monthly_ks(fund_ts, years, ostream)
ks, p = ks_statistic(fund_ts);
if ks!= -1 and p!= -1:
ostream.write("\nResults for the Similarity Test over last 3 months : (KS = %2.5f, p = %2.5f) \n\n"% (ks, p))
if directory != False:
ostream.write("</pre>")
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>")
