def generate_robust_report(fund_matrix, out_file):
"""
@summary generates a report using robust backtesting
@param fund_matrix: a pandas matrix of fund time series
@param out_file: filename where to print report
"""
html_file = open(out_file,"w")
print_header(html_file, out_file)
converter.fundsToPNG(fund_matrix,'funds.png')
html_file.write("<H2>QSTK Generated Report:" + out_file + "</H2>\n")
html_file.write("<IMG SRC = \'./funds.png\'/>\n")
html_file.write("<IMG SRC = \'./analysis.png\'/>\n")
html_file.write("<BR/>\n\n")
print_stats(fund_matrix, "robust funds", html_file)
print_footer(html_file)
def generate_robust_report(fund_matrix, out_file):
"""
@summary generates a report using robust backtesting
@param fund_matrix: a pandas matrix of fund time series
@param out_file: filename where to print report
"""
html_file = open(out_file, "w")
print_header(html_file, out_file)
converter.fundsToPNG(fund_matrix, 'funds.png')
html_file.write("<H2>QSTK Generated Report:" + out_file + "</H2>\n")
html_file.write("<IMG SRC = \'./funds.png\'/>\n")
html_file.write("<IMG SRC = \'./analysis.png\'/>\n")
html_file.write("<BR/>\n\n")
print_stats(fund_matrix, "robust funds", html_file)
print_footer(html_file)
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>")