class PnlAnalyzer(Analyzer):
Pnl = "Pnl"
def __init__(self, portfolio, state):
self.portfolio = portfolio
self.state = state
self.series = DataSeries(time_series=self.state.pnl.series)
def update(self, timestamp: int, total_equity: float):
performance_series = self.portfolio.performance.series
if self.series.size() >= 2:
self.state.pnl.last_pnl = performance_series.get_by_idx(-1, PerformanceAnalyzer.TotalEquity) - \
performance_series.get_by_idx(-2, PerformanceAnalyzer.TotalEquity)
self.series.add(timestamp=timestamp, data={self.Pnl: self.state.pnl.last_pnl})
else:
self.state.pnl.last_pnl = 0
self.series.add(timestamp=timestamp, data={self.Pnl: self.state.pnl.last_pnl})
def get_result(self):
return {self.Pnl: self.state.pnl.last_pnl}
def get_series(self, keys=None):
keys = keys if keys else self.Pnl
return {self.Pnl: self.series.get_series(self.Pnl)}
def last_pnl(self) -> float:
return self.state.pnl.last_pnl
def __create_plot(self):
series = DataSeries(time_series=TimeSeries())
t = 20170101
for idx, value in enumerate(self.values):
ts = datestr_to_unixtimemillis(t)
series.add(timestamp=ts, data={"value": value})
t = t + 1
values = series.get_series(["value"])
plot = TimeSeriesPlot(values)
return plot
class PerformanceAnalyzer(Analyzer):
Performance = "Performance"
StockValue = "stock_value"
Cash = "cash"
TotalEquity = "total_equity"
def __init__(self, portfolio, state):
self.portfolio = portfolio
self.state = state
self.series = DataSeries(time_series=self.state.performance.series)
def update(self, timestamp: int, total_equity: float):
self.state.performance.total_equity = total_equity
self.series.add(timestamp=timestamp,
data={
self.StockValue: self.state.stock_value,
self.Cash: self.state.cash,
self.TotalEquity: total_equity
})
def get_result(self):
return {
self.StockValue: self.state.stock_value,
self.Cash: self.state.cash,
self.TotalEquity: self.state.performance.total_equity
}
def get_series(self, keys=None):
keys = keys if keys else [self.StockValue, self.Cash, self.TotalEquity]
return self.series.get_series(keys)
def now(self, key):
return self.series.now(key)
def total_equity(self) -> float:
return self.state.performance.total_equity
class DrawDownAnalyzer(Analyzer):
DrawDown = "DrawDown"
DrawDownPct = "DrawDown%"
HighEquity = "HighEquity"
LowEquity = "LowEquity"
CurrentRunUp = "CurrentRunUp"
CurrentDrawDown = "CurrentDrawDown"
def __init__(self, portfolio, state):
self.portfolio = portfolio
self.state = state
self.series = DataSeries(time_series=self.state.drawdown.series)
def update(self, timestamp: int, total_equity: float):
if self.portfolio.performance.series.size() == 1:
self.state.drawdown.low_equity = total_equity
self.state.drawdown.high_equity = total_equity
else:
if total_equity > self.state.drawdown.high_equity:
self.state.drawdown.high_equity = total_equity
self.state.drawdown.low_equity = total_equity
self.state.drawdown.current_drawdown = 0
elif total_equity < self.state.drawdown.low_equity:
self.state.drawdown.low_equity = total_equity
self.state.drawdown.current_run_up = 0
elif total_equity > self.state.drawdown.low_equity and total_equity < self.state.drawdown.high_equity:
self.state.drawdown.current_drawdown = 1 - total_equity / self.state.drawdown.high_equity
self.state.drawdown.current_run_up = total_equity / self.state.drawdown.low_equity - 1
if self.portfolio.performance.series.size() >= 2:
self.state.drawdown.last_drawdown = total_equity - self.state.drawdown.high_equity
if self.state.drawdown.high_equity != 0:
self.state.drawdown.last_drawdown_pct = abs(
self.state.drawdown.last_drawdown /
self.state.drawdown.high_equity)
self.series.add(timestamp=timestamp,
data={
self.DrawDown:
self.state.drawdown.last_drawdown,
self.DrawDownPct:
self.state.drawdown.last_drawdown_pct
})
def get_result(self):
return {
self.DrawDown: self.state.drawdown.last_drawdown,
self.DrawDownPct: self.state.drawdown.last_drawdown_pct,
self.HighEquity: self.state.drawdown.high_equity,
self.LowEquity: self.state.drawdown.low_equity,
self.CurrentRunUp: self.state.drawdown.current_run_up,
self.CurrentDrawDown: self.state.drawdown.current_drawdown
}
def get_series(self, keys=None):
keys = keys if keys else [self.DrawDown, self.DrawDownPct]
return self.series.get_series(keys)
def last_drawdown(self) -> float:
return self.state.drawdown.last_drawdown
def last_drawdown_pct(self) -> float:
return self.state.drawdown.last_drawdown_pct
def high_equity(self) -> float:
return self.state.drawdown.high_equity
def low_equity(self) -> float:
return self.state.drawdown.low_equity
def current_run_up(self) -> float:
return self.state.drawdown.current_run_up
def current_drawdown(self) -> float:
return self.state.drawdown.current_drawdown
