def get_queryset(self, **kwargs):
# user never run this view before?
if kwargs == {}:
print("WARNING: no form parameters specified - returning empty queryset")
return Quotation.objects.none()
self.sector = kwargs.get("sector", self.sector)
self.sector_id = int(Sector.objects.get(sector_name=self.sector).sector_id)
wanted_stocks = all_sector_stocks(self.sector)
print("Found {} stocks matching sector={}".format(len(wanted_stocks), self.sector))
mrd = latest_quotation_date('ANZ')
report_top_n = kwargs.get('report_top_n', None)
report_bottom_n = kwargs.get('report_bottom_n', None)
if report_top_n is not None or report_bottom_n is not None:
cip_sum = selected_cached_stocks_cip(wanted_stocks, Timeframe(past_n_days=90)).transpose().sum().to_frame(name="percent_cip")
#print(cip_sum)
top_N = set(cip_sum.nlargest(report_top_n, "percent_cip").index) if report_top_n is not None else set()
bottom_N = set(cip_sum.nsmallest(report_bottom_n, "percent_cip").index) if report_bottom_n is not None else set()
wanted_stocks = top_N.union(bottom_N)
print("Requesting valid quotes for {} stocks".format(len(wanted_stocks)))
self.qs = valid_quotes_only(mrd).filter(asx_code__in=wanted_stocks)
if len(self.qs) < len(wanted_stocks):
got = set([q.asx_code for q in self.qs.all()])
missing_stocks = wanted_stocks.difference(got)
warning(self.request, f"could not obtain quotes for all stocks as at {mrd}: {missing_stocks}")
return self.qs
def analyse_sector(stock, sector, all_stocks_cip, window_size=14):
assert all_stocks_cip is not None
sector_companies = all_sector_stocks(sector) if sector else [] # ETFs dont have a sector for now...
if len(sector_companies) > 0:
cip = all_stocks_cip.filter(items=sector_companies, axis='index')
cip = cip.fillna(0.0)
#assert len(cip) == len(sector_companies) # may fail when some stocks missing due to delisted etc.
rows = []
cum_sum = defaultdict(float)
stock_versus_sector = []
# identify the best performing stock in the sector and add it to the stock_versus_sector rows...
best_stock_in_sector = cip.sum(axis=1).nlargest(1).index[0]
for day in sorted(cip.columns, key=lambda k: datetime.strptime(k, "%Y-%m-%d")):
for asx_code, daily_change in cip[day].iteritems():
cum_sum[asx_code] += daily_change
n_pos = len(list(filter(lambda t: t[1] >= 5.0, cum_sum.items())))
n_neg = len(list(filter(lambda t: t[1] < -5.0, cum_sum.items())))
n_unchanged = len(cip) - n_pos - n_neg
rows.append({ 'n_pos': n_pos, 'n_neg': n_neg, 'n_unchanged': n_unchanged, 'date': day})
stock_versus_sector.append({ 'group': stock, 'date': day, 'value': cum_sum[stock] })
stock_versus_sector.append({ 'group': 'sector_average', 'date': day, 'value': pd.Series(cum_sum).mean() })
if stock != best_stock_in_sector:
stock_versus_sector.append({ 'group': '{} (best in {})'.format(best_stock_in_sector, sector), 'value': cum_sum[best_stock_in_sector], 'date': day})
df = pd.DataFrame.from_records(rows)
sector_momentum_plot = plot_sector_performance(df, sector, window_size=window_size)
stock_versus_sector_df = pd.DataFrame.from_records(stock_versus_sector)
c_vs_s_plot = plot_company_versus_sector(stock_versus_sector_df, stock, sector)
point_score_plot = analyse_point_scores(stock, sector_companies, all_stocks_cip)
else:
c_vs_s_plot = sector_momentum_plot = point_score_plot = None
return c_vs_s_plot, sector_momentum_plot, point_score_plot
def show_sector_outliers(request, sector_id=None, n_days=30):
validate_user(request.user)
assert isinstance(sector_id, int) and sector_id > 0
stocks = all_sector_stocks(
Sector.objects.get(sector_id=sector_id).sector_name)
return show_outliers(request, stocks, n_days=n_days)
def test_all_sectors(all_sector_fixture):
# since company_details_factory gives a single ANZ company details record, this test will work...
ret = all_sectors()
#print(ret)
assert ret == [('Financials', 'Financials')]
# and check the reverse is true: financials -> ANZ
all_sector_stocks.cache_clear()
assert all_sector_stocks('Financials') == set(['ANZ'])
def recalc_queryset(self, **kwargs):
if kwargs == {} or not any(
["name" in kwargs, "activity" in kwargs, "sector" in kwargs]):
return Quotation.objects.none()
wanted_name = kwargs.get("name", "")
wanted_activity = kwargs.get("activity", "")
if len(wanted_name) > 0 or len(wanted_activity) > 0:
matching_companies = find_named_companies(wanted_name,
wanted_activity)
else:
matching_companies = all_stocks()
sector = kwargs.get("sector", self.DEFAULT_SECTOR)
sector_id = int(Sector.objects.get(sector_name=sector).sector_id)
sector_stocks = all_sector_stocks(sector)
if kwargs.get("sector_enabled", False):
matching_companies = matching_companies.intersection(sector_stocks)
print("Found {} companies matching: name={} or activity={}".format(
len(matching_companies), wanted_name, wanted_activity))
report_top_n = kwargs.get("report_top_n", None)
report_bottom_n = kwargs.get("report_bottom_n", None)
self.timeframe = Timeframe(past_n_days=90)
ld = LazyDictionary()
ld["sector"] = sector
ld["sector_id"] = sector_id
ld["sector_companies"] = sector_stocks
if len(matching_companies) > 0:
ld["cip_df"] = selected_cached_stocks_cip(matching_companies,
self.timeframe)
else:
ld["cip_df"] = pd.DataFrame()
ld["sector_performance_df"] = lambda ld: make_sector_performance_dataframe(
ld["cip_df"], ld["sector_companies"])
ld["sector_performance_plot"] = lambda ld: self.sector_performance(ld)
self.ld = ld
wanted_stocks = self.filter_top_bottom(ld, matching_companies,
report_top_n, report_bottom_n)
print("Requesting valid quotes for {} stocks".format(
len(wanted_stocks)))
quotations_as_at, actual_mrd = valid_quotes_only(
"latest", ensure_date_has_data=True)
ret = quotations_as_at.filter(asx_code__in=wanted_stocks)
if len(ret) < len(wanted_stocks):
got = set([q.asx_code
for q in self.qs.all()]) if self.qs else set()
missing_stocks = wanted_stocks.difference(got)
warning(
self.request,
f"could not obtain quotes for all stocks as at {actual_mrd}: {missing_stocks}",
)
print("Showing results for {} companies".format(
len(matching_companies)))
ret, _ = latest_quote(tuple(matching_companies))
return ret
def get_dataset(dataset_wanted, request, timeframe=None):
assert (dataset_wanted in set(["market_sentiment", "eps-per-sector"])
or dataset_wanted.startswith("kmeans-")
or dataset_wanted.startswith("financial-metrics-")
or dataset_wanted.startswith("stock-quotes-"))
if timeframe is None:
timeframe = Timeframe(past_n_days=300)
if dataset_wanted == "market_sentiment":
df = cached_all_stocks_cip(timeframe)
return df
elif dataset_wanted == "kmeans-watchlist":
_, _, _, _, df = make_kmeans_cluster_dataframe(
timeframe, 7, user_watchlist(request.user))
return df
elif dataset_wanted == "kmeans-etfs":
_, _, _, _, df = make_kmeans_cluster_dataframe(timeframe, 7,
all_etfs())
return df
elif dataset_wanted.startswith("stock-quotes-"):
stock = dataset_wanted[len("stock-quotes-"):]
validate_stock(stock)
df = company_prices([stock],
timeframe=timeframe,
fields=all_stock_fundamental_fields,
missing_cb=None)
df['stock_code'] = stock
return df
elif dataset_wanted.startswith("kmeans-sector-"):
sector_id = int(dataset_wanted[14:])
sector = Sector.objects.get(sector_id=sector_id)
if sector is None or sector.sector_name is None:
raise Http404("No stocks associated with sector")
asx_codes = all_sector_stocks(sector.sector_name)
_, _, _, _, df = make_kmeans_cluster_dataframe(timeframe, 7, asx_codes)
return df
elif dataset_wanted.startswith("financial-metrics-"):
stock = dataset_wanted[len("financial-metrics-"):]
validate_stock(stock)
df = financial_metrics(stock)
if df is not None:
# excel doesnt support timezones, so we remove it first
colnames = [d.strftime("%Y-%m-%d") for d in df.columns]
df.columns = colnames
# FALLTHRU
return df
elif dataset_wanted == "eps-per-sector":
df, _ = pe_trends_df(Timeframe(past_n_days=180))
df = make_pe_trends_eps_df(df, stocks_by_sector())
df = df.set_index("asx_code", drop=True)
return df
else:
raise ValueError("Unsupported dataset {}".format(dataset_wanted))
def test_all_sectors(
all_sector_fixture,
): # pylint: disable=unused-argument,redefined-outer-name
# since company_details_factory gives a single ANZ company details record, this test will work...
ret = all_sectors()
# print(ret)
assert ret == [("Financials", "Financials")]
# and check the reverse is true: financials -> ANZ
all_sector_stocks.cache_clear()
stocks_by_sector.cache_clear()
assert all_sector_stocks("Financials") == set(["ANZ"])
def filter_stocks_to_search(request, what_to_search: str) -> set:
assert request is not None
assert len(what_to_search) > 0
if what_to_search == "all_stocks":
stocks_to_consider = all_stocks()
elif what_to_search == "watchlist":
stocks_to_consider = user_watchlist(request.user)
else:
#print(what_to_search)
stocks_to_consider = all_sector_stocks(what_to_search)
return stocks_to_consider
def form_valid(self, form):
sector = form.cleaned_data.get('sector', "Communication Services")
norm_method = form.cleaned_data.get('normalisation_method', None)
n_days = form.cleaned_data.get('n_days', 30)
stocks = all_sector_stocks(sector)
timeframe = Timeframe(past_n_days=n_days)
cip = selected_cached_stocks_cip(stocks, timeframe)
context = self.get_context_data()
boxplot, winner_results = plot_boxplot_series(cip, normalisation_method=norm_method)
context.update({
'title': "Past {} day sector performance: box plot trends".format(n_days),
'n_days': n_days,
'sector': sector,
'plot': boxplot,
'winning_stocks': winner_results
})
return render(self.request, self.template_name, context)
def form_valid(self, form):
sector = form.cleaned_data.get("sector", "Communication Services")
norm_method = form.cleaned_data.get("normalisation_method", None)
n_days = form.cleaned_data.get("n_days", 30)
ld = LazyDictionary()
ld["stocks"] = lambda ld: all_sector_stocks(sector)
ld["timeframe"] = Timeframe(past_n_days=n_days)
ld["cip_df"] = lambda ld: selected_cached_stocks_cip(
ld["stocks"], ld["timeframe"])
context = self.get_context_data()
def winner_results(df: pd.DataFrame) -> list:
# compute star performers: those who are above the mean on a given day counted over all days
count = defaultdict(int)
avg = df.mean(axis=0)
for col in df.columns:
winners = df[df[col] > avg[col]][col]
for winner in winners.index:
count[winner] += 1
results = []
for asx_code, n_wins in count.items():
x = df.loc[asx_code].sum()
# avoid "dead cat bounce" stocks which fall spectacularly and then post major increases in percentage terms
if x > 0.0:
results.append((asx_code, n_wins, x))
return list(reversed(sorted(results, key=lambda t: t[2])))
context.update({
"title":
"Past {} day sector performance: box plot trends".format(n_days),
"n_days":
n_days,
"sector":
sector,
"plot_uri":
cache_plot(
f"{sector}-recent-sector-view-{ld['timeframe'].description}-{norm_method}",
lambda ld: plot_boxplot_series(
ld["cip_df"], normalisation_method=norm_method),
datasets=ld,
),
"winning_stocks":
winner_results(ld["cip_df"]),
})
return render(self.request, self.template_name, context)
def analyse_sector_performance(stock,
sector,
all_stocks_cip,
window_size=10) -> tuple:
assert isinstance(stock, str)
assert isinstance(all_stocks_cip, pd.DataFrame)
if sector is not None: # not an ETF? ie. sector information available?
sector_companies = all_sector_stocks(sector)
c_vs_s_plot, sector_momentum_plot = analyse_sector(
stock,
sector,
sector_companies,
all_stocks_cip,
window_size=window_size)
return c_vs_s_plot, sector_momentum_plot, sector_companies
else:
return (None, None, None)
def stocks(self):
if self.sector is None:
self.sector = "Information Technology"
return sorted(all_sector_stocks(self.sector))
def is_valid_sector(value):
assert value is not None
return len(all_sector_stocks(value)) > 0
def cluster_stocks_view(request, stocks: str):
"""
ref: https://pythonforfinance.net/2018/02/08/stock-clusters-using-k-means-algorithm-in-python/
"""
validate_user(request.user)
timeframe = Timeframe(past_n_days=300)
if stocks == "watchlist":
asx_codes = user_watchlist(request.user)
elif stocks == "etfs":
asx_codes = all_etfs()
elif stocks.startswith("sector-"):
sector_id = int(stocks[7:])
sector = Sector.objects.get(sector_id=sector_id)
if sector is None or sector.sector_name is None:
raise Http404("No stocks associated with sector")
asx_codes = all_sector_stocks(sector.sector_name)
else:
raise Http404("Unknown stock list {}".format(stocks))
chosen_k = 7 # often a reasonable tradeoff
def elbow_curve_plot(ld: LazyDictionary):
distortion, _, _, _, _ = make_kmeans_cluster_dataframe(
timeframe, chosen_k, asx_codes
)
fig = plt.figure(figsize=(15, 5))
plt.plot(range(2, 20), distortion)
plt.grid(True)
plt.title("Elbow curve")
return fig
def cluster_plot(ld: LazyDictionary):
_, _, centroids, idx, data_df = make_kmeans_cluster_dataframe(
timeframe, chosen_k, asx_codes
)
centroids_df = pd.DataFrame.from_records(
centroids, columns=["return", "volatility"]
)
plot = (
p9.ggplot(
data_df, p9.aes("return", "volatility", colour="factor(cluster_id)")
)
+ p9.geom_point(size=3)
+ p9.facet_wrap("~cluster_id", ncol=3, scales="free")
)
return user_theme(
plot,
x_axis_label="Returns (%)",
y_axis_label="Volatility (%)",
figure_size=(15, 15),
subplots_adjust={"hspace": 0.15, "wspace": 0.15},
)
stocks_as_str = "-".join(sorted(asx_codes))
elbow_curve_uri = cache_plot(
f"{request.user.username}-cluster-{stocks_as_str}-elbow-curve-plot",
elbow_curve_plot,
)
cluster_uri = cache_plot(
f"{request.user.username}-cluster-{stocks_as_str}-kmeans-cluster-plot",
cluster_plot,
)
context = {
"elbow_curve_plot_uri": elbow_curve_uri,
"k": chosen_k,
"dataset": stocks,
"n_stocks": len(asx_codes),
"cluster_plot_uri": cluster_uri,
"timeframe": timeframe,
}
return render(request, "cluster_stocks.html", context=context)
