def output_summary_stats(self):
#creates equity df from all holdings
self.equity_curve = pd.DataFrame(self.all_holdings)
self.equity_curve.set_index('datetime', inplace=True)
self.equity_curve['returns'] = self.equity_curve['total'].pct_change()
#curve['equity_curve'] = (1.0+curve['returns']).cumprod()
#self.equity_curve = curve
#summary stats for portfolio
returns = self.equity_curve['returns']
#pnl = self.equity_curve['equity_curve']
sharpe_ratio = performance.annualised_sharpe(returns, N=252)
sortino_ratio = performance.annualised_sortino(returns, N=252)
ddstats = performance.dd_stats(returns, N=252)
annualised_mar = ddstats[0]
total_return_mar = ddstats[1]
maxDD = ddstats[2]
maxDDduration = ddstats[3]
averageDDduration = ddstats[4]
numberDDs = ddstats[5]
averageDD = ddstats[6]
self.equity_curve['equity_curve'] = ddstats[7]
self.equity_curve['ddPercentSeries'] = ddstats[8]
ccr_total_return = ddstats[9]
total_return = ddstats[10]
cagr = ddstats[11]
stats = [('Total Return', '%0.2f%%' % ((total_return)*100.0)),
('CAGR', '%0.2f%%' % ((cagr)*100.0)),
('Sharpe Ratio', '%0.2f' % sharpe_ratio),
('Sortino Ratio', '%0.2f' % sortino_ratio),
('Annualised MAR', '%0.2f' % annualised_mar),
('Total Return MAR', '%0.2f' % total_return_mar),
('Max Drawdown', '%0.2f%%' % (maxDD*100.0)),
('Drawdown Duration', '%d'% maxDDduration , ' periods' ),
('Average DD Duration', '%0.2f' % averageDDduration, ' periods' ),
('Average Drawdown', '%0.2f%%' % averageDD),
('Number of Drawdowns', '%d' % numberDDs)
]
self.equity_curve.to_csv('/media/sf_Python/' + datetime.datetime.now().
strftime('%Y-%m-%d-%H-%M-%S')+'_equity.csv')
return stats
from sys import path
import os
path.append(os.getcwd() + '/../engine')
path.append(os.getcwd() + '/../')
import pandas as pd
import performance
if __name__ == "__main__":
data = pd.io.parsers.read_csv(
'AAPL.csv', header=0, index_col=0, parse_dates=True,
names=['datetime','open','low','high','close','volume','oi']
).sort()
returns = data['close'].pct_change()
data['returns'] = returns
sharpe_ratio = performance.annualised_sharpe(returns, N=252)
sortino_ratio = performance.annualised_sortino(returns, N=252)
ddstats = performance.dd_stats(returns, N=252)
annualised_mar = ddstats[0]
total_return_mar = ddstats[1]
maxDD = ddstats[2]
maxDDduration = ddstats[3]
averageDDduration = ddstats[4]
numberDDs = ddstats[5]
averageDD = ddstats[6]
data['equity_curve'] = ddstats[7]
data['ddPercentSeries'] = ddstats[8]
ccr_total_return = ddstats[9]
total_return = ddstats[10]
cagr = ddstats[11]
