def get_daily_sharpe(fund_ts, years):
"""
@summary prints sharpe ratio for given fund and years to the given stream
@param fund_ts: pandas fund time series
@param years: list of years to print out
@param ostream: stream to print to
"""
s_ret = ""
for year in years:
year_vals = []
for date in fund_ts.index:
if (date.year == year):
year_vals.append([fund_ts.ix[date]])
ret = fu.get_sharpe_ratio(year_vals)
s_ret += " % + 8.2f " % ret
return s_ret
def get_daily_sharpe(fund_ts, years):
"""
@summary prints sharpe ratio for given fund and years to the given stream
@param fund_ts: pandas fund time series
@param years: list of years to print out
@param ostream: stream to print to
"""
s_ret=""
for year in years:
year_vals = []
for date in fund_ts.index:
if(date.year==year):
year_vals.append([fund_ts.ix[date]])
ret = fu.get_sharpe_ratio(year_vals)
s_ret+=" % + 8.2f " % ret
return s_ret
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,
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)
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)
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('mysql')
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_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, 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)
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)
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('mysql')
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('mysql')
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>")
