def multi_line_view(self,
df,
b_date,
cd_set_a,
cd_set_b=[],
size=(15, 7),
make_file=False):
cds_a = common.str_list(cd_set_a)
cds_b = common.str_list(cd_set_b)
fig, ax1 = plt.subplots(figsize=size)
x = df.loc[b_date:].index
plt.autoscale(True, axis='both')
i = 1
for c in cds_a:
if i == 1:
ax1.plot(x,
df.loc[b_date:, c],
color='C' + str(i),
lw=3,
label=c)
pass
else:
ax1.plot(x, df.loc[b_date:, c], color='C' + str(i), label=c)
i += 1
if cds_b:
ax2 = ax1.twinx()
i = 6
for c in cds_b:
ax2.plot(x,
df.loc[b_date:, c],
color='C' + str(i),
label=c,
alpha=0.7)
ax1.plot(np.nan, color='C' + str(i), label=c)
i += 1
x_length = len(x)
jump = int(x_length / 10)
xs = list()
for i in range(10):
xs.append(x[jump * i])
xs.append(x[-1])
ax1.set_xticks(np.arange(0, x_length + jump, jump))
ax1.set_xticklabels(xs, rotation=45)
ax2.set_xticks(np.arange(0, x_length + jump, jump))
ax2.set_xticklabels(xs, rotation=45)
ax1.legend(loc=0)
if make_file:
plt.savefig('./image/' + Visualize.today + cds_a[0] +
' multi_line_view.png',
bbox_inches='tight')
def futures_basis_view(self,
df,
threshold,
s_cd,
make_file=False,
size=(15, 7)):
cds = common.str_list(s_cd)
fig, ax = plt.subplots(figsize=size)
x = df.index
plt.fill_between(x,
df[cds[0]],
df[cds[0]] + df['basis'],
facecolor='sienna',
alpha=0.2)
plt.plot(x, df[cds[0]], 'sienna', linestyle='--')
plt.plot(x, df[cds[1]], 'C1', lw=3)
x_length = len(x)
jump = int(x_length / 10)
xs = list()
for i in range(10):
xs.append(x[jump * i])
xs.append(x[-1])
plt.xticks(np.arange(0, x_length + jump, jump), xs, rotation=45)
plt.legend()
if make_file:
plt.savefig('./image/' + VisualizeIntraday.today + cds[0] +
' futures_basis_view.png',
bbox_inches='tight')
def position_view(self, df, s_cd, size=(15, 1), make_file=False):
cds = common.str_list(s_cd)
fig, ax = plt.subplots(figsize=size)
x = df.index
for c in cds:
df['ps' + c] = 0
df.loc[df['p ' + c] == 'll', ['ps' + c]] = 1
df.loc[df['p ' + c] == 'sl', ['ps' + c]] = 1
df.loc[df['p ' + c] == 'zl', ['ps' + c]] = 1
df.loc[df['p ' + c] == 'ls', ['ps' + c]] = -1
df.loc[df['p ' + c] == 'ss', ['ps' + c]] = -1
df.loc[df['p ' + c] == 'zs', ['ps' + c]] = -1
plt.fill_between(x, df['ps' + c], 0, label=c)
plt.yticks([-1, 0, 1], ["Short", "Zero", "Long"])
x_length = len(x)
jump = int(x_length / 10)
xs = list()
for i in range(10):
xs.append(x[jump * i])
xs.append(x[-1])
plt.xticks(np.arange(0, x_length + jump, jump), xs, rotation=45)
plt.legend()
if make_file:
plt.savefig('./image/' + VisualizeIntraday.today + cds[0] +
' position_view.png',
bbox_inches='tight')
def index_view(self, df, b_date, s_cd, size=(10, 7), make_file=False):
fig, ax = plt.subplots(1, 1, figsize=size)
x = df.loc[b_date:].index
plt.autoscale(True, axis='both')
cds = common.str_list(s_cd)
for c in cds:
plt.plot(x, df.loc[b_date:, c] / df.loc[b_date, c] * 100, label=c)
x_length = len(x)
jump = int(x_length / 10)
xs = list()
for i in range(10):
xs.append(x[jump * i])
xs.append(x[-1])
plt.xticks(np.arange(0, x_length + jump, jump), xs, rotation=45)
plt.legend()
if make_file:
plt.savefig('./image/' + Visualize.today + s_cd[0] +
' index_view.png',
bbox_inches='tight')
def position_view_bar(self, df, cd, size=(15, 1), make_file=False):
cds = common.str_list(cd)
fig, ax = plt.subplots(figsize=size)
x = df.index
x_ticks = self.time_serial(df)
plt.xticks(x_ticks[0], x_ticks[1])
plt.autoscale(True, axis='x')
for c in cds:
df['ps' + c] = 0
df.loc[df['p ' + c] == 'll', ['ps' + c]] = 1
df.loc[df['p ' + c] == 'sl', ['ps' + c]] = 1
df.loc[df['p ' + c] == 'zl', ['ps' + c]] = 1
df.loc[df['p ' + c] == 'ls', ['ps' + c]] = -1
df.loc[df['p ' + c] == 'ss', ['ps' + c]] = -1
df.loc[df['p ' + c] == 'zs', ['ps' + c]] = -1
plt.bar(range(x.size), df['ps' + c], width=1, label=c)
plt.yticks([-1, 0, 1], ["Short", "Zero", "Long"])
plt.legend()
if make_file:
plt.savefig('./image/' + self.today + cds[0] +
' position_view.png',
bbox_inches='tight')
def futures_basis_view(self,
df,
threshold,
cd,
size=(15, 7),
make_file=False):
cds = common.str_list(cd)
fig, ax = plt.subplots(figsize=size)
x = df.index
plt.autoscale(True, axis='both')
plt.fill_between(x,
df[cds[0]],
df[cds[0]] + df['basis'],
facecolor='sienna',
alpha=0.2)
plt.plot(x, df[cds[0]], 'sienna', linestyle='--')
plt.plot(x, df[cds[1]], 'C1', lw=3)
plt.legend()
if make_file:
plt.savefig('./image/' + self.today + cds[0] +
' futures_basis_view.png',
bbox_inches='tight')
def position_view(self,
df,
cd,
size=(15, 1),
make_file=False,
file_name=''):
cds = common.str_list(cd)
fig, ax = plt.subplots(figsize=size)
x = df.index
for c in cds:
df['ps' + c] = 0
df.loc[df['p ' + c] == 'll', ['ps' + c]] = 1
df.loc[df['p ' + c] == 'sl', ['ps' + c]] = 1
df.loc[df['p ' + c] == 'zl', ['ps' + c]] = 1
df.loc[df['p ' + c] == 'ls', ['ps' + c]] = -1
df.loc[df['p ' + c] == 'ss', ['ps' + c]] = -1
df.loc[df['p ' + c] == 'zs', ['ps' + c]] = -1
plt.fill_between(x, df['ps' + c], 0, label=c)
plt.yticks([-1, 0, 1], ["Short", "Zero", "Long"])
plt.legend()
if make_file:
f_name = file_name + '_position_view.png'
plt.savefig('./image/' + f_name, bbox_inches='tight')
def multi_line_view(self,
df,
b_date,
cd_a,
cd_b,
size=(15, 7),
make_file=False):
cds_a = common.str_list(cd_a)
cds_b = common.str_list(cd_b)
fig, ax1 = plt.subplots(figsize=size)
x = df.loc[b_date:].index
i = 1
for c in cds_a:
if i == 1:
ax1.plot(x,
df.loc[b_date:, c],
color='C' + str(i),
lw=3,
label=c)
pass
else:
ax1.plot(x, df.loc[b_date:, c], color='C' + str(i), label=c)
i += 1
if cds_b:
ax2 = ax1.twinx()
i = 6
for c in cds_b:
ax2.plot(x,
df.loc[b_date:, c],
color='C' + str(i),
label=c,
alpha=0.7)
ax1.plot(np.nan, color='C' + str(i), label=c)
i += 1
ax1.legend(loc=0)
if make_file:
plt.savefig('./image/' + self.today + cds_a[0] +
' multi_line_view.png',
bbox_inches='tight')
def price_view(self, df, b_date, cd, size=(15, 7), make_file=False):
cds = common.str_list(cd)
fig, ax = plt.subplots(figsize=size)
x = df.loc[b_date:].index
for c in cds:
plt.plot(x, df.loc[b_date:, c], label=c)
plt.legend()
if make_file:
plt.savefig('./image/' + self.today + cds[0] + ' price_view.png',
bbox_inches='tight')
def BB_trend_view(self, df, cd, size=(15, 7), make_file=False):
cds = common.str_list(cd)
fig, ax = plt.subplots(figsize=size)
x = df.index
plt.fill_between(x, df['lb'], df['ub'], facecolor='sienna', alpha=0.2)
plt.plot(x, df['center'], color='sienna', linestyle='--', label='MA')
plt.plot(x, df[cds[0]], color='C0', linestyle='-', lw=3)
plt.legend()
if make_file:
plt.savefig('./image/' + self.today + cds[0] +
' bb_trend_view.png',
bbox_inches='tight')
def benchmark_return(self, book, s_cd, report_name='', report={}):
# 벤치마크 수익률
cds = common.str_list(s_cd)
n = len(cds)
rtn = dict()
acc_rtn = float()
for c in cds:
rtn[c] = round(
(book[c].iloc[-1] - book[c].iloc[0]) / book[c].iloc[0] + 1, 4)
acc_rtn += rtn[c] / n
print('BM return:', round((acc_rtn - 1) * 100, 2), '%', rtn)
if not report == {}:
report['BM_rtn'] = (round((acc_rtn - 1) * 100, 2))
report['BM_rtn_A'] = (round(rtn[cds[0]] * 100, 2))
report['BM_rtn_B'] = (round(rtn[cds[1]] * 100, 2))
return round(acc_rtn, 4)
def index_view(self, df, b_date, cd, size=(15, 7), make_file=False):
if isinstance(df.index[0], dt.date):
b_date = common.check_base_date(df, b_date)
fig, ax = plt.subplots(figsize=size)
# fig, ax = plt.subplots(figsize=size)
x = df.loc[b_date:].index
cds = common.str_list(cd)
for c in cds:
plt.plot(x, df.loc[b_date:, c] / df.loc[b_date, c] * 100, label=c)
plt.legend()
plt.show()
if make_file:
plt.savefig('./image/' + self.today + cds[0] + ' index_view.png',
bbox_inches='tight')
def BB_trend_view(self,
sample,
sigma,
s_cd,
make_file=False,
size=(15, 7)):
cds = common.str_list(s_cd)
fig, ax = plt.subplots(figsize=size)
x = sample.index
plt.fill_between(x,
sample['lb'],
sample['ub'],
facecolor='sienna',
alpha=0.2)
plt.plot(x,
sample['center'],
color='sienna',
linestyle='--',
label='MA')
plt.plot(x, sample[cds[0]], color='C0', linestyle='-', lw=3)
x_length = len(x)
jump = int(x_length / 10)
xs = list()
for i in range(10):
xs.append(x[jump * i])
xs.append(x[-1])
plt.xticks(np.arange(0, x_length + jump, jump), xs, rotation=45)
plt.legend()
if make_file:
plt.savefig('./image/' + VisualizeIntraday.today + cds[0] +
' bb_trend_view.png',
bbox_inches='tight')
def returns(self,
book,
s_cd,
display=False,
report_name='',
report={},
fee=0.0):
# 손익 계산
cds = common.str_list(s_cd)
rtn = 1.0
book['return'] = 1
no_trades = 0
no_win = 0
for c in cds:
buy = 0.0
sell = 0.0
for i in book.index:
if book.loc[i, 'p ' +
c] == 'zl' or book.loc[i, 'p ' +
c] == 'sl': # long 진입
buy = book.loc[i, c]
if fee > 0.0:
buy = round(buy * (1 + fee), 3)
if display:
print(i, 'long ' + c, buy)
elif book.loc[i, 'p ' +
c] == 'lz' or book.loc[i, 'p ' +
c] == 'ls': # long 청산
sell = book.loc[i, c]
if fee > 0.0:
sell = round(sell * (1 - fee), 3)
# 손익 계산
rtn = sell / buy
book.loc[i, 'return'] = rtn
no_trades += 1
if rtn > 1:
no_win += 1
if display:
print(i, 'long ' + c, buy, ' | unwind long ' + c, sell,
' | return: %0.2f' % (round(rtn - 1, 4) * 100))
elif book.loc[i, 'p ' +
c] == 'zs' or book.loc[i, 'p ' +
c] == 'ls': # short 진입
sell = book.loc[i, c]
if fee > 0.0:
sell = sell * (1 - fee)
if display:
print(i, 'short ' + c, sell)
elif book.loc[i, 'p ' +
c] == 'sz' or book.loc[i, 'p ' +
c] == 'sl': # short 청산
buy = book.loc[i, c]
if fee > 0.0:
buy = buy * (1 + fee)
# 손익 계산
rtn = buy / sell
book.loc[i, 'return'] = rtn
no_trades += 1
if rtn > 1:
no_win += 1
if display:
print(i, 'short ' + c, sell, ' | unwind short ' + c,
buy,
' | return: %0.2f' % (round(rtn - 1, 4) * 100))
if book.loc[i,
't ' + c] == '' and book.loc[i, 'p ' +
c] == '': # zero position
buy = 0.0
sell = 0.0
# Accumulated return
acc_rtn = 1.0
for i in book.index:
rtn = book.loc[i, 'return']
acc_rtn = acc_rtn * rtn
book.loc[i, 'acc return'] = acc_rtn
first_day = pd.to_datetime(book.index[0])
last_day = pd.to_datetime(book.index[-1])
total_days = (last_day - first_day).days
annualizer = total_days / 365
print(common.FontStyle.bg_white + 'Accumulated return:', round((acc_rtn - 1) * 100, 2), '%' + common.FontStyle.end_bg, \
' ( # of trade:', no_trades, ', # of win:', no_win, ', fee: %.2f' % (fee * 100), \
'%,', 'period: %.2f' % annualizer, 'yr )')
if no_trades > 0:
avg_rtn = acc_rtn**(1 / no_trades)
prob_win = round((no_win / no_trades), 4)
else:
avg_rtn = 1.0
prob_win = 0.0
avg_rtn = round(avg_rtn, 4)
bet = common.Bet()
kelly_ratio = bet.kelly_formular(prob_win)
kelly_ratio = round(kelly_ratio, 4)
print('Avg return: %.2f' % ((avg_rtn - 1) * 100), end=' %')
if prob_win > 0.5:
print(common.FontStyle.orange, end='')
print(', Prob. of win: %.2f' % (prob_win * 100), end=' %')
if prob_win > 0.5:
print(common.FontStyle.end_c, end='')
print(', Kelly ratio: %.2f' % (kelly_ratio * 100), end=' %')
mdd = round((book['return'].min()), 4)
print(', MDD: %.2f' % ((mdd - 1) * 100), '%')
if not report == {}:
report['acc_rtn'] = round((acc_rtn) * 100, 2)
report['no_trades'] = no_trades
report['avg_rtn'] = round((avg_rtn * 100), 2)
report['prob_win'] = round((prob_win * 100), 2)
report['kelly_ratio'] = round((kelly_ratio * 100), 2)
report['fee'] = round((fee * 100), 2)
report['mdd'] = round((mdd * 100), 2)
return round(acc_rtn, 4)