def summary(self):
"""在最后输出简要回测结果"""
d = {}
balance = self.env.recorder.balance.dataframe()
daily_basis_balance = balance.resample('D').last().dropna()
initial_balance = balance.values[0][0]
end_balance = balance.values[-1][0]
total_return = end_balance / initial_balance - 1
max_drawdown = get_max_drawdown(balance)
max_drawdown_date = get_max_drawdown_date(balance)
max_duration_in_drawdown = get_max_duration_in_drawdown(
daily_basis_balance)
sharpe_ratio = get_sharpe_ratio(daily_basis_balance)
d["Fromdate"] = self.env.fromdate
d["Todate"] = self.env.todate
d["Initial_Value"] = f'${initial_balance:.2f}'
d["Final_Value"] = f'${end_balance:.2f}'
d["Total_Return"] = f'{total_return*100:.3f}%'
d["Max_Drawdown"] = f'{max_drawdown*100:.3f}%'
d["Max_Duration"] = f'{max_duration_in_drawdown} days'
d["Max_Drawdown_Date"] = f'{max_drawdown_date}'
d["Sharpe_Ratio"] = f'{sharpe_ratio:.2f}'
dict_to_table(d)
def check_setting(dict_data, name, check_only=False):
if dict_data == {}:
print('>' * 10, f'Attention!! There is No {name}!!!', '<' * 10)
else:
if not check_only:
counter = count(1)
dict_to_table(
{f'{name}_{next(counter)}': key
for key in dict_data})
def summary(self):
"""在最后输出简要回测结果"""
total = pd.DataFrame(list(self.env.recorder.balance))
total.set_index("date", inplace=True)
pct_returns = total.pct_change()
total = total / self.env.recorder.initial_cash
max_drawdown, duration = create_drawdowns(total["value"])
initial_cash = self.env.recorder.initial_cash
final_value = self.env.recorder.balance.latest()
sharpe_ratio = create_sharpe_ratio(pct_returns, len(pct_returns))
d = {}
d["Final_Value"] = f'${final_value:.2f}'
d["Total_return"] = f'{(final_value/initial_cash-1)*100:.5f}%'
d["Max_Drawdown"], d["Duration"] = f'{max_drawdown*100:.5f}%', duration
d["Sharpe_Ratio"] = f'{sharpe_ratio:.5f}'
print(dict_to_table(d))
def summary2():
analysis = AmazingAnalysis()
dict_to_table(analysis.general_summary())
print(analysis.detail_summary())