def get_period_rets(returns, period='monthly'):
"""
将原始的日度收益率序列压缩成指定周期的收益率序列，周期可选参数包括：周度、月度、年度
Parameters
----------
returns : pd.Series
原始日度收益率序列
period : str, optional
周期("weekly","monthly","yearly")
Returns
----------
pd.Series or pd.DataFrame
period_rets
"""
if period=="weekly":
weekly_ret_table = ep.aggregate_returns(returns, 'weekly')
weekly_ret_table = weekly_ret_table.unstack().round(3)
return weekly_ret_table
elif period=="monthly":
monthly_ret_table = ep.aggregate_returns(returns, 'monthly')
monthly_ret_table = monthly_ret_table.unstack().round(3)
return monthly_ret_table
else:
ann_ret_series = pd.DataFrame(ep.aggregate_returns(returns,'yearly'),
columns=['Annual Return'])
return ann_ret_series
def plot_return_quantiles(returns, live_start_date=None, **kwargs):
"""
Creates a box plot of daily, weekly, and monthly return
distributions.
Parameters
----------
returns : pd.Series
Daily returns of the strategy, noncumulative.
- See full explanation in tears.create_full_tear_sheet.
live_start_date : datetime, optional
The point in time when the strategy began live trading, after
its backtest period.
**kwargs, optional
Passed to seaborn plotting function.
Returns
-------
ax : matplotlib.Axes
The axes that were plotted on.
"""
is_returns = returns if live_start_date is None \
else returns.loc[returns.index < live_start_date]
is_weekly = ep.aggregate_returns(is_returns, 'weekly')
is_monthly = ep.aggregate_returns(is_returns, 'monthly')
if live_start_date is not None:
oos_returns = returns.loc[returns.index >= live_start_date]
oos_weekly = ep.aggregate_returns(oos_returns, 'weekly')
oos_monthly = ep.aggregate_returns(oos_returns, 'monthly')
return [is_returns, is_weekly, is_monthly, oos_returns, oos_weekly, oos_monthly]
return {"is_returns": is_returns, "is_weekly": is_weekly, "is_monthly": is_monthly}
def compute_stats(portfolio, benchmark):
'''Compute statistics for the current portfolio'''
stats = {}
grp_by_year = portfolio.groupby(lambda x: x.year)
stats['1yr_highest'] = grp_by_year.max().iloc[-1]
stats['1yr_lowest'] = grp_by_year.min().iloc[-1]
portfolio_return = simple_returns(portfolio)
# benchmark_return = simple_returns(benchmark)
stats['wtd_return'] = aggregate_returns(portfolio_return, 'weekly').iloc[-1]
stats['mtd_return'] = aggregate_returns(portfolio_return, 'monthly').iloc[-1]
stats['ytd_return'] = aggregate_returns(portfolio_return, 'yearly').iloc[-1]
stats['max_drawdown'] = max_drawdown(portfolio_return)
# stats['annual_return'] = annual_return(portfolio_return, period='daily')
stats['annual_volatility'] = annual_volatility(portfolio_return, period='daily', alpha=2.0)
# stats['calmar_ratio'] = calmar_ratio(portfolio_return, period='daily')
# stats['omega_ratio'] = omega_ratio(portfolio_return, risk_free=0.0)
stats['sharpe_ratio_1yr'] = sharpe_ratio(portfolio_return, risk_free=0.0, period='daily')
# stats['alpha'], stats['beta'] = alpha_beta(portfolio_return, benchmark_return,
# risk_free=0.0, period='daily')
stats['tail_ratio'] = tail_ratio(portfolio_return)
# stats['capture_ratio'] = capture(portfolio_return, benchmark_return, period='daily')
return stats
def holding_period_map(returns):
"""
Display holding period returns in a table.
length of returns should be 30 or less, otherwise the output
will be jumbled
"""
year = em.aggregate_returns(returns.pct_change(), 'yearly')
returns = pd.DataFrame(columns=range(1, len(year)+1), index=year.index)
year_start = 0
table = "<table class='table table-hover table-condensed table-striped'>"
table += "<tr><th>Years</th>"
for i in range(len(year)):
table += "<th>{}</th>".format(i+1)
table += "</tr>"
for the_year, value in year.iteritems(): # Iterates years
table += "<tr><th>{}</th>".format(the_year) # New table row
for years_held in (range(1, len(year)+1)): # Iterates years held
if years_held <= len(year[year_start:year_start + years_held]):
ret = em.annual_return(year[year_start:year_start + years_held], 'yearly' )
table += "<td>{:.0f}</td>".format(ret * 100)
table += "</tr>"
year_start+=1
display(HTML(table))
def portfolioAnalysis(return_data):
non_cum_return = getNonCumReturn(return_data)
#计算年化收益：
annual_return = empyrical.annual_return(non_cum_return, period='daily')
#计算年化波动率：
annual_volatility = empyrical.annual_volatility(non_cum_return,
period='daily')
#计算最大回撤
max_drawdown = empyrical.max_drawdown(non_cum_return)
#计算夏普比率：
sharpe_ratio = empyrical.sharpe_ratio(
non_cum_return,
risk_free=math.pow(1 + 0.03, 1 / 250) - 1,
period='daily')
#分年统计
aggr_returns = empyrical.aggregate_returns(non_cum_return,
convert_to="yearly")
print("年化收益：%f" % (annual_return))
print("年化波动率：%f" % (annual_volatility))
print("最大回撤：%f" % (max_drawdown))
print("夏普比率：%f" % (sharpe_ratio))
print("分年统计收益率：")
print(aggr_returns)
data = [annual_return, annual_volatility, max_drawdown, sharpe_ratio]
return pd.Series(data, index=["年化收益率", "年化波动率", "最大回撤", "夏普比率"])
def _agg_ret(factor):
target_returns = factor.get_data(start_date=start_date,
end_date=end_date).unstack().iloc[:,
0]
agg_target_ret = empyrical.aggregate_returns(target_returns,
convert_to)
return agg_target_ret
def test_aggregate_returns(self, returns, convert_to, expected):
returns = empyrical.aggregate_returns(returns,
convert_to).values.tolist()
for i, v in enumerate(returns):
assert_almost_equal(
v,
expected[i],
DECIMAL_PLACES)
def caculate_performance(self):
# to daily
try:
rets = self._equity.resample('D').last().dropna().pct_change()
if self._benchmark is not None:
b_rets = self._df_positions['benchmark'].resample('D').last().dropna().pct_change()
except:
rets = self._equity.pct_change()
if self._benchmark is not None:
b_rets = self._df_positions['benchmark'].pct_change()
rets = rets[1:]
if self._benchmark is not None:
b_rets = b_rets[1:]
perf_stats_all = None
#rets.index = rets.index.tz_localize('UTC')
#self._df_positions.index = self._df_positions.index.tz_localize('UTC')
if not self._df_trades.index.empty:
if self._benchmark is not None:
# self._df_trades.index = self._df_trades.index.tz_localize('UTC')
# pf.create_full_tear_sheet(rets, self._df_positions, self._df_trades)
rets.index = pd.to_datetime(rets.index)
b_rets.index = rets.index
# pf.create_returns_tear_sheet(rets,benchmark_rets=b_rets)
perf_stats_strat = pf.timeseries.perf_stats(rets)
perf_stats_benchmark = pf.timeseries.perf_stats(b_rets)
perf_stats_all = pd.concat([perf_stats_strat, perf_stats_benchmark], axis=1)
perf_stats_all.columns = ['Strategy', 'Benchmark']
else:
# self._df_trades.index = self._df_trades.index.tz_localize('UTC')
# pf.create_full_tear_sheet(rets, self._df_positions, self._df_trades)
rets.index = pd.to_datetime(rets.index)
# pf.create_returns_tear_sheet(rets,benchmark_rets=rets)
perf_stats_all = pf.timeseries.perf_stats(rets)
perf_stats_all = perf_stats_all.to_frame(name='Strategy')
drawdown_df = pf.timeseries.gen_drawdown_table(rets, top=5)
monthly_ret_table = ep.aggregate_returns(rets, 'monthly')
monthly_ret_table = monthly_ret_table.unstack().round(3)
ann_ret_df = pd.DataFrame(ep.aggregate_returns(rets, 'yearly'))
ann_ret_df = ann_ret_df.unstack().round(3)
return perf_stats_all, drawdown_df, monthly_ret_table, ann_ret_df
def return_quantiles(self, returns, live_start_date=None):
"""
Daily, weekly, and monthly return series
Parameters
----------
returns : pd.Series
Daily returns of the strategy, noncumulative.
- See full explanation in tears.create_full_tear_sheet.
live_start_date : datetime, optional
The point in time when the strategy began live trading, after
its backtest period.
Returns
-------
Daily, weekly, and monthly return series
"""
is_returns = returns if live_start_date is None \
else returns.loc[returns.index < live_start_date]
is_weekly = empyrical.aggregate_returns(is_returns, 'weekly')
is_monthly = empyrical.aggregate_returns(is_returns, 'monthly')
return_quantiles = {
"is": {
'Daily': is_returns,
'Weekly': is_weekly,
'Monthly': is_monthly
}
}
if live_start_date is not None:
oos_returns = returns.loc[returns.index >= live_start_date]
oos_weekly = empyrical.aggregate_returns(oos_returns, 'weekly')
oos_monthly = empyrical.aggregate_returns(oos_returns, 'monthly')
return_quantiles["oos"] = {
'Daily': oos_returns,
'Weekly': oos_weekly,
'Monthly': oos_monthly
}
return return_quantiles
def holding_period_map(dbal):
"""
Display holding period returns in a table.
This shows what your annualized return would have been, had you
started this strategy at the start of a given year, as shown in
the leftmost column, and held it for a certain number of years.
Length of returns should be 30 or less, otherwise the output
will be jumbled.
Parameters
----------
dbal : pd.Series
The daily closing balance indexed by date.
Returns
-------
None
Examples
--------
>>> table = holding_period_map(dbal['close'])
>>> display(HTML(table))
Years 1 2 3 4 5 6 7 8
2013 30 20 13 12 13 10 12 12
2014 11 5 7 10 6 10 9
...
2020 8
"""
year = em.aggregate_returns(dbal.pct_change(), 'yearly')
year_start = 0
table = "<table class='table table-hover table-condensed table-striped'>"
table += "<tr><th>Years</th>"
for i in range(len(year)):
table += "<th>{}</th>".format(i + 1)
table += "</tr>"
for the_year, value in year.iteritems(): # Iterates years
table += "<tr><th>{}</th>".format(the_year) # New table row
for years_held in (range(1, len(year) + 1)): # Iterates years held
if years_held <= len(year[year_start:year_start + years_held]):
ret = em.annual_return(
year[year_start:year_start + years_held], 'yearly')
table += "<td>{:.0f}</td>".format(ret * 100)
table += "</tr>"
year_start += 1
display(HTML(table))
def calc_performance_from_value_history(daily_values: pd.Series) -> dict:
daily_returns = daily_values.pct_change()
final_returns = daily_values.iloc[-1] / 100 - 1
monthly_returns = empyrical.aggregate_returns(daily_returns, "monthly")
yearly_returns = empyrical.aggregate_returns(daily_returns, "yearly")
performance_summary = performance_utils.get_performance_summary(
daily_returns, final_returns)
annual_std = performance_utils.get_annual_std(daily_returns)
annual_summary = pd.concat([yearly_returns, annual_std], axis=1)
annual_summary.columns = ["수익률", "변동성"]
cumulative_returns = performance_utils.convert_values_to_cumulative_returns(
daily_values)
drawdown = performance_utils.get_draw_down(cumulative_returns)
return {
"monthly_returns": monthly_returns,
"yearly_returns": yearly_returns,
"performance_summary": performance_summary,
"annual_summary": annual_summary,
"drawdown": drawdown
}
def compare_strategy_with_benchmark(strategy, benchmark_list: list):
strategy_performance = strategy.get_result()
print(strategy_performance["yearly_returns"])
all_columns = [strategy.name]
for benchmark in benchmark_list:
all_columns.append(benchmark.name)
yearly_returns = strategy_performance["yearly_returns"]
for benchmark in benchmark_list:
benchmark_yearly_returns = empyrical.aggregate_returns(benchmark.get_daily_return(), "yearly")
yearly_returns = pd.concat([yearly_returns, benchmark_yearly_returns], axis=1)
yearly_returns.columns = all_columns
print(yearly_returns)
def monthly_returns(self, returns):
"""
Returns by month.
Parameters
----------
returns : pd.Series
Daily returns of the strategy, noncumulative.
- See full explanation in pyfolio.tears.create_full_tear_sheet.
Returns
-------
monthly_ret_table
"""
monthly_ret_table = empyrical.aggregate_returns(returns, 'monthly')
monthly_ret_table = monthly_ret_table.unstack().round(3).fillna(0)
return monthly_ret_table
def yearly_returns(self, returns):
"""
Returns by year.
Parameters
----------
returns : pd.Series
Daily returns of the strategy, noncumulative.
- See full explanation in pyfolio.tears.create_full_tear_sheet.
Returns
-------
Returns by year
"""
ann_ret_df = pd.DataFrame(
empyrical.aggregate_returns(returns, 'yearly'))
ann_ret_df.columns = ["annual_returns"]
return ann_ret_df
def aggregate_returns(returns, convert_to):
"""
Aggregates returns by week, month, or year.
Parameters
----------
returns : pd.Series
Daily returns of the strategy, noncumulative.
- See full explanation in :func:`~pyfolio.timeseries.cum_returns`.
convert_to : str
Can be 'weekly', 'monthly', or 'yearly'.
Returns
-------
pd.Series
Aggregated returns.
"""
return ep.aggregate_returns(returns, convert_to=convert_to)
def aggregate_returns(returns, convert_to):
"""
Aggregates returns by week, month, or year.
Parameters
----------
returns : pd.Series
Daily returns of the strategy, noncumulative.
- See full explanation in :func:`~pyfolio.timeseries.cum_returns`.
convert_to : str
Can be 'weekly', 'monthly', or 'yearly'.
Returns
-------
pd.Series
Aggregated returns.
"""
return empyrical.aggregate_returns(returns, convert_to=convert_to)
def plot_annual_returns(returns, ax=None, **kwargs):
"""
Plots a bar graph of returns by year.
Parameters
----------
returns : pd.DataFrame
Daily returns of the strategy, noncumulative.
- See full explanation in tears.create_full_tear_sheet.
ax : matplotlib.Axes, optional
Axes upon which to plot.
**kwargs, optional
Passed to plotting function.
Returns
-------
ax : matplotlib.Axes
The axes that were plotted on.
"""
plt.style.use("seaborn")
if ax is None:
ax = plt.gca()
ann_ret_df = pd.DataFrame(ep.aggregate_returns(returns, 'yearly'))
ax.axvline(100 * ann_ret_df.values.mean(),
color='steelblue',
linestyle='--',
lw=4,
alpha=0.7)
(100 * ann_ret_df.sort_index(ascending=False)).plot(ax=ax,
kind='barh',
alpha=0.70,
**kwargs)
ax.axvline(0.0, color='black', linestyle='-', lw=3)
ax.set_ylabel('Year')
ax.set_xlabel('Returns')
ax.set_title("Annual returns")
ax.legend(['Mean'], frameon=True, framealpha=0.5)
return ax
def plot_monthly_returns_dist(returns, **kwargs):
"""
Plots a distribution of monthly returns.
Parameters
----------
returns : pd.Series
Daily returns of the strategy, noncumulative.
- See full explanation in tears.create_full_tear_sheet.
**kwargs, optional
Passed to plotting function.
Returns
-------
ax : matplotlib.Axes
The axes that were plotted on.
"""
monthly_ret_table = ep.aggregate_returns(returns, 'monthly')
return monthly_ret_table
def plot_monthly_returns_heatmap(returns, ax=None, **kwargs):
"""
Plots a heatmap of returns by month.
Parameters
----------
returns : pd.Series
Daily returns of the strategy, noncumulative.
- See full explanation in tears.create_full_tear_sheet.
ax : matplotlib.Axes, optional
Axes upon which to plot.
**kwargs, optional
Passed to seaborn plotting function.
Returns
-------
ax : matplotlib.Axes
The axes that were plotted on.
"""
if ax is None:
ax = plt.gca()
monthly_ret_table = ep.aggregate_returns(returns, 'monthly')
monthly_ret_table = monthly_ret_table.unstack().round(3)
sns.heatmap(
monthly_ret_table.fillna(0) *
100.0,
annot=True,
annot_kws={"size": 9},
alpha=1.0,
center=0.0,
cbar=False,
cmap=matplotlib.cm.RdYlGn,
ax=ax, **kwargs)
ax.set_ylabel('Year')
ax.set_xlabel('Month')
ax.set_title("Monthly returns (%)")
return monthly_ret_table
def ReturnStats(returns):
"""
Return Statistics of Portfolio Return & Risk.
Parameters
----------
returns : pd.DataFrame
Daily returns of the strategy, noncumulative.
Returns
-------
stats : pd.DataFrame
Annual Arithmetic mean, Geometric mean, Standard deviation, Sharpe Ratio, Win Ratio, Max Drawdown.
"""
temp = ep.aggregate_returns(returns, 'yearly')
temp_ret = temp
temp_std = temp
dd = pd.DataFrame(drawdown(returns))
Ann_ret_Arith = temp_ret.sum() / len(temp_ret)
Ann_ret_CAGR = (1 + temp_ret).prod()**(1 / len(temp_ret)) - 1
Ann_std = temp_std.std()
Ann_Sharpe = (Ann_ret_CAGR - 0.05) / Ann_std
Win_Ratio = (returns > 0).sum() / ((returns > 0).sum() +
(returns < 0).sum())
MDD = dd.min()
stats = pd.DataFrame(
[Ann_ret_Arith, Ann_ret_CAGR, Ann_std, Ann_Sharpe, Win_Ratio, MDD],
index=[
'Ann_ret (Arith)', 'Ann_ret (CAGR)', 'Ann_std', 'Ann_sharpe',
'Win_Ratio', 'MDD'
])
stats.columns = returns.columns
stats = round(stats, 4)
return stats
def value_at_risk(returns, period=None, sigma=2.0):
"""
Get value at risk (VaR).
Parameters
----------
returns : pd.Series
Daily returns of the strategy, noncumulative.
- See full explanation in tears.create_full_tear_sheet.
period : str, optional
Period over which to calculate VaR. Set to 'weekly',
'monthly', or 'yearly', otherwise defaults to period of
returns (typically daily).
sigma : float, optional
Standard deviations of VaR, default 2.
"""
if period is not None:
returns_agg = empyrical.aggregate_returns(returns, period)
else:
returns_agg = returns.copy()
value_at_risk = returns_agg.mean() - sigma * returns_agg.std()
return value_at_risk
def plot_annual_returns(returns, **kwargs):
"""
Plots a bar graph of returns by year.
Parameters
----------
returns : pd.Series
Daily returns of the strategy, noncumulative.
- See full explanation in tears.create_full_tear_sheet.
**kwargs, optional
Passed to plotting function.
Returns
-------
ax : matplotlib.Axes
The axes that were plotted on.
"""
ann_ret_df = pd.DataFrame(
ep.aggregate_returns(
returns,
'yearly'))
return ann_ret_df
def value_at_risk(returns, period=None, sigma=2.0):
"""
Get value at risk (VaR).
Parameters
----------
returns : pd.Series
Daily returns of the strategy, noncumulative.
- See full explanation in tears.create_full_tear_sheet.
period : str, optional
Period over which to calculate VaR. Set to 'weekly',
'monthly', or 'yearly', otherwise defaults to period of
returns (typically daily).
sigma : float, optional
Standard deviations of VaR, default 2.
"""
if period is not None:
returns_agg = ep.aggregate_returns(returns, period)
else:
returns_agg = returns.copy()
value_at_risk = returns_agg.mean() - sigma * returns_agg.std()
return value_at_risk
def plot_interactive_monthly_heatmap(returns: pd.Series) -> Chart:
"""
Plots a heatmap of returns by month.
"""
monthly_ret_table = ep.aggregate_returns(returns, 'monthly')
monthly_ret_table = monthly_ret_table.unstack().round(3)
monthly_ret_table = np.round(monthly_ret_table * 100, 2)
lim = lim = max(np.max(np.abs(monthly_ret_table)))
y_axis = [date(1000, i, 1).strftime('%b') for i in range(1, 13)]
x_axis = [str(y) for y in monthly_ret_table.index.tolist()]
data = data = [[x_axis[i], y_axis[j], monthly_ret_table.values[i][j]]
for i in range(monthly_ret_table.shape[0])
for j in range(monthly_ret_table.shape[1])]
heatmap = HeatMap("Monthly Returns")
heatmap.add(
"Monthly Returns",
x_axis,
y_axis,
data,
is_visualmap=True,
is_datazoom_show=True,
datazoom_orient='horizontal',
datazoom_range=[0, 100],
visual_range=[-lim, lim],
visual_text_color="#000",
visual_range_color=['#D73027', '#FFFFBF', '#1A9641'],
visual_orient="vertical",
is_toolbox_show=False,
is_label_show=True,
label_pos="inside",
label_text_color="black",
tooltip_formatter="{c}%"
)
return heatmap
def return_each_month(self, daily_change):
result = empyrical.aggregate_returns(daily_change, 'monthly') * 100
return result
plt.show()
plt.close()
current_max = np.maximum.accumulate(sp500['Cumulative Returns'])
underwater = -100 * ((current_max - sp500['Cumulative Returns']) / current_max)
g = underwater.plot(kind='area', color='tomato', alpha=0.7)
plt.gca().set_yticklabels(
['{:.0f}%'.format(x) for x in plt.gca().get_yticks()])
plt.grid(True)
plt.ylabel('Drawdown')
plt.title('Underwater Plot of the S&P500 index')
plt.xlabel('')
plt.savefig('SP500_underwater.pdf')
plt.show()
annual_returns = pd.DataFrame(ep.aggregate_returns(sp500['Returns'], 'yearly'))
ax = plt.gca()
plt.gca().set_yticklabels(
['{:.0f}%'.format(x) for x in plt.gca().get_yticks()])
ax.axhline(100 * annual_returns.values.mean(),
color='gray',
linestyle='--',
lw=2,
alpha=0.7)
(100 * annual_returns.sort_index(ascending=True)).plot(ax=ax,
kind='bar',
alpha=1)
ax.axhline(0.0, color='black', linestyle='-', lw=3)
plt.gca().set_yticklabels(
['{:.0f}%'.format(x) for x in plt.gca().get_yticks()])
ax.set_xlabel('')
bm_ret.index = pd.to_datetime(bm_ret.index)
# remove tzinfo
returns.index = returns.index.tz_localize(None)
bm_ret = bm_ret[returns.index]
bm_ret.name = 'benchmark'
perf_stats_strat = pf.timeseries.perf_stats(returns)
perf_stats_all = perf_stats_strat
if benchmark:
perf_stats_bm = pf.timeseries.perf_stats(bm_ret)
perf_stats_all = pd.concat([perf_stats_strat, perf_stats_bm],
axis=1)
perf_stats_all.columns = ['Strategy', 'Benchmark']
drawdown_table = pf.timeseries.gen_drawdown_table(returns, 5)
monthly_ret_table = ep.aggregate_returns(returns, 'monthly')
monthly_ret_table = monthly_ret_table.unstack().round(3)
ann_ret_df = pd.DataFrame(ep.aggregate_returns(returns, 'yearly'))
ann_ret_df = ann_ret_df.unstack().round(3)
print('-------------- PERFORMANCE ----------------')
print(perf_stats_all)
print('-------------- DRAWDOWN ----------------')
print(drawdown_table)
print('-------------- MONTHLY RETURN ----------------')
print(monthly_ret_table)
print('-------------- ANNUAL RETURN ----------------')
print(ann_ret_df)
pf.create_full_tear_sheet(
returns,
benchmark_rets=bm_ret if benchmark else None,
def monthly_returns_map(dbal):
"""
Display per month and per year returns in a table.
Parameters
----------
dbal : pd.Series
The daily closing balance indexed by date.
Returns
-------
None
Examples
--------
>>> monthly_returns_map(dbal['close'])
Year Jan Feb Mar Apr May Jun Jul ... Year
1990 -8.5 0.9 2.4 -2.7 9.2 -0.9 -0.5 -8.2
1991 4.2 6.7 2.2 0.0 3.9 -4.8 4.5 26.3
"""
monthly_data = em.aggregate_returns(dbal.pct_change(), 'monthly')
yearly_data = em.aggregate_returns(dbal.pct_change(), 'yearly')
table_header = """
<table class='table table-hover table-condensed table-striped'>
<thead>
<tr>
<th style="text-align:right">Year</th>
<th style="text-align:right">Jan</th>
<th style="text-align:right">Feb</th>
<th style="text-align:right">Mar</th>
<th style="text-align:right">Apr</th>
<th style="text-align:right">May</th>
<th style="text-align:right">Jun</th>
<th style="text-align:right">Jul</th>
<th style="text-align:right">Aug</th>
<th style="text-align:right">Sep</th>
<th style="text-align:right">Oct</th>
<th style="text-align:right">Nov</th>
<th style="text-align:right">Dec</th>
<th style="text-align:right">Year</th>
</tr>
</thead>
<tbody>
<tr>"""
first_year = True
first_month = True
year = 0
month = 0
year_count = 0
table = ''
for m, val in monthly_data.iteritems():
year = m[0]
month = m[1]
if first_month:
if year_count % 15 == 0:
table += table_header
table += "<td align='right'><b>{}</b></td>\n".format(year)
first_month = False
# Pad empty months for first year if sim doesn't start in Jan.
if first_year:
first_year = False
if month > 1:
for _ in range(1, month):
table += "<td align='right'>-</td>\n"
table += "<td align='right'>{:.1f}</td>\n".format(val * 100)
# Check for dec and add yearly.
if month == 12:
table += "<td align='right'><b>{:.1f}</b></td>\n".format(
yearly_data[year] * 100)
table += '</tr>\n <tr> \n'
first_month = True
year_count += 1
# Add padding for empty months and last year's value.
if month != 12:
for i in range(month + 1, 13):
table += "<td align='right'>-</td>\n"
if i == 12:
table += "<td align='right'><b>{:.1f}</b></td>\n".format(
yearly_data[year] * 100)
table += '</tr>\n <tr> \n'
table += '</tr>\n </tbody> \n </table>'
display(HTML(table))
def monthly_returns_map(returns):
""" Display per month and per year returns in a table """
monthly_data = em.aggregate_returns(returns.pct_change(),'monthly')
yearly_data = em.aggregate_returns(returns.pct_change(),'yearly')
table_header = """
<table class='table table-hover table-condensed table-striped'>
<thead>
<tr>
<th style="text-align:right">Year</th>
<th style="text-align:right">Jan</th>
<th style="text-align:right">Feb</th>
<th style="text-align:right">Mar</th>
<th style="text-align:right">Apr</th>
<th style="text-align:right">May</th>
<th style="text-align:right">Jun</th>
<th style="text-align:right">Jul</th>
<th style="text-align:right">Aug</th>
<th style="text-align:right">Sep</th>
<th style="text-align:right">Oct</th>
<th style="text-align:right">Nov</th>
<th style="text-align:right">Dec</th>
<th style="text-align:right">Year</th>
</tr>
</thead>
<tbody>
<tr>"""
first_year = True
first_month = True
year = 0
month = 0
year_count = 0
table = ''
for m, val in monthly_data.iteritems():
year = m[0]
month = m[1]
if first_month:
if year_count % 15 == 0:
table += table_header
table += "<td align='right'><b>{}</b></td>\n".format(year)
first_month = False
# pad empty months for first year if sim doesn't start in January
if first_year:
first_year = False
if month > 1:
for _ in range(1, month):
table += "<td align='right'>-</td>\n"
table += "<td align='right'>{:.1f}</td>\n".format(val * 100)
# check for dec, add yearly
if month == 12:
table += "<td align='right'><b>{:.1f}</b></td>\n".format(
yearly_data[year] * 100)
table += '</tr>\n <tr> \n'
first_month = True
year_count += 1
# add padding for empty months and last year's value
if month != 12:
for i in range(month+1, 13):
table += "<td align='right'>-</td>\n"
if i == 12:
table += "<td align='right'><b>{:.1f}</b></td>\n".format(
yearly_data[year] * 100)
table += '</tr>\n <tr> \n'
table += '</tr>\n </tbody> \n </table>'
display(HTML(table))
underwater = -100 * ((current_max - frp_cum_prod) / current_max)
g = underwater.plot(kind='area', color='tomato', alpha=0.7)
plt.gca().set_yticklabels(
['{:.0f}%'.format(x) for x in plt.gca().get_yticks()])
plt.grid(True)
plt.ylabel('Drawdown')
plt.legend('')
plt.xlim(dt.datetime(2005, 1, 1), dt.datetime(2020, 1, 1))
plt.title('Underwater Plot of FRP portfolio w/relaxation')
plt.xlabel('')
plt.savefig('Implementation/FRP_underwater.pdf')
plt.show()
import empyrical as ep
annual_returns = pd.DataFrame(ep.aggregate_returns(frp_daily, 'yearly'))
ax = plt.gca()
plt.gca().set_yticklabels(
['{:.0f}%'.format(x) for x in plt.gca().get_yticks()])
ax.axhline(100 * annual_returns.values.mean(),
color='gray',
linestyle='--',
lw=2,
alpha=0.7)
(100 * annual_returns.sort_index(ascending=True)).plot(ax=ax,
kind='bar',
alpha=1)
ax.axhline(0.0, color='black', linestyle='-', lw=3)
plt.gca().set_yticklabels(
['{:.0f}%'.format(x) for x in plt.gca().get_yticks()])
ax.set_xlabel('')
def get_monthly_heatmap(returns,
cmap,
font_size=10,
yr_from=None,
yr_to=None,
cnvrt='monthly',
width=600,
plt_type='iplot',
filename=None,
colors=['white', 'black'],
online=False,
show_scale=False,
height=600,
vmin=0,
vmax=255):
"""F: to plot heatmap of monthly returns:
params:
returns: str, daily or monthly returns, ideally a series with datetime index
cmap: (optional)str, eg 'RdYlGn'
font_size: (optional) font_size of annotations
yr_from: (optional) Heatmap year from
yr_to: (optional) Heatmap year to
cnvrt = (optional) str, convert returns to
"""
cscale = matplotlib_to_plotly(cmap, vmin=vmin, vmax=vmax)
## cscale = plt_cscale(cmap)
if yr_to is None:
yr_to = returns.index[-1].year
if yr_from is None:
yr_from = returns.index[0].year
grid = empyrical.aggregate_returns(
returns, convert_to='monthly').unstack().fillna(0).round(4) * 100
grid = grid.loc[yr_from:yr_to, :]
z = grid.as_matrix()
y = grid.index.values.tolist()
x = grid.columns.values.tolist()
z = grid.values.tolist()
z.reverse()
z_text = np.round(z, 3)
fighm = ff.create_annotated_heatmap(z,
x=x,
y=y[::-1],
annotation_text=z_text,
colorscale=cscale,
reversescale=True,
hoverinfo="y+z",
showscale=show_scale,
font_colors=colors)
for i in range(len(fighm.layout.annotations)):
fighm.layout.annotations[i].font.size = font_size
fighm.layout.title = 'Heatmap for {0} from {1} - {2}'.format(
returns.name, y[0], y[-1])
fighm['layout']['yaxis']['title'] = 'Years'
fighm['layout']['yaxis']['dtick'] = 3
fighm['layout']['yaxis']['tick0'] = 2
fighm['layout']['width'] = width
fighm['layout']['height'] = height
# fighm.layout.xaxis.title = 'Months'
if online == False:
if plt_type == 'iplot':
return iplot(fighm,
show_link=False,
image_width=width,
image_height=900)
elif plt_type == 'plot':
return plot(fighm,
show_link=False,
image_width=width,
image_height=900,
filename=filename)
elif online == True:
return py.iplot(fighm, show_link=False, filename=filename)
def caculate_performance(self, tearsheet=False):
# to daily
try:
rets = self._equity.resample('D').last().dropna().pct_change()
if self._benchmark is not None:
b_rets = self._df_positions['benchmark'].resample('D').last().dropna().pct_change()
except:
rets = self._equity.pct_change()
if self._benchmark is not None:
b_rets = self._df_positions['benchmark'].pct_change()
rets = rets[1:]
if self._benchmark is not None:
b_rets = b_rets[1:]
#rets.index = rets.index.tz_localize('UTC')
#self._df_positions.index = self._df_positions.index.tz_localize('UTC')
perf_stats_all = None
if not self._df_trades.index.empty:
if self._benchmark is not None:
# self._df_trades.index = self._df_trades.index.tz_localize('UTC')
# pf.create_full_tear_sheet(rets, self._df_positions, self._df_trades)
rets.index = pd.to_datetime(rets.index)
b_rets.index = rets.index
perf_stats_strat = pf.timeseries.perf_stats(rets)
perf_stats_benchmark = pf.timeseries.perf_stats(b_rets)
perf_stats_all = pd.concat([perf_stats_strat, perf_stats_benchmark], axis=1)
perf_stats_all.columns = ['Strategy', 'Benchmark']
else:
# self._df_trades.index = self._df_trades.index.tz_localize('UTC')
# pf.create_full_tear_sheet(rets, self._df_positions, self._df_trades)
rets.index = pd.to_datetime(rets.index)
perf_stats_all = pf.timeseries.perf_stats(rets)
perf_stats_all = perf_stats_all.to_frame(name='Strategy')
if tearsheet: # only plot if not self._df_trades.index.empty
# pf.create_returns_tear_sheet(rets,benchmark_rets=b_rets)
pf.create_returns_tear_sheet(rets)
# pf.create_simple_tear_sheet(rets, benchmark_rets=b_rets)
# somehow the tearsheet is too crowded.
fig, ax = plt.subplots(nrows=1, ncols=2)
if self._benchmark is not None:
pf.plot_rolling_returns(rets, factor_returns=b_rets, ax=ax[0])
ax[0].set_title('Cumulative returns')
ax[1].text(5.0, 9.5, 'Strategy', fontsize=8, fontweight='bold', horizontalalignment='left')
ax[1].text(8.0, 9.5, 'Benchmark', fontsize=8, fontweight='bold', horizontalalignment='left')
ax[1].text(0.5, 8.5, 'Annual return', fontsize=8, horizontalalignment='left')
ax[1].text(6.0, 8.5, round(perf_stats_all.loc['Annual return', 'Strategy'], 4), fontsize=8,
horizontalalignment='right')
ax[1].text(9.5, 8.5, round(perf_stats_all.loc['Annual return', 'Benchmark'], 4), fontsize=8,
horizontalalignment='right')
ax[1].text(0.5, 7.5, 'Cumulative returns', fontsize=8, horizontalalignment='left', color='green')
ax[1].text(6.0, 7.5, round(perf_stats_all.loc['Cumulative returns', 'Strategy'], 4), fontsize=8,
horizontalalignment='right', color='green')
ax[1].text(9.5, 7.5, round(perf_stats_all.loc['Cumulative returns', 'Benchmark'], 4), fontsize=8,
horizontalalignment='right', color='green')
ax[1].text(0.5, 6.5, 'Annual volatility', fontsize=8, horizontalalignment='left')
ax[1].text(6.0, 6.5, round(perf_stats_all.loc['Annual volatility', 'Strategy'], 4), fontsize=8,
horizontalalignment='right')
ax[1].text(9.5, 6.5, round(perf_stats_all.loc['Annual volatility', 'Benchmark'], 4), fontsize=8,
horizontalalignment='right')
ax[1].text(0.5, 5.5, 'Sharpe ratio', fontsize=8, horizontalalignment='left', color='green')
ax[1].text(6.0, 5.5, round(perf_stats_all.loc['Sharpe ratio', 'Strategy'], 4), fontsize=8,
horizontalalignment='right', color='green')
ax[1].text(9.5, 5.5, round(perf_stats_all.loc['Sharpe ratio', 'Benchmark'], 4), fontsize=8,
horizontalalignment='right', color='green')
ax[1].text(0.5, 4.5, 'Calmar ratio', fontsize=8, horizontalalignment='left')
ax[1].text(6.0, 4.5, round(perf_stats_all.loc['Calmar ratio', 'Strategy'], 4), fontsize=8,
horizontalalignment='right')
ax[1].text(9.5, 4.5, round(perf_stats_all.loc['Calmar ratio', 'Benchmark'], 4), fontsize=8,
horizontalalignment='right')
ax[1].text(0.5, 3.5, 'Sortino ratio', fontsize=8, horizontalalignment='left', color='green')
ax[1].text(6.0, 3.5, round(perf_stats_all.loc['Sortino ratio', 'Strategy'], 4), fontsize=8,
horizontalalignment='right', color='green')
ax[1].text(9.5, 3.5, round(perf_stats_all.loc['Sortino ratio', 'Benchmark'], 4), fontsize=8,
horizontalalignment='right', color='green')
ax[1].text(0.5, 2.5, 'Max drawdown', fontsize=8, horizontalalignment='left')
ax[1].text(6.0, 2.5, round(perf_stats_all.loc['Max drawdown', 'Strategy'], 4), fontsize=8,
horizontalalignment='right')
ax[1].text(9.5, 2.5, round(perf_stats_all.loc['Max drawdown', 'Benchmark'], 4), fontsize=8,
horizontalalignment='right')
ax[1].text(0.5, 1.5, 'Skew', fontsize=8, horizontalalignment='left', color='green')
ax[1].text(6.0, 1.5, round(perf_stats_all.loc['Skew', 'Strategy'], 4), fontsize=8,
horizontalalignment='right', color='green')
ax[1].text(9.5, 1.5, round(perf_stats_all.loc['Skew', 'Benchmark'], 4), fontsize=8,
horizontalalignment='right', color='green')
ax[1].text(0.5, 0.5, 'Kurtosis', fontsize=8, horizontalalignment='left')
ax[1].text(6.0, 0.5, round(perf_stats_all.loc['Kurtosis', 'Strategy'], 4), fontsize=8,
horizontalalignment='right')
ax[1].text(9.5, 0.5, round(perf_stats_all.loc['Kurtosis', 'Benchmark'], 4), fontsize=8,
horizontalalignment='right')
else:
pf.plot_rolling_returns(rets, ax=ax[0])
ax[0].set_title('Cumulative returns')
# pf.plotting.plot_monthly_returns_heatmap(rets, ax=ax[1])
ax[1].text(0.5, 9.0, 'Annual return', fontsize=8, horizontalalignment='left')
ax[1].text(9.5, 9.0, round(perf_stats_all.loc['Annual return', 'Strategy'], 4), fontsize=8,
horizontalalignment='right')
ax[1].text(0.5, 8.0, 'Cumulative returns', fontsize=8, horizontalalignment='left', color='green')
ax[1].text(9.5, 8.0, round(perf_stats_all.loc['Cumulative returns', 'Strategy'], 4), fontsize=8,
horizontalalignment='right', color='green')
ax[1].text(0.5, 7.0, 'Annual volatility', fontsize=8, horizontalalignment='left')
ax[1].text(9.5, 7.0, round(perf_stats_all.loc['Annual volatility', 'Strategy'], 4), fontsize=8,
horizontalalignment='right')
ax[1].text(0.5, 6.0, 'Sharpe ratio', fontsize=8, horizontalalignment='left', color='green')
ax[1].text(9.5, 6.0, round(perf_stats_all.loc['Sharpe ratio', 'Strategy'], 4), fontsize=8,
horizontalalignment='right', color='green')
ax[1].text(0.5, 5.0, 'Calmar ratio', fontsize=8, horizontalalignment='left')
ax[1].text(9.5, 5.0, round(perf_stats_all.loc['Calmar ratio', 'Strategy'], 4), fontsize=8,
horizontalalignment='right')
ax[1].text(0.5, 4.0, 'Sortino ratio', fontsize=8, horizontalalignment='left', color='green')
ax[1].text(9.5, 4.0, round(perf_stats_all.loc['Sortino ratio', 'Strategy'], 4), fontsize=8,
horizontalalignment='right', color='green')
ax[1].text(0.5, 3.0, 'Max drawdown', fontsize=8, horizontalalignment='left')
ax[1].text(9.5, 3.0, round(perf_stats_all.loc['Max drawdown', 'Strategy'], 4), fontsize=8,
horizontalalignment='right')
ax[1].text(0.5, 2.0, 'Skew', fontsize=8, horizontalalignment='left', color='green')
ax[1].text(9.5, 2.0, round(perf_stats_all.loc['Skew', 'Strategy'], 4), fontsize=8,
horizontalalignment='right', color='green')
ax[1].text(0.5, 1.0, 'Kurtosis', fontsize=8, horizontalalignment='left')
ax[1].text(9.5, 1.0, round(perf_stats_all.loc['Kurtosis', 'Strategy'], 4), fontsize=8,
horizontalalignment='right')
ax[1].set_title('Performance', fontweight='bold')
ax[1].grid(False)
# ax[1].spines['top'].set_linewidth(2.0)
# ax[1].spines['bottom'].set_linewidth(2.0)
ax[1].spines['right'].set_visible(False)
ax[1].spines['left'].set_visible(False)
ax[1].get_yaxis().set_visible(False)
ax[1].get_xaxis().set_visible(False)
ax[1].set_ylabel('')
ax[1].set_xlabel('')
ax[1].axis([0, 10, 0, 10])
plt.show()
drawdown_df = pf.timeseries.gen_drawdown_table(rets, top=5)
monthly_ret_table = ep.aggregate_returns(rets, 'monthly')
monthly_ret_table = monthly_ret_table.unstack().round(3)
ann_ret_df = pd.DataFrame(ep.aggregate_returns(rets, 'yearly'))
ann_ret_df = ann_ret_df.unstack().round(3)
return perf_stats_all, drawdown_df, monthly_ret_table, ann_ret_df
def return_each_year(self, daily_change):
result = empyrical.aggregate_returns(daily_change, 'yearly') * 100
return result
