def get_sharpe_ratio(fund_ts):
"""
@summary Returns daily computed Sharpe ratio of fund time series
@param fund_ts: pandas time series of daily fund values
@return Sharpe ratio of fund time series
"""
return tsu.get_sharpe_ratio(tsu.daily(fund_ts))
def get_sharpe_ratio(fund_ts):
"""
@summary Returns daily computed Sharpe ratio of fund time series
@param fund_ts: pandas time series of daily fund values
@return Sharpe ratio of fund time series
"""
return tsu.get_sharpe_ratio(tsu.daily(fund_ts))
def getSharpeRatio(self, rets):
sharpe_ratio = tsu.get_sharpe_ratio(rets)
print '<<< Sharpe Ration:', sharpe_ratio
def analyzeMain():
ts_fund = _csv_read_fund('values.csv')
try:
benchmark = raw_input('Enter Benchmark: ')
except ValueError:
basic.print_clrscr()
basic.print_logo()
basic.go_back()
except SyntaxError:
basic.print_clrscr()
basic.print_logo()
basic.go_back()
except NameError:
basic.print_clrscr()
basic.print_logo()
basic.go_back()
bench_vals = _read_bench(benchmark, list(ts_fund.index))
# print bench_vals
multiple = ts_fund[0] / bench_vals[0]
bench_vals = bench_vals * multiple
print "Details of the Performance of the portfolio"
print "Total Fund:", ts_fund[0]
print 'Data Range : ', ts_fund.index[0], ' to ', ts_fund.index[-1]
print 'Sharpe Ratio of Fund :', tsu.get_sharpe_ratio(tsu.daily(ts_fund))[0]
print 'Sharpe Ratio of ' + benchmark + ' :', tsu.get_sharpe_ratio(
tsu.daily(bench_vals))[0]
print 'Total Return of Fund : ', (((ts_fund[-1] / ts_fund[0]) - 1) + 1)
print 'Total Return of ' + benchmark + ' :', ((
(bench_vals[-1] / bench_vals[0]) - 1) + 1)
print 'Standard Deviation of Fund : ', np.std(tsu.daily(ts_fund.values))
print 'Standard Deviation of ' + benchmark + ' :', np.std(
tsu.daily(bench_vals.values))
print 'Average Daily Return of Fund : ', np.mean(tsu.daily(ts_fund.values))
print 'Average Daily Return of ' + benchmark + ' :', np.mean(
tsu.daily(bench_vals.values))
KS, P = ks_statistic(ts_fund)
print "KS P:", KS, P
plt.clf()
plt.plot(ts_fund.index, ts_fund.values)
plt.plot(ts_fund.index, bench_vals)
plt.ylabel('Fund Value', size='xx-small')
plt.xlabel('Date', size='xx-small')
plt.legend(['Fund', 'Benchmark'], loc='best')
plt.xticks(size='xx-small')
plt.yticks(size='xx-small')
plt.grid(axis='both')
plt.show()
savefig('funds.png', format='png')
try:
report = input("Want to generate report(Press 1): ")
except ValueError:
basic.print_clrscr()
basic.print_logo()
basic.go_back()
except SyntaxError:
basic.print_clrscr()
basic.print_logo()
basic.go_back()
except NameError:
basic.print_clrscr()
basic.print_logo()
basic.go_back()
if report == 1:
name = str(dt.datetime.now())
file_conv = name.replace(" ", "")
file_conv1 = file_conv.replace(":", "_")
file_conv2 = file_conv1.replace("-", "_")
filename = file_conv2 + ".html"
print 'Generating report..', filename
html_file = open(filename, "w+")
html_file.write("<HTML>\n")
html_file.write("<HEAD>\n")
html_file.write("<TITLE>MSim Generated Report:" + name + "</TITLE>\n")
html_file.write("<H1>Details of the Performance of the portfolio</H1>")
html_file.write("</HEAD>\n\n")
html_file.write("<BODY>\n\n")
html_file.write(
"<IMG SRC = \'./funds.png\' title=Funds vs Benchmark align=right height= 500 width = 600/>\n"
)
html_file.write("<p><i> Total Fund:" + str(ts_fund[0]) + "</p\n")
html_file.write("<p><i>Data Range : </i>," + str(ts_fund.index[0]) +
"to ," + str(ts_fund.index[-1]) + "</p\n")
html_file.write("<p><i>Sharpe Ratio of Fund :</i>" +
str(tsu.get_sharpe_ratio(tsu.daily(ts_fund))[0]) +
"</p\n")
html_file.write("<p><i>Sharpe Ratio of </i>" + benchmark + ":" +
str(tsu.get_sharpe_ratio(tsu.daily(bench_vals))[0]) +
"</p\n")
html_file.write("<p><i>Sharpe Ratio of Fund : ,</i>" +
str(tsu.get_sharpe_ratio(tsu.daily(ts_fund))[0]) +
"</p\n")
html_file.write("<p><i>Sharpe Ratio of </i>" + benchmark + ":" +
str(tsu.get_sharpe_ratio(tsu.daily(bench_vals))[0]) +
"</p\n")
html_file.write("<p><i>Total Return of Fund :</i>" +
str((((ts_fund[-1] / ts_fund[0]) - 1) + 1)) + "</p\n")
html_file.write("<p><i>Total Return of </i>" + benchmark + " : " +
str((((bench_vals[-1] / bench_vals[0]) - 1) + 1)) +
"</p\n")
html_file.write("<p><i>Standard Deviation of Fund : </i>" +
str(np.std(tsu.daily(ts_fund.values))) + "</p\n")
html_file.write("<p><i>Standard Deviation of </i>" + benchmark + ":" +
str(np.std(tsu.daily(bench_vals.values))) + "</p\n")
html_file.write("<p><i>Average Daily Return of Fund : </i> " +
str(np.mean(tsu.daily(ts_fund.values))) + "</p\n")
html_file.write("<p><i>Average Daily Return of </i>" + benchmark +
" : " + str(np.mean(tsu.daily(bench_vals.values))) +
"</p\n")
html_file.write(
"<link type=text/csv rel=stylesheet href=D:\Sim\MSimv2.1/orders.csv />"
)
html_file.write("</BODY>\n\n")
html_file.write("</HTML>")
def analyzeMain():
ts_fund = _csv_read_fund('values.csv')
try:
benchmark = raw_input('Enter Benchmark: ')
except ValueError:
basic.print_clrscr()
basic.print_logo()
basic.go_back()
except SyntaxError:
basic.print_clrscr()
basic.print_logo()
basic.go_back()
except NameError:
basic.print_clrscr()
basic.print_logo()
basic.go_back()
bench_vals = _read_bench(benchmark, list(ts_fund.index))
# print bench_vals
multiple = ts_fund[0] / bench_vals[0]
bench_vals = bench_vals * multiple
print "Details of the Performance of the portfolio"
print "Total Fund:", ts_fund[0]
print 'Data Range : ', ts_fund.index[0], ' to ', ts_fund.index[-1]
print 'Sharpe Ratio of Fund :', tsu.get_sharpe_ratio(tsu.daily(ts_fund))[0]
print 'Sharpe Ratio of ' + benchmark + ' :', tsu.get_sharpe_ratio(
tsu.daily(bench_vals))[0]
print 'Total Return of Fund : ', (((ts_fund[-1] / ts_fund[0]) - 1) + 1)
print 'Total Return of ' + benchmark + ' :', (((bench_vals[-1]
/ bench_vals[0]) - 1) + 1)
print 'Standard Deviation of Fund : ', np.std(tsu.daily(
ts_fund.values))
print 'Standard Deviation of ' + benchmark + ' :', np.std(
tsu.daily(bench_vals.values))
print 'Average Daily Return of Fund : ', np.mean(tsu.daily(
ts_fund.values))
print 'Average Daily Return of ' + benchmark + ' :', np.mean(
tsu.daily(bench_vals.values))
KS, P = ks_statistic(ts_fund)
print "KS P:" , KS,P
plt.clf()
plt.plot(ts_fund.index, ts_fund.values)
plt.plot(ts_fund.index, bench_vals)
plt.ylabel('Fund Value', size='xx-small')
plt.xlabel('Date', size='xx-small')
plt.legend(['Fund', 'Benchmark'], loc='best')
plt.xticks(size='xx-small')
plt.yticks(size='xx-small')
plt.grid(axis='both')
plt.show()
savefig('funds.png', format = 'png')
try:
report = input("Want to generate report(Press 1): ")
except ValueError:
basic.print_clrscr()
basic.print_logo()
basic.go_back()
except SyntaxError:
basic.print_clrscr()
basic.print_logo()
basic.go_back()
except NameError:
basic.print_clrscr()
basic.print_logo()
basic.go_back()
if report == 1:
name = str(dt.datetime.now())
file_conv = name.replace(" ", "")
file_conv1 = file_conv.replace(":","_")
file_conv2 = file_conv1.replace("-","_")
filename = file_conv2+".html"
print 'Generating report..', filename
html_file = open(filename,"w+")
html_file.write("<HTML>\n")
html_file.write("<HEAD>\n")
html_file.write("<TITLE>MSim Generated Report:" + name + "</TITLE>\n")
html_file.write("<H1>Details of the Performance of the portfolio</H1>")
html_file.write("</HEAD>\n\n")
html_file.write("<BODY>\n\n")
html_file.write("<IMG SRC = \'./funds.png\' title=Funds vs Benchmark align=right height= 500 width = 600/>\n")
html_file.write("<p><i> Total Fund:" +str(ts_fund[0])+ "</p\n")
html_file.write("<p><i>Data Range : </i>," +str(ts_fund.index[0])+ "to ," +str(ts_fund.index[-1])+"</p\n")
html_file.write("<p><i>Sharpe Ratio of Fund :</i>"+str(tsu.get_sharpe_ratio(tsu.daily(ts_fund))[0])+"</p\n")
html_file.write("<p><i>Sharpe Ratio of </i>" + benchmark + ":" +str(tsu.get_sharpe_ratio(tsu.daily(bench_vals))[0])+"</p\n")
html_file.write("<p><i>Sharpe Ratio of Fund : ,</i>" +str(tsu.get_sharpe_ratio(tsu.daily(ts_fund))[0])+"</p\n")
html_file.write("<p><i>Sharpe Ratio of </i>" + benchmark + ":" +str(tsu.get_sharpe_ratio(tsu.daily(bench_vals))[0])+"</p\n")
html_file.write("<p><i>Total Return of Fund :</i>" +str((((ts_fund[-1] / ts_fund[0]) - 1) + 1))+"</p\n")
html_file.write("<p><i>Total Return of </i>" + benchmark + " : " +str((((bench_vals[-1]/ bench_vals[0]) - 1) + 1))+"</p\n")
html_file.write("<p><i>Standard Deviation of Fund : </i>" +str(np.std(tsu.daily(ts_fund.values)))+"</p\n")
html_file.write("<p><i>Standard Deviation of </i>"+ benchmark + ":" +str(np.std(tsu.daily(bench_vals.values)))+"</p\n")
html_file.write("<p><i>Average Daily Return of Fund : </i> " +str(np.mean(tsu.daily(ts_fund.values)))+"</p\n")
html_file.write("<p><i>Average Daily Return of </i>" + benchmark + " : " + str(np.mean(tsu.daily(bench_vals.values)))+"</p\n")
html_file.write("<link type=text/csv rel=stylesheet href=D:\Sim\MSimv2.1/orders.csv />")
html_file.write("</BODY>\n\n")
html_file.write("</HTML>")
def getSharpeRatio(self, rets):
sharpe_ratio = tsu.get_sharpe_ratio(rets)
print '<<< Sharpe Ration:', sharpe_ratio