import numpy as np
import datetime
from pgportfolio.tools.indicator import max_drawdown, sharpe, positive_count, negative_count, moving_accumulate
from pgportfolio.tools.configprocess import parse_time, check_input_same
from pgportfolio.tools.shortcut import execute_backtest
# the dictionary of name of indicators mapping to the function of related indicators
# input is portfolio changes
INDICATORS = {
"portfolio value": np.prod,
"sharpe ratio": sharpe,
"max drawdown": max_drawdown,
"positive periods": positive_count,
"negative periods": negative_count,
"postive day": lambda pcs: positive_count(moving_accumulate(pcs, 48)),
"negative day": lambda pcs: negative_count(moving_accumulate(pcs, 48)),
"postive week": lambda pcs: positive_count(moving_accumulate(pcs, 336)),
"negative week": lambda pcs: negative_count(moving_accumulate(pcs, 336)),
"average": np.mean
}
NAMES = {
"best": "Best Stock (Benchmark)",
"crp": "UCRP (Benchmark)",
"ubah": "UBAH (Benchmark)",
"anticor": "ANTICOR",
"olmar": "OLMAR",
"pamr": "PAMR",
"cwmr": "CWMR",
"rmr": "RMR",
"ons": "ONS",
import json
import numpy as np
import datetime
from pgportfolio.tools.indicator import max_drawdown, sharpe, positive_count, negative_count, moving_accumulate
from pgportfolio.tools.configprocess import parse_time, check_input_same
from pgportfolio.tools.shortcut import execute_backtest
# the dictionary of name of indicators mapping to the function of related indicators
# input is portfolio changes
INDICATORS = {"portfolio value": np.prod,
"sharpe ratio": sharpe,
"max drawdown": max_drawdown,
"positive periods": positive_count,
"negative periods": negative_count,
"postive day": lambda pcs: positive_count(moving_accumulate(pcs, 48)),
"negative day": lambda pcs: negative_count(moving_accumulate(pcs, 48)),
"postive week": lambda pcs: positive_count(moving_accumulate(pcs, 336)),
"negative week": lambda pcs: negative_count(moving_accumulate(pcs, 336)),
"average": np.mean}
NAMES = {"best": "Best Stock (Benchmark)",
"crp": "UCRP (Benchmark)",
"ubah": "UBAH (Benchmark)",
"anticor": "ANTICOR",
"olmar": "OLMAR",
"pamr": "PAMR",
"cwmr": "CWMR",
"rmr": "RMR",
"ons": "ONS",
"up": "UP",
"eg": "EG",