def HRP():
sht = xw.Book.caller().sheets['Optim']
sht.range('N17').value = 'Optimizing...'
listticker = sht.range('B3').expand().value
startdate = sht.range('F3').value
enddate = sht.range('F6').value
traintestdate = sht.range(
'F4'
).value #Dataset is divided in two sub: train (optimization) and test for backtest
train, test = initialize(startdate, enddate, traintestdate, listticker)
train, test = train.pct_change().dropna(), test.pct_change().dropna()
hrp = HRPOpt(train)
weights = hrp.optimize()
perf = hrp.portfolio_performance(verbose=False)
fig = plt.figure(figsize=(8, 8))
ax = hrp.plot_dendrogram(showfig=False) # to plot dendrogram
fig = ax.get_figure()
sht.range('P23').value = weights
sht.range('P21').value = perf
#Visualisation
sht.pictures.add(fig, name="HRPCluster", update=True)
sht.charts['HRPweights'].set_source_data(
sht.range((23, 16), (22 + len(listticker), 17)))
#Done
sht.range('N17').value = 'Optimization Done'
def test_quasi_dag():
df = get_data()
returns = df.pct_change().dropna(how="all")
hrp = HRPOpt(returns)
hrp.optimize()
clusters = hrp.clusters
assert HRPOpt._get_quasi_diag(clusters)[:5] == [12, 6, 15, 14, 2]
def test_pass_cov_matrix():
df = get_data()
S = CovarianceShrinkage(df).ledoit_wolf()
hrp = HRPOpt(cov_matrix=S)
hrp.optimize()
perf = hrp.portfolio_performance()
assert perf[0] is None and perf[2] is None
np.testing.assert_almost_equal(perf[1], 0.10002783894982334)
def test_weight_plot():
df = get_data()
returns = df.pct_change().dropna(how="all")
hrp = HRPOpt(returns)
w = hrp.optimize()
ax = Plotting.plot_weights(w, showfig=False)
assert len(ax.findobj()) == 197
def test_hrp_portfolio():
df = get_data()
returns = df.pct_change().dropna(how="all")
hrp = HRPOpt(returns)
w = hrp.optimize()
assert isinstance(w, dict)
assert set(w.keys()) == set(df.columns)
np.testing.assert_almost_equal(sum(w.values()), 1)
assert all([i >= 0 for i in w.values()])
def test_dendrogram_plot():
df = get_data()
returns = df.pct_change().dropna(how="all")
hrp = HRPOpt(returns)
hrp.optimize()
ax = Plotting.plot_dendrogram(hrp, showfig=False)
assert len(ax.findobj()) == 185
assert type(ax.findobj()[0]) == matplotlib.collections.LineCollection
ax = Plotting.plot_dendrogram(hrp, show_tickers=False, showfig=False)
assert len(ax.findobj()) == 65
assert type(ax.findobj()[0]) == matplotlib.collections.LineCollection
def test_cluster_var():
df = get_data()
returns = df.pct_change().dropna(how="all")
cov = returns.cov()
tickers = ["SHLD", "AMD", "BBY", "RRC", "FB", "WMT", "T", "BABA", "PFE", "UAA"]
var = HRPOpt._get_cluster_var(cov, tickers)
np.testing.assert_almost_equal(var, 0.00012842967106653283)
def hrp(my_portfolio, perf=True) -> list:
# changed to take in desired timeline, the problem is that it would use all historical data
ohlc = yf.download(
my_portfolio.portfolio,
start=my_portfolio.start_date,
end=my_portfolio.end_date,
progress=False,
)
prices = ohlc["Adj Close"].dropna(how="all")
prices = prices.filter(my_portfolio.portfolio)
# sometimes we will pick a date range where company isn't public we can't set price to 0 so it has to go to 1
prices = prices.fillna(1)
rets = expected_returns.returns_from_prices(prices)
hrp = HRPOpt(rets)
hrp.optimize()
weights = hrp.clean_weights()
wts = weights.items()
result = []
for val in wts:
a, b = map(list, zip(*[val]))
result.append(b)
if perf is True:
hrp.portfolio_performance(verbose=True)
return flatten(result)
def test_hrp_portfolio():
df = get_data()
returns = df.pct_change().dropna(how="all")
hrp = HRPOpt(returns)
w = hrp.optimize(linkage_method="single")
# uncomment this line if you want generating a new file
# pd.Series(w).to_csv(resource("weights_hrp.csv"))
x = pd.read_csv(resource("weights_hrp.csv"), squeeze=True, index_col=0)
pd.testing.assert_series_equal(
x, pd.Series(w), check_names=False, check_less_precise=True
)
assert isinstance(w, dict)
assert set(w.keys()) == set(df.columns)
np.testing.assert_almost_equal(sum(w.values()), 1)
assert all([i >= 0 for i in w.values()])
def test_portfolio_performance():
df = get_data()
returns = df.pct_change().dropna(how="all")
hrp = HRPOpt(returns)
with pytest.raises(ValueError):
hrp.portfolio_performance()
hrp.optimize()
assert hrp.portfolio_performance()
def test_hrp_errors():
with pytest.raises(ValueError):
hrp = HRPOpt()
df = get_data()
returns = df.pct_change().dropna(how="all")
returns_np = returns.to_numpy()
with pytest.raises(TypeError):
hrp = HRPOpt(returns_np)
hrp = HRPOpt(returns)
with pytest.raises(ValueError):
hrp.optimize(linkage_method="blah")
def test_dendrogram_plot():
plt.figure()
df = get_data()
returns = df.pct_change().dropna(how="all")
hrp = HRPOpt(returns)
hrp.optimize()
ax = plotting.plot_dendrogram(hrp, showfig=False)
assert len(ax.findobj()) == 185
assert type(ax.findobj()[0]) == matplotlib.collections.LineCollection
plt.clf()
ax = plotting.plot_dendrogram(hrp, show_tickers=False, showfig=False)
assert len(ax.findobj()) == 65
assert type(ax.findobj()[0]) == matplotlib.collections.LineCollection
plt.clf()
plt.close()
# Test that passing an unoptimized HRPOpt works, but issues a warning as
# this should already have been optimized according to the API.
hrp = HRPOpt(returns)
with pytest.warns(RuntimeWarning) as w:
ax = plotting.plot_dendrogram(hrp, show_tickers=False, showfig=False)
assert len(w) == 1
assert (str(w[0].message) ==
"hrp param has not been optimized. Attempting optimization.")
assert len(ax.findobj()) == 65
assert type(ax.findobj()[0]) == matplotlib.collections.LineCollection
plt.clf()
plt.close()
def test_portfolio_performance():
df = get_data()
returns = df.pct_change().dropna(how="all")
hrp = HRPOpt(returns)
with pytest.raises(ValueError):
hrp.portfolio_performance()
hrp.optimize()
np.testing.assert_allclose(
hrp.portfolio_performance(),
(0.21353402380950973, 0.17844159743748936, 1.084579081272277),
)
for p in ax.patches:
width = p.get_width()
height = p.get_height()
x, y = p.get_xy()
ax.annotate(f'{height:.0%}', (x + width / 2, y + height), ha='center', fontsize=20)
st.set_option('deprecation.showPyplotGlobalUse', False)
st.write(f"## Moroccan Assets Allocation using Efficient Frontier")
st.pyplot()
################################## Herarchical Risk Parity ###############################################################
if model_name == 'HRP':
hrp_ETF = HRPOpt(returns)
hrp_Mor = HRPOpt(moroccan_stocks_returns)
weights = hrp_ETF.optimize(linkage_method='single')
wei = hrp_Mor.optimize(linkage_method='single')
hrp_ETF.portfolio_performance(verbose=True)
hrp_Mor.portfolio_performance(verbose=True)
dfhrpETF = pd.DataFrame([weights])
dfhrpMor = pd.DataFrame([wei])
if len(ETF_name) == 0 & len(moroccan_stocks) == 0:
st.write("Please select stocks!!!")
if len(ETF_name) != 0:
result_pct = dfhrpETF.div(dfhrpETF.sum(1), axis=0)
'SHLD': 0.0,
'XOM': 0.0,
'RRC': 0.0,
'BBY': 0.0,
'MA': 0.0,
'PFE': 0.0,
'JPM': 0.14379,
'SBUX': 0.0}
Expected annual return: 15.3%
Annual volatility: 28.7%
Sharpe Ratio: 0.46
"""
# Hierarchical risk parity
hrp = HRPOpt(returns)
weights = hrp.optimize()
hrp.portfolio_performance(verbose=True)
print(weights)
plotting.plot_dendrogram(hrp) # to plot dendrogram
"""
Expected annual return: 10.8%
Annual volatility: 13.2%
Sharpe Ratio: 0.66
{'AAPL': 0.022258941278778397,
'AMD': 0.02229402179669211,
'AMZN': 0.016086842079875,
'BABA': 0.07963382071794091,
'BAC': 0.014409222455552262,
'BBY': 0.0340641943824504,
})
ohlcv = exchange.fetch_ohlcv(i, timeframe, limit=limit)
ohlcv = exchange.convert_ohlcv_to_trading_view(ohlcv)
df = pd.DataFrame(ohlcv)
df.t = df.t.apply(lambda x: datetime.datetime.fromtimestamp(x))
df = df.dropna()
df = df.set_index(df['t'])
df = df.drop(['t'], axis=1)
dataset = df
dataset = dataset.dropna()
data_[i] = dataset.c
data_.dropna(axis=1, inplace=True)
returns = risk_models.returns_from_prices(data_, log_returns=True)
S = CovarianceShrinkage(data_, frequency=180).ledoit_wolf()
hrp = HRPOpt(returns, cov_matrix=S)
# weights = hrp.optimize()
# hrp.portfolio_performance(verbose=True);
weights = {w: 1 / len(pair) for w in pair}
hrp.set_weights(weights)
w = hrp.portfolio_performance(verbose=True, frequency=180)
st.write("Expected annual return: {:.2f}%".format(w[0] * 100))
st.write("Annual volatility: {:.2f}%".format(w[1] * 100))
st.write("Sharpe Ratio: {:.2f}".format(w[2]))
returns = risk_models.returns_from_prices(data_, log_returns=True)
returns["sum"] = returns.sum(axis=1)
returns["cum"] = returns['sum'].cumsum(axis=0)
returns = returns.reset_index()
'XOM': 0.0,
'RRC': 0.0,
'BBY': 0.0,
'MA': 0.0,
'PFE': 0.0,
'JPM': 0.14379,
'SBUX': 0.0}
Expected annual return: 15.3%
Annual volatility: 28.7%
Sharpe Ratio: 0.46
"""
# Hierarchical risk parity
hrp = HRPOpt(returns)
weights = hrp.optimize()
hrp.portfolio_performance(verbose=True)
print(weights)
hrp.plot_dendrogram() # to plot dendrogram
"""
Expected annual return: 10.8%
Annual volatility: 13.2%
Sharpe Ratio: 0.66
{'AAPL': 0.022258941278778397,
'AMD': 0.02229402179669211,
'AMZN': 0.016086842079875,
'BABA': 0.07963382071794091,
'BAC': 0.014409222455552262,
