def get_winning_days(fund_ts): """ @summary Returns percentage of winning days in fund time series @param fund_ts: pandas time series of daily fund values @return Percentage of winning days over fund time series """ return tsu.get_winning_days(tsu.daily(fund_ts))
print "Reading data..." high = dataobj.get_data(timestamps, symbols, "high") actclose = dataobj.get_data(timestamps, symbols, "actual_close") print actclose.tail()[symbols[:5]] print high.tail()[symbols[:5]] eventMatrix = findEvents(symbols, timestamps, high, actclose) print "Matrix calculated - getting returns..." rendite = calc_returns(eventMatrix, actclose) rendite.to_csv('daily_return.csv') print rendite.describe() renditereihe = jp.cum_return(rendite) print print "Winning Days:" print tsu.get_winning_days(rendite) print print "Max Drawdown:" print tsu.get_max_draw_down(renditereihe) print #jp.plotline(rendite,'Returns (Close to Open)','closetoopen.png',20) #jp.plotline(renditereihe,'Cum Returns (Close to Open)','closetoopen_cum.png') rendite.plot() plt.show() renditereihe.plot() plt.show()
high = dataobj.get_data(timestamps, symbols, "high") actclose = dataobj.get_data(timestamps, symbols, "actual_close") print actclose.tail()[symbols[:5]] print high.tail()[symbols[:5]] eventMatrix = findEvents(symbols,timestamps,high,actclose) print "Matrix calculated - getting returns..." rendite=calc_returns(eventMatrix,actclose) rendite.to_csv('daily_return.csv') print rendite.describe() renditereihe=jp.cum_return(rendite) print print "Winning Days:" print tsu.get_winning_days(rendite) print print "Max Drawdown:" print tsu.get_max_draw_down(renditereihe) print #jp.plotline(rendite,'Returns (Close to Open)','closetoopen.png',20) #jp.plotline(renditereihe,'Cum Returns (Close to Open)','closetoopen_cum.png') rendite.plot() plt.show() renditereihe.plot() plt.show()