def plot_ltd(self, ax=None, style='k', label='ltd', show_dd=1, title=True, legend=1):
ltd = self.ltd_rets
ax = ltd.plot(ax=ax, style=style, label=label)
if show_dd:
dd = self.drawdowns
dd.plot(style='r', label='drawdowns', alpha=.5, ax=ax)
ax.fill_between(dd.index, 0, dd.values, facecolor='red', alpha=.25)
fmt = PercentFormatter
AxesFormat().Y.percent().X.label("").apply(ax)
legend and ax.legend(loc='upper left', prop={'size': 12})
# show the actualy date and value
mdt, mdd = self.maxdd_dt, self.maxdd
bbox_props = dict(boxstyle="round", fc="w", ec="0.5", alpha=0.25)
try:
dtstr = '{0}'.format(mdt.to_period())
except:
# assume daily
dtstr = '{0}'.format(hasattr(mdt, 'date') and mdt.date() or mdt)
ax.text(mdt, dd[mdt], "{1} \n {0}".format(fmt(mdd), dtstr).strip(), ha="center", va="top", size=8,
bbox=bbox_props)
if title is True:
pf = new_percent_formatter(1, parens=False, trunc_dot_zeros=True)
ff = new_float_formatter(precision=1, parens=False, trunc_dot_zeros=True)
total = pf(self.ltd_ann)
vol = pf(self.std_ann)
sh = ff(self.sharpe_ann)
mdd = pf(self.maxdd)
title = 'ret$\mathregular{_{ann}}$ %s vol$\mathregular{_{ann}}$ %s sharpe %s maxdd %s' % (
total, vol, sh, mdd)
title and ax.set_title(title, fontdict=dict(fontsize=10, fontweight='bold'))
return ax
def plot_hist(self, ax=None, **histplot_kwargs):
pf = new_percent_formatter(precision=1,
parens=False,
trunc_dot_zeros=1)
ff = new_float_formatter(precision=1, parens=False, trunc_dot_zeros=1)
ax = self.rets.hist(ax=ax, **histplot_kwargs)
AxesFormat().X.percent(1).apply(ax)
m, s, sk, ku = pf(self.mean), pf(self.std), ff(self.skew), ff(
self.kurtosis)
txt = (
"$\mathregular{\mu}$=%s $\mathregular{\sigma}$=%s skew=%s kurt=%s"
% (m, s, sk, ku))
bbox = dict(facecolor="white", alpha=0.5)
ax.text(
0,
1,
txt,
fontdict={"fontweight": "bold"},
bbox=bbox,
ha="left",
va="top",
transform=ax.transAxes,
)
return ax
def plot_hist(self, ax=None, **histplot_kwargs):
pf = new_percent_formatter(precision=1, parens=False, trunc_dot_zeros=1)
ff = new_float_formatter(precision=1, parens=False, trunc_dot_zeros=1)
ax = self.rets.hist(ax=ax, **histplot_kwargs)
AxesFormat().X.percent(1).apply(ax)
m, s, sk, ku = pf(self.mean), pf(self.std), ff(self.skew), ff(self.kurtosis)
txt = '$\mathregular{\mu}$=%s $\mathregular{\sigma}$=%s skew=%s kurt=%s' % (m, s, sk, ku)
bbox = dict(facecolor='white', alpha=0.5)
ax.text(0, 1, txt, fontdict={'fontweight': 'bold'}, bbox=bbox, ha='left', va='top', transform=ax.transAxes)
return ax
def plot_return_on_dollar(rets, title='Return on $1', show_maxdd=0, figsize=None, ax=None, append=0, label=None, **plot_args):
""" Show the cumulative return of specified rets and max drawdowns if selected."""
crets = (1. + returns_cumulative(rets, expanding=1))
if isinstance(crets, pd.DataFrame):
tmp = crets.copy()
for c in tmp.columns:
s = tmp[c]
fv = s.first_valid_index()
fi = s.index.get_loc(fv)
if fi != 0:
tmp.ix[fi - 1, c] = 1.
else:
if not s.index.freq:
# no frequency set
freq = guess_freq(s.index)
s = s.asfreq(freq)
first = s.index.shift(-1)[0]
tmp = pd.concat([pd.DataFrame({c: [1.]}, index=[first]), tmp])
crets = tmp
if append:
toadd = crets.index.shift(1)[-1]
crets = pd.concat([crets, pd.DataFrame(np.nan, columns=crets.columns, index=[toadd])])
else:
fv = crets.first_valid_index()
fi = crets.index.get_loc(fv)
if fi != 0:
crets = crets.copy()
crets.iloc[fi - 1] = 1.
else:
if not crets.index.freq:
first = crets.asfreq(guess_freq(crets.index)).index.shift(-1)[0]
else:
first = crets.index.shift(-1)[0]
tmp = pd.Series([1.], index=[first])
tmp = tmp.append(crets)
crets = tmp
if append:
toadd = pd.Series(np.nan, index=[crets.index.shift(1)[-1]])
crets = crets.append(toadd)
ax = crets.plot(figsize=figsize, title=title, ax=ax, label=label, **plot_args)
AxesFormat().Y.apply_format(new_float_formatter()).X.label("").apply(ax)
#ax.tick_params(labelsize=14)
if show_maxdd:
# find the max drawdown available by using original rets
if isinstance(rets, pd.DataFrame):
iterator = rets.iteritems()
else:
iterator = iter([('', rets)])
for c, col in iterator:
dd, dt = max_drawdown(col, inc_date=1)
lbl = c and c + ' maxdd' or 'maxdd'
# get cret to place annotation correctly
if isinstance(crets, pd.DataFrame):
amt = crets.ix[dt, c]
else:
amt = crets[dt]
bbox_props = dict(boxstyle="round", fc="w", ec="0.5", alpha=0.7)
# sub = lambda c: c and len(c) > 2 and c[:2] or c
try:
dtstr = '{0}'.format(dt.to_period())
except:
dtstr = '{0}'.format(dt)
ax.text(dt, amt, "mdd {0}".format(dtstr).strip(), ha="center",
va="center", size=10, bbox=bbox_props)
plt.tight_layout()
def pad_positive_wrapper(fmtfct):
"""Ensure that numbers are aligned in table by appending a blank space to postive values if 'parenthesis' are
used to denote negative numbers"""
def check_and_append(*args, **kwargs):
result = fmtfct(*args, **kwargs)
if fmtfct.parens and not result.endswith(')'):
result += ' '
return result
return check_and_append
IntFormatter = pad_positive_wrapper(fmt.new_int_formatter(nan='-'))
FloatFormatter = pad_positive_wrapper(fmt.new_float_formatter(nan='-'))
PercentFormatter = pad_positive_wrapper(fmt.new_percent_formatter(nan='-'))
ThousandsFormatter = pad_positive_wrapper(fmt.new_thousands_formatter(nan='-'))
MillionsFormatter = pad_positive_wrapper(fmt.new_millions_formatter(nan='-'))
BillionsFormatter = pad_positive_wrapper(fmt.new_billions_formatter(nan='-'))
# Don't attempt to pad
DynamicNumberFormatter = fmt.DynamicNumberFormat(nan='-', pcts=1, trunc_dot_zeros=1)
DollarCentsFormatter = pad_positive_wrapper(fmt.new_float_formatter(prefix='$', nan='-'))
DollarFormatter = pad_positive_wrapper(fmt.new_int_formatter(prefix='$', nan='-'))
ThousandDollarsFormatter = pad_positive_wrapper(fmt.new_thousands_formatter(prefix='$', nan='-'))
MillionDollarsFormatter = pad_positive_wrapper(fmt.new_millions_formatter(prefix='$', nan='-'))
BillionDollarsFormatter = pad_positive_wrapper(fmt.new_billions_formatter(prefix='$', nan='-'))
YmdFormatter = fmt.new_datetime_formatter('%Y%m%d', True)
Y_m_dFormatter = fmt.new_datetime_formatter('%Y_%m_%d', True)
mdYFormatter = fmt.new_datetime_formatter('%m/%d/%Y', True)
def pad_positive_wrapper(fmtfct):
"""Ensure that numbers are aligned in table by appending a blank space to postive values if 'parenthesis' are
used to denote negative numbers"""
def check_and_append(*args, **kwargs):
result = fmtfct(*args, **kwargs)
if fmtfct.parens and not result.endswith(')'):
result += ' '
return result
return check_and_append
IntFormatter = pad_positive_wrapper(fmt.new_int_formatter(nan='-'))
FloatFormatter = pad_positive_wrapper(fmt.new_float_formatter(nan='-'))
PercentFormatter = pad_positive_wrapper(fmt.new_percent_formatter(nan='-'))
ThousandsFormatter = pad_positive_wrapper(fmt.new_thousands_formatter(nan='-'))
MillionsFormatter = pad_positive_wrapper(fmt.new_millions_formatter(nan='-'))
BillionsFormatter = pad_positive_wrapper(fmt.new_billions_formatter(nan='-'))
# Don't attempt to pad
DynamicNumberFormatter = fmt.DynamicNumberFormat(method='col',
nan='-',
pcts=1,
trunc_dot_zeros=1)
DollarCentsFormatter = pad_positive_wrapper(
fmt.new_float_formatter(prefix='$', nan='-'))
DollarFormatter = pad_positive_wrapper(
fmt.new_int_formatter(prefix='$', nan='-'))
ThousandDollarsFormatter = pad_positive_wrapper(
def pad_positive_wrapper(fmtfct):
"""Ensure that numbers are aligned in table by appending a blank space to postive values if 'parenthesis' are
used to denote negative numbers"""
def check_and_append(*args, **kwargs):
result = fmtfct(*args, **kwargs)
if fmtfct.parens and not result.endswith(")"):
result += " "
return result
return check_and_append
IntFormatter = pad_positive_wrapper(fmt.new_int_formatter(nan="-"))
FloatFormatter = pad_positive_wrapper(fmt.new_float_formatter(nan="-"))
PercentFormatter = pad_positive_wrapper(fmt.new_percent_formatter(nan="-"))
ThousandsFormatter = pad_positive_wrapper(fmt.new_thousands_formatter(nan="-"))
MillionsFormatter = pad_positive_wrapper(fmt.new_millions_formatter(nan="-"))
BillionsFormatter = pad_positive_wrapper(fmt.new_billions_formatter(nan="-"))
# Don't attempt to pad
DynamicNumberFormatter = fmt.DynamicNumberFormat(method="col", nan="-", pcts=1, trunc_dot_zeros=1)
DollarCentsFormatter = pad_positive_wrapper(fmt.new_float_formatter(prefix="$", nan="-"))
DollarFormatter = pad_positive_wrapper(fmt.new_int_formatter(prefix="$", nan="-"))
ThousandDollarsFormatter = pad_positive_wrapper(fmt.new_thousands_formatter(prefix="$", nan="-"))
MillionDollarsFormatter = pad_positive_wrapper(fmt.new_millions_formatter(prefix="$", nan="-"))
BillionDollarsFormatter = pad_positive_wrapper(fmt.new_billions_formatter(prefix="$", nan="-"))
YmdFormatter = fmt.new_datetime_formatter("%Y%m%d", True)
Y_m_dFormatter = fmt.new_datetime_formatter("%Y-%m-%d", True)
mdYFormatter = fmt.new_datetime_formatter("%m/%d/%Y", True)
def pad_positive_wrapper(fmtfct):
"""Ensure that numbers are aligned in table by appending a blank space to postive values if 'parenthesis' are
used to denote negative numbers"""
def check_and_append(*args, **kwargs):
result = fmtfct(*args, **kwargs)
if fmtfct.parens and not result.endswith(")"):
result += " "
return result
return check_and_append
IntFormatter = pad_positive_wrapper(fmt.new_int_formatter(nan="-"))
FloatFormatter = pad_positive_wrapper(fmt.new_float_formatter(nan="-"))
PercentFormatter = pad_positive_wrapper(fmt.new_percent_formatter(nan="-"))
ThousandsFormatter = pad_positive_wrapper(fmt.new_thousands_formatter(nan="-"))
MillionsFormatter = pad_positive_wrapper(fmt.new_millions_formatter(nan="-"))
BillionsFormatter = pad_positive_wrapper(fmt.new_billions_formatter(nan="-"))
# Don't attempt to pad
DynamicNumberFormatter = fmt.DynamicNumberFormat(method="col",
nan="-",
pcts=1,
trunc_dot_zeros=1)
DollarCentsFormatter = pad_positive_wrapper(
fmt.new_float_formatter(prefix="$", nan="-"))
DollarFormatter = pad_positive_wrapper(
fmt.new_int_formatter(prefix="$", nan="-"))
ThousandDollarsFormatter = pad_positive_wrapper(
