plotguy 1.1__tar.gz → 1.2.1__tar.gz

{plotguy-1.1 → plotguy-1.2.1}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: plotguy
-Version: 1.1
+Version: 1.2.1
 Summary: Plotguy
 Home-page: https://pypi.org/project/plotguy/
 Author: Plotguy Team

{plotguy-1.1 → plotguy-1.2.1}/plotguy/__init__.py

@@ -94,6 +94,7 @@ def apply_pnl(row):
             if date == open_date:
                 # Unrealized pnl on the open date, record on df_daily
                 df_daily.at[open_date, 'action'] = 'open'
+                df_daily.at[open_date, 'signal_value'] = df_daily.at[open_date, 'bah']  # Mark the open position for analysi chart
 
                 unrealized_pnl = num_of_share * multiplier * (now_close - open_price)#  - commission
                 unrealized_pnl = round(unrealized_pnl, 3)
@@ -449,6 +450,7 @@ def resample_summary_to_daily(para_combination, folder=''):
         pl.lit(None).alias('action'),
         pl.lit(None).alias('realized_pnl'),
         pl.lit(None).alias('unrealized_pnl'),
+        pl.lit(None).alias('signal_value'),   # for the position of analysis chart
         pl.lit(None).alias('commission'),
     ])
           .collect()
@@ -457,7 +459,7 @@ def resample_summary_to_daily(para_combination, folder=''):
     df_daily = df.to_pandas()
     df_daily.index = pd.to_datetime(df_daily['datetime'], format='%Y-%m-%d')
 
-    # Apply apply_pnl on backtes here
+    # Apply apply_pnl on backtest here
     apply_pnl.last_realized_capital = last_realized_capital
     apply_pnl.multiplier = multiplier
     apply_pnl.df_daily = df_daily
@@ -591,7 +593,7 @@ def cal_performance(para_combination):
         signal_year_mean = np.mean(signal_year_count)
         cov = round(signal_year_std / signal_year_mean, 3)
 
-        result_dict['cov'] = cov
+        result_dict['cov_count'] = cov
 
         # Win rate by year
         for year in year_list:
@@ -607,6 +609,7 @@ def cal_performance(para_combination):
         # Performance by year
         first_equity_value = 0
         last_equity_value = 0
+        year_return_list = []
         for year in year_list:
             if not df.loc[df['year'] == year].empty:  # if trade
                 if first_equity_value == 0:  # if 1st year, set beginning as the first equity_value
@@ -615,14 +618,23 @@ def cal_performance(para_combination):
                 yearly_return = (last_equity_value - first_equity_value) / first_equity_value
                 if np.isnan(yearly_return):
                     result_dict[f'{year}_return'] = 0
+                    year_return_list.append(0)
                 else:
                     result_dict[f'{year}_return'] = int(yearly_return * 100)
+                    year_return_list.append(int(yearly_return * 100))
 
             else:  # no trade
                 result_dict[f'{year}_return'] = '-----'
+                year_return_list.append(0)
 
             first_equity_value = last_equity_value
 
+        # cov_return
+        return_year_std = np.std(year_return_list)
+        return_year_mean = np.mean(year_return_list)
+        cov_return = round(return_year_std / return_year_mean, 3)
+        result_dict['cov_return'] = cov_return
+
     result_dict['risk_free_rate'] = risk_free_rate
 
     # BaH Performance

{plotguy-1.1 → plotguy-1.2.1}/plotguy/components.py

@@ -38,8 +38,10 @@ class Components:
                                                        {'label': 'MDD Percentage <', 'value': 'mdd_pct<'},
                                                        {'label': 'Trade Count >', 'value': 'num_of_trade>'},
                                                        {'label': 'Trade Count <', 'value': 'num_of_trade<'},
-                                                       {'label': 'COV >', 'value': 'cov>'},
-                                                       {'label': 'COV <', 'value': 'cov<'},
+                                                       {'label': 'COV (Count) >', 'value': 'cov_count>'},
+                                                       {'label': 'COV (Count) <', 'value': 'cov_count<'},
+                                                       {'label': 'COV (Return) >', 'value': 'cov_return>'},
+                                                       {'label': 'COV (Return) <', 'value': 'cov_return<'},
                                                        {'label': 'Win Rate >', 'value': 'win_rate>'},
                                                        {'label': 'Win Rate <', 'value': 'win_rate<'},
                                                    ],
@@ -226,7 +228,8 @@ class Components:
                 'net_profit_to_mdd',
                 'return_to_bah',
                 'win_rate',
-                'cov',
+                'cov_count',
+                'cov_return',
                 'total_commission',
                 'return_on_capital',
                 'annualized_return',
@@ -254,7 +257,8 @@ class Components:
             df['annualized_return'] = "{:.0%}".format(df['annualized_return'] / 100)
             df['annualized_std'] = "{:.0%}".format(df['annualized_std'] / 100)
 
-            df['cov'] = round(df['cov'], 2)
+            df['cov_count'] = round(df['cov_count'], 2)
+            df['cov_return'] = round(df['cov_return'], 2)
 
             try:
                 df['win_rate'] = "{:.0%}".format( float(df['win_rate']) / 100)
@@ -280,7 +284,8 @@ class Components:
         per_col_1_1.append(html.Div('Net Profit/MDD'))
         per_col_1_1.append(html.Div('Return-BaH % Diff.'))
         per_col_1_1.append(html.Div('Win Rate'))
-        per_col_1_1.append(html.Div('COV'))
+        per_col_1_1.append(html.Div('COV (Count)'))
+        per_col_1_1.append(html.Div('COV (Return)'))
         per_col_1_1.append(html.Div('Total Commission'))
         per_col_1_1.append(html.Div('Risk Free Rate'))
 
@@ -401,7 +406,8 @@ class Components:
         'annualized_return': 'Annualized Return',
         'annualized_sr': 'Sharp Ratio',
         'mdd_pct':'MDD Percentage',
-        'cov':'COV',
+        'cov_count':'COV (Count)',
+        'cov_return': 'COV (Return)',
         'win_rate':'Win Rate',
         'return_to_bah': 'Return/BnH % Diff.',
         'exclude': 'Exclude',
@@ -494,8 +500,15 @@ class Components:
         else:
             df_signal_list = pd.read_csv(save_path, index_col=0)
 
+
         df_signal_list['date'] = pd.to_datetime(df_signal_list['date'], format='%Y-%m-%d')
-        df_signal_list['datetime'] = pd.to_datetime(df_signal_list['datetime'], format='%Y-%m-%d %H:%M:%S')
+
+        try:
+            df_signal_list['datetime'] = pd.to_datetime(df_signal_list['datetime'], format='%Y-%m-%d %H:%M:%S')
+        except:
+            df_signal_list = df_signal_list.reset_index()
+            df_signal_list['datetime'] = pd.to_datetime(df_signal_list['datetime'], format='%Y-%m-%d %H:%M:%S')
+
         df_signal_list = df_signal_list.loc[
             (df_signal_list['date'] >= chart3_start) & (df_signal_list['date'] <= chart3_end)]
 
@@ -585,7 +598,8 @@ class Components:
             hovertemplate = hovertemplate + "MDD Percentage : " + "{:.0%}".format(
                 graph_df.iloc[i]['mdd_pct'] / 100) + "<br>"
             hovertemplate = hovertemplate + "Trade Count : " + str(graph_df.iloc[i]['num_of_trade']) + "<br>"
-            hovertemplate = hovertemplate + "COV : " + str(round(graph_df.iloc[i]['cov'], 2)) + "<br>"
+            hovertemplate = hovertemplate + "COV (Count) : " + str(round(graph_df.iloc[i]['cov_count'], 2)) + "<br>"
+            hovertemplate = hovertemplate + "COV (Return) : " + str(round(graph_df.iloc[i]['cov_return'], 2)) + "<br>"
             try:
                 hovertemplate = hovertemplate + "Win Rate : " + "{:.0%}".format(
                     float(graph_df.iloc[i]['win_rate']) / 100) + "<br>"
@@ -1041,6 +1055,7 @@ class Components:
 
                 dict = {}
                 # parameters = ast.literal_eval(row['para_combination'])
+
                 dict['para_combination'] = ast.literal_eval(row['para_combination'])
                 para_combination = ast.literal_eval(row['para_combination'])
                 dict['para_combination'] = para_combination
@@ -1133,7 +1148,7 @@ class Components:
                     performance_text.append(html.Div(f'{item} : {_value}', style={'line-height': line_height}))
 
                 if key == 'return_on_capital':
-                    item = 'Return on Capital'
+                    item = 'ReturnOnCapital'
                     _value = "{:.0%}".format(value/100)
                     performance_text.append(html.Div(f'{item} : {_value}', style={'line-height': line_height}))
 
@@ -1296,6 +1311,7 @@ class Components:
         year_win_rate_col = []
         year_return_col = []
 
+        year_return_list = []
         for year in year_list:
             year_col.append(html.Div(year))
             year_count.append(int(total_dict[f'{year}']))
@@ -1305,7 +1321,13 @@ class Components:
             year_return = total_dict[f'{year}_return']
             year_return_col.append(html.Div( "{:.0%}".format(year_return) ))
 
-        cov = round(np.std(year_count) / np.mean(year_count), 2)
+            try:
+                year_return_list.append(float(year_return))
+            except:
+                year_return_list.append(0)
+
+        cov_count = round(np.std(year_count) / np.mean(year_count), 2)
+        cov_return = round(np.std(year_return_list) / np.mean(year_return_list), 2)
 
         div = html.Div([
 
@@ -1318,7 +1340,8 @@ class Components:
                          html.Div('Net Profit'),
                          html.Div('Net Profit/MDD'),
                          html.Div('Win Rate'),
-                         html.Div('COV'),
+                         html.Div('COV (Count)'),
+                         html.Div('COV (Return)'),
                          html.Div('Total Commission'),
                          html.Div('Risk Free Rate'),
                          html.Div(style={'height': '10px'}),
@@ -1335,7 +1358,8 @@ class Components:
                          html.Div(net_profit),
                          html.Div(net_profit_to_mdd),
                          html.Div(win_rate),
-                         html.Div(cov),
+                         html.Div(cov_count),
+                         html.Div(cov_return),
                          html.Div(total_commission),
                          html.Div("{:.2%}".format(risk_free_rate_float / 100)),
                          html.Div(style={'height': '10px'}),

{plotguy-1.1 → plotguy-1.2.1}/plotguy/equity_curves.py

@@ -92,10 +92,12 @@ class Plot:
 
         app = Dash(__name__, external_stylesheets=[dbc.themes.SUPERHERO], suppress_callback_exceptions=True)
 
-        my_css_data = """body {
+        my_css_data = """
+                body {
                   background-color: #1a2245;
                 }
-                        /* width */
+                
+                /* width */
                 ::-webkit-scrollbar {
                   width: 10px !important;
                   display: block !important;
@@ -114,6 +116,7 @@ class Plot:
                   background: #154360;
                   border-radius: 10px;
                 }
+                
                 """
         innerHtmlText = "<style>%s</style>" % my_css_data
 
@@ -206,7 +209,7 @@ class Plot:
                                   html.Div(children=dbc.Row([
                                                 dbc.Col(width=1),
                                                 dbc.Col(children=html.Div([
-                                                    html.Div(style={'height': '0.5px'}),
+                                                    html.Div(style={'height': '0.5px',}),
                                                     dcc.DatePickerRange(
                                                         id='chart3_date',
                                                         style={'margin-left':'15px'},
@@ -679,7 +682,15 @@ class Plot:
                             if not save_path in list(saved_df['path']):
 
                                 para_pop = self.para_combination.copy()
-                                para_pop.pop('df')
+                                try:
+                                    para_pop.pop('df')
+                                except:
+                                    pass
+
+                                try:
+                                    para_pop.pop('holiday_list')
+                                except:
+                                    pass
 
                                 df_dict = {'path': save_path,
                                            'para_combination':str(para_pop),

{plotguy-1.1 → plotguy-1.2.1}/plotguy.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: plotguy
-Version: 1.1
+Version: 1.2.1
 Summary: Plotguy
 Home-page: https://pypi.org/project/plotguy/
 Author: Plotguy Team

{plotguy-1.1 → plotguy-1.2.1}/setup.py

@@ -5,7 +5,7 @@ with open("README.md", "r") as fh:
 
 setuptools.setup(
     name="plotguy",
-    version="1.1",
+    version="1.2.1",
     author="Plotguy Team",
     author_email="plotguy.info@gmail.com",
     description="Plotguy",