plotguy 2.1.7__tar.gz → 2.1.8__tar.gz
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- {plotguy-2.1.7 → plotguy-2.1.8}/PKG-INFO +1 -1
- {plotguy-2.1.7 → plotguy-2.1.8}/plotguy/__init__.py +55 -17
- {plotguy-2.1.7 → plotguy-2.1.8}/plotguy/components.py +68 -68
- {plotguy-2.1.7 → plotguy-2.1.8}/plotguy.egg-info/PKG-INFO +1 -1
- {plotguy-2.1.7 → plotguy-2.1.8}/setup.py +1 -1
- {plotguy-2.1.7 → plotguy-2.1.8}/README.md +0 -0
- {plotguy-2.1.7 → plotguy-2.1.8}/plotguy/aggregate.py +0 -0
- {plotguy-2.1.7 → plotguy-2.1.8}/plotguy/equity_curves.py +0 -0
- {plotguy-2.1.7 → plotguy-2.1.8}/plotguy/signals.py +0 -0
- {plotguy-2.1.7 → plotguy-2.1.8}/plotguy.egg-info/SOURCES.txt +0 -0
- {plotguy-2.1.7 → plotguy-2.1.8}/plotguy.egg-info/dependency_links.txt +0 -0
- {plotguy-2.1.7 → plotguy-2.1.8}/plotguy.egg-info/requires.txt +0 -0
- {plotguy-2.1.7 → plotguy-2.1.8}/plotguy.egg-info/top_level.txt +0 -0
- {plotguy-2.1.7 → plotguy-2.1.8}/setup.cfg +0 -0
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@@ -11,14 +11,16 @@ import zlib
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import requests
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import pandas as pd
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import numpy as np
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import io
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from .equity_curves import *
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from .signals import *
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from .aggregate import *
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from .components import *
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import itertools
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from bs4 import BeautifulSoup
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def get_all_para_combination(para_dict, backtest_attribute, df_dict, sec_profile, manager_list):
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def get_all_para_combination(para_dict, backtest_attribute, df_dict, sec_profile, manager_list, count_down=False):
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risk_free_rate = get_risk_free_rate(backtest_attribute['start_date'], backtest_attribute['end_date'])
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@@ -60,11 +62,12 @@ def get_all_para_combination(para_dict, backtest_attribute, df_dict, sec_profile
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all_para_combination[ref_code] = para_combination
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if count_down:
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print('5 second countdown before running backtest()')
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for i in range(5):
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print(5 - i)
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time.sleep(1)
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print(0)
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print(datetime.datetime.now().strftime('%H:%M:%S'), 'start running backtest()')
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@@ -75,8 +78,6 @@ def generate_or_read_backtest_result(read_only, mp_mode, number_of_core, manager
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if read_only and os.path.isfile('backtest_result.parquet'):
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backtest_result_df = pd.read_parquet('backtest_result.parquet')
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#backtest_result_df = backtest_result_df[backtest_result_df.index.isin(all_para_combination.keys())]
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else:
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t1 = datetime.datetime.now()
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if mp_mode:
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@@ -117,6 +118,7 @@ def save_backtest_result(df, para_combination_item):
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risk_free_rate = para_combination['risk_free_rate']
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default_market_price = para_combination['default_market_price']
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intraday = para_combination['intraday']
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long_short = para_combination['long_short']
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total_commission = df['commission'].sum()
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@@ -149,10 +151,10 @@ def save_backtest_result(df, para_combination_item):
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price_return_on_capital = price_net_profit / df_daily.at[df_daily.index[0], 'price']
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price_annualized_return = (np.sign(1 + price_return_on_capital) * np.abs(1 + price_return_on_capital)) ** (
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365 / holding_period_day) - 1
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price_annualized_std = price_pct_series.std() * math.sqrt(365)
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price_annualized_sr = (
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price_annualized_return - risk_free_rate / 100) / price_annualized_std if price_annualized_std != 0 else 0
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price_net_profit_to_mdd = price_net_profit / price_mdd_dollar if price_mdd_dollar != 0 else 0
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price_return_on_capital = round(100 * price_return_on_capital, 2)
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@@ -257,10 +259,10 @@ def save_backtest_result(df, para_combination_item):
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equity_return_on_capital = equity_net_profit / df.at[df.index[0], 'equity_value']
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equity_annualized_return = (np.sign(1 + equity_return_on_capital) * np.abs(1 + equity_return_on_capital)) ** (
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365 / holding_period_day) - 1
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equity_annualized_std = equity_pct_series.std() * math.sqrt(365)
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equity_annualized_sr = (
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equity_annualized_return - risk_free_rate / 100) / equity_annualized_std if equity_annualized_std != 0 else 0
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equity_net_profit_to_mdd = equity_net_profit / equity_mdd_dollar if equity_mdd_dollar != 0 else 0
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equity_return_on_capital = round(100 * equity_return_on_capital, 2)
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equity_annualized_sr = round(equity_annualized_sr, 2)
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equity_net_profit_to_mdd = round(100 * equity_net_profit_to_mdd, 2)
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if long_short == 'short':
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return_on_capital_diff = equity_annualized_return - (-1) * price_annualized_return
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else:
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### consider both long and long_short ###
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return_on_capital_diff = equity_annualized_return - price_annualized_return
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if intraday:
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df = df[['price', 'equity_value']]
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@@ -343,8 +349,11 @@ def get_risk_free_rate(start_date, end_date):
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else:
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risk_free_rate = get_geometric_mean_of_yearly_rate(start_date_year, end_date_year)
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except:
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try:
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risk_free_rate = get_geometric_mean_of_yearly_rate_backup(start_date_year, end_date_year)
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except:
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risk_free_rate = 2 # if network error, set rate to 2 %
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print('Network error. Risk free rate: {:.2f} %'.format(risk_free_rate))
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return risk_free_rate
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@@ -379,9 +388,9 @@ def get_latest_fed_fund_rate():
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return fed_funds_rate
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def get_geometric_mean_of_yearly_rate(start_year, end_year):
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def get_geometric_mean_of_yearly_rate(start_year, end_year):
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url = "https://fred.stlouisfed.org/graph/fredgraph.csv?id=DTB3"
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response = requests.get(url)
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response = requests.get(url, timeout=10)
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data = response.text.split("\n")[:-1]
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data = [row.split(",") for row in data]
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df = pd.DataFrame(data[1:], columns=data[0])
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df["date"] = pd.to_datetime(df["date"])
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df["risk_free_rate"] = pd.to_numeric(df["risk_free_rate"], errors='coerce')
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df.dropna(subset=['risk_free_rate'], inplace=True)
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print('Got Federal Funds Rate from stlouisfed.org')
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risk_free_rate_history_yearly = df.resample("A", on="date").mean()
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risk_free_rate_history_yearly = risk_free_rate_history_yearly.round(3)
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# show only start between start_year and end_year
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risk_free_rate_history_yearly = risk_free_rate_history_yearly[
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risk_free_rate_history_yearly.index.year >= start_year]
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risk_free_rate_history_yearly = risk_free_rate_history_yearly[risk_free_rate_history_yearly.index.year <= end_year]
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fed_fund_rate_geometric_mean = np.exp(np.log(risk_free_rate_history_yearly["risk_free_rate"]).mean())
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fed_fund_rate_geometric_mean = round(fed_fund_rate_geometric_mean, 2)
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print("Federal Funds Rate Geometric mean from {} to {}: {} %".format(start_year, end_year,
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fed_fund_rate_geometric_mean))
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return fed_fund_rate_geometric_mean
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def get_geometric_mean_of_yearly_rate_backup(start_year, end_year):
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url = '/get_fred'
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my_headers = {'token': '3f52e8c4-8c49-4c9a-8c57-1e4e9f6b0a40'}
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my_main_url = "http://120.26.40.125:8080"
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response = requests.get(f'{my_main_url}{url}', headers=my_headers)
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data_str = response.content.decode('utf-8')
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data_io = io.StringIO(data_str)
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df = pd.read_csv(data_io)
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df = df.rename(columns={'value' : 'risk_free_rate'})
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df["date"] = pd.to_datetime(df["date"])
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df.dropna(subset=['risk_free_rate'], inplace=True)
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print('Got Federal Funds Rate from backup source')
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risk_free_rate_history_yearly = df.resample("A", on="date").mean()
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risk_free_rate_history_yearly = risk_free_rate_history_yearly.round(3)
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result_df['equity_annualized_std'] = result_df['equity_annualized_std'].apply(lambda x: f"{x:,.2f} %")
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result_df['equity_annualized_sr'] = result_df['equity_annualized_sr'].apply(lambda x: f"{x:,.2f}")
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result_df['return_on_capital_diff'] = result_df['return_on_capital_diff'].apply(lambda x: f"{x:,.0f}")
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result_df['return_on_capital_diff'] = result_df['return_on_capital_diff'].apply(lambda x: f"{x:,.0f} %")
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result_df['price_mdd_dollar'] = result_df['price_mdd_dollar'].apply(lambda x: f"{int(x):,}")
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result_df['price_mdd_pct'] = result_df['price_mdd_pct'].apply(lambda x: f"{x:,.2f} %")
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saved_strategies_path = os.path.join(str_dir, 'saved_strategies.parquet')
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saved_strategies_df = pd.read_parquet(saved_strategies_path)
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for i, row in saved_strategies_df.iterrows():
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equity_path = os.path.join(str_dir, row["equity_curve_folder"], str(row['ref_code']) + '.parquet')
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#df_equity = pd.read_parquet(equity_path)
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yearly_stats_string = row['yearly_stats_string']
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para_keys_str = row['para_keys_str']
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para_keys_list = para_keys_str.split('|')
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parameters = {}
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for para_keys in para_keys_list:
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parameters[para_keys] = str(row[para_keys])
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equity_curve_dict = {}
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equity_curve_dict['folder'] = str_dir
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equity_curve_dict['backtest_name'] = row['backtest_name']
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equity_curve_dict['equity_path'] = equity_path
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equity_curve_dict['parameters'] = parameters
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equity_curve_dict['performance'] = {
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'initial_capital': row['initial_capital'],
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'sharpe_ratio': row['equity_annualized_sr'],
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'annualized_return': row['equity_annualized_return'],
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'net_profit_to_mdd': row['equity_net_profit_to_mdd'],
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'net_profit': row['equity_net_profit'],
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'mdd_dollar': row['equity_mdd_dollar'],
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'mdd_pct': row['equity_mdd_pct'],
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'num_of_trade': row['num_of_trade'],
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'num_of_win': row['num_of_win'],
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'return_on_capital': row['equity_return_on_capital'],
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'total_commission': row['total_commission'],
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}
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ref_code = str(row['ref_code'])
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equity_curve_dict['ref_code'] = ref_code
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yearly_stats_dict = {}
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years_data = yearly_stats_string.split("|")
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for year_data in years_data:
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parts = year_data.split(",")
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year = parts[0]
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yearly_stats_dict[year] = {}
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for item in parts[1:]:
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key, value = item.split(":")
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yearly_stats_dict[year][key] = float(value)
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for idx, (year, value) in enumerate(yearly_stats_dict.items()):
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year_trade_count = value['year_trade_count']
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year_win_rate = value['year_win_rate']
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year_return = value['year_return']
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+
year_win_count = year_trade_count * year_win_rate * 0.01
|
|
855
|
+
|
|
856
|
+
### dont remove ###
|
|
857
|
+
# year_trade_count = "{:d}".format(int(year_trade_count))
|
|
858
|
+
# year_win_count = "{:d}".format(int(year_win_count))
|
|
859
|
+
# year_win_rate = "{:d}%".format(int(year_win_rate))
|
|
860
|
+
# year_return = "{:.2f} %".format(int(year_return))
|
|
861
|
+
|
|
862
|
+
equity_curve_dict['performance'][f'{year} Count'] = year_trade_count
|
|
863
|
+
equity_curve_dict['performance'][f'{year} Win Rate'] = year_win_rate
|
|
864
|
+
equity_curve_dict['performance'][f'{year} Win Count'] = year_win_count
|
|
865
|
+
equity_curve_dict['performance'][f'{year} Return'] = year_return
|
|
866
|
+
|
|
867
|
+
equity_curves_dict_list.append(equity_curve_dict)
|
|
868
868
|
|
|
869
869
|
line_colour = []
|
|
870
870
|
for c in range(len(equity_curves_dict_list)):
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|