virgo-modules 0.1.0__py3-none-any.whl → 0.1.1__py3-none-any.whl

virgo_modules/src/backtester.py

@@ -50,9 +50,11 @@ class SignalAnalyserObject:
     aws_credentials: dict
     signal_position: int
         if available, signal position to open a position
-    df: pd.DataFrame:
+    df: pd.DataFrame
         transformed data of the selected feature to perform back-test
-
+    median_return: float
+        median return after end low signals
+    
     Methods
     -------
     signal_analyser(days_list=list):
@@ -169,12 +171,19 @@ class SignalAnalyserObject:
             
         df['open_long'] = np.where(df.last_in_chain == True, True, np.nan)
         df['open_short'] = np.where(df.first_in_chain == True, True, np.nan)
+        df.signal_type = df.signal_type.map({'up':'go down', 'down': 'go up'})
+        
+        # median return
+        returns_list = [f'return_{days}d' for days in days_list]
+        df_melt = df[df.open_long == True].pivot_table(index=['signal_type'], values=returns_list, aggfunc='median')
+        df_melt['median'] = df_melt[returns_list].median(axis = 1)
+        self.median_return = df_melt.loc['go up', 'median']
         
         # plotting
         fig, axs = plt.subplots(1, 4, figsize = (20,5))
         palette ={"go down": "tomato", "go up": "lightblue"}
         
-        df2 = df[df.signal_type.isin(['up','down'])]
+        df2 = df[df.signal_type.isin(['go down','go up'])]
         df2['lag_Date'] = df2['Date'].shift(1)
         df2['lag_signal_type'] = df2['signal_type'].shift(1)
         df2 = df2[df2.lag_signal_type != df2.signal_type]
@@ -183,7 +192,6 @@ class SignalAnalyserObject:
         sns.stripplot(data=df2, y="span",ax = axs[0], jitter=True, zorder=1)
         axs[0].set_title('span between last signals')
 
-        df.signal_type = df.signal_type.map({'up':'go down', 'down': 'go up'})
         df_ = df[df.last_in_chain == True]
         df_['part'] = '-'
         sns.violinplot(data=df_, y="internal_rn", x='part', ax = axs[1], hue="signal_type", inner="quart",palette = palette,gap=0.1, split=True, linewidth=0.7)

{virgo_modules-0.1.0.dist-info → virgo_modules-0.1.1.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: virgo-modules
-Version: 0.1.0
+Version: 0.1.1
 Summary: data processing and statistical modeling using stock market data
 Home-page: https://github.com/miguelmayhem92/virgo_module
 Author: Miguel Mayhuire

{virgo_modules-0.1.0.dist-info → virgo_modules-0.1.1.dist-info}/RECORD

@@ -1,13 +1,13 @@
 virgo_modules/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 virgo_modules/src/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 virgo_modules/src/aws_utils.py,sha256=q0l7D7ofo09Lu1QQjv-esheQ06uiSy1Pdq3xMul8zvk,2571
-virgo_modules/src/backtester.py,sha256=9ZFUl2VbcJhn4ycQ3prPSXforaw-mb_FmDssDKzK5mc,17252
+virgo_modules/src/backtester.py,sha256=MKtDkwwoCfYgzIwKPxsSsEzxt8Nly_kKTQRXWtT7OZM,17680
 virgo_modules/src/edge_utils.py,sha256=i3Hm3fO-QA-u17jDpnRodLLILMWZ2VTMEkMKijdGKLg,14287
 virgo_modules/src/pull_artifacts.py,sha256=5OPrgR7pcMSdpbevDRhf0ebk7g7ZRjff4NpTIIWAKjE,1989
 virgo_modules/src/re_utils.py,sha256=tRyU9WpH0K7qMWXB6DIDtVqjsWg_pVdxEbq363RHZ4M,72306
 virgo_modules/src/ticketer_source.py,sha256=2wnPm2ng8VyzhApFuJ6tn8VYX_3C8bg77qijsZq_u7k,150153
-virgo_modules-0.1.0.dist-info/LICENSE,sha256=pNgFyCYgmimaw0o6V20JupZLROycAnOA_HDDh1tX2V4,1097
-virgo_modules-0.1.0.dist-info/METADATA,sha256=kUgig6T9Goiuwmw1iRf_572ii__9MTRaPSnu4aZ5Qxo,1428
-virgo_modules-0.1.0.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
-virgo_modules-0.1.0.dist-info/top_level.txt,sha256=ZjI-qEkDtT-8mFwGAWnXfqPOKEGlIhWRW1es1VyXc60,14
-virgo_modules-0.1.0.dist-info/RECORD,,
+virgo_modules-0.1.1.dist-info/LICENSE,sha256=pNgFyCYgmimaw0o6V20JupZLROycAnOA_HDDh1tX2V4,1097
+virgo_modules-0.1.1.dist-info/METADATA,sha256=JjIDcgyOd3VskJJAoFKs_V4g_b2tQXjmcd7g4DY7miA,1428
+virgo_modules-0.1.1.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
+virgo_modules-0.1.1.dist-info/top_level.txt,sha256=ZjI-qEkDtT-8mFwGAWnXfqPOKEGlIhWRW1es1VyXc60,14
+virgo_modules-0.1.1.dist-info/RECORD,,