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@@ -141,15 +141,17 @@ class RiskMetricsCumulative(object):
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cont_index = self.get_minute_index(sim_params)
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self.cont_index = cont_index
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self.cont_len = len(self.cont_index)
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self.algorithm_returns_cont = pd.Series(index=cont_index)
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self.benchmark_returns_cont = pd.Series(index=cont_index)
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self.algorithm_cumulative_leverages_cont = pd.Series(index=cont_index)
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self.mean_returns_cont = pd.Series(index=cont_index)
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self.annualized_mean_returns_cont = pd.Series(index=cont_index)
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self.mean_benchmark_returns_cont = pd.Series(index=cont_index)
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self.annualized_mean_benchmark_returns_cont = pd.Series(
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index=cont_index)
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empty_cont = np.empty(self.cont_len) * np.nan
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self.algorithm_returns_cont = empty_cont.copy()
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self.benchmark_returns_cont = empty_cont.copy()
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self.algorithm_cumulative_leverages_cont = empty_cont.copy()
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self.mean_returns_cont = empty_cont.copy()
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self.annualized_mean_returns_cont = empty_cont.copy()
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self.mean_benchmark_returns_cont = empty_cont.copy()
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self.annualized_mean_benchmark_returns_cont = empty_cont.copy()
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# The returns at a given time are read and reset from the respective
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# returns container.
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@@ -160,21 +162,22 @@ class RiskMetricsCumulative(object):
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self.mean_benchmark_returns = None
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self.annualized_mean_benchmark_returns = None
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self.algorithm_cumulative_returns = pd.Series(index=cont_index)
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self.benchmark_cumulative_returns = pd.Series(index=cont_index)
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self.algorithm_cumulative_leverages = pd.Series(index=cont_index)
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self.excess_returns = pd.Series(index=cont_index)
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self.algorithm_cumulative_returns = empty_cont.copy()
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self.benchmark_cumulative_returns = empty_cont.copy()
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self.algorithm_cumulative_leverages = empty_cont.copy()
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self.excess_returns = empty_cont.copy()
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self.latest_dt_loc = 0
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self.latest_dt = cont_index[0]
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self.metrics = pd.DataFrame(index=cont_index,
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columns=self.METRIC_NAMES,
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dtype=float)
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self.drawdowns = pd.Series(index=cont_index)
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self.max_drawdowns = pd.Series(index=cont_index)
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self.drawdowns = empty_cont.copy()
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self.max_drawdowns = empty_cont.copy()
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self.max_drawdown = 0
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self.max_leverages = pd.Series(index=cont_index)
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self.max_leverages = empty_cont.copy()
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self.max_leverage = 0
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self.current_max = -np.inf
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self.daily_treasury = pd.Series(index=self.trading_days)
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@@ -204,81 +207,77 @@ class RiskMetricsCumulative(object):
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# Keep track of latest dt for use in to_dict and other methods
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# that report current state.
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self.latest_dt = dt
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dt_loc = self.cont_index.get_loc(dt)
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self.latest_dt_loc = dt_loc
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self.algorithm_returns_cont[dt] = algorithm_returns
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self.algorithm_returns = self.algorithm_returns_cont[:dt]
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self.algorithm_returns_cont[dt_loc] = algorithm_returns
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self.algorithm_returns = self.algorithm_returns_cont[:dt_loc + 1]
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self.num_trading_days = len(self.algorithm_returns)
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if self.create_first_day_stats:
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if len(self.algorithm_returns) == 1:
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self.algorithm_returns = pd.Series(
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{self.day_before_start: 0.0}).append(
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self.algorithm_returns)
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self.algorithm_returns = np.append(0.0, self.algorithm_returns)
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self.algorithm_cumulative_returns[dt] = \
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self.algorithm_cumulative_returns[dt_loc] = \
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self.calculate_cumulative_returns(self.algorithm_returns)
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algo_cumulative_returns_to_date = \
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self.algorithm_cumulative_returns[:dt]
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self.algorithm_cumulative_returns[:dt_loc + 1]
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self.mean_returns_cont[dt] = \
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algo_cumulative_returns_to_date[dt] / self.num_trading_days
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self.mean_returns_cont[dt_loc] = \
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algo_cumulative_returns_to_date[dt_loc] / self.num_trading_days
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self.mean_returns = self.mean_returns_cont[:dt]
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self.mean_returns = self.mean_returns_cont[:dt_loc + 1]
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self.annualized_mean_returns_cont[dt] = \
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self.mean_returns_cont[dt] * 252
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self.annualized_mean_returns_cont[dt_loc] = \
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self.mean_returns_cont[dt_loc] * 252
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self.annualized_mean_returns = self.annualized_mean_returns_cont[:dt]
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self.annualized_mean_returns = \
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self.annualized_mean_returns_cont[:dt_loc + 1]
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if self.create_first_day_stats:
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if len(self.mean_returns) == 1:
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self.mean_returns = pd.Series(
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{self.day_before_start: 0.0}).append(self.mean_returns)
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self.annualized_mean_returns = pd.Series(
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{self.day_before_start: 0.0}).append(
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self.annualized_mean_returns)
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self.mean_returns = np.append(0.0, self.mean_returns)
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self.annualized_mean_returns = np.append(
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0.0, self.annualized_mean_returns)
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self.benchmark_returns_cont[dt] = benchmark_returns
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self.benchmark_returns = self.benchmark_returns_cont[:dt]
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self.benchmark_returns_cont[dt_loc] = benchmark_returns
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self.benchmark_returns = self.benchmark_returns_cont[:dt_loc + 1]
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if self.create_first_day_stats:
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if len(self.benchmark_returns) == 1:
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self.benchmark_returns = pd.Series(
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{self.day_before_start: 0.0}).append(
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self.benchmark_returns)
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self.benchmark_returns = np.append(0.0, self.benchmark_returns)
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self.benchmark_cumulative_returns[dt] = \
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self.benchmark_cumulative_returns[dt_loc] = \
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self.calculate_cumulative_returns(self.benchmark_returns)
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benchmark_cumulative_returns_to_date = \
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self.benchmark_cumulative_returns[:dt]
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self.benchmark_cumulative_returns[:dt_loc + 1]
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self.mean_benchmark_returns_cont[dt] = \
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benchmark_cumulative_returns_to_date[dt] / self.num_trading_days
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self.mean_benchmark_returns_cont[dt_loc] = \
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benchmark_cumulative_returns_to_date[dt_loc] / \
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self.num_trading_days
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self.mean_benchmark_returns = self.mean_benchmark_returns_cont[:dt]
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self.mean_benchmark_returns = self.mean_benchmark_returns_cont[:dt_loc]
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self.annualized_mean_benchmark_returns_cont[dt] = \
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self.mean_benchmark_returns_cont[dt] * 252
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self.annualized_mean_benchmark_returns_cont[dt_loc] = \
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self.mean_benchmark_returns_cont[dt_loc] * 252
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self.annualized_mean_benchmark_returns = \
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self.annualized_mean_benchmark_returns_cont[:dt]
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self.annualized_mean_benchmark_returns_cont[:dt_loc + 1]
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self.algorithm_cumulative_leverages_cont[dt] = account['leverage']
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self.algorithm_cumulative_leverages_cont[dt_loc] = account['leverage']
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self.algorithm_cumulative_leverages = \
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self.algorithm_cumulative_leverages_cont[:dt]
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self.algorithm_cumulative_leverages_cont[:dt_loc + 1]
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if self.create_first_day_stats:
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if len(self.algorithm_cumulative_leverages) == 1:
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self.algorithm_cumulative_leverages = pd.Series(
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{self.day_before_start: 0.0}).append(
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self.algorithm_cumulative_leverages = np.append(
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0.0,
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self.algorithm_cumulative_leverages)
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if not self.algorithm_returns.index.equals(
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self.benchmark_returns.index
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):
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if not len(self.algorithm_returns) and len(self.benchmark_returns):
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message = "Mismatch between benchmark_returns ({bm_count}) and \
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algorithm_returns ({algo_count}) in range {start} : {end} on {dt}"
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message = message.format(
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@@ -291,9 +290,9 @@ algorithm_returns ({algo_count}) in range {start} : {end} on {dt}"
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raise Exception(message)
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self.update_current_max()
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self.metrics.benchmark_volatility[dt] = \
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self.metrics.benchmark_volatility.iloc[dt_loc] = \
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self.calculate_volatility(self.benchmark_returns)
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self.metrics.algorithm_volatility[dt] = \
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self.metrics.algorithm_volatility.iloc[dt_loc] = \
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self.calculate_volatility(self.algorithm_returns)
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# caching the treasury rates for the minutely case is a
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@@ -309,19 +308,20 @@ algorithm_returns ({algo_count}) in range {start} : {end} on {dt}"
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)
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self.daily_treasury[treasury_end] = treasury_period_return
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self.treasury_period_return = self.daily_treasury[treasury_end]
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self.excess_returns[self.latest_dt] = (
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self.algorithm_cumulative_returns[self.latest_dt] -
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self.excess_returns[dt_loc] = (
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self.algorithm_cumulative_returns[dt_loc] -
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self.treasury_period_return)
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self.metrics.beta[dt] = self.calculate_beta()
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self.metrics.alpha[dt] = self.calculate_alpha()
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self.metrics.sharpe[dt] = self.calculate_sharpe()
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self.metrics.downside_risk[dt] = self.calculate_downside_risk()
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self.metrics.sortino[dt] = self.calculate_sortino()
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self.metrics.information[dt] = self.calculate_information()
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self.metrics.beta.iloc[dt_loc] = self.calculate_beta()
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self.metrics.alpha.iloc[dt_loc] = self.calculate_alpha()
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self.metrics.sharpe.iloc[dt_loc] = self.calculate_sharpe()
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self.metrics.downside_risk.iloc[dt_loc] = \
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self.calculate_downside_risk()
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self.metrics.sortino.iloc[dt_loc] = self.calculate_sortino()
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self.metrics.information.iloc[dt_loc] = self.calculate_information()
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self.max_drawdown = self.calculate_max_drawdown()
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self.max_drawdowns[dt] = self.max_drawdown
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self.max_drawdowns[dt_loc] = self.max_drawdown
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self.max_leverage = self.calculate_max_leverage()
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self.max_leverages[dt] = self.max_leverage
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self.max_leverages[dt_loc] = self.max_leverage
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def to_dict(self):
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"""
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@@ -329,24 +329,29 @@ algorithm_returns ({algo_count}) in range {start} : {end} on {dt}"
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Returns a dict object of the form:
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"""
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dt = self.latest_dt
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dt_loc = self.latest_dt_loc
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period_label = dt.strftime("%Y-%m")
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rval = {
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'trading_days': self.num_trading_days,
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'benchmark_volatility': self.metrics.benchmark_volatility[dt],
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'algo_volatility': self.metrics.algorithm_volatility[dt],
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'benchmark_volatility':
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self.metrics.benchmark_volatility.iloc[dt_loc],
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'algo_volatility':
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self.metrics.algorithm_volatility.iloc[dt_loc],
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'treasury_period_return': self.treasury_period_return,
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# Though the two following keys say period return,
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# they would be more accurately called the cumulative return.
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# However, the keys need to stay the same, for now, for backwards
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# compatibility with existing consumers.
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'algorithm_period_return': self.algorithm_cumulative_returns[dt],
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'benchmark_period_return': self.benchmark_cumulative_returns[dt],
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'beta': self.metrics.beta[dt],
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'alpha': self.metrics.alpha[dt],
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'sharpe': self.metrics.sharpe[dt],
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'sortino': self.metrics.sortino[dt],
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'information': self.metrics.information[dt],
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'excess_return': self.excess_returns[dt],
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'algorithm_period_return':
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self.algorithm_cumulative_returns[dt_loc],
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'benchmark_period_return':
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self.benchmark_cumulative_returns[dt_loc],
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'beta': self.metrics.beta.iloc[dt_loc],
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'alpha': self.metrics.alpha.iloc[dt_loc],
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'sharpe': self.metrics.sharpe.iloc[dt_loc],
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'sortino': self.metrics.sortino.iloc[dt_loc],
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'information': self.metrics.information.iloc[dt_loc],
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'excess_return': self.excess_returns[dt_loc],
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'max_drawdown': self.max_drawdown,
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'max_leverage': self.max_leverage,
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'period_label': period_label
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@@ -375,7 +380,7 @@ algorithm_returns ({algo_count}) in range {start} : {end} on {dt}"
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if len(self.algorithm_cumulative_returns) == 0:
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return
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current_cumulative_return = \
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self.algorithm_cumulative_returns[self.latest_dt]
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self.algorithm_cumulative_returns[self.latest_dt_loc]
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if self.current_max < current_cumulative_return:
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self.current_max = current_cumulative_return
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@@ -391,10 +396,11 @@ algorithm_returns ({algo_count}) in range {start} : {end} on {dt}"
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# exceed the previous max_drawdown iff the current return is lower than
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# the previous low in the current drawdown window.
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cur_drawdown = 1.0 - (
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(1.0 + self.algorithm_cumulative_returns[self.latest_dt]) /
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(1.0 + self.algorithm_cumulative_returns[self.latest_dt_loc])
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/
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(1.0 + self.current_max))
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self.drawdowns[self.latest_dt] = cur_drawdown
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self.drawdowns[self.latest_dt_loc] = cur_drawdown
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if self.max_drawdown < cur_drawdown:
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return cur_drawdown
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@@ -405,7 +411,8 @@ algorithm_returns ({algo_count}) in range {start} : {end} on {dt}"
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# The leverage is defined as: the gross_exposure/net_liquidation
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# gross_exposure = long_exposure + abs(short_exposure)
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# net_liquidation = ending_cash + long_exposure + short_exposure
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cur_leverage = self.algorithm_cumulative_leverages[self.latest_dt]
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cur_leverage = self.algorithm_cumulative_leverages_cont[
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self.latest_dt_loc]
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return max(cur_leverage, self.max_leverage)
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@@ -413,35 +420,38 @@ algorithm_returns ({algo_count}) in range {start} : {end} on {dt}"
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"""
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http://en.wikipedia.org/wiki/Sharpe_ratio
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"""
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return sharpe_ratio(self.metrics.algorithm_volatility[self.latest_dt],
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self.annualized_mean_returns[self.latest_dt],
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self.daily_treasury[self.latest_dt.date()])
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return sharpe_ratio(
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self.metrics.algorithm_volatility[self.latest_dt_loc],
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self.annualized_mean_returns_cont[self.latest_dt_loc],
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self.daily_treasury[self.latest_dt.date()])
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def calculate_sortino(self):
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"""
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http://en.wikipedia.org/wiki/Sortino_ratio
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"""
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return sortino_ratio(self.annualized_mean_returns[self.latest_dt],
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self.daily_treasury[self.latest_dt.date()],
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self.metrics.downside_risk[self.latest_dt])
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return sortino_ratio(
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self.annualized_mean_returns_cont[self.latest_dt_loc],
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self.daily_treasury[self.latest_dt.date()],
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self.metrics.downside_risk[self.latest_dt_loc])
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def calculate_information(self):
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"""
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http://en.wikipedia.org/wiki/Information_ratio
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"""
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return information_ratio(
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self.metrics.algorithm_volatility[self.latest_dt],
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self.annualized_mean_returns[self.latest_dt],
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self.annualized_mean_benchmark_returns[self.latest_dt])
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self.metrics.algorithm_volatility[self.latest_dt_loc],
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self.annualized_mean_returns_cont[self.latest_dt_loc],
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self.annualized_mean_benchmark_returns_cont[self.latest_dt_loc])
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def calculate_alpha(self):
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"""
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http://en.wikipedia.org/wiki/Alpha_(investment)
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"""
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return alpha(self.annualized_mean_returns[self.latest_dt],
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self.treasury_period_return,
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self.annualized_mean_benchmark_returns[self.latest_dt],
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self.metrics.beta[self.latest_dt])
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return alpha(
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self.annualized_mean_returns_cont[self.latest_dt_loc],
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self.treasury_period_return,
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self.annualized_mean_benchmark_returns_cont[self.latest_dt_loc],
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self.metrics.beta.iloc[self.latest_dt_loc])
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def calculate_volatility(self, daily_returns):
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|
if len(daily_returns) <= 1:
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|
@@ -449,8 +459,8 @@ algorithm_returns ({algo_count}) in range {start} : {end} on {dt}"
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|
return np.std(daily_returns, ddof=1) * math.sqrt(252)
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def calculate_downside_risk(self):
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|
return downside_risk(self.algorithm_returns.values,
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|
self.mean_returns.values,
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|
return downside_risk(self.algorithm_returns,
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|
self.mean_returns,
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252)
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def calculate_beta(self):
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|