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Merge pull request #66 from lambdaclass/better-example

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merged_bt_example now has a more thorough explanation of the backtester
This commit is contained in:
Juan Pablo Amoroso
2020-03-20 11:18:41 -03:00
committed by GitHub
parent 63e307b0fa 2ec5cff32e
commit a743a506b4
2 changed files with 13623 additions and 361 deletions
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backtester/examples/merged_bt_example.ipynb
+13618 -356
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backtester/statistics/charts.py
+5 -5
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@@ -49,14 +49,14 @@ def returns_histogram(report):
def monthly_returns_heatmap(report):
resample = report.resample('M')['capital'].last()
resample = report.resample('M')['total capital'].last()
monthly_returns = resample.pct_change().reset_index()
monthly_returns['capital'].iat[0] = resample.iloc[0] / report.iloc[0]['capital'] - 1
monthly_returns.columns = ['date', 'capital']
monthly_returns['total capital'].iat[0] = resample.iloc[0] / report.iloc[0]['total capital'] - 1
monthly_returns.columns = ['date', 'total capital']
chart = alt.Chart(monthly_returns).mark_rect().encode(
alt.X('year(date):O', title='Year'), alt.Y('month(date):O', title='Month'),
alt.Color('mean(capital)', title='Return', scale=alt.Scale(scheme='redyellowgreen')),
alt.Tooltip('mean(capital)', format='.2f')).properties(title='Monthly Returns')
alt.Color('mean(total capital)', title='Return', scale=alt.Scale(scheme='redyellowgreen')),
alt.Tooltip('mean(total capital)', format='.2f')).properties(title='Monthly Returns')
return chart