mirror of
https://github.com/wassname/options_backtester.git
synced 2026-06-27 18:05:27 +08:00
Javier Rodríguez Chatruc
63 lines
2.4 KiB
Python
63 lines
2.4 KiB
Python
"""Generates charts from a portfolio report"""
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import altair as alt
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def returns_chart(report):
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# Time interval selector
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time_interval = alt.selection(type='interval', encodings=['x'])
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# Area plot
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areas = alt.Chart().mark_area(opacity=0.7).encode(x='index:T',
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y=alt.Y('accumulated return:Q', axis=alt.Axis(format='%')))
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# Nearest point selector
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nearest = alt.selection(type='single', nearest=True, on='mouseover', fields=['index'], empty='none')
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points = areas.mark_point().encode(opacity=alt.condition(nearest, alt.value(1), alt.value(0)))
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# Transparent date selector
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selectors = alt.Chart().mark_point().encode(
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x='index:T',
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opacity=alt.value(0),
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).add_selection(nearest)
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text = areas.mark_text(
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align='left', dx=5,
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dy=-5).encode(text=alt.condition(nearest, 'accumulated return:Q', alt.value(' '), format='.2%'))
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layered = alt.layer(selectors,
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points,
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text,
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areas.encode(
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alt.X('index:T', axis=alt.Axis(title='date'), scale=alt.Scale(domain=time_interval))),
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width=700,
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height=350,
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title='Returns over time')
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lower = areas.properties(width=700, height=70).add_selection(time_interval)
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return alt.vconcat(layered, lower, data=report.reset_index())
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def returns_histogram(report):
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bar = alt.Chart(report).mark_bar().encode(x=alt.X('% change:Q',
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bin=alt.BinParams(maxbins=100),
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axis=alt.Axis(format='%')),
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y='count():Q')
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return bar
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def monthly_returns_heatmap(report):
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resample = report.resample('M')['total capital'].last()
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monthly_returns = resample.pct_change().reset_index()
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monthly_returns['total capital'].iat[0] = resample.iloc[0] / report.iloc[0]['total capital'] - 1
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monthly_returns.columns = ['date', 'total capital']
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chart = alt.Chart(monthly_returns).mark_rect().encode(
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alt.X('year(date):O', title='Year'), alt.Y('month(date):O', title='Month'),
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alt.Color('mean(total capital)', title='Return', scale=alt.Scale(scheme='redyellowgreen')),
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alt.Tooltip('mean(total capital)', format='.2f')).properties(title='Monthly Returns')
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return chart
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