wassname/rl-portfolio-management
1
0
Fork 0
mirror of https://github.com/wassname/rl-portfolio-management.git synced 2026-06-27 18:06:31 +08:00
Code Issues Packages Projects Releases Wiki Activity

fix plotting

Browse Source
This commit is contained in:
wassname
2017-11-11 22:30:50 +08:00
parent d3c819c06e
commit 12e6dc89c7
1 changed files with 8 additions and 7 deletions
Download Patch File Download Diff File Expand all files Collapse all files
rl_portfolio_management/environments/portfolio.py
+8 -7
View File
@@ -173,9 +173,9 @@ class PortfolioSim(object):
"cost": mu1,
}
# record weights and prices
for i in range(len(self.asset_names)):
info['weight_' + self.asset_names[i]] = w1[i]
info['price_' + self.asset_names[i]] = y1[i]
for i, name in enumerate(['BTCBTC'] + self.asset_names):
info['weight_' + name] = w1[i]
info['price_' + name] = y1[i]
self.infos.append(info)
return reward, info, done
@@ -352,22 +352,23 @@ class PortfolioEnv(gym.Env):
df_info.index = pd.to_datetime(df_info["date"], unit='s')
# plot prices and performance
all_assets = ['BTCBTC'] + self.sim.asset_names
if not self._plot:
self._plot_dir = os.path.join(self.log_dir, 'notebook_plot_prices_' + str(time.time())) if self.log_dir else None
self._plot = LivePlotNotebook(
log_dir=self._plot_dir, title='prices & performance', labels=self.sim.asset_names + ["Portfolio"], ylabel='value')
log_dir=self._plot_dir, title='prices & performance', labels=all_assets + ["Portfolio"], ylabel='value')
x = df_info.index
y_portfolio = df_info["portfolio_value"]
y_assets = [df_info['price_' + name].cumprod()
for name in self.sim.asset_names]
for name in all_assets]
self._plot.update(x, y_assets + [y_portfolio])
# plot portfolio weights
if not self._plot2:
self._plot_dir2 = os.path.join(self.log_dir, 'notebook_plot_weights_' + str(time.time())) if self.log_dir else None
self._plot2 = LivePlotNotebook(
log_dir=self._plot_dir2, labels=self.sim.asset_names, title='weights', ylabel='weight')
ys = [df_info['weight_' + name] for name in self.sim.asset_names]
log_dir=self._plot_dir2, labels=all_assets, title='weights', ylabel='weight')
ys = [df_info['weight_' + name] for name in all_assets]
self._plot2.update(x, ys)
# plot portfolio costs