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Refactor timeseries.py #262

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merged 10 commits into from
Dec 23, 2015
Merged

Refactor timeseries.py #262

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cf96139
MAINT Refactor timeseries.py
twiecki Dec 18, 2015
7f99247
MAINT Refactor perf_stats() to call all performance functions by goin…
twiecki Dec 18, 2015
27581fc
STY PEP8 fix.
twiecki Dec 18, 2015
ca8567e
BUG Refactor stability measure. Before was using cumulative returns w…
twiecki Dec 18, 2015
895ef5c
MAINT Remove kdie function from returns tear-sheet.
twiecki Dec 18, 2015
489379e
WIP Wrongly named variables.
twiecki Dec 21, 2015
604f57d
BUG Create DataFrame instead of using .join().
twiecki Dec 21, 2015
d1ff4d7
DOC Remove unnecessary comment about risk metrics.
twiecki Dec 22, 2015
adcf656
MAINT Use np.log1p(x) instead of np.log(1+x) for increased numerical …
twiecki Dec 22, 2015
596dd86
MAINT Remove unncessary .month groupby since isocalendar week is alre…
twiecki Dec 22, 2015
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11 changes: 6 additions & 5 deletions pyfolio/plotting.py
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Original file line number Diff line number Diff line change
Expand Up @@ -13,6 +13,7 @@
# See the License for the specific language governing permissions and
# limitations under the License.
from __future__ import division
from collections import OrderedDict

import pandas as pd
import numpy as np
Expand Down Expand Up @@ -510,13 +511,13 @@ def show_perf_stats(returns, factor_returns, live_start_date=None):
perf_stats = np.round(timeseries.perf_stats(
returns_backtest,
factor_returns=factor_returns), 2)
perf_stats.columns = ['Backtest']

if live_start_date is not None:
perf_stats = perf_stats.join(perf_stats_live,
how='inner')
perf_stats = perf_stats.join(perf_stats_all,
how='inner')
perf_stats = pd.DataFrame(OrderedDict([
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This is cool, I didn't know dataframe respected ordered dict key ordering until now

('Backtest', perf_stats),
('Out of sample', perf_stats_live),
('All history', perf_stats_all),
]))

print(perf_stats)

Expand Down
28 changes: 0 additions & 28 deletions pyfolio/tears.py
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Original file line number Diff line number Diff line change
Expand Up @@ -263,11 +263,6 @@ def create_returns_tear_sheet(returns, live_start_date=None,
ax_monthly_dist = plt.subplot(gs[8, 2])
ax_return_quantiles = plt.subplot(gs[9, :])

if live_start_date is not None:
ax_daily_similarity_scale = plt.subplot(gs[10, 0])
ax_daily_similarity_no_var = plt.subplot(gs[10, 1])
ax_daily_similarity_no_var_no_mean = plt.subplot(gs[10, 2])

plotting.plot_rolling_returns(
returns,
factor_returns=benchmark_rets,
Expand Down Expand Up @@ -322,29 +317,6 @@ def create_returns_tear_sheet(returns, live_start_date=None,
df_monthly,
ax=ax_return_quantiles)

if live_start_date is not None:
returns_backtest = returns[returns.index < live_start_date]
returns_live = returns[returns.index > live_start_date]

plotting.plot_daily_returns_similarity(
returns_backtest,
returns_live,
title='Daily Returns Similarity',
ax=ax_daily_similarity_scale)
plotting.plot_daily_returns_similarity(
returns_backtest,
returns_live,
scale_kws={'with_std': False},
title='Similarity without\nvariance normalization',
ax=ax_daily_similarity_no_var)
plotting.plot_daily_returns_similarity(
returns_backtest,
returns_live,
scale_kws={'with_std': False,
'with_mean': False},
title='Similarity without variance\nand mean normalization',
ax=ax_daily_similarity_no_var_no_mean)

for ax in fig.axes:
plt.setp(ax.get_xticklabels(), visible=True)

Expand Down
2 changes: 1 addition & 1 deletion pyfolio/tests/test_timeseries.py
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Expand Up @@ -289,7 +289,7 @@ def test_sharpe_2(self, returns, rolling_sharpe_window, expected):
returns, rolling_sharpe_window).values.tolist()), expected)

@parameterized.expand([
(simple_rets, 0.010766923838471554)
(simple_rets, 0.10376378866671222)
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what caused this test to change, the only bug commit I see is the df join

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bb13b0a. You're right that it should be a BUG commit as the original implementation wasn't correct.

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Reworded that commit: ca8567e

])
def test_stability_of_timeseries(self, returns, expected):
self.assertAlmostEqual(
Expand Down
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