notebook

examples/notebooks/teardown.jl

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+### A Pluto.jl notebook ###
+# v0.19.40
+
+using Markdown
+using InteractiveUtils
+
+# ╔═╡ a1861f50-046e-11ef-348b-cb9f60ea0d1b
+begin
+	import Pkg
+	Pkg.activate(mktempdir())
+	Pkg.add([
+		Pkg.PackageSpec(url = "https://github.com/femtotrader/OnlinePortfolioAnalytics.jl"),
+	])
+	using TSFrames
+	using DataFrames
+	using Dates
+	using Random
+	using Plots
+	using OnlinePortfolioAnalytics
+end
+
+# ╔═╡ accbd5bc-4976-48cf-91c1-e12b62a94edf
+function random_data(rng::AbstractRNG = Random.GLOBAL_RNG;
+	start = Dates.Date(2020, 1, 1),
+	step = Dates.Day(1),
+	stop = Dates.Date(2023, 1, 1) - Dates.Day(1),
+	price_init = nothing,
+	price_init_min = 1.00,
+	price_init_step = 0.01,
+	price_init_max = 1000.00,
+	price_var_min = -10.0,
+	price_var_step = 0.1,
+	price_var_max = 10.0,
+)
+	idx = range(start, stop = stop, step = step)
+	n = length(idx)
+	if isnothing(price_init)
+		price_init = rand(rng, price_init_min:price_init_step:price_init_max)
+	end
+	return TSFrame(DataFrame(Index=collect(idx),
+		STOCK1=price_init .+ cumsum(rand(rng, price_var_min:price_var_step:price_var_max, n))))
+end
+
+# ╔═╡ da790f5a-874b-4c65-9c7d-4243d3852859
+ts = random_data()
+
+# ╔═╡ 21600f87-228d-4cd0-8f24-ec821de8ef8c
+plot(ts)
+
+# ╔═╡ c0fd125c-70d3-4e42-a0a5-4daff44a2c96
+begin
+	returns = SimpleAssetReturn(ts)
+	#returns = dropmissing(returns.coredata) |> TSFrame
+	#replace(returns.coredata, missing => 0)
+	returns.coredata.STOCK1[ismissing.(returns.coredata.STOCK1)] .= 0
+	returns = dropmissing(returns.coredata) |> TSFrame
+	returns
+end
+
+# ╔═╡ b0e1d632-1b86-4259-8f28-464e0af0c3e0
+cum_returns = CumulativeReturn(returns)
+
+# ╔═╡ a208fb00-cfe1-46d9-9751-e9e5f423f8fb
+plot(cum_returns, title="Cumulative returns")
+
+# ╔═╡ ac56bb3d-0732-4536-bb81-594643c31935
+begin
+	dd = DrawDowns(returns)
+	dd.coredata.STOCK1 = dd.coredata.STOCK1 .* 100.0
+	plot(dd, title="Drawdowns (%)")
+end
+
+# ╔═╡ Cell order:
+# ╠═a1861f50-046e-11ef-348b-cb9f60ea0d1b
+# ╠═accbd5bc-4976-48cf-91c1-e12b62a94edf
+# ╠═da790f5a-874b-4c65-9c7d-4243d3852859
+# ╠═21600f87-228d-4cd0-8f24-ec821de8ef8c
+# ╠═c0fd125c-70d3-4e42-a0a5-4daff44a2c96
+# ╠═b0e1d632-1b86-4259-8f28-464e0af0c3e0
+# ╠═a208fb00-cfe1-46d9-9751-e9e5f423f8fb
+# ╠═ac56bb3d-0732-4536-bb81-594643c31935