WIP

femtotrader · Apr 27, 2024 · df90ed5 · df90ed5
1 parent 7c97cc6
commit df90ed5
Show file tree

Hide file tree

Showing 6 changed files with 79 additions and 58 deletions.
diff --git a/.github/workflows/CI.yml b/.github/workflows/CI.yml
@@ -24,7 +24,7 @@ jobs:
       matrix:
         version:
           - '1.10'
-          - '1.6'
+          #- '1.6'
           - 'nightly'
         os:
           - ubuntu-latest

diff --git a/examples/notebooks/teardown.jl b/examples/notebooks/teardown.jl
@@ -6,84 +6,98 @@ 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
+    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(2010, 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 = -5.0,
-	price_var_step = 0.1,
-	price_var_max = 5.0,
+function random_data(
+    rng::AbstractRNG = Random.GLOBAL_RNG;
+    start = Dates.Date(2010, 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 = -5.0,
+    price_var_step = 0.1,
+    price_var_max = 5.0,
 )
-	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))))
+    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
 begin
-	Random.seed!(123)
-	ts = random_data()
+    Random.seed!(123)
+    ts = random_data()
 end
 
 # ╔═╡ 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
+    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
 begin
-	plot(cum_returns, title="Cumulative returns", color=:green)
-	hline!([1.0], color=:green, linestyle=:dashdot, label="")
+    plot(cum_returns, title = "Cumulative returns", color = :green)
+    hline!([1.0], color = :green, linestyle = :dashdot, label = "")
 end
 
 # ╔═╡ 2d92945c-1ad5-4ef6-8c6e-1d77b23698f6
 begin
-	dd = DrawDowns(returns)
-	dd.coredata.STOCK1 = dd.coredata.STOCK1 .* 100.0
+    dd = DrawDowns(returns)
+    dd.coredata.STOCK1 = dd.coredata.STOCK1 .* 100.0
 end
 
 # ╔═╡ ac56bb3d-0732-4536-bb81-594643c31935
 begin
-	plot(dd, title="Drawdowns (%)", color=:red, fillcolor=:red, fillrange=0, fillalpha=0.35)
+    plot(
+        dd,
+        title = "Drawdowns (%)",
+        color = :red,
+        fillcolor = :red,
+        fillrange = 0,
+        fillalpha = 0.35,
+    )
 end
 
 # ╔═╡ c61cb98d-b0ea-4bf5-a0b4-11b925b18e0d
 begin
-	returns.coredata[!, :Year] = map(dt -> year(dt), returns.coredata[!, :Index])
-	returns.coredata[!, :Month] = map(dt -> Dates.Date(year(dt), month(dt), 1), returns.coredata[!, :Index])
+    returns.coredata[!, :Year] = map(dt -> year(dt), returns.coredata[!, :Index])
+    returns.coredata[!, :Month] =
+        map(dt -> Dates.Date(year(dt), month(dt), 1), returns.coredata[!, :Index])
 end
 
 # ╔═╡ 04894092-b9c4-42d8-87b2-b530de95736c

diff --git a/src/sample_data.jl b/src/sample_data.jl
@@ -50,4 +50,4 @@ const MSFT = [
 ]
 const weights = [0.4, 0.4, 0.2]
 
-end
+end
diff --git a/src/sharpe.jl b/src/sharpe.jl
@@ -39,5 +39,5 @@ function Base.empty!(stat::Sharpe{T}) where {T}
     stat.value = zero(T)
     stat.n = 0
     stat.mean = Mean(T)
-    stat.stddev = StdDev(T)
+    stat.stddev = StdDev{T}()
 end
diff --git a/src/sortino.jl b/src/sortino.jl
@@ -36,3 +36,10 @@ function OnlineStatsBase._fit!(stat::Sortino, ret)
     sortino = sqrt(stat.period) * (mean_return - stat.risk_free) / stddev_neg_return
     stat.value = sortino
 end
+
+function Base.empty!(stat::Sortino{T}) where {T}
+    stat.value = zero(T)
+    stat.n = 0
+    stat.mean_ret = Mean(T)
+    stat.stddev_neg_ret = StdDev{T}()
+end
diff --git a/test/runtests.jl b/test/runtests.jl
@@ -396,11 +396,11 @@ const ATOL = 0.0001
 
             @test isapprox(sharpes[end], 0.2886, atol = ATOL)
 
-            #empty!(_sharpe)
-            #@test _sharpe.n == 0
-            #@test value(_sharpe) == 0.0
-            #@test _sharpe.mean == Mean()
-            #@test _sharpe.stddev == StdDev()
+            empty!(_sharpe)
+            @test _sharpe.n == 0
+            @test value(_sharpe) == 0.0
+            @test _sharpe.mean == Mean()
+            @test value(_sharpe.stddev) == 1
         end
 
         @testset "Sortino" begin
@@ -426,11 +426,11 @@ const ATOL = 0.0001
 
             @test isapprox(sortinos[end], 11.4992, atol = ATOL)
 
-            #empty!(_sortino)
-            #@test _sortino.n == 0
-            #@test value(_sortino) == 0.0
-            #@test _sortino.mean == Mean()
-            #@test _sortino.stddev == StdDev()
+            empty!(_sortino)
+            @test _sortino.n == 0
+            @test value(_sortino) == 0.0
+            @test _sortino.mean_ret == Mean()
+            @test value(_sortino.stddev_neg_ret) == 1
 
         end
     end
@@ -528,7 +528,7 @@ const ATOL = 0.0001
                 @test isapprox(sharpe.coredata[end, [:TSLA]][1], 0.2886, atol = ATOL)
                 # Calculate Sortino ratio (from returns)
                 sortino = Sortino(returns)
-                @test isapprox(sortino.coredata[end, [:TSLA]][1], 11.4992, atol = ATOL)                
+                @test isapprox(sortino.coredata[end, [:TSLA]][1], 11.4992, atol = ATOL)
             end
         end
     end
-Original file line number
+Diff line change
@@ Expand Up / @@ -50,4 +50,4 @@ const MSFT = [ @@
     ]
     const weights = [0.4, 0.4, 0.2]
-    end
+    end