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Merge branch 'master' of http://192.168.0.114:3000/buddy/fincal

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This commit is contained in:
Gourav Kumar 2022-03-21 20:48:06 +05:30
commit b34c14d778
2 changed files with 66 additions and 19 deletions
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44
fincal/fincal.py
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@ -3,7 +3,7 @@ from __future__ import annotations
import datetime
import math
import statistics
from typing import Iterable, List, Literal, Mapping, Union
from typing import Iterable, List, Literal, Mapping, TypedDict, Union
from dateutil.relativedelta import relativedelta
@ -16,6 +16,12 @@ from .utils import (
)
class MaxDrawdown(TypedDict):
start_date: datetime.datetime
end_date: datetime.datetime
drawdown: float
@date_parser(0, 1)
def create_date_series(
start_date: Union[str, datetime.datetime],
@ -115,11 +121,11 @@ class TimeSeries(TimeSeriesCore):
super().__init__(data, frequency, date_format)
def info(self):
def info(self) -> str:
"""Summary info about the TimeSeries object"""
total_dates = len(self.data.keys())
res_string = "First date: {}\nLast date: {}\nNumber of rows: {}"
total_dates: int = len(self.data.keys())
res_string: str = "First date: {}\nLast date: {}\nNumber of rows: {}"
return res_string.format(self.start_date, self.end_date, total_dates)
def ffill(self, inplace: bool = False, limit: int = None) -> Union[TimeSeries, None]:
@ -138,7 +144,7 @@ class TimeSeries(TimeSeriesCore):
Returns a TimeSeries object if inplace is False, otherwise None
"""
eomonth = True if self.frequency.days >= AllFrequencies.M.days else False
eomonth: bool = True if self.frequency.days >= AllFrequencies.M.days else False
dates_to_fill = create_date_series(self.start_date, self.end_date, self.frequency.symbol, eomonth)
new_ts = dict()
@ -171,7 +177,7 @@ class TimeSeries(TimeSeriesCore):
Returns a TimeSeries object if inplace is False, otherwise None
"""
eomonth = True if self.frequency.days >= AllFrequencies.M.days else False
eomonth: bool = True if self.frequency.days >= AllFrequencies.M.days else False
dates_to_fill = create_date_series(self.start_date, self.end_date, self.frequency.symbol, eomonth)
dates_to_fill.append(self.end_date)
@ -517,21 +523,31 @@ class TimeSeries(TimeSeriesCore):
rr = self.calculate_rolling_returns(**kwargs)
return statistics.mean(rr.values)
def max_drawdown(self):
max_val_dict = {}
def max_drawdown(self) -> MaxDrawdown:
"""Calculates the maximum fall the stock has taken between any two points.
prev_val = 0
prev_date = list(self.data)[0]
Returns
-------
MaxDrawdown
Returns the start_date, end_date, and the drawdown value in decimal.
"""
drawdowns: dict = dict()
prev_val: float = 0
prev_date: datetime.datetime = list(self.data)[0]
for dt, val in self.data.items():
if val > prev_val:
max_val_dict[dt] = (dt, val, 0)
drawdowns[dt] = (dt, val, 0)
prev_date, prev_val = dt, val
else:
max_val_dict[dt] = (prev_date, prev_val, val / prev_val - 1)
drawdowns[dt] = (prev_date, prev_val, val / prev_val - 1)
max_drawdown = min(max_val_dict.items(), key=lambda x: x[1][2])
max_drawdown = dict(start_date=max_drawdown[1][0], end_date=max_drawdown[0], drawdown=max_drawdown[1][2])
max_drawdown = min(drawdowns.items(), key=lambda x: x[1][2])
max_drawdown: MaxDrawdown = dict(
start_date=max_drawdown[1][0], end_date=max_drawdown[0], drawdown=max_drawdown[1][2]
)
return max_drawdown

41
tests/test_fincal2.py
View File

@ -1,12 +1,13 @@
import datetime
import math
import random
from unittest import skip
import pytest
from dateutil.relativedelta import relativedelta
from fincal.core import AllFrequencies, Frequency
from fincal.exceptions import DateNotFoundError
from fincal.fincal import TimeSeries, create_date_series
from fincal.fincal import MaxDrawdown, TimeSeries, create_date_series
from fincal.utils import FincalOptions
@ -77,7 +78,9 @@ def create_test_timeseries(
start_date = datetime.datetime(2017, 1, 1)
timedelta_dict = {
frequency.freq_type: int(frequency.value * num * (7 / 5 if frequency == "D" and skip_weekends else 1))
frequency.freq_type: int(
frequency.value * num * (7 / 5 if frequency == AllFrequencies.D and skip_weekends else 1)
)
}
end_date = start_date + relativedelta(**timedelta_dict)
dates = create_date_series(start_date, end_date, frequency.symbol, skip_weekends=skip_weekends)
@ -88,7 +91,7 @@ def create_test_timeseries(
class TestReturns:
def test_returns_calc(self):
ts = create_test_timeseries()
ts = create_test_timeseries(AllFrequencies.D, skip_weekends=True)
returns = ts.calculate_returns(
"2020-01-01", annual_compounded_returns=False, return_period_unit="years", return_period_value=1
)
@ -120,7 +123,7 @@ class TestReturns:
ts.calculate_returns("2020-04-04", return_period_unit="months", return_period_value=3, prior_match="exact")
def test_date_formats(self):
ts = create_test_timeseries()
ts = create_test_timeseries(AllFrequencies.D, skip_weekends=True)
FincalOptions.date_format = "%d-%m-%Y"
with pytest.raises(ValueError):
ts.calculate_returns(
@ -147,7 +150,7 @@ class TestReturns:
def test_limits(self):
FincalOptions.date_format = "%Y-%m-%d"
ts = create_test_timeseries()
ts = create_test_timeseries(AllFrequencies.D)
with pytest.raises(DateNotFoundError):
ts.calculate_returns("2020-11-25", return_period_unit="days", return_period_value=90, closest_max_days=10)
@ -177,3 +180,31 @@ class TestVolatility:
annualize_volatility=False,
)
assert round(sd, 6) == 0.020547
class TestDrawdown:
def test_daily_ts(self):
ts = create_test_timeseries(AllFrequencies.D, skip_weekends=True)
mdd = ts.max_drawdown()
assert isinstance(mdd, dict)
assert len(mdd) == 3
assert all(i in mdd for i in ["start_date", "end_date", "drawdown"])
expeced_response = {
"start_date": datetime.datetime(2017, 6, 6, 0, 0),
"end_date": datetime.datetime(2017, 7, 31, 0, 0),
"drawdown": -0.028293686030751997,
}
assert mdd == expeced_response
def test_weekly_ts(self):
ts = create_test_timeseries(AllFrequencies.W, mu=1, sigma=0.5)
mdd = ts.max_drawdown()
assert isinstance(mdd, dict)
assert len(mdd) == 3
assert all(i in mdd for i in ["start_date", "end_date", "drawdown"])
expeced_response = {
"start_date": datetime.datetime(2019, 2, 17, 0, 0),
"end_date": datetime.datetime(2019, 11, 17, 0, 0),
"drawdown": -0.2584760499552089,
}
assert mdd == expeced_response