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gourav:master
gourav:find_closest_changes
gourav:own-class
gourav:switch-to-decimal
gourav:return_period-0.1
gourav:UserDict-trial
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compare: gourav:c35bc35529dc298ea997c69087256d0fa972da50
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gourav:master
gourav:find_closest_changes
gourav:own-class
gourav:switch-to-decimal
gourav:return_period-0.1
gourav:UserDict-trial

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4 changed files with 24 additions and 38 deletions
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10
pyfacts/pyfacts.py
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@ -328,17 +328,11 @@ class TimeSeries(TimeSeriesCore):
as_on_delta, prior_delta = _preprocess_match_options(as_on_match, prior_match, closest) as_on_delta, prior_delta = _preprocess_match_options(as_on_match, prior_match, closest)
current = _find_closest_date(self, as_on, closest_max_days, as_on_delta, if_not_found) current = _find_closest_date(self, as_on, closest_max_days, as_on_delta, if_not_found)
prev_date = as_on - relativedelta(**{return_period_unit: return_period_value}) prev_date = as_on - relativedelta(**{return_period_unit: return_period_value})
if current[1] != str("nan"): if current[1] != str("nan"):
previous = _find_closest_date(self, prev_date, closest_max_days, prior_delta, if_not_found) previous = _find_closest_date(self, prev_date, closest_max_days, prior_delta, if_not_found)
if ( if current[1] == str("nan") or previous[1] == str("nan"):
current[1] == str("nan")
or previous[1] == str("nan")
or current[0] == str("nan")
or previous[0] == str("nan")
):
return as_on, float("NaN") return as_on, float("NaN")
returns = current[1] / previous[1] returns = current[1] / previous[1]
@ -599,7 +593,7 @@ class TimeSeries(TimeSeriesCore):
kwargs["to_date"] = kwargs.get("to_date", self.end_date) kwargs["to_date"] = kwargs.get("to_date", self.end_date)
rr = self.calculate_rolling_returns(**kwargs) rr = self.calculate_rolling_returns(**kwargs)
mean_rr = statistics.mean(filter(lambda x: str(x) != "nan", rr.values)) mean_rr = statistics.mean(rr.values)
if annualise_returns: if annualise_returns:
mean_rr = (1 + mean_rr) ** (1 / years) - 1 mean_rr = (1 + mean_rr) ** (1 / years) - 1

6
pyfacts/statistics.py
View File

@ -574,10 +574,8 @@ def sortino_ratio(
"closest": closest, "closest": closest,
"date_format": date_format, "date_format": date_format,
} }
average_rr_ts = time_series_data.calculate_rolling_returns( average_rr_ts = time_series_data.calculate_rolling_returns(**common_params, annual_compounded_returns=False)
**common_params, annual_compounded_returns=False, if_not_found="nan" average_rr = statistics.mean(average_rr_ts.values)
)
average_rr = statistics.mean(filter(lambda x: str(x) != "nan", average_rr_ts.values))
annualized_average_rr = (1 + average_rr) ** (365 / interval_days) - 1 annualized_average_rr = (1 + average_rr) ** (365 / interval_days) - 1
excess_returns = annualized_average_rr - risk_free_rate excess_returns = annualized_average_rr - risk_free_rate

6
pyfacts/utils.py
View File

@ -188,14 +188,8 @@ def _find_closest_date(
""" """
if delta.days < 0 and date < min(data.data): if delta.days < 0 and date < min(data.data):
if if_not_found == "nan":
return float("NaN"), float("NaN")
else:
raise DateOutOfRangeError(date, "min") raise DateOutOfRangeError(date, "min")
if delta.days > 0 and date > max(data.data): if delta.days > 0 and date > max(data.data):
if if_not_found == "nan":
return float("NaN"), float("NaN")
else:
raise DateOutOfRangeError(date, "max") raise DateOutOfRangeError(date, "max")
row: tuple = data.get(date, None) row: tuple = data.get(date, None)

36
tests/test_stats.py
View File

@ -117,25 +117,25 @@ class TestSortino:
) )
assert round(sortino, 4) == -5.5233 assert round(sortino, 4) == -5.5233
sortino = pft.sortino_ratio( # sharpe_ratio = pft.sharpe_ratio(
ts, # ts,
risk_free_rate=0.052, # risk_free_rate=0.052,
from_date="2017-02-05", # from_date="2017-02-05",
to_date="2021-12-31", # to_date="2021-12-31",
return_period_unit="months", # return_period_unit="months",
return_period_value=1, # return_period_value=1,
) # )
assert round(sortino, 4) == -1.93 # assert round(sharpe_ratio, 4) == 0.4898
sortino = pft.sortino_ratio( # sharpe_ratio = pft.sharpe_ratio(
ts, # ts,
risk_free_rate=0.052, # risk_free_rate=0.052,
from_date="2018-01-01", # from_date="2018-01-01",
to_date="2021-12-31", # to_date="2021-12-31",
return_period_unit="months", # return_period_unit="months",
return_period_value=12, # return_period_value=12,
) # )
assert round(sortino, 4) == -3.9805 # assert round(sharpe_ratio, 4) == 0.3199
class TestBeta: class TestBeta: