{ "cells": [ { "cell_type": "code", "execution_count": 2, "id": "e40a5526-458a-4d11-8eaa-3b584f723738", "metadata": { "tags": [] }, "outputs": [], "source": [ "import fincal as fc\n", "import datetime\n", "from dateutil.relativedelta import relativedelta" ] }, { "cell_type": "code", "execution_count": 2, "id": "a54bfbdf", "metadata": {}, "outputs": [], "source": [ "data = [\n", " (\"2022-01-01\", 10),\n", " (\"2022-01-02\", 12),\n", " (\"2022-01-03\", 14),\n", " (\"2022-01-04\", 16)\n", " # (\"2022-01-06\", 18),\n", " # (\"2022-01-07\", 20),\n", " # (\"2022-01-09\", 22),\n", " # (\"2022-01-10\", 24),\n", " # (\"2022-01-11\", 26),\n", " # (\"2022-01-12\", 28),\n", " # (\"2023-01-01\", 30),\n", " # (\"2023-01-02\", 32),\n", " # (\"2023-01-03\", 34),\n", "]" ] }, { "cell_type": "code", "execution_count": 3, "id": "fcc5f8f1", "metadata": {}, "outputs": [ { "data": { "text/plain": [ "TimeSeries([(datetime.datetime(2022, 1, 1, 0, 0), 10.0),\n", "\t(datetime.datetime(2022, 1, 2, 0, 0), 12.0),\n", "\t(datetime.datetime(2022, 1, 3, 0, 0), 14.0),\n", "\t(datetime.datetime(2022, 1, 4, 0, 0), 16.0)], frequency='D')" ] }, "execution_count": 3, "metadata": {}, "output_type": "execute_result" } ], "source": [ "ts = fc.TimeSeries(data, 'D')\n", "ts2 = fc.TimeSeries(data, 'D')\n", "ts" ] }, { "cell_type": "code", "execution_count": 21, "id": "c091da16-d3a2-4d5b-93da-099d67373932", "metadata": {}, "outputs": [ { "data": { "text/plain": [ "Series([datetime.datetime(2021, 1, 1, 0, 0), datetime.datetime(2021, 1, 2, 0, 0)], data_type='datetime')" ] }, "execution_count": 21, "metadata": {}, "output_type": "execute_result" } ], "source": [ "fc.Series(['2021-01-01', '2021-01-02'], data_type='date')" ] }, { "cell_type": "code", "execution_count": 15, "id": "77fc30d8-2843-40c4-9842-d943e6ef9813", "metadata": {}, "outputs": [ { "data": { "text/plain": [ "Series([11.0, 14.0, 17.0, 20.0], data_type='float')" ] }, "execution_count": 15, "metadata": {}, "output_type": "execute_result" } ], "source": [ "ts.values + fc.Series([1, 2, 3, 4])" ] }, { "cell_type": "code", "execution_count": 8, "id": "8e812756", "metadata": {}, "outputs": [ { "ename": "ValueError", "evalue": "TimeSeries can be only expanded to a higher frequency", "output_type": "error", "traceback": [ "\u001b[0;31m---------------------------------------------------------------------------\u001b[0m", "\u001b[0;31mValueError\u001b[0m Traceback (most recent call last)", "Input \u001b[0;32mIn [8]\u001b[0m, in \u001b[0;36m\u001b[0;34m()\u001b[0m\n\u001b[0;32m----> 1\u001b[0m \u001b[43mts\u001b[49m\u001b[38;5;241;43m.\u001b[39;49m\u001b[43mexpand\u001b[49m\u001b[43m(\u001b[49m\u001b[38;5;124;43m'\u001b[39;49m\u001b[38;5;124;43mW\u001b[39;49m\u001b[38;5;124;43m'\u001b[39;49m\u001b[43m,\u001b[49m\u001b[43m \u001b[49m\u001b[38;5;124;43m'\u001b[39;49m\u001b[38;5;124;43mffill\u001b[39;49m\u001b[38;5;124;43m'\u001b[39;49m\u001b[43m)\u001b[49m\n", "File \u001b[0;32m~/Documents/projects/fincal/fincal/fincal.py:624\u001b[0m, in \u001b[0;36mTimeSeries.expand\u001b[0;34m(self, to_frequency, method, skip_weekends, eomonth)\u001b[0m\n\u001b[1;32m 621\u001b[0m \u001b[38;5;28;01mraise\u001b[39;00m \u001b[38;5;167;01mValueError\u001b[39;00m(\u001b[38;5;124mf\u001b[39m\u001b[38;5;124m\"\u001b[39m\u001b[38;5;124mInvalid argument for to_frequency \u001b[39m\u001b[38;5;132;01m{\u001b[39;00mto_frequency\u001b[38;5;132;01m}\u001b[39;00m\u001b[38;5;124m\"\u001b[39m)\n\u001b[1;32m 623\u001b[0m \u001b[38;5;28;01mif\u001b[39;00m to_frequency\u001b[38;5;241m.\u001b[39mdays \u001b[38;5;241m>\u001b[39m\u001b[38;5;241m=\u001b[39m \u001b[38;5;28mself\u001b[39m\u001b[38;5;241m.\u001b[39mfrequency\u001b[38;5;241m.\u001b[39mdays:\n\u001b[0;32m--> 624\u001b[0m \u001b[38;5;28;01mraise\u001b[39;00m \u001b[38;5;167;01mValueError\u001b[39;00m(\u001b[38;5;124m\"\u001b[39m\u001b[38;5;124mTimeSeries can be only expanded to a higher frequency\u001b[39m\u001b[38;5;124m\"\u001b[39m)\n\u001b[1;32m 626\u001b[0m new_dates \u001b[38;5;241m=\u001b[39m create_date_series(\n\u001b[1;32m 627\u001b[0m \u001b[38;5;28mself\u001b[39m\u001b[38;5;241m.\u001b[39mstart_date,\n\u001b[1;32m 628\u001b[0m \u001b[38;5;28mself\u001b[39m\u001b[38;5;241m.\u001b[39mend_date,\n\u001b[0;32m (...)\u001b[0m\n\u001b[1;32m 632\u001b[0m ensure_coverage\u001b[38;5;241m=\u001b[39m\u001b[38;5;28;01mTrue\u001b[39;00m,\n\u001b[1;32m 633\u001b[0m )\n\u001b[1;32m 635\u001b[0m closest: \u001b[38;5;28mstr\u001b[39m \u001b[38;5;241m=\u001b[39m \u001b[38;5;124m\"\u001b[39m\u001b[38;5;124mprevious\u001b[39m\u001b[38;5;124m\"\u001b[39m \u001b[38;5;28;01mif\u001b[39;00m method \u001b[38;5;241m==\u001b[39m \u001b[38;5;124m\"\u001b[39m\u001b[38;5;124mffill\u001b[39m\u001b[38;5;124m\"\u001b[39m \u001b[38;5;28;01melse\u001b[39;00m \u001b[38;5;124m\"\u001b[39m\u001b[38;5;124mnext\u001b[39m\u001b[38;5;124m\"\u001b[39m\n", "\u001b[0;31mValueError\u001b[0m: TimeSeries can be only expanded to a higher frequency" ] } ], "source": [ "ts.expand('W', 'ffill')" ] }, { "cell_type": "code", "execution_count": 12, "id": "55918da9-2df6-4773-9ca0-e19b52c3ece2", "metadata": {}, "outputs": [ { "data": { "text/plain": [ "TimeSeries([(datetime.datetime(2022, 1, 1, 0, 0), 10),\n", "\t(datetime.datetime(2022, 4, 1, 0, 0), 28),\n", "\t(datetime.datetime(2022, 7, 1, 0, 0), 28),\n", "\t(datetime.datetime(2022, 10, 1, 0, 0), 28),\n", "\t(datetime.datetime(2023, 1, 1, 0, 0), 30)], frequency='Q')" ] }, "execution_count": 12, "metadata": {}, "output_type": "execute_result" } ], "source": [ "ts.shrink('Q', 'ffill')" ] }, { "cell_type": "code", "execution_count": 2, "id": "9431eb8c", "metadata": {}, "outputs": [], "source": [ "from fincal.utils import _is_eomonth" ] }, { "cell_type": "code", "execution_count": 5, "id": "36eefec7-7dbf-4a28-ac50-2e502d9d6864", "metadata": {}, "outputs": [], "source": [ "weekly_data = [\n", " ('2018-01-31', 26),\n", " ('2018-02-28', 44),\n", " ('2018-03-30', 40),\n", " ('2018-04-30', 36),\n", " ('2018-05-31', 31),\n", " ('2018-06-30', 45),\n", " ('2018-07-30', 31),\n", " ('2018-08-31', 42),\n", " ('2018-09-30', 40),\n", " ('2018-10-30', 30),\n", " ('2018-11-30', 35),\n", " ('2018-12-31', 37),\n", " ('2019-01-31', 31),\n", " ('2019-02-28', 44),\n", " ('2019-03-31', 31),\n", " ('2019-04-29', 32),\n", " ('2019-05-30', 39),\n", " ('2019-06-30', 27),\n", " ('2019-07-31', 35),\n", " ('2019-08-31', 33),\n", " ('2019-09-30', 29),\n", " ('2019-10-30', 26),\n", " ('2019-11-30', 39),\n", " ('2019-12-30', 30),\n", " ('2020-01-30', 29)\n", "]\n", "week_ts = fc.TimeSeries(weekly_data, 'W')" ] }, { "cell_type": "code", "execution_count": 6, "id": "e1071f90", "metadata": {}, "outputs": [ { "data": { "text/plain": [ "False" ] }, "execution_count": 6, "metadata": {}, "output_type": "execute_result" } ], "source": [ "_is_eomonth(week_ts.dates)" ] }, { "cell_type": "code", "execution_count": 22, "id": "d64dd3c6-4295-4301-90e4-5c74ea23c4af", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "(datetime.datetime(2017, 1, 1, 0, 0), 67)\n", "(datetime.datetime(2017, 2, 1, 0, 0), 85)\n", "(datetime.datetime(2017, 3, 1, 0, 0), 76)\n", "(datetime.datetime(2017, 4, 1, 0, 0), 78)\n", "(datetime.datetime(2017, 5, 1, 0, 0), 65)\n", "(datetime.datetime(2017, 6, 1, 0, 0), 74)\n" ] } ], "source": [ "for i in week_ts.shrink('M', 'ffill', skip_weekends=True):\n", " print(i)" ] }, { "cell_type": "code", "execution_count": null, "id": "a549c5c0-c89a-4cc3-b396-c4afa77a9879", "metadata": {}, "outputs": [], "source": [ "week_ts.sync(ts)" ] }, { "cell_type": "code", "execution_count": 1, "id": "4755aea3-3655-4651-91d2-8e54c24303bc", "metadata": {}, "outputs": [], "source": [ "import fincal as fc" ] }, { "cell_type": "code", "execution_count": 2, "id": "bd9887b3-d98a-4c80-8f95-ef7b7f19ded4", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "['date', 'nav']\n", "CPU times: user 57.5 ms, sys: 3.38 ms, total: 60.8 ms\n", "Wall time: 60.5 ms\n" ] } ], "source": [ "%%time\n", "ts = fc.read_csv('test_files/msft.csv', frequency='D')" ] }, { "cell_type": "code", "execution_count": 7, "id": "b7c176d4-d89f-4bda-9d67-75463eb90468", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "(datetime.datetime(2022, 2, 11, 0, 0), 295.040009)\n", "(datetime.datetime(2022, 2, 12, 0, 0), 296.0)\n", "(datetime.datetime(2022, 2, 13, 0, 0), 296.0)\n", "(datetime.datetime(2022, 2, 14, 0, 0), 295.0)\n", "(datetime.datetime(2022, 2, 15, 0, 0), 300.470001)\n", "(datetime.datetime(2022, 2, 16, 0, 0), 299.5)\n", "(datetime.datetime(2022, 2, 17, 0, 0), 290.730011)\n", "(datetime.datetime(2022, 2, 18, 0, 0), 287.929993)\n" ] } ], "source": [ "for i in ts.tail(8):\n", " print(i)" ] }, { "cell_type": "code", "execution_count": 6, "id": "69c57754-a6fb-4881-9359-ba17c7fb8be5", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "CPU times: user 1.76 ms, sys: 123 µs, total: 1.88 ms\n", "Wall time: 1.88 ms\n" ] } ], "source": [ "%%time\n", "ts['2022-02-12'] = 296" ] }, { "cell_type": "code", "execution_count": 8, "id": "7aa02023-406e-4700-801c-c06390ddf914", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "CPU times: user 3.61 ms, sys: 68 µs, total: 3.68 ms\n", "Wall time: 3.7 ms\n" ] }, { "data": { "text/plain": [ "{'start_date': datetime.datetime(1999, 12, 27, 0, 0),\n", " 'end_date': datetime.datetime(2009, 3, 9, 0, 0),\n", " 'drawdown': -0.7456453305351521}" ] }, "execution_count": 8, "metadata": {}, "output_type": "execute_result" } ], "source": [ "%%time\n", "ts.max_drawdown()" ] }, { "cell_type": "code", "execution_count": 9, "id": "72cb4da4-1318-4b9b-b563-adac46accfb3", "metadata": {}, "outputs": [ { "data": { "text/plain": [ "True" ] }, "execution_count": 9, "metadata": {}, "output_type": "execute_result" } ], "source": [ "from typing import Mapping\n", "isinstance(ts, Mapping)" ] }, { "cell_type": "code", "execution_count": 23, "id": "96bbecbf", "metadata": {}, "outputs": [], "source": [ "import fincal as fc" ] }, { "cell_type": "code", "execution_count": 24, "id": "19199c92", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "['amfi_code', 'date', 'nav']\n" ] }, { "name": "stderr", "output_type": "stream", "text": [ "/Users/gourav/Documents/projects/fincal/fincal/core.py:308: UserWarning: The input data contains duplicate dates which have been ignored.\n", " warnings.warn(\"The input data contains duplicate dates which have been ignored.\")\n" ] }, { "data": { "text/plain": [ "TimeSeries([(datetime.datetime(2013, 1, 2, 0, 0), 18.972),\n", "\t (datetime.datetime(2013, 1, 3, 0, 0), 19.011),\n", "\t (datetime.datetime(2013, 1, 4, 0, 0), 19.008)\n", "\t ...\n", "\t (datetime.datetime(2022, 2, 10, 0, 0), 86.5),\n", "\t (datetime.datetime(2022, 2, 11, 0, 0), 85.226),\n", "\t (datetime.datetime(2022, 2, 14, 0, 0), 82.533)], frequency='D')" ] }, "execution_count": 24, "metadata": {}, "output_type": "execute_result" } ], "source": [ "ts = fc.read_csv('test_files/nav_history_daily - copy.csv', col_index=(1, 2), frequency='D', date_format='%d-%m-%y')\n", "ts" ] }, { "cell_type": "code", "execution_count": 28, "id": "51c9ae9a", "metadata": {}, "outputs": [ { "data": { "text/plain": [ "0.12031455056454916" ] }, "execution_count": 28, "metadata": {}, "output_type": "execute_result" } ], "source": [ "fc.sharpe_ratio(\n", " ts,\n", " risk_free_rate=0.06,\n", " from_date='2013-02-04',\n", " to_date='2022-02-14',\n", " return_period_unit='months',\n", " return_period_value=1\n", ")" ] }, { "cell_type": "markdown", "id": "b3fb7b59-eaa3-41a5-b1ab-89d63b69edb0", "metadata": {}, "source": [ "# Data generator" ] }, { "cell_type": "code", "execution_count": 1, "id": "aead3e77-2670-4541-846a-5537b01f3d2e", "metadata": {}, "outputs": [], "source": [ "import random\n", "import math\n", "import pyfacts as pft\n", "from typing import List\n", "import datetime\n", "from dateutil.relativedelta import relativedelta" ] }, { "cell_type": "code", "execution_count": 2, "id": "f287e05f", "metadata": {}, "outputs": [], "source": [ "def create_prices(s0: float, mu: float, sigma: float, num_prices: int) -> list:\n", " \"\"\"Generates a price following a geometric brownian motion process based on the input of the arguments.\n", "\n", " Since this function is used only to generate data for tests, the seed is fixed as 1234.\n", " Many of the tests rely on exact values generated using this seed.\n", " If the seed is changed, those tests will fail.\n", "\n", " Parameters:\n", " ------------\n", " s0: float\n", " Asset inital price.\n", "\n", " mu: float\n", " Interest rate expressed annual terms.\n", "\n", " sigma: float\n", " Volatility expressed annual terms.\n", "\n", " num_prices: int\n", " number of prices to generate\n", "\n", " Returns:\n", " --------\n", " Returns a list of values generated using GBM algorithm\n", " \"\"\"\n", "\n", " random.seed(1234) # WARNING! Changing the seed will cause most tests to fail\n", " all_values = []\n", " for _ in range(num_prices):\n", " s0 *= math.exp(\n", " (mu - 0.5 * sigma**2) * (1.0 / 365.0) + sigma * math.sqrt(1.0 / 365.0) * random.gauss(mu=0, sigma=1)\n", " )\n", " all_values.append(round(s0, 2))\n", "\n", " return all_values\n", "\n", "\n", "def sample_data_generator(\n", " frequency: pft.Frequency,\n", " num: int = 1000,\n", " skip_weekends: bool = False,\n", " mu: float = 0.1,\n", " sigma: float = 0.05,\n", " eomonth: bool = False,\n", ") -> List[tuple]:\n", " \"\"\"Creates TimeSeries data\n", "\n", " Parameters:\n", " -----------\n", " frequency: Frequency\n", " The frequency of the time series data to be generated.\n", "\n", " num: int\n", " Number of date: value pairs to be generated.\n", "\n", " skip_weekends: bool\n", " Whether weekends (saturday, sunday) should be skipped.\n", " Gets used only if the frequency is daily.\n", "\n", " mu: float\n", " Mean return for the values.\n", "\n", " sigma: float\n", " standard deviation of the values.\n", "\n", " Returns:\n", " --------\n", " Returns a TimeSeries object\n", " \"\"\"\n", "\n", " start_date = datetime.datetime(2017, 1, 1)\n", " timedelta_dict = {\n", " frequency.freq_type: int(\n", " frequency.value * num * (7 / 5 if frequency == pft.AllFrequencies.D and skip_weekends else 1)\n", " )\n", " }\n", " end_date = start_date + relativedelta(**timedelta_dict)\n", " dates = pft.create_date_series(start_date, end_date, frequency.symbol, skip_weekends=skip_weekends, eomonth=eomonth)\n", " values = create_prices(1000, mu, sigma, num)\n", " ts = list(zip(dates, values))\n", " return ts\n" ] }, { "cell_type": "code", "execution_count": 6, "id": "c85b5dd9-9a88-4608-ac58-1a141295f63f", "metadata": {}, "outputs": [], "source": [ "market_data = sample_data_generator(num=3600, frequency=pft.AllFrequencies.D)\n", "mts = pft.TimeSeries(market_data, \"D\")\n", "stock_data = sample_data_generator(num=3600, frequency=pft.AllFrequencies.D, mu=0.12, sigma=0.05)\n", "sts = pft.TimeSeries(stock_data, 'D')" ] }, { "cell_type": "code", "execution_count": 8, "id": "0488a4d0-bca1-4341-9fae-1fd254adc0dc", "metadata": {}, "outputs": [ { "data": { "text/plain": [ "1.020217253491451" ] }, "execution_count": 8, "metadata": {}, "output_type": "execute_result" } ], "source": [ "pft.beta(sts, mts)" ] }, { "cell_type": "code", "execution_count": 14, "id": "04624145-4fce-484c-aa69-0d17d159b598", "metadata": {}, "outputs": [], "source": [ "tst = ts.transform('Q', 'mean', False)" ] }, { "cell_type": "code", "execution_count": 16, "id": "75ed1666-5fc8-4707-bf42-62d44adcae18", "metadata": {}, "outputs": [ { "data": { "text/plain": [ "20" ] }, "execution_count": 16, "metadata": {}, "output_type": "execute_result" } ], "source": [ "len(tst)" ] }, { "cell_type": "code", "execution_count": 15, "id": "bccd7d1c-2d57-444c-af68-290f476f2b05", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "(datetime.datetime(2017, 1, 1, 0, 0), 1010.4553846153846)\n", "(datetime.datetime(2017, 4, 1, 0, 0), 1019.34)\n", "(datetime.datetime(2017, 7, 1, 0, 0), 1015.3515384615384)\n", "(datetime.datetime(2017, 10, 1, 0, 0), 1031.2892857142858)\n", "(datetime.datetime(2018, 1, 1, 0, 0), 1054.7216666666666)\n", "(datetime.datetime(2018, 4, 1, 0, 0), 1059.736153846154)\n", "(datetime.datetime(2018, 7, 1, 0, 0), 1049.1100000000001)\n", "(datetime.datetime(2018, 10, 1, 0, 0), 1051.663076923077)\n", "(datetime.datetime(2019, 1, 1, 0, 0), 1062.2869230769231)\n", "(datetime.datetime(2019, 4, 1, 0, 0), 1059.7423076923076)\n", "(datetime.datetime(2019, 7, 1, 0, 0), 1050.7661538461539)\n", "(datetime.datetime(2019, 10, 1, 0, 0), 1045.2061538461537)\n", "(datetime.datetime(2020, 1, 1, 0, 0), 1046.11)\n", "(datetime.datetime(2020, 4, 1, 0, 0), 1053.126923076923)\n", "(datetime.datetime(2020, 7, 1, 0, 0), 1053.273846153846)\n", "(datetime.datetime(2020, 10, 1, 0, 0), 1064.2384615384615)\n", "(datetime.datetime(2021, 1, 1, 0, 0), 1073.1538461538462)\n", "(datetime.datetime(2021, 4, 1, 0, 0), 1094.3215384615385)\n", "(datetime.datetime(2021, 7, 1, 0, 0), 1104.3584615384616)\n", "(datetime.datetime(2021, 10, 1, 0, 0), 1112.806923076923)\n" ] } ], "source": [ "for i in tst:\n", " print(i)" ] } ], "metadata": { "interpreter": { "hash": "71e6a8e087576f7c2a714460e6ef0339bac111b70cc81e9aa980fde63219ab06" }, "kernelspec": { "display_name": "Python 3 (ipykernel)", "language": "python", "name": "python3" }, "language_info": { "codemirror_mode": { "name": "ipython", "version": 3 }, "file_extension": ".py", "mimetype": "text/x-python", "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", "version": "3.10.4" } }, "nbformat": 4, "nbformat_minor": 5 }