Gerardo Salazar
eb6e13d91f
* Can handle null Result packets * Created utility files * Added various helper methods to PortfolioLooper * Fixes build issue by removing System.Collections.Immutable * Updates plots to show "Insufficient data" when it can't be created * Hides empty crisis page * Fixes wkhtmltopdf display bug * Removes Calculations.cs * Modifies accessibility of AddToUserDefinedUniverse in QCAlgorithm * Add null value handling in OrderJsonConverter * Various bug fixes * Fixes broken ReportChartTests.py * Adds leverage to PointInTimePortfolio
73 lines
2.7 KiB
C#
73 lines
2.7 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Linq;
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using Deedle;
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using Python.Runtime;
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using QuantConnect.Packets;
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namespace QuantConnect.Report.ReportElements
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{
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internal sealed class RollingSharpeReportElement : ChartReportElement
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{
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private LiveResult _live;
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private BacktestResult _backtest;
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/// <summary>
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/// Create a new plot of the rolling sharpe ratio
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/// </summary>
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/// <param name="name">Name of the widget</param>
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/// <param name="key">Location of injection</param>
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/// <param name="backtest">Backtest result object</param>
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/// <param name="live">Live result object</param>
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public RollingSharpeReportElement(string name, string key, BacktestResult backtest, LiveResult live)
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{
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_live = live;
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_backtest = backtest;
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Name = name;
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Key = key;
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}
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/// <summary>
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/// Generate the rolling sharpe using the python libraries.
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/// </summary>
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public override string Render()
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{
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var backtestPoints = ResultsUtil.EquityPoints(_backtest);
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var livePoints = ResultsUtil.EquityPoints(_live);
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var backtestRollingSharpe = Rolling.Sharpe(new Series<DateTime, double>(backtestPoints), 6).DropMissing();
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var liveRollingSharpe = Rolling.Sharpe(new Series<DateTime, double>(livePoints), 6).DropMissing();
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var base64 = "";
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using (Py.GIL())
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{
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var backtestList = new PyList();
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var liveList = new PyList();
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backtestList.Append(backtestRollingSharpe.Keys.ToList().ToPython());
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backtestList.Append(backtestRollingSharpe.Values.ToList().ToPython());
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liveList.Append(liveRollingSharpe.Keys.ToList().ToPython());
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liveList.Append(liveRollingSharpe.Values.ToList().ToPython());
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base64 = Charting.GetRollingSharpeRatio(backtestList, liveList);
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}
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return base64;
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}
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}
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} |