investos
Advanced tools
| import investos.portfolio | ||
| __version__ = "0.6.3" | ||
| __version__ = "0.6.4" | ||
@@ -5,0 +5,0 @@ import os |
@@ -72,2 +72,3 @@ import requests | ||
| self.save_chart_rolling_sharpe() | ||
| self.save_chart_two_way_turnover() | ||
@@ -273,2 +274,25 @@ def save_chart_historical_value(self): | ||
| def save_chart_two_way_turnover(self, periods_in_year=252): | ||
| s = self.u.drop(columns="cash").abs().sum(axis=1).rolling( | ||
| window=periods_in_year | ||
| ).sum() / (self.v * 2 * self.leverage) | ||
| json_body = { | ||
| "chart": { | ||
| "title": "Turnover (rolling year, % of non-cash exposure)", | ||
| "chartable_type": "Backtest", | ||
| "chartable_id": self.backtest_id, | ||
| "chart_traces": [ | ||
| { | ||
| "x_name": "Dates", | ||
| "y_name": "Turnover (Two-Way)", | ||
| "x_values": [str(el) for el in s.index], | ||
| "y_values": list(s.fillna(method="bfill").values), | ||
| }, | ||
| ], | ||
| } | ||
| } | ||
| self._save_chart(json_body) | ||
| def _save_chart(self, json_body): | ||
@@ -275,0 +299,0 @@ response = requests.post( |
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| Metadata-Version: 2.1 | ||
| Name: investos | ||
| Version: 0.6.3 | ||
| Version: 0.6.4 | ||
| Summary: Reliable backtesting and portfolio optimization for investors who want to focus on generating alpha | ||
@@ -5,0 +5,0 @@ Home-page: https://investos.io/ |
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| [tool.poetry] | ||
| name = "investos" | ||
| version = "0.6.3" | ||
| version = "0.6.4" | ||
| description = "Reliable backtesting and portfolio optimization for investors who want to focus on generating alpha" | ||
@@ -5,0 +5,0 @@ authors = ["Charlie Reese", "ForecastOS"] |
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