ENH: add plot_risk_exposures #433
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pyfolio/perf_attrib.py
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| @@ -225,7 +237,8 @@ def plot_factor_contribution_to_perf(exposures, perf_attrib_data, ax=None): | |||
| perf_attrib_data.index, | |||
| [perf_attrib_data[s] for s in chain(perf_attrib_data.iloc[:, :-3], | |||
| ['specific_returns'])], | |||
| labels=list(perf_attrib_data.iloc[:, :-3]) + ['specific returns'] | |||
| labels=list(perf_attrib_data.iloc[:, :-3]) + ['specific returns'], | |||
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why are the last three dropped?
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the last three columns are total_returns, common_returns, and specific_returns, and common returns are accounted for by each of the individual factor returns
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maybe perf_attrib_data.drop(['total_returns', ...], axis='columns') then to make the intent more clear?
| momentum reversal | ||
| dt | ||
| 2017-01-01 -0.238655 0.077123 | ||
| 2017-01-02 0.821872 1.520515 |
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pyfolio/perf_attrib.py
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| if pos_in_dollars: | ||
| # convert holdings to percentages, and convert positions to long format | ||
| positions = get_percent_alloc(positions) | ||
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| # remove cash after normalizing positions | ||
| del positions['cash'] |
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Perhaps positions.drop('cash', axis='columns') instead?
pyfolio/utils.py
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| def set_legend_location(ax): | ||
| """ | ||
| Put legend in right of plot instead of overlapping with the it. |
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Typo instead of overlapping with the it.
| @@ -161,6 +180,15 @@ def show_perf_attrib_stats(returns, positions, factor_returns, | |||
| def plot_returns(returns, specific_returns, common_returns, ax=None): | |||
| """ | |||
| Plot total, specific, and common returns. | |||
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| Parameters | |||
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Also document returns, specific_returns and common_returns
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See feedback from @eigenfoo but looks good otherwise. |
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@yankees714 mind taking a look when you can? |
pyfolio/perf_attrib.py
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| '#b380ff', '#e0e6ac', '#a253a6', '#418020', '#ff409f', | ||
| '#ffa940', '#83ff40', '#3d58f2', '#e3ace6', '#d9a86c', | ||
| '#2db391' | ||
| ] |
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Would it make sense to put this in pyfolio.utils?
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yup, I'll move it there
pyfolio/perf_attrib.py
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| # convert holdings to percentages, and convert positions to long format | ||
| positions = get_percent_alloc(positions) | ||
| if pos_in_dollars: | ||
| # convert holdings to percentages, and convert positions to long format |
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What does 'convert positions to long format' mean here?
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that part of the comment applies to the line positions = positions.stack(), it means change it from wide format:
AAPL TLT XOM
2017-01-01 0.333333 0.568627 0.098039
2017-01-02 0.188034 0.658120 0.153846
2017-01-03 -0.263158 0.473684 0.526316
to long format (everything in one column with a multi index)
2017-01-01 AAPL 0.333333
TLT 0.568627
XOM 0.098039
2017-01-02 AAPL 0.188034
TLT 0.658120
XOM 0.153846
2017-01-03 AAPL -0.263158
TLT 0.473684
XOM 0.526316
I'll change that comment to be in the right place
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I'll squash commits, and then merge |
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once tests pass, I'll merge |
plot risk factor exposures:
add flag
pos_in_dollarstoperf_attribindicating whether positions are in dollars or not (for performance attribution does not work correctly when percentages are passed in #439)