How do I output detailed financial performance and risk analysis statistics from this sample pandas DataFrame?
Can anyone show how this could be done with Quantstats, Pyfolio or another similar approach?
Code
start_amount = 100000
np.random.seed(8)
win_loss_df = pd.DataFrame(
np.random.choice([1000, -1000], 543),
index=pd.date_range("2020-01-01", "2022-01-30", freq="B"),
columns=["win_loss_amount"]
)
win_loss_df["total_profit"] = win_loss_df.win_loss_amount.cumsum() + start_amount
Sample DataFrame
win_loss_df.head(10)
win_loss_amount total_profit
2020-01-01 -1000 99000
2020-01-02 1000 100000
2020-01-03 -1000 99000
2020-01-06 -1000 98000
2020-01-07 -1000 97000
2020-01-08 1000 98000
2020-01-09 1000 99000
2020-01-10 -1000 98000
2020-01-13 1000 99000
2020-01-14 -1000 98000
Desired output
I would like to see output including:
- Annual return
- Sharpe ratio
- Max drawdown
I was hoping to use a library for this which would simplify the process and return data similar to a tear sheet.
from Financial performance and risk analysis statistics from sample DataFrame
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