424 update sharpe ratio (#425)

* Sharpe flexible

* Sharpe for portfolio

cvx/simulator/portfolio.py

@@ -15,7 +15,6 @@
 
 from dataclasses import dataclass
 from datetime import datetime
-from math import sqrt
 from typing import Any
 
 import numpy as np
@@ -396,10 +395,13 @@ def snapshot(
 
         return fig
 
-    def sharpe(self, n=252):
+    def sharpe(self, n=None):
         """Simple Sharpe ratio"""
+
         ts = self.nav.pct_change().dropna()
-        return ts.mean() / ts.std() * sqrt(n)
+        return sharpe(ts, n=n)
+
+        # return ts.mean() / ts.std() * sqrt(n)
 
     @classmethod
     def from_cashpos_prices(

cvx/simulator/utils/metric.py

@@ -1,8 +1,19 @@
 from math import sqrt
 
+import pandas as pd
 
-def sharpe(ts, n=252):
+
+def _periods(ts):
+    """
+    compute the number of periods in a time series
+    """
+    series = pd.Series(data=ts.index)
+    return 365 * 24 * 60 * 60 / (series.diff().mean().total_seconds())
+
+
+def sharpe(ts, n=None):
     """
     compute the sharpe ratio of a time series
     """
+    n = n or _periods(ts)
     return ts.mean() / ts.std() * sqrt(n)

tests/conftest.py

@@ -19,3 +19,13 @@ def prices(resource_dir):
     return pd.read_csv(
         resource_dir / "price.csv", index_col=0, parse_dates=True, header=0
     ).ffill()
+
+
+@pytest.fixture()
+def nav():
+    return pd.read_csv(
+        Path(__file__).parent / "resources" / "nav.csv",
+        index_col=0,
+        parse_dates=True,
+        header=0,
+    ).squeeze()

tests/test_applications/test_talk/test_experiment1.py

@@ -29,5 +29,5 @@ def test_portfolio(prices):
         prices=prices, cashposition=1e6 * f(prices), aum=1e6
     )
     assert sharpe(portfolio.nav.pct_change().dropna()) == pytest.approx(
-        0.5285239056785145
+        0.5375955959644553
     )

tests/test_applications/test_talk/test_experiment2.py

@@ -29,4 +29,4 @@ def test_portfolio(prices):
     portfolio = Portfolio.from_cashpos_prices(
         prices=prices, cashposition=1e6 * f(prices), aum=1e8
     )
-    assert sharpe(portfolio.nav.pct_change()) == pytest.approx(0.6132309781658799)
+    assert sharpe(portfolio.nav.pct_change()) == pytest.approx(0.6237309693693432)

tests/test_applications/test_talk/test_experiment3.py

@@ -30,4 +30,4 @@ def test_portfolio(prices):
     portfolio = Portfolio.from_cashpos_prices(
         prices=prices, cashposition=1e6 * f(prices), aum=1e8
     )
-    assert sharpe(portfolio.nav.pct_change()) == pytest.approx(0.8999500486718532)
+    assert sharpe(portfolio.nav.pct_change()) == pytest.approx(0.9153593608740396)

tests/test_applications/test_talk/test_experiment4.py

@@ -40,4 +40,4 @@ def test_portfolio(prices):
     portfolio = Portfolio.from_cashpos_prices(
         prices=prices, cashposition=1e6 * f(prices), aum=1e8
     )
-    assert sharpe(portfolio.nav.pct_change()) == pytest.approx(0.9679528514122532)
+    assert sharpe(portfolio.nav.pct_change()) == pytest.approx(0.98452653536996)

tests/test_applications/test_talk/test_experiment5.py

@@ -48,7 +48,7 @@ def test_portfolio(prices):
     portfolio = builder.build()
 
     assert sharpe(portfolio.nav.pct_change().dropna()) == pytest.approx(
-        1.3163233581460896
+        1.338916996187723
     )
 
     # portfolio.metrics()["Sharpe"] == pytest.approx(1.2778671597915794)

tests/test_portfolio.py

@@ -1,20 +1,17 @@
-from pathlib import Path
-
 import pandas as pd
 import pytest
 
 from cvx.simulator.portfolio import Portfolio
 from cvx.simulator.utils.metric import sharpe
 
-
-@pytest.fixture()
-def nav():
-    return pd.read_csv(
-        Path(__file__).parent / "resources" / "nav.csv",
-        index_col=0,
-        parse_dates=True,
-        header=0,
-    ).squeeze()
+# @pytest.fixture()
+# def nav():
+#     return pd.read_csv(
+#         Path(__file__).parent / "resources" / "nav.csv",
+#         index_col=0,
+#         parse_dates=True,
+#         header=0,
+#     ).squeeze()
 
 
 @pytest.fixture()
@@ -182,4 +179,4 @@ def test_profit_metrics(portfolio):
     assert portfolio.profit.sum() == pytest.approx(-3492.4000000000033)
     assert sharpe(portfolio.profit, n=252) == pytest.approx(-0.10965282385614909)
     # profit is replacing NaNs with 0?!
-    assert portfolio.sharpe() == pytest.approx(-0.10210959124482079)
+    assert portfolio.sharpe() == pytest.approx(-0.1038600869081656)

tests/test_utils/test_metric.py

@@ -0,0 +1,9 @@
+import pytest
+
+from cvx.simulator.utils.metric import sharpe
+
+
+def test_sharpe(nav):
+    s = sharpe(nav.pct_change())
+    print(s)
+    assert s == pytest.approx(-0.10388478316042028)

tests/test_utils/test_month.py

@@ -1,17 +1,6 @@
-import pandas as pd
-import pytest
-
 from cvx.simulator.utils.month import Aggregate, monthlytable
 
 
-@pytest.fixture()
-def nav(resource_dir):
-    """nav fixture"""
-    return pd.read_csv(
-        resource_dir / "nav.csv", index_col=0, parse_dates=True, header=0
-    ).squeeze()
-
-
 def test_month_compounded(nav):
     table = monthlytable(nav.pct_change().fillna(0.0), Aggregate.COMPOUND)
     print(table)