Merge pull request #145 from pmorissette/inferyear

Adding inferring periods to core.py adn optional trading_days_per_yea…

ffn/core.py

@@ -36,6 +36,9 @@
 
 from matplotlib import pyplot as plt  # noqa
 
+# module level variable, can be different for non traditional markets (eg. crypto - 360)
+TRADING_DAYS_PER_YEAR = 252
+
 
 class PerformanceStats(object):
     """
@@ -57,17 +60,19 @@ class PerformanceStats(object):
         * lookback_returns (Series): Returns for different
             lookback periods (1m, 3m, 6m, ytd...)
         * stats (Series): A series that contains all the stats
+        * annualization_factor (float): `Annualization factor` used in various calculations; aka `nperiods`, `252`
 
     """
 
-    def __init__(self, prices, rf=0.0):
+    def __init__(self, prices, rf=0.0, annualization_factor=TRADING_DAYS_PER_YEAR):
         super(PerformanceStats, self).__init__()
         self.prices = prices
         self.name = self.prices.name
         self._start = self.prices.index[0]
         self._end = self.prices.index[-1]
 
         self.rf = rf
+        self.annualization_factor = annualization_factor
 
         self._update(self.prices)
 
@@ -223,21 +228,24 @@ def _calculate(self, obj):
         # Will calculate daily figures only if the input data has at least daily frequency or higher (e.g hourly)
         # Rather < 2 days than <= 1 days in case of data taken at different hours of the days
         if r.index.to_series().diff().min() < pd.Timedelta("2 days"):
-            self.daily_mean = r.mean() * 252
-            self.daily_vol = np.std(r, ddof=1) * np.sqrt(252)
+            self.daily_mean = r.mean() * self.annualization_factor
+            self.daily_vol = np.std(r, ddof=1) * np.sqrt(self.annualization_factor)
 
-            # if type(self.rf) is float:
             if isinstance(self.rf, float):
-                self.daily_sharpe = r.calc_sharpe(rf=self.rf, nperiods=252)
-                self.daily_sortino = calc_sortino_ratio(r, rf=self.rf, nperiods=252)
+                self.daily_sharpe = r.calc_sharpe(
+                    rf=self.rf, nperiods=self.annualization_factor
+                )
+                self.daily_sortino = calc_sortino_ratio(
+                    r, rf=self.rf, nperiods=self.annualization_factor
+                )
             # rf is a price series
             else:
                 _rf_daily_price_returns = self.rf.to_returns()
                 self.daily_sharpe = r.calc_sharpe(
-                    rf=_rf_daily_price_returns, nperiods=252
+                    rf=_rf_daily_price_returns, nperiods=self.annualization_factor
                 )
                 self.daily_sortino = calc_sortino_ratio(
-                    r, rf=_rf_daily_price_returns, nperiods=252
+                    r, rf=_rf_daily_price_returns, nperiods=self.annualization_factor
                 )
 
             self.best_day = r.max()
@@ -1402,7 +1410,9 @@ def calc_sharpe(returns, rf=0.0, nperiods=None, annualize=True):
             etc.)
 
     """
-    # if type(rf) is float and rf != 0 and nperiods is None:
+    if nperiods is None:
+        nperiods = infer_freq(returns)
+
     if isinstance(rf, float) and rf != 0 and nperiods is None:
         raise Exception("Must provide nperiods if rf != 0")
 
@@ -1825,7 +1835,9 @@ def calc_erc_weights(
     return pd.Series(erc_weights, index=returns.columns, name="erc")
 
 
-def get_num_days_required(offset, period="d", perc_required=0.90):
+def get_num_days_required(
+    offset, period="d", perc_required=0.90, annualization_factor=252
+):
     """
     Estimates the number of days required to assume that data is OK.
 
@@ -1849,7 +1861,7 @@ def get_num_days_required(offset, period="d", perc_required=0.90):
     elif period == "m":
         req = (days / 20) * perc_required
     elif period == "y":
-        req = (days / 252) * perc_required
+        req = (days / annualization_factor) * perc_required
     else:
         raise NotImplementedError("period not supported. Supported periods are d, m, y")
 
@@ -2276,9 +2288,68 @@ def deannualize(returns, nperiods):
             monthly, etc.
 
     """
+    if nperiods is None:
+        nperiods = infer_freq(returns)
     return np.power(1 + returns, 1.0 / nperiods) - 1.0
 
 
+def infer_freq(data):
+    """
+        Infer the most likely frequency given the input index. If the frequency is
+    uncertain or index is not DateTime like, just return None
+        Args:
+            * data (DataFrame, Series): Any timeseries dataframe or series
+    """
+    try:
+        return pd.infer_freq(data.index, warn=False)
+    except Exception:
+        return None
+
+
+def infer_nperiods(data, annualization_factor=None):
+    if annualization_factor is None:
+        annualization_factor = TRADING_DAYS_PER_YEAR
+
+    freq = infer_freq(data)
+
+    if freq is None:
+        return None
+
+    def whole_periods_str_to_nperiods(freq):
+        if freq == "Y" or freq == "A":
+            return 1
+        if freq == "M":
+            return 12
+        if freq == "D":
+            return annualization_factor
+        if freq == "H":
+            return annualization_factor * 24
+        if freq == "T":
+            return annualization_factor * 24 * 60
+        if freq == "S":
+            return annualization_factor * 24 * 60 * 60
+        return None
+
+    ""
+    if len(freq) == 1:
+        return whole_periods_str_to_nperiods(freq)
+    else:
+        try:
+            if freq.startswith("A"):
+                return 1
+            else:
+                whole_periods_str = freq[-1]
+                num_str = freq[:-1]
+                num = int(num_str)
+                return num * whole_periods_str_to_nperiods(whole_periods_str)
+        except KeyboardInterrupt:
+            raise
+        except BaseException:
+            return None
+
+    return None
+
+
 def calc_sortino_ratio(returns, rf=0.0, nperiods=None, annualize=True):
     """
     Calculates the `Sortino ratio <https://www.investopedia.com/terms/s/sortinoratio.asp>`_ given a series of returns
@@ -2291,10 +2362,12 @@ def calc_sortino_ratio(returns, rf=0.0, nperiods=None, annualize=True):
             provided if rf is non-zero and rf is not a price series
 
     """
-    # if type(rf) is float and rf != 0 and nperiods is None:
     if isinstance(rf, float) and rf != 0 and nperiods is None:
         raise Exception("nperiods must be set if rf != 0 and rf is not a price series")
 
+    if nperiods is None:
+        nperiods = infer_freq(returns)
+
     er = returns.to_excess_returns(rf, nperiods=nperiods)
 
     negative_returns = np.minimum(er[1:], 0.0)
@@ -2322,9 +2395,10 @@ def to_excess_returns(returns, rf, nperiods=None):
         * excess_returns (Series, DataFrame): Returns - rf
 
     """
-    # if type(rf) is float and nperiods is not None:
-    if isinstance(rf, float) and nperiods is not None:
+    if nperiods is None:
+        nperiods = infer_freq(returns)
 
+    if isinstance(rf, float) and nperiods is not None:
         _rf = deannualize(rf, nperiods)
     else:
         _rf = rf
@@ -2370,7 +2444,9 @@ def to_ulcer_performance_index(prices, rf=0.0, nperiods=None):
         * nperiods (int): Used to deannualize rf if rf is provided (non-zero)
 
     """
-    # if type(rf) is float and rf != 0 and nperiods is None:
+    if nperiods is None:
+        nperiods = infer_freq(prices)
+
     if isinstance(rf, float) and rf != 0 and nperiods is None:
         raise Exception("nperiods must be set if rf != 0 and rf is not a price series")
 

tests/test_core.py

@@ -936,3 +936,38 @@ def test_drawdown_details():
 
     drawdown = ffn.to_drawdown_series(returns)
     drawdown_details = ffn.drawdown_details(drawdown, index_type=drawdown.index)
+
+
+def test_infer_nperiods():
+    daily = pd.DataFrame(np.random.randn(10),
+            index = pd.date_range(start='2018-01-01', periods = 10, freq = 'D'))
+    hourly = pd.DataFrame(np.random.randn(10),
+            index = pd.date_range(start='2018-01-01', periods = 10, freq = 'H'))
+    yearly = pd.DataFrame(np.random.randn(10),
+            index = pd.date_range(start='2018-01-01', periods = 10, freq = 'Y'))
+    monthly = pd.DataFrame(np.random.randn(10),
+            index = pd.date_range(start='2018-01-01', periods = 10, freq = 'M'))
+    minutely = pd.DataFrame(np.random.randn(10),
+            index = pd.date_range(start='2018-01-01', periods = 10, freq = 'T'))
+    secondly = pd.DataFrame(np.random.randn(10),
+            index = pd.date_range(start='2018-01-01', periods = 10, freq = 'S'))
+
+    minutely_30 = pd.DataFrame(np.random.randn(10),
+            index = pd.date_range(start='2018-01-01', periods = 10, freq = '30T'))
+
+
+    not_known_vals = np.concatenate((pd.date_range(start='2018-01-01', periods = 5, freq = '1H').values,
+    pd.date_range(start='2018-01-02', periods = 5, freq = '5H').values))
+
+    not_known = pd.DataFrame(np.random.randn(10),
+            index = pd.DatetimeIndex(not_known_vals))
+
+    assert ffn.core.infer_nperiods(daily) == ffn.core.TRADING_DAYS_PER_YEAR
+    assert ffn.core.infer_nperiods(hourly) == ffn.core.TRADING_DAYS_PER_YEAR * 24
+    assert ffn.core.infer_nperiods(minutely) == ffn.core.TRADING_DAYS_PER_YEAR * 24 * 60
+    assert ffn.core.infer_nperiods(secondly) == ffn.core.TRADING_DAYS_PER_YEAR * 24 * 60 * 60
+    assert ffn.core.infer_nperiods(monthly) == 12
+    assert ffn.core.infer_nperiods(yearly) == 1
+    assert ffn.core.infer_nperiods(minutely_30) == ffn.core.TRADING_DAYS_PER_YEAR * 24 * 60 * 30
+    assert ffn.core.infer_nperiods(not_known) is None
+