PWE Analysis is a PWE Capital repository for analysing securities using Pandas, Plotly, Cufflinks and other tools.
pwe is a package for rapidly deploying the aforementioned tools.
The repository can be found at: Github-PWE_Analysis
pip install git+git://github.com/Saran33/pwe_analysis.git
To run some functions, you will also need to install the C++ [TA-Lib] (https://github.com/mrjbq7/ta-lib)
from pwe import charts,quan,cmc
from pwe.analysis import Security
from datetime import date
import time
start_date = "01-01-2017"
end_date = date.today().strftime("%d-%m-%Y")
BTC = cmc.cmc_data(symbol="BTC",start_date=start_date,end_date=end_date)
# Initialize Security
BTC = Security(BTC)
settlements = dict({'2021-01-29': 'CME Exp.', '2021-02-26': 'CME Exp.',
'2021-03-26': 'CME Exp.', '2021-04-30': 'CME Exp.',
'2021-05-28': 'CME Exp.', '2021-06-25': 'CME Exp.',
'2021-07-30': 'CME Exp.'})
auto_start = '2021-01-01'
auto_end = '2021-08-15'
BTC.get_fibs(period='ytd', utc=True)
support=BTC.f_618
resist=BTC.f_382
charts.quant_chart_int(BTC.df, start_date, end_date, ticker=symbol, title=None, theme='white', auto_start=auto_start, auto_end=auto_end,
asPlot=asPlot, showlegend=True, boll_std=2, boll_periods=20, showboll=True, showrsi=True, rsi_periods=14, showama=True,
ama_periods=9, showvol=True, showkal=False, kal_periods=1, show_range=True, annots=settlements, textangle=0, file_tag=None,
support=support, resist=resist, annot_font_size=6, title_dates=False, title_time=False, chart_ticker=True, top_margin=0.9,
spacing=0.08, range_fontsize=9.8885, title_x=0.5, title_y=0.933, arrowhead=6, arrowlen=-50)
# Input your key the first time and then no need to input a key argument again.
# Your API key will be saved to the currrent directory.
BTC_Bitfinex = quan.quandl_data(ticker='BITFINEX/BTCUSD',
start_date=start_date,end_date=end_date, key='quandl_api_key')
# If running all the code on this README page in one block, include the below sleep function:
time.sleep(1)
charts.pwe_line_chart(BTC_Bitfinex,columns=['Last'],start_date=start_date,end_date=end_date,kind='scatter',
title='Bitfinex Bitcoin Daily Close',
ticker='BTC',yTitle='BTC/USD',asPlot=True,showlegend=False,
theme='white',auto_start='2021-01-01',auto_end=auto_end,
connectgaps=False)
# BTC already initialized
BTC.get_returns(price='Close')
BTC_Bitfinex = Security(BTC_Bitfinex)
BTC_Bitfinex.get_returns(price='Last')BTC.vwap(window=60)
BTC_Bitfinex.vwap(c='Last',window=60)vol_window = 30
BTC_Bitfinex.get_vol(window=vol_window, returns='Price_Returns',trading_periods=365,interval=interval)BTC.YangZhang_estimator(window=vol_window,trading_periods=365, clean=True,interval=interval)BTC.df| Date | Open | High | Low | Close | Volume | Market Cap | Price | Price_Returns | Log_Returns | Cumulative Returns | AP | CPV | Cum_Volume | VWAP | YangZhang_30_Day | YangZhang30_Day_Ann | Std_30_Day | Ann_Std_30_Day | Vol_30_Day | Ann_Vol_30_Day | Ann_VS_Var_30_Day | Ann_VS_Vol_30_Day | Realized_Var_30_Day | Realized_Vol_30_Day |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2017-01-01 00:00:00 | 963.658 | 1003.08 | 958.699 | 998.325 | 1.47775e+08 | 1.60504e+10 | 998.325 | nan | nan | 0 | 986.701 | 1.4581e+11 | 1.47775e+08 | 986.701 | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan |
| 2017-01-02 00:00:00 | 998.617 | 1031.39 | 996.702 | 1021.75 | 2.22185e+08 | 1.6429e+10 | 1021.75 | 0.0234643 | 0.0231932 | 0.0234643 | 1016.61 | 3.71686e+11 | 3.6996e+08 | 1004.67 | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan |
| 2017-01-03 00:00:00 | 1021.6 | 1044.08 | 1021.6 | 1043.84 | 1.85168e+08 | 1.67864e+10 | 1043.84 | 0.0216197 | 0.0213893 | 0.0455913 | 1036.51 | 5.63614e+11 | 5.55128e+08 | 1015.29 | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan |
| 2021-08-21 00:00:00 | 49327.1 | 49717 | 48312.2 | 48905.5 | 4.05852e+10 | 9.19092e+11 | 48905.5 | -0.00878988 | -0.00882874 | 47.9875 | 48978.2 | 6.97137e+16 | 1.8175e+12 | 38356.8 | 0.039166 | 0.748265 | 0.0335002 | 0.640021 | 0.0329806 | 0.630093 | 13.603 | 3.68823 | 0.397017 | 0.630093 |
| 2021-08-22 00:00:00 | 48869.1 | 49471.6 | 48199.9 | 49321.7 | 2.5371e+10 | 9.26962e+11 | 49321.7 | 0.00850954 | 0.00847354 | 48.4044 | 48997.7 | 6.9409e+16 | 1.79656e+12 | 38634.5 | 0.0390771 | 0.746567 | 0.0331838 | 0.633976 | 0.0326595 | 0.623959 | 13.0881 | 3.61775 | 0.389325 | 0.623959 |
| 2021-08-23 00:00:00 | 49291.7 | 50482.1 | 49074.6 | 49546.1 | 3.43051e+10 | 9.31244e+11 | 49546.1 | 0.00455162 | 0.0045413 | 48.6293 | 49700.9 | 6.99848e+16 | 1.79774e+12 | 38929.4 | 0.03913 | 0.747577 | 0.0331887 | 0.634069 | 0.032656 | 0.623891 | 12.9354 | 3.59659 | 0.38924 | 0.623891 |
BTC_Bitfinex.ticker'BITFINEX/BTCUSD'BTC.stats(returns='Price_Returns',price='Close',
trading_periods=365,interval=interval,market_hours=24,vol_window=vol_window)BTC/USD Return Stats:
Dates: 2017-01-01 00:00:00 - 2021-08-23 00:00:00
Periods: 1695 days
Trading Periods: 365 days a year
Years: 4.64
Cumulative Returns: 4862.93%
Arithmetic Mean Return: 0.321587%
Geometric Mean Return: 0.230624%
Median Return: 0.238515%
Annualaized Arithmetic Return: 222.82%
Annualized Geometric Return: 131.82%
Vol. of Period Returns: 4.280663%
Mean Volatility (30): 3.902691%
Mean YangZhang (30): 3.726685%
Annualized Vol: 81.78%
Annualized Mean Volatility (30): 74.56%
Annualized Mean YangZhang (30): 71.20%
Arithmetic Sharpe Ratio: 2.72
Geometric Sharpe Ratio: 1.61
Return Summary Security:
count 1695.000000
mean 0.003216
std 0.042479
min -0.371695
25% -0.015233
50% 0.002385
75% 0.021611
max 0.252472
Name: Price_Returns, dtype: float64
######BTC.avg_annualaized, BTC.cum_ret, BTC.ann_vol, BTC.sharpe_ratio_geo(2.2281516218402473,
48.629276138996694,
0.8178195890242521,
1.6118991934777804)asPlot=True
btc_dist = charts.pwe_return_dist_chart(BTC_Bitfinex,start_date,end_date,tseries='Price_Returns',kind='scatter',
title='Daily Bitcoin Returns on Bitfinex',ticker='BTC',yTitle='BTC/USD (%)',asPlot=asPlot,
showlegend=False,theme='white',auto_start='2021-01-01', auto_end=end_date,
connectgaps=False,tickformat='.0%',decimals=2)
btc_dist_bar = charts.pwe_return_bar_chart(BTC_Bitfinex,start_date,end_date,tseries='Price_Returns',kind='bar',
title='Bitfinex Bitcoin Daily Returns',
ticker='BRTI',yTitle='BTC/USD (%)',xTitle=None,asPlot=asPlot,theme='white',
showlegend=False,auto_start=auto_start,auto_end=end_date,tickformat='.0%',
decimals=2,orientation='v',textangle=0)
btc_yz30_dist = charts.pwe_return_dist_chart(BTC,start_date,end_date,
tseries='YangZhang30_Ann',kind='scatter',
title='Spot Bitcoin to US Dollars (Bitfinex): Annualized Yang-Zhang 30 Day Volatility',
ticker='BTC-USD YZ Vol.',yTitle='BTC/USD YZ Vol.',
asPlot=asPlot,showlegend=False,theme='white',
auto_start='2021-01-01',auto_end=end_date,
connectgaps=False,tickformat='.0%',decimals=2)
btc_vol30_dist = charts.pwe_return_dist_chart(BTC_Bitfinex,start_date,end_date,
tseries='Ann_Vol_30',kind='scatter',
title='Spot Bitcoin to US Dollars: Annualized 30 Day Volatility',
ticker='BTC-USD Vol.',yTitle='BTC/USD Vol.',asPlot=asPlot,
showlegend=False,theme='white',auto_start='2021-01-01',auto_end=end_date,
connectgaps=False,tickformat='.0%',decimals=2)
BTC.get_sub_series(start_date='2020-1-1',end_date='2020-12-31')Subseries stored as: _2020The get_sub_series method returns an instance of the Security class, which is an attribute of the original Security object.
type(BTC._2020), BTC._2020.ticker, BTC._2020.name(pwe.analysis.Security, 'BTC', '_2020')BTC._2020.stats(returns='Price_Returns',price='Close',trading_periods=365,interval='daily',market_hours=24);BTC 2020 Return Stats:
Dates: 2020-01-01 00:00:00 - 2020-12-31 00:00:00
Periods: 366 days
Trading Periods: 365 days a year
Years: 1.0
Cumulative Returns: 302.79%
Arithmetic Mean Return: 0.458186%
Geometric Mean Return: 0.381395%
Median Return: 0.266775%
Annualaized Arithmetic Return: 430.45%
Annualized Geometric Return: 301.26%
Vol. of Period Returns: 4.007265%
Mean Volatility (30): 3.439818%
Mean YangZhang (30): 2.914670%
Annualized Vol: 76.56%
Annualized Mean Volatility (30): 65.72%
Annualized Mean YangZhang (30): 55.68%
Arithmetic Sharpe Ratio: 5.62
Geometric Sharpe Ratio: 3.94
Return Summary Security:
count 366.000000
mean 0.004582
std 0.037708
min -0.371695
25% -0.009387
50% 0.002668
75% 0.017697
max 0.181878
Name: Price_Returns, dtype: float64
######If you wish to override the derived columns of the subseries for some reason (maybe you want to change the window for rolling calculations):
BTC._2020.get_returns(price='Close')
BTC._2020.YangZhang_estimator(window=vol_window, trading_periods=365, clean=True,interval=interval)
BTC._2020.get_vol(window=vol_window, column='Price_Returns',trading_periods=365,interval=interval)
BTC._2020.dfBTC._2020.stats(returns='Price_Returns',price='Close',trading_periods=365,interval='daily',market_hours=24);BTC 2020 Return Stats:
Dates: 2020-01-01 00:00:00 - 2020-12-31 00:00:00
Periods: 365 days
Trading Periods: 365 days a year
Years: 1.0
Cumulative Returns: 302.79%
Arithmetic Mean Return: 0.459190%
Geometric Mean Return: 0.382442%
Median Return: 0.278798%
Annualaized Arithmetic Return: 432.39%
Annualized Geometric Return: 302.79%
Vol. of Period Returns: 4.012737%
Mean Volatility (30): 3.441800%
Mean YangZhang (30): 2.914670%
Annualized Vol: 76.66%
Annualized Mean Volatility (30): 65.76%
Annualized Mean YangZhang (30): 55.68%
Arithmetic Sharpe Ratio: 5.64
Geometric Sharpe Ratio: 3.95
Return Summary Security:
count 365.000000
mean 0.004592
std 0.037759
min -0.371695
25% -0.009402
50% 0.002788
75% 0.017784
max 0.181878
Name: Price_Returns, dtype: float64
######To access the stats or other attributes for a specific time interval:
BTC._2020.avg_annualaized, BTC._2020.cum_ret, BTC._2020.ann_vol, BTC._2020.sharpe_ratio_geo(4.323912901598581, 3.027919080879859, 0.7666323477904143, 3.9496364712589016)