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feature/NaivePnL #344

Merged
merged 24 commits into from
May 17, 2022
Merged

feature/NaivePnL #344

merged 24 commits into from
May 17, 2022

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Ksteeds
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@Ksteeds Ksteeds commented May 9, 2022

Benchmark Correlation complete.

@Ksteeds Ksteeds self-assigned this May 9, 2022
@Ksteeds Ksteeds linked an issue May 9, 2022 that may be closed by this pull request
NaivePnL: add long-only PnL, correlation benchmark and signal display methods #306
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Ksteeds commented May 9, 2022

Correlation Benchmark and Heatmap complete.

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Ksteeds commented May 10, 2022

sstrength_plot() - Signal Strength Plot still to complete.

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Ksteeds commented May 10, 2022 •
edited

Work complete regarding issue #306.

Ksteeds and others added 11 commits May 10, 2022 14:48
@Ksteeds
Minor change to DocStrings.
e8eb240
@Ksteeds
Minor changes.
4908467
@rsueppel
todos for sstrength_plot and signal_display in naive_pnl
571e97f
@Ksteeds
Merge pull request #346 from macrosynergy/naive_pnl_rs
808f9c5 
todos for sstrength_plot and signal_display in naive_pnl
@Ksteeds
Modifications to x-axis.
5070896
@rsueppel
renames naive_pnl signal functions, edits documentation and makes min…
495c74d 
…or code changes, with Todos
@Ksteeds
Merge pull request #348 from macrosynergy/naive_pnl_rs
9082aee 
renames naive_pnl signal functions, edits documentation and makes min…
@Ksteeds
Merge branch 'develop' into feature/NaivePnL
c438d65
@Ksteeds
Long only to evaluate PnL.
80ae0ab
@Ksteeds
Merge branch 'feature/NaivePnL' of https://github.com/macrosynergy/ma…
d654765 
…crosynergy into feature/NaivePnL
@Ksteeds
Multiple correlation tickers for evaluate method.
be3d41f
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Ksteeds commented May 12, 2022 •
edited

Multiple correlation tickers allowed (see below):

benchmark_correl = ['USD_EQXR', 'EUR_EQXR']
df_eval = pnl.evaluate_pnls( pnl_cats=['PNL_CRY_PZN', 'PNL_CRY_PZN05', "Long"], pnl_cids=cids_subset, benchmark_correl=benchmark_correl)

Eval

@rsueppel rsueppel merged commit fb4b82c into develop May 17, 2022
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NaivePnL: add long-only PnL, correlation benchmark and signal display methods
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