Skip to content

Commit

Permalink
Merge branch 'develop' of https://github.com/ricequant/rqalpha into d…
Browse files Browse the repository at this point in the history 
…evelop
  • Loading branch information
EricWang committed Feb 27, 2017
2 parents 9c3ba1b + 4f51ffe commit 778879d
Showing 1 changed file with 47 additions and 18 deletions.
65 changes: 47 additions & 18 deletions rqalpha/plot.py
View file
Original file line number Diff line number Diff line change
Expand Up @@ -14,10 +14,14 @@
# See the License for the specific language governing permissions and
# limitations under the License.

from rqalpha.utils.logger import system_log


def plot_result(result_dict, show_windows=True, savefile=None):
import os
from matplotlib import rcParams
from matplotlib.font_manager import findfont, FontProperties

rcParams['font.family'] = 'sans-serif'
rcParams['font.sans-serif'] = [
u'Microsoft Yahei',
Expand All @@ -30,6 +34,13 @@ def plot_result(result_dict, show_windows=True, savefile=None):
u'SimHei',
] + rcParams['font.sans-serif']
rcParams['axes.unicode_minus'] = False

use_chinese_fonts = True
font = findfont(FontProperties(family=['sans-serif']))
if "/matplotlib/" in font:
use_chinese_fonts = False
system_log.warn("Missing Chinese fonts. Fallback to English.")

import numpy as np
import matplotlib
from matplotlib import gridspec
Expand Down Expand Up @@ -97,24 +108,42 @@ def plot_result(result_dict, show_windows=True, savefile=None):
label_height, value_height = 0.8, 0.6
label_height2, value_height2 = 0.35, 0.15

transaltion = {
"strategy": u"策略",
"benchmark": u"基准",
"Total Returns": u"回测收益",
"Annual Returns": u"回测年化收益",
"Benchmark Returns": u"基准收益",
"Benchmark Annual": u"基准年化收益",
"MaxDrawdown": u"最大回撤",
"MaxDD/MaxDDD": u"最大回撤/最大回撤持续期",
"MaxDDD": u"最大回撤持续期",
}

def _(txt):
try:
return transaltion[txt] if use_chinese_fonts else txt
except:
return txt

fig_data = [
(0.00, label_height, value_height, u"回测收益", "{0:.3%}".format(summary["total_returns"]), red, black),
(0.15, label_height, value_height, u"回测年化收益", "{0:.3%}".format(summary["annualized_returns"]), red, black),
(0.00, label_height2, value_height2, u"基准收益", "{0:.3%}".format(summary.get("benchmark_total_returns", 0)), blue,
(0.00, label_height, value_height, _("Total Returns"), "{0:.3%}".format(summary["total_returns"]), red, black),
(0.15, label_height, value_height, _("Annual Returns"), "{0:.3%}".format(summary["annualized_returns"]), red, black),
(0.00, label_height2, value_height2, _("Benchmark Returns"), "{0:.3%}".format(summary.get("benchmark_total_returns", 0)), blue,
black),
(0.15, label_height2, value_height2, u"基准年化收益", "{0:.3%}".format(summary.get("benchmark_annualized_returns", 0)),
(0.15, label_height2, value_height2, _("Benchmark Annual"), "{0:.3%}".format(summary.get("benchmark_annualized_returns", 0)),
blue, black),

(0.30, label_height, value_height, u"Alpha", "{0:.4}".format(summary["alpha"]), black, black),
(0.40, label_height, value_height, u"Beta", "{0:.4}".format(summary["beta"]), black, black),
(0.55, label_height, value_height, u"Sharpe", "{0:.4}".format(summary["sharpe"]), black, black),
(0.70, label_height, value_height, u"Sortino", "{0:.4}".format(summary["sortino"]), black, black),
(0.85, label_height, value_height, u"Information Ratio", "{0:.4}".format(summary["information_ratio"]), black, black),
(0.30, label_height, value_height, _("Alpha"), "{0:.4}".format(summary["alpha"]), black, black),
(0.40, label_height, value_height, _("Beta"), "{0:.4}".format(summary["beta"]), black, black),
(0.55, label_height, value_height, _("Sharpe"), "{0:.4}".format(summary["sharpe"]), black, black),
(0.70, label_height, value_height, _("Sortino"), "{0:.4}".format(summary["sortino"]), black, black),
(0.85, label_height, value_height, _("Information Ratio"), "{0:.4}".format(summary["information_ratio"]), black, black),

(0.30, label_height2, value_height2, u"Volatility", "{0:.4}".format(summary["volatility"]), black, black),
(0.40, label_height2, value_height2, u"最大回撤", "{0:.3%}".format(summary["max_drawdown"]), black, black),
(0.55, label_height2, value_height2, u"Tracking Error", "{0:.4}".format(summary["tracking_error"]), black, black),
(0.70, label_height2, value_height2, u"Downside Risk", "{0:.4}".format(summary["downside_risk"]), black, black),
(0.30, label_height2, value_height2, _("Volatility"), "{0:.4}".format(summary["volatility"]), black, black),
(0.40, label_height2, value_height2, _("MaxDrawdown"), "{0:.3%}".format(summary["max_drawdown"]), black, black),
(0.55, label_height2, value_height2, _("Tracking Error"), "{0:.4}".format(summary["tracking_error"]), black, black),
(0.70, label_height2, value_height2, _("Downside Risk"), "{0:.4}".format(summary["downside_risk"]), black, black),
]

ax = plt.subplot(gs[:3, :-1])
Expand All @@ -123,7 +152,7 @@ def plot_result(result_dict, show_windows=True, savefile=None):
ax.text(x, y1, label, color=label_color, fontsize=font_size)
ax.text(x, y2, value, color=value_color, fontsize=value_font_size)
for x, y1, y2, label, value, label_color, value_color in [
(0.85, label_height2, value_height2, u"最大回撤/最大回撤持续期", max_dd_info, black, black)]:
(0.85, label_height2, value_height2, _("MaxDD/MaxDDD"), max_dd_info, black, black)]:
ax.text(x, y1, label, color=label_color, fontsize=font_size)
ax.text(x, y2, value, color=value_color, fontsize=8)

Expand All @@ -136,15 +165,15 @@ def plot_result(result_dict, show_windows=True, savefile=None):
ax.grid(b=True, which='major', linewidth=1)

# plot two lines
ax.plot(total_portfolios["total_returns"], label=u"策略", alpha=1, linewidth=2, color=red)
ax.plot(total_portfolios["total_returns"], label=_("strategy"), alpha=1, linewidth=2, color=red)
if benchmark_portfolios is not None:
ax.plot(benchmark_portfolios["total_returns"], label=u"基准", alpha=1, linewidth=2, color=blue)
ax.plot(benchmark_portfolios["total_returns"], label=_("benchmark"), alpha=1, linewidth=2, color=blue)

# plot MaxDD/MaxDDD
ax.plot([index[max_dd_end], index[max_dd_start]], [rt[max_dd_end], rt[max_dd_start]],
'v', color='Green', markersize=8, alpha=.7, label=u"最大回撤")
'v', color='Green', markersize=8, alpha=.7, label=_("MaxDrawdown"))
ax.plot([index[max_ddd_start_day], index[max_ddd_end_day]],
[rt[max_ddd_start_day], rt[max_ddd_end_day]], 'D', color='Blue', markersize=8, alpha=.7, label=u"最大回撤持续期")
[rt[max_ddd_start_day], rt[max_ddd_end_day]], 'D', color='Blue', markersize=8, alpha=.7, label=_("MaxDDD"))

# place legend
leg = plt.legend(loc="best")
Expand Down

0 comments on commit 778879d

Please sign in to comment.