Michael Halls-Moore
49 lines
1.3 KiB
Python
49 lines
1.3 KiB
Python
import os, os.path
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import pandas as pd
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import matplotlib
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try:
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matplotlib.use('TkAgg')
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except:
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pass
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import matplotlib.pyplot as plt
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import seaborn as sns
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from qsforex.settings import OUTPUT_RESULTS_DIR
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if __name__ == "__main__":
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"""
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A simple script to plot the balance of the portfolio, or
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"equity curve", as a function of time.
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It requires OUTPUT_RESULTS_DIR to be set in the project
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settings.
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"""
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sns.set_palette("deep", desat=.6)
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sns.set_context(rc={"figure.figsize": (8, 4)})
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equity_file = os.path.join(OUTPUT_RESULTS_DIR, "equity.csv")
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equity = pd.io.parsers.read_csv(
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equity_file, parse_dates=True, header=0, index_col=0
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)
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# Plot three charts: Equity curve, period returns, drawdowns
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fig = plt.figure()
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fig.patch.set_facecolor('white') # Set the outer colour to white
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# Plot the equity curve
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ax1 = fig.add_subplot(311, ylabel='Portfolio value')
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equity["Equity"].plot(ax=ax1, color=sns.color_palette()[0])
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# Plot the returns
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ax2 = fig.add_subplot(312, ylabel='Period returns')
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equity['Returns'].plot(ax=ax2, color=sns.color_palette()[1])
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# Plot the returns
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ax3 = fig.add_subplot(313, ylabel='Drawdowns')
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equity['Drawdown'].plot(ax=ax3, color=sns.color_palette()[2])
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# Plot the figure
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plt.show()
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