equity_curve

API documentation for tradeexecutor.visual.equity_curve Python module in Trading Strategy.

Module description

Equity curve based statistics and visualisations.

For more information see the narrative documentation on Profitability calculations.

Functions

calculate_aggregate_returns(equity_curve[, freq])	Calculate strategy aggregatd results over different timespans.
calculate_compounding_realised_trading_profitability(state)	Calculate realised profitability of closed trading positions, with the compounding effect.
calculate_compounding_unrealised_trading_profitability(...)	Calculate the current profitability of open and closed trading positions, with the compounding effect.
calculate_cumulative_daily_returns(state[, ...])	Calculates the cumulative daily returns for the strategy over time
calculate_cumulative_return(returns)	Calculate cumulative returns for the equity curve.
calculate_daily_returns(state[, freq])	Calculate daily returns of a backtested results.
calculate_deposit_adjusted_returns(state[, freq])	Calculate daily/monthly/returns on capital. z See Profitability calculations for more information.
calculate_equity_curve(state[, ...])	Calculate equity curve for the portfolio.
calculate_investment_flow(state)	Calculate deposit/redemption i nflows/outflows of a strategy.
calculate_long_compounding_realised_trading_profitability(state)
calculate_non_cumulative_daily_returns(state)	Calculates the the non cumulative daily returns for the strategy over time.
calculate_realised_profitability(state)	Calculate realised profitability of closed trading positions.
calculate_returns(equity_curve)	Calculate returns of an equity curve.
calculate_rolling_sharpe(returns[, freq, ...])	Calculate rolling Sharpe ration.
calculate_short_compounding_realised_trading_profitability(state)
calculate_size_relative_realised_trading_returns(state)	Calculate realised profitability of closed trading positions relative to the portfolio size..
extract_compounding_unrealised_trading_profitability_portfolio_statistics(state)	Get the statistics out from the summary profit data.
generate_buy_and_hold_returns(...)	Create a benchmark series based on price action.
resample_returns(returns, freq)	Resample returns series to a longer time frame.
visualise_equity_curve(returns[, title, ...])	Draw equity curve, drawdown and daily returns using quantstats.
visualise_returns_distribution(returns)	Breakdown the best day/month/yearly returns
visualise_returns_over_time(returns)	Draw a grid of returns over time.