68 drawdown

.pre-commit-config.yaml

@@ -7,31 +7,30 @@ repos:
       - id: trailing-whitespace
 
   - repo: https://github.com/psf/black
-    rev: 23.3.0
+    rev: 23.1.0
     hooks:
       - id: black
 
   - repo: https://github.com/charliermarsh/ruff-pre-commit
     rev: 'v0.0.275'
     hooks:
       - id: ruff
-
+        args: [ --fix, --exit-non-zero-on-fix ]
 
   - repo: https://github.com/igorshubovych/markdownlint-cli
     rev: v0.35.0
     hooks:
       - id: markdownlint-fix
         args: [ "--ignore", "book/**/*.md" ]
 
-  # enforcing the use of new python syntax with pyupgrade
-  - repo: https://github.com/asottile/pyupgrade
-    rev: v3.9.0
+  - repo: https://github.com/python-jsonschema/check-jsonschema
+    rev: 0.26.1
     hooks:
-      - id: pyupgrade
+      - id: check-dependabot
+      - id: check-github-workflows
 
-  - repo: 'https://github.com/pre-commit/mirrors-mypy'
-    rev: v1.4.1
+  - repo: https://github.com/python-poetry/poetry
+    rev: '1.6.1'  # add version here
     hooks:
-      - id: mypy
-        files: tinycta
-        args: [ --ignore-missing-imports, --explicit-package-bases ]
+      - id: poetry-check
+      - id: poetry-lock

Makefile

@@ -11,6 +11,7 @@ install:  ## Install a virtual environment
 .PHONY: fmt
 fmt:  ## Run autoformatting and linting
 	@poetry run pip install pre-commit
+	@poetry run pre-commit install
 	@poetry run pre-commit run --all-files
 
 .PHONY: test

tinycta/drawdown.py

@@ -0,0 +1,9 @@
+import pandas as pd
+
+
+def drawdown(nav: pd.Series) -> pd.Series:
+    # compute high water mark
+    hwm = nav.cummax()
+
+    # compute drawdown
+    return (nav - hwm) / hwm

tinycta/port.py

@@ -9,6 +9,7 @@
 from plotly.subplots import make_subplots
 import plotly.graph_objects as go
 
+from tinycta.drawdown import drawdown
 from tinycta.month import monthlytable, Aggregate
 
 pd.options.plotting.backend = "plotly"
@@ -165,9 +166,8 @@ def metrics(self, days=252):
     #     # return self.returns().resample("M").sum()
 
     def plot(self, com=100, **kwargs):
-        fig = make_subplots(rows=2, cols=1, shared_xaxes=True, vertical_spacing=0.02)
+        fig = make_subplots(rows=3, cols=1, shared_xaxes=True, vertical_spacing=0.02)
 
-        # fig.append_trace(
         fig.add_trace(
             go.Scatter(
                 x=self.nav_accum.index, y=self.nav_accum, name="NAV accumulated"
@@ -184,13 +184,20 @@ def plot(self, com=100, **kwargs):
             row=2,
             col=1,
         )
+
+        dd = drawdown(self.nav_accum)
+
+        fig.add_trace(
+            go.Scatter(x=dd.index, y=dd, name="Drawdown", fill="tozeroy"),
+            row=3,
+            col=1,
+        )
         # portfolio.nav_accum.plot(), row=1, col=1)
 
         fig.update_layout(
             {
                 "title": "NAV Accumulated",
                 "xaxis": {"title": "Time"},
-                "yaxis": {"title": "NAV"},
                 "showlegend": True,
             }
         )