added adg plot

pbosch · Jun 23, 2021 · bcd8fb6 · bcd8fb6
1 parent 4596f9e
commit bcd8fb6
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Showing 2 changed files with 6 additions and 1 deletion.
diff --git a/plotting.py b/plotting.py
@@ -67,6 +67,10 @@ def gain_conv(x):
     shrts.pnl.cumsum().plot()
     plt.savefig(f"{result['plots_dirpath']}pnl_cumsum_shrt.png")
 
+    plt.clf()
+    fdf.adg.plot()
+    plt.savefig(f"{result['plots_dirpath']}adg.png")
+
     print('plotting backtest whole and in chunks...')
     n_parts = max(3, int(round_up(result['n_days'] / 14, 1.0)))
     for z in range(n_parts):

diff --git a/pure_funcs.py b/pure_funcs.py
@@ -389,7 +389,8 @@ def analyze_fills(fills: list, bc: dict, first_ts: float, last_ts: float) -> (pd
     if fdf.empty:
         return fdf, get_empty_analysis(bc)
     fdf.columns = ['trade_id', 'timestamp', 'pnl', 'fee_paid', 'balance', 'equity', 'pbr', 'qty', 'price', 'psize', 'pprice', 'type']
-    fdf = fdf.set_index('trade_id')
+    adgs = (fdf.equity / bc['starting_balance']) ** (1 / ((fdf.timestamp - first_ts) / (1000 * 60 * 60 * 24)))
+    fdf = fdf.join(adgs.rename('adg')).set_index('trade_id')
 
     longs = fdf[fdf.type.str.contains('long')]
     shrts = fdf[fdf.type.str.contains('shrt')]