perf_strat¶

Defined in fynance.features.metrics

perf_strat(X, S=None, base=100., axis=0, dtype=None, reinvest=False)[source]

Compute the performance of strategies for each X’ series.

With respect to this underlying and signal series along time axis.

Parameters:

Xnp.ndarray[dtype, ndim=1 or 2]

Time-series of prices or index values.

Snp.ndarray[dtype, ndim=1 or 2]

Time-series of signals, if None considering a long only position. S array must have the same shape than X. Default is None.

basefloat, optional

Initial value for measure the performance, default is 100.

reinvestbool, optional

If True, then reinvest profit to compute the performance.
Otherwise (default), compute the performance without reinvesting.

axis{0, 1}, optional

Axis along wich the computation is done. Default is 0.

dtypenp.dtype, optional

The type of the output array. If dtype is not given, infer the data type from X input.

Returns:

np.ndarray[dtype, ndim=1 or 2]: Performances along time axis.

See also

perf_returns, perf_index

Examples

>>> X = np.array([10., 12., 15., 14., 16., 18., 16.])
>>> S = np.array([1., 1., 1., 0., 1., 1., -1.])
>>> perf_strat(X, S, base=100.)
array([100., 120., 150., 150., 170., 190., 210.])
>>> perf_strat(X, S, base=100., reinvest=True)
array([100.        , 120.        , 150.        , 150.        ,
       171.42857143, 192.85714286, 214.28571429])