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SoQ_Python_Project_3_Mikhail_Mironov.tex
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\begin{Verbatim}[commandchars=\\\{\}]
\PY{k+kn}{from} \PY{n+nn}{typing} \PY{k+kn}{import} \PY{o}{*}
\PY{k+kn}{from} \PY{n+nn}{selectolax}\PY{n+nn}{.}\PY{n+nn}{parser} \PY{k+kn}{import} \PY{n}{HTMLParser}
\PY{k+kn}{from} \PY{n+nn}{tqdm} \PY{k+kn}{import} \PY{n}{tqdm}
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School of Quants. Python project 3
Mikhail Mironov
My strategy is based on trend continuation, best performers will likely
remain top-performers for the next couple of weeks and worst will remain
the worst. I long a portfolio maximizing Sharpe ratio over the best
stocks.
Max-Sharpe with best performers and Max-CVAR
Data collection. Collecting tickers that are in SP500 and downloading
their daily close prices
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\PY{n}{headers} \PY{o}{=} \PY{p}{\PYZob{}}
\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{Cookie}\PY{l+s+s2}{\PYZdq{}}\PY{p}{:} \PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{\PYZus{}ga=GA1.1.650380062.1716305055; cf\PYZus{}clearance=pMd5CIWyGAjVUvImYB32DHAoQeu5u3khE24j9owdRys\PYZhy{}1716305055\PYZhy{}1.0.1.1\PYZhy{}7cUIX.Dk.2OuOjN1epJI2HkFAVWkMsvbkmixYZ0cs9Mzc4g9zTC3VQwBej72Yip6DvbIEZtvsnDhKnIXwguiAg; \PYZus{}ga\PYZus{}MWXZ0FBF55=GS1.1.1716305055.1.1.1716305378.0.0.0}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,}
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\PY{p}{\PYZcb{}}
\PY{n}{resp} \PY{o}{=} \PY{n}{requests}\PY{o}{.}\PY{n}{get}\PY{p}{(}
\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{https://www.slickcharts.com/sp500}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{n}{headers}\PY{o}{=}\PY{n}{headers}
\PY{p}{)}
\PY{c+c1}{\PYZsh{} Parse html from the response}
\PY{n}{dom} \PY{o}{=} \PY{n}{HTMLParser}\PY{p}{(}\PY{n}{resp}\PY{o}{.}\PY{n}{text}\PY{p}{)}
\PY{n}{tickers}\PY{p}{:} \PY{n}{List}\PY{p}{[}\PY{n+nb}{str}\PY{p}{]} \PY{o}{=} \PY{p}{[}
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\PY{c+c1}{\PYZsh{} Change BRK.B to BRK\PYZhy{}B and remove all nonnense}
\PY{n}{tickers} \PY{o}{=} \PY{p}{[}
\PY{n}{ticker} \PY{k}{for} \PY{n}{ticker} \PY{o+ow}{in} \PY{n}{tickers} \PY{k}{if} \PY{o+ow}{not} \PY{n}{ticker}\PY{p}{[}\PY{l+m+mi}{0}\PY{p}{]}\PY{o}{.}\PY{n}{isdigit}\PY{p}{(}\PY{p}{)}
\PY{p}{]}
\PY{n}{tickers}\PY{o}{.}\PY{n}{remove}\PY{p}{(}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{BRK.B}\PY{l+s+s2}{\PYZdq{}}\PY{p}{)}
\PY{n}{tickers} \PY{o}{+}\PY{o}{=} \PY{p}{[}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{BRK\PYZhy{}B}\PY{l+s+s2}{\PYZdq{}}\PY{p}{]}
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\PY{c+c1}{\PYZsh{} using yfinance download historical close daily data for each ticker from the list above}
\PY{k+kn}{import} \PY{n+nn}{yfinance} \PY{k}{as} \PY{n+nn}{yf}
\PY{k}{def} \PY{n+nf}{download\PYZus{}ticker}\PY{p}{(}\PY{n}{ticker}\PY{p}{:} \PY{n+nb}{str}\PY{p}{)} \PY{o}{\PYZhy{}}\PY{o}{\PYZgt{}} \PY{n}{pd}\PY{o}{.}\PY{n}{DataFrame}\PY{p}{:}
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\PY{n}{df\PYZus{}ticker}\PY{p}{:} \PY{n}{pd}\PY{o}{.}\PY{n}{DataFrame} \PY{o}{=} \PY{n}{ticker}\PY{o}{.}\PY{n}{history}\PY{p}{(}\PY{n}{period}\PY{o}{=}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{5y}\PY{l+s+s2}{\PYZdq{}}\PY{p}{)}
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\PY{k}{for} \PY{n}{ticker} \PY{o+ow}{in} \PY{n}{tqdm}\PY{p}{(}\PY{n}{tickers}\PY{p}{)}\PY{p}{:}
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\PY{c+c1}{\PYZsh{} Only leave close column and concat to the df}
\PY{n}{df\PYZus{}close} \PY{o}{=} \PY{n}{df\PYZus{}ticker}\PY{p}{[}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{Close}\PY{l+s+s2}{\PYZdq{}}\PY{p}{]}\PY{o}{.}\PY{n}{to\PYZus{}frame}\PY{p}{(}\PY{p}{)}
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\PY{n}{df} \PY{o}{=} \PY{n}{df}\PY{o}{.}\PY{n}{dropna}\PY{p}{(}\PY{n}{axis}\PY{o}{=}\PY{l+m+mi}{1}\PY{p}{)}
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MSFT\_close AAPL\_close NVDA\_close AMZN\_close \textbackslash{}
Date
2019-05-22 00:00:00-04:00 121.758331 44.100121 37.791584 92.984001
GOOGL\_close META\_close GOOG\_close LLY\_close \textbackslash{}
Date
2019-05-22 00:00:00-04:00 57.7925 185.123581 57.570999 109.667076
AVGO\_close JPM\_close {\ldots} NCLH\_close CMA\_close \textbackslash{}
Date {\ldots}
2019-05-22 00:00:00-04:00 229.158218 95.582443 {\ldots} 56.810001 57.509781
BEN\_close RL\_close MHK\_close BIO\_close \textbackslash{}
Date
2019-05-22 00:00:00-04:00 27.008337 101.527817 140.490005 295.350006
PARA\_close FOX\_close NWS\_close BRK-B\_close
Date
2019-05-22 00:00:00-04:00 42.155834 33.998447 11.33006 202.600006
[1 rows x 492 columns]
\end{Verbatim}
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\PY{n}{ticker\PYZus{}to\PYZus{}plot}\PY{p}{:} \PY{n}{List}\PY{p}{[}\PY{n+nb}{str}\PY{p}{]} \PY{o}{=} \PY{p}{[}
\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{MSFT\PYZus{}close}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{AAPL\PYZus{}close}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{BRK\PYZhy{}B\PYZus{}close}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{NVDA\PYZus{}close}\PY{l+s+s2}{\PYZdq{}}
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\PY{n}{plt}\PY{o}{.}\PY{n}{show}\PY{p}{(}\PY{p}{)}
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\begin{center}
\adjustimage{max size={0.9\linewidth}{0.9\paperheight}}{SoQ_Python_Project_3_Mikhail_Mironov_files/SoQ_Python_Project_3_Mikhail_Mironov_7_0.png}
\end{center}
{ \hspace*{\fill} \\}
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\PY{n}{df}\PY{o}{.}\PY{n}{index} \PY{o}{=} \PY{n}{pd}\PY{o}{.}\PY{n}{to\PYZus{}datetime}\PY{p}{(}\PY{n}{df}\PY{o}{.}\PY{n}{index}\PY{p}{)}\PY{o}{.}\PY{n}{tz\PYZus{}localize}\PY{p}{(}\PY{k+kc}{None}\PY{p}{)}
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\begin{Verbatim}[commandchars=\\\{\}]
MSFT\_close AAPL\_close NVDA\_close AMZN\_close GOOGL\_close \textbackslash{}
Date
2019-05-22 121.758331 44.100121 37.791584 92.984001 57.7925
META\_close GOOG\_close LLY\_close AVGO\_close JPM\_close {\ldots} \textbackslash{}
Date {\ldots}
2019-05-22 185.123581 57.570999 109.667076 229.158218 95.582443 {\ldots}
NCLH\_close CMA\_close BEN\_close RL\_close MHK\_close \textbackslash{}
Date
2019-05-22 56.810001 57.509781 27.008337 101.527817 140.490005
BIO\_close PARA\_close FOX\_close NWS\_close BRK-B\_close
Date
2019-05-22 295.350006 42.155834 33.998447 11.33006 202.600006
[1 rows x 492 columns]
\end{Verbatim}
\end{tcolorbox}
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\prompt{In}{incolor}{9}{\boxspacing}
\begin{Verbatim}[commandchars=\\\{\}]
\PY{n}{df\PYZus{}returns} \PY{o}{=} \PY{n}{df}\PY{o}{.}\PY{n}{pct\PYZus{}change}\PY{p}{(}\PY{p}{)}
\PY{n}{df\PYZus{}returns}\PY{o}{.}\PY{n}{columns} \PY{o}{=} \PY{p}{[}\PY{n}{col}\PY{o}{.}\PY{n}{split}\PY{p}{(}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{\PYZus{}}\PY{l+s+s2}{\PYZdq{}}\PY{p}{)}\PY{p}{[}\PY{l+m+mi}{0}\PY{p}{]}\PY{k}{for} \PY{n}{col} \PY{o+ow}{in} \PY{n}{df\PYZus{}returns}\PY{o}{.}\PY{n}{columns}\PY{p}{]}
\PY{n}{df\PYZus{}returns} \PY{o}{=} \PY{n}{df\PYZus{}returns}\PY{o}{.}\PY{n}{iloc}\PY{p}{[}\PY{l+m+mi}{1}\PY{p}{:}\PY{p}{]}
\PY{n}{df\PYZus{}returns}\PY{o}{.}\PY{n}{head}\PY{p}{(}\PY{l+m+mi}{1}\PY{p}{)}
\end{Verbatim}
\end{tcolorbox}
\begin{tcolorbox}[breakable, size=fbox, boxrule=.5pt, pad at break*=1mm, opacityfill=0]
\prompt{Out}{outcolor}{9}{\boxspacing}
\begin{Verbatim}[commandchars=\\\{\}]
MSFT AAPL NVDA AMZN GOOGL META \textbackslash{}
Date
2019-05-23 -0.011671 -0.01707 -0.032063 -0.023768 -0.009093 -0.024013
GOOG LLY AVGO JPM {\ldots} NCLH CMA \textbackslash{}
Date {\ldots}
2019-05-23 -0.009249 -0.009917 -0.033913 -0.019672 {\ldots} -0.022179 -0.024639
BEN RL MHK BIO PARA FOX \textbackslash{}
Date
2019-05-23 -0.013975 -0.031474 0.008684 -0.004706 -0.008485 -0.004363
NWS BRK-B
Date
2019-05-23 0.000834 -0.006417
[1 rows x 492 columns]
\end{Verbatim}
\end{tcolorbox}
Strategy. Trend continuation. Best will continue outperforming others
and the worst will keep falling
\begin{tcolorbox}[breakable, size=fbox, boxrule=1pt, pad at break*=1mm,colback=cellbackground, colframe=cellborder]
\prompt{In}{incolor}{10}{\boxspacing}
\begin{Verbatim}[commandchars=\\\{\}]
\PY{n}{n\PYZus{}assets} \PY{o}{=} \PY{n}{df}\PY{o}{.}\PY{n}{shape}\PY{p}{[}\PY{l+m+mi}{1}\PY{p}{]}
\PY{n}{n\PYZus{}assets}
\end{Verbatim}
\end{tcolorbox}
\begin{tcolorbox}[breakable, size=fbox, boxrule=.5pt, pad at break*=1mm, opacityfill=0]
\prompt{Out}{outcolor}{10}{\boxspacing}
\begin{Verbatim}[commandchars=\\\{\}]
492
\end{Verbatim}
\end{tcolorbox}
Max Sharpe optimization
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\prompt{In}{incolor}{11}{\boxspacing}
\begin{Verbatim}[commandchars=\\\{\}]
\PY{k+kn}{from} \PY{n+nn}{scipy}\PY{n+nn}{.}\PY{n+nn}{optimize} \PY{k+kn}{import} \PY{n}{minimize}
\PY{k}{def} \PY{n+nf}{max\PYZus{}sharpe\PYZus{}objective}\PY{p}{(}\PY{n}{W}\PY{p}{:} \PY{n}{np}\PY{o}{.}\PY{n}{array}\PY{p}{,} \PY{n}{df\PYZus{}train}\PY{p}{:} \PY{n}{pd}\PY{o}{.}\PY{n}{DataFrame}\PY{p}{)} \PY{o}{\PYZhy{}}\PY{o}{\PYZgt{}} \PY{n+nb}{float}\PY{p}{:}
\PY{n}{sigma\PYZus{}p} \PY{o}{=} \PY{n}{np}\PY{o}{.}\PY{n}{sqrt}\PY{p}{(}\PY{n}{W} \PY{o}{@} \PY{n}{df\PYZus{}train}\PY{o}{.}\PY{n}{cov}\PY{p}{(}\PY{p}{)} \PY{o}{@} \PY{n}{W}\PY{o}{.}\PY{n}{T}\PY{p}{)}
\PY{n}{R} \PY{o}{=} \PY{n}{df\PYZus{}train}\PY{o}{.}\PY{n}{mean}\PY{p}{(}\PY{n}{axis}\PY{o}{=}\PY{l+m+mi}{0}\PY{p}{)}
\PY{k}{return} \PY{o}{\PYZhy{}}\PY{n}{np}\PY{o}{.}\PY{n}{dot}\PY{p}{(}\PY{n}{W}\PY{p}{,} \PY{n}{R}\PY{p}{)} \PY{o}{/} \PY{n}{sigma\PYZus{}p}
\PY{k}{def} \PY{n+nf}{constr}\PY{p}{(}\PY{n}{W}\PY{p}{)}\PY{p}{:}
\PY{k}{return} \PY{n}{W}\PY{o}{.}\PY{n}{sum}\PY{p}{(}\PY{p}{)} \PY{o}{\PYZhy{}} \PY{l+m+mi}{1}
\PY{n}{constrs} \PY{o}{=} \PY{p}{[}
\PY{p}{\PYZob{}}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{type}\PY{l+s+s2}{\PYZdq{}}\PY{p}{:} \PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{eq}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{fun}\PY{l+s+s2}{\PYZdq{}}\PY{p}{:} \PY{n}{constr}\PY{p}{\PYZcb{}}
\PY{p}{]}
\PY{k}{def} \PY{n+nf}{find\PYZus{}optimial\PYZus{}portfolio}\PY{p}{(}\PY{n}{df\PYZus{}train}\PY{p}{:} \PY{n}{pd}\PY{o}{.}\PY{n}{DataFrame}\PY{p}{)} \PY{o}{\PYZhy{}}\PY{o}{\PYZgt{}} \PY{n}{np}\PY{o}{.}\PY{n}{array}\PY{p}{:}
\PY{n}{n\PYZus{}assets}\PY{p}{:} \PY{n+nb}{int} \PY{o}{=} \PY{n}{df\PYZus{}train}\PY{o}{.}\PY{n}{shape}\PY{p}{[}\PY{l+m+mi}{1}\PY{p}{]}
\PY{n}{x0} \PY{o}{=} \PY{p}{[}\PY{l+m+mi}{1} \PY{o}{/} \PY{n}{n\PYZus{}assets}\PY{p}{]} \PY{o}{*} \PY{n}{n\PYZus{}assets}
\PY{n}{res} \PY{o}{=} \PY{n}{minimize}\PY{p}{(}
\PY{n}{fun}\PY{o}{=}\PY{n}{max\PYZus{}sharpe\PYZus{}objective}\PY{p}{,}
\PY{n}{x0}\PY{o}{=}\PY{n}{x0}\PY{p}{,}
\PY{n}{constraints}\PY{o}{=}\PY{n}{constrs}\PY{p}{,}
\PY{n}{args}\PY{o}{=}\PY{p}{(}\PY{n}{df\PYZus{}train}\PY{p}{,}\PY{p}{)}
\PY{p}{)}
\PY{k}{return} \PY{n}{res}\PY{o}{.}\PY{n}{x}
\end{Verbatim}
\end{tcolorbox}
\begin{tcolorbox}[breakable, size=fbox, boxrule=1pt, pad at break*=1mm,colback=cellbackground, colframe=cellborder]
\prompt{In}{incolor}{12}{\boxspacing}
\begin{Verbatim}[commandchars=\\\{\}]
\PY{k}{def} \PY{n+nf}{test\PYZus{}portfolio}\PY{p}{(}\PY{n}{W}\PY{p}{:} \PY{n}{np}\PY{o}{.}\PY{n}{array}\PY{p}{,} \PY{n}{df\PYZus{}test}\PY{p}{:} \PY{n}{pd}\PY{o}{.}\PY{n}{DataFrame}\PY{p}{)} \PY{o}{\PYZhy{}}\PY{o}{\PYZgt{}} \PY{n+nb}{float}\PY{p}{:}
\PY{n}{final\PYZus{}returns} \PY{o}{=} \PY{p}{(}\PY{l+m+mi}{1} \PY{o}{+} \PY{n}{df\PYZus{}test}\PY{p}{)}\PY{o}{.}\PY{n}{cumprod}\PY{p}{(}\PY{p}{)}\PY{o}{.}\PY{n}{iloc}\PY{p}{[}\PY{o}{\PYZhy{}}\PY{l+m+mi}{1}\PY{p}{]}
\PY{k}{return} \PY{n}{np}\PY{o}{.}\PY{n}{dot}\PY{p}{(}\PY{n}{W}\PY{p}{,} \PY{n}{final\PYZus{}returns}\PY{p}{)}
\end{Verbatim}
\end{tcolorbox}
Train-backtest using a sliding window
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\prompt{In}{incolor}{13}{\boxspacing}
\begin{Verbatim}[commandchars=\\\{\}]
\PY{n}{train\PYZus{}size} \PY{o}{=} \PY{l+m+mi}{90}
\PY{n}{test\PYZus{}size} \PY{o}{=} \PY{l+m+mi}{14}
\PY{n}{TOP\PYZus{}K} \PY{o}{=} \PY{l+m+mi}{20}
\PY{n}{test\PYZus{}returns}\PY{p}{:} \PY{n}{List}\PY{p}{[}\PY{n+nb}{float}\PY{p}{]} \PY{o}{=} \PY{p}{[}\PY{p}{]}
\PY{n}{tp\PYZus{}dates}\PY{p}{:} \PY{n}{List}\PY{p}{[}\PY{n}{pd}\PY{o}{.}\PY{n}{Timestamp}\PY{p}{]} \PY{o}{=} \PY{p}{[}\PY{p}{]}
\PY{k}{for} \PY{n}{i} \PY{o+ow}{in} \PY{n}{tqdm}\PY{p}{(}\PY{n+nb}{range}\PY{p}{(}\PY{l+m+mi}{0}\PY{p}{,} \PY{n}{df\PYZus{}returns}\PY{o}{.}\PY{n}{shape}\PY{p}{[}\PY{l+m+mi}{0}\PY{p}{]} \PY{o}{\PYZhy{}} \PY{n}{train\PYZus{}size} \PY{o}{\PYZhy{}} \PY{n}{test\PYZus{}size}\PY{p}{,} \PY{n}{test\PYZus{}size}\PY{p}{)}\PY{p}{)}\PY{p}{:}
\PY{n}{df\PYZus{}train} \PY{o}{=} \PY{n}{df\PYZus{}returns}\PY{o}{.}\PY{n}{iloc}\PY{p}{[}\PY{n}{i}\PY{p}{:}\PY{p}{(}\PY{n}{i}\PY{o}{+}\PY{n}{train\PYZus{}size}\PY{p}{)}\PY{p}{]}\PY{o}{.}\PY{n}{copy}\PY{p}{(}\PY{p}{)}
\PY{n}{df\PYZus{}test} \PY{o}{=} \PY{n}{df\PYZus{}returns}\PY{o}{.}\PY{n}{iloc}\PY{p}{[}\PY{p}{(}\PY{n}{i}\PY{o}{+}\PY{n}{train\PYZus{}size}\PY{p}{)}\PY{p}{:}\PY{p}{(}\PY{n}{i}\PY{o}{+}\PY{n}{train\PYZus{}size}\PY{o}{+}\PY{n}{test\PYZus{}size}\PY{p}{)}\PY{p}{]}\PY{o}{.}\PY{n}{copy}\PY{p}{(}\PY{p}{)}
\PY{c+c1}{\PYZsh{} find best performing stocks on the train sample}
\PY{n}{df\PYZus{}train\PYZus{}features} \PY{o}{=} \PY{n}{df\PYZus{}train}\PY{o}{.}\PY{n}{agg}\PY{p}{(}\PY{p}{[}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{mean}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{std}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{median}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{skew}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{kurt}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{max}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{min}\PY{l+s+s2}{\PYZdq{}}\PY{p}{]}\PY{p}{)}\PY{o}{.}\PY{n}{T}
\PY{n}{df\PYZus{}train\PYZus{}features}\PY{p}{[}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{cum\PYZus{}return}\PY{l+s+s2}{\PYZdq{}}\PY{p}{]} \PY{o}{=} \PY{p}{(}\PY{n}{df\PYZus{}train} \PY{o}{+} \PY{l+m+mi}{1}\PY{p}{)}\PY{o}{.}\PY{n}{cumprod}\PY{p}{(}\PY{p}{)}\PY{o}{.}\PY{n}{iloc}\PY{p}{[}\PY{o}{\PYZhy{}}\PY{l+m+mi}{1}\PY{p}{]}
\PY{n}{best\PYZus{}performers}\PY{p}{:} \PY{n}{List}\PY{p}{[}\PY{n+nb}{str}\PY{p}{]} \PY{o}{=} \PY{n}{df\PYZus{}train\PYZus{}features}\PY{o}{.}\PY{n}{sort\PYZus{}values}\PY{p}{(}\PY{n}{by}\PY{o}{=}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{cum\PYZus{}return}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{n}{ascending}\PY{o}{=}\PY{k+kc}{False}\PY{p}{)}\PY{o}{.}\PY{n}{iloc}\PY{p}{[}\PY{p}{:}\PY{n}{TOP\PYZus{}K}\PY{p}{]}\PY{o}{.}\PY{n}{index}
\PY{n}{optimal\PYZus{}W}\PY{p}{:} \PY{n}{np}\PY{o}{.}\PY{n}{array} \PY{o}{=} \PY{n}{find\PYZus{}optimial\PYZus{}portfolio}\PY{p}{(}
\PY{n}{df\PYZus{}train}\PY{o}{=}\PY{n}{df\PYZus{}train}\PY{p}{[}\PY{n}{best\PYZus{}performers}\PY{p}{]}
\PY{p}{)}
\PY{n}{test\PYZus{}return}\PY{p}{:} \PY{n+nb}{float} \PY{o}{=} \PY{n}{test\PYZus{}portfolio}\PY{p}{(}\PY{n}{W}\PY{o}{=}\PY{n}{optimal\PYZus{}W}\PY{p}{,} \PY{n}{df\PYZus{}test}\PY{o}{=}\PY{n}{df\PYZus{}test}\PY{p}{[}\PY{n}{best\PYZus{}performers}\PY{p}{]}\PY{p}{)}
\PY{n}{tp\PYZus{}dates}\PY{o}{.}\PY{n}{append}\PY{p}{(}\PY{n}{df\PYZus{}test}\PY{o}{.}\PY{n}{index}\PY{p}{[}\PY{o}{\PYZhy{}}\PY{l+m+mi}{1}\PY{p}{]}\PY{p}{)}
\PY{n}{test\PYZus{}returns}\PY{o}{.}\PY{n}{append}\PY{p}{(}\PY{n}{test\PYZus{}return}\PY{p}{)}
\end{Verbatim}
\end{tcolorbox}
\begin{Verbatim}[commandchars=\\\{\}]
100\%|██████████| 83/83 [00:25<00:00, 3.21it/s]
\end{Verbatim}
\begin{tcolorbox}[breakable, size=fbox, boxrule=1pt, pad at break*=1mm,colback=cellbackground, colframe=cellborder]
\prompt{In}{incolor}{14}{\boxspacing}
\begin{Verbatim}[commandchars=\\\{\}]
\PY{n}{test\PYZus{}returns} \PY{o}{=} \PY{n}{np}\PY{o}{.}\PY{n}{array}\PY{p}{(}\PY{n}{test\PYZus{}returns}\PY{p}{)}
\PY{n}{plt}\PY{o}{.}\PY{n}{plot}\PY{p}{(}\PY{n}{test\PYZus{}returns}\PY{o}{.}\PY{n}{cumprod}\PY{p}{(}\PY{p}{)}\PY{p}{)}
\PY{n}{plt}\PY{o}{.}\PY{n}{show}\PY{p}{(}\PY{p}{)}
\end{Verbatim}
\end{tcolorbox}
\begin{center}
\adjustimage{max size={0.9\linewidth}{0.9\paperheight}}{SoQ_Python_Project_3_Mikhail_Mironov_files/SoQ_Python_Project_3_Mikhail_Mironov_17_0.png}
\end{center}
{ \hspace*{\fill} \\}
Compare to SP500 cumprod returns over the same timeperiod
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\prompt{In}{incolor}{15}{\boxspacing}
\begin{Verbatim}[commandchars=\\\{\}]
\PY{n}{df\PYZus{}sp500}\PY{p}{:} \PY{n}{pd}\PY{o}{.}\PY{n}{DataFrame} \PY{o}{=} \PY{n}{yf}\PY{o}{.}\PY{n}{Ticker}\PY{p}{(}\PY{n}{ticker}\PY{o}{=}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{\PYZca{}GSPC}\PY{l+s+s2}{\PYZdq{}}\PY{p}{)}\PY{o}{.}\PY{n}{history}\PY{p}{(}\PY{n}{period}\PY{o}{=}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{5y}\PY{l+s+s2}{\PYZdq{}}\PY{p}{)}
\PY{n}{df\PYZus{}sp500}\PY{o}{.}\PY{n}{index} \PY{o}{=} \PY{n}{df\PYZus{}sp500}\PY{o}{.}\PY{n}{index}\PY{o}{.}\PY{n}{tz\PYZus{}localize}\PY{p}{(}\PY{k+kc}{None}\PY{p}{)}
\PY{n}{df\PYZus{}sp500}\PY{p}{[}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{cum\PYZus{}return}\PY{l+s+s2}{\PYZdq{}}\PY{p}{]} \PY{o}{=} \PY{p}{(}\PY{n}{df\PYZus{}sp500}\PY{p}{[}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{Close}\PY{l+s+s2}{\PYZdq{}}\PY{p}{]}\PY{o}{.}\PY{n}{pct\PYZus{}change}\PY{p}{(}\PY{p}{)} \PY{o}{+} \PY{l+m+mi}{1}\PY{p}{)}\PY{o}{.}\PY{n}{cumprod}\PY{p}{(}\PY{p}{)}
\PY{n}{df\PYZus{}sp500}\PY{o}{.}\PY{n}{head}\PY{p}{(}\PY{l+m+mi}{5}\PY{p}{)}
\end{Verbatim}
\end{tcolorbox}
\begin{tcolorbox}[breakable, size=fbox, boxrule=.5pt, pad at break*=1mm, opacityfill=0]
\prompt{Out}{outcolor}{15}{\boxspacing}
\begin{Verbatim}[commandchars=\\\{\}]
Open High Low Close Volume \textbackslash{}
Date
2019-05-22 2856.060059 2865.469971 2851.110107 2856.270020 3194000000
2019-05-23 2836.699951 2836.699951 2805.489990 2822.239990 3899320000
2019-05-24 2832.409912 2841.360107 2820.189941 2826.060059 2889230000
2019-05-28 2830.030029 2840.510010 2801.580078 2802.389893 4146980000
2019-05-29 2790.250000 2792.030029 2766.060059 2783.020020 3701110000
Dividends Stock Splits cum\_return
Date
2019-05-22 0.0 0.0 NaN
2019-05-23 0.0 0.0 0.988086
2019-05-24 0.0 0.0 0.989423
2019-05-28 0.0 0.0 0.981136
2019-05-29 0.0 0.0 0.974355
\end{Verbatim}
\end{tcolorbox}
\begin{tcolorbox}[breakable, size=fbox, boxrule=1pt, pad at break*=1mm,colback=cellbackground, colframe=cellborder]
\prompt{In}{incolor}{16}{\boxspacing}
\begin{Verbatim}[commandchars=\\\{\}]
\PY{n}{plt}\PY{o}{.}\PY{n}{title}\PY{p}{(}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{Comparison to the benchmark}\PY{l+s+s2}{\PYZdq{}}\PY{p}{)}
\PY{n}{plt}\PY{o}{.}\PY{n}{plot}\PY{p}{(}\PY{n}{tp\PYZus{}dates}\PY{p}{,} \PY{n}{test\PYZus{}returns}\PY{o}{.}\PY{n}{cumprod}\PY{p}{(}\PY{p}{)}\PY{p}{,} \PY{n}{label}\PY{o}{=}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{Trend continuation strategy}\PY{l+s+s2}{\PYZdq{}}\PY{p}{)}
\PY{n}{plt}\PY{o}{.}\PY{n}{plot}\PY{p}{(}\PY{n}{tp\PYZus{}dates}\PY{p}{,} \PY{n}{df\PYZus{}sp500}\PY{p}{[}\PY{n}{df\PYZus{}sp500}\PY{o}{.}\PY{n}{index}\PY{o}{.}\PY{n}{isin}\PY{p}{(}\PY{n}{tp\PYZus{}dates}\PY{p}{)}\PY{p}{]}\PY{p}{[}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{cum\PYZus{}return}\PY{l+s+s2}{\PYZdq{}}\PY{p}{]}\PY{p}{,} \PY{n}{label}\PY{o}{=}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{SP500 cumprod return}\PY{l+s+s2}{\PYZdq{}}\PY{p}{)}
\PY{n}{plt}\PY{o}{.}\PY{n}{legend}\PY{p}{(}\PY{p}{)}
\PY{n}{plt}\PY{o}{.}\PY{n}{show}\PY{p}{(}\PY{p}{)}
\end{Verbatim}
\end{tcolorbox}
\begin{center}
\adjustimage{max size={0.9\linewidth}{0.9\paperheight}}{SoQ_Python_Project_3_Mikhail_Mironov_files/SoQ_Python_Project_3_Mikhail_Mironov_20_0.png}
\end{center}
{ \hspace*{\fill} \\}
Clean up + flexibility
\begin{tcolorbox}[breakable, size=fbox, boxrule=1pt, pad at break*=1mm,colback=cellbackground, colframe=cellborder]
\prompt{In}{incolor}{17}{\boxspacing}
\begin{Verbatim}[commandchars=\\\{\}]
\PY{k+kn}{from} \PY{n+nn}{abc} \PY{k+kn}{import} \PY{n}{ABC}\PY{p}{,} \PY{n}{abstractmethod}
\PY{k}{class} \PY{n+nc}{PortfolioFinder}\PY{p}{(}\PY{n}{ABC}\PY{p}{)}\PY{p}{:}
\PY{+w}{ }\PY{l+s+sd}{\PYZdq{}\PYZdq{}\PYZdq{}Cand define any objective but it must implement find\PYZus{}portfolio method\PYZdq{}\PYZdq{}\PYZdq{}}
\PY{k}{def} \PY{n+nf+fm}{\PYZus{}\PYZus{}init\PYZus{}\PYZus{}}\PY{p}{(}\PY{n+nb+bp}{self}\PY{p}{)} \PY{o}{\PYZhy{}}\PY{o}{\PYZgt{}} \PY{n}{Self}\PY{p}{:}
\PY{n+nb}{super}\PY{p}{(}\PY{p}{)}\PY{o}{.}\PY{n+nf+fm}{\PYZus{}\PYZus{}init\PYZus{}\PYZus{}}\PY{p}{(}\PY{p}{)}
\PY{n+nd}{@abstractmethod}
\PY{k}{def} \PY{n+nf}{find\PYZus{}portfolio}\PY{p}{(}\PY{n+nb+bp}{self}\PY{p}{,} \PY{n}{df\PYZus{}returns}\PY{p}{:} \PY{n}{pd}\PY{o}{.}\PY{n}{DataFrame}\PY{p}{)} \PY{o}{\PYZhy{}}\PY{o}{\PYZgt{}} \PY{n}{np}\PY{o}{.}\PY{n}{array}\PY{p}{:}
\PY{+w}{ }\PY{l+s+sd}{\PYZdq{}\PYZdq{}\PYZdq{}Finds optimal portfolio\PYZdq{}\PYZdq{}\PYZdq{}}
\PY{k}{class} \PY{n+nc}{MaxSharpeOptimizer}\PY{p}{(}\PY{n}{PortfolioFinder}\PY{p}{)}\PY{p}{:}
\PY{k}{def} \PY{n+nf+fm}{\PYZus{}\PYZus{}init\PYZus{}\PYZus{}}\PY{p}{(}\PY{n+nb+bp}{self}\PY{p}{)} \PY{o}{\PYZhy{}}\PY{o}{\PYZgt{}} \PY{n}{Self}\PY{p}{:}
\PY{n+nb}{super}\PY{p}{(}\PY{p}{)}\PY{o}{.}\PY{n+nf+fm}{\PYZus{}\PYZus{}init\PYZus{}\PYZus{}}\PY{p}{(}\PY{p}{)}
\PY{k}{def} \PY{n+nf}{max\PYZus{}sharpe\PYZus{}objective}\PY{p}{(}\PY{n+nb+bp}{self}\PY{p}{,} \PY{n}{W}\PY{p}{:} \PY{n}{np}\PY{o}{.}\PY{n}{array}\PY{p}{,} \PY{n}{df\PYZus{}returns}\PY{p}{:} \PY{n}{pd}\PY{o}{.}\PY{n}{DataFrame}\PY{p}{)} \PY{o}{\PYZhy{}}\PY{o}{\PYZgt{}} \PY{n+nb}{float}\PY{p}{:}
\PY{n}{sigma\PYZus{}p} \PY{o}{=} \PY{n}{np}\PY{o}{.}\PY{n}{sqrt}\PY{p}{(}\PY{n}{W} \PY{o}{@} \PY{n}{df\PYZus{}returns}\PY{o}{.}\PY{n}{cov}\PY{p}{(}\PY{p}{)} \PY{o}{@} \PY{n}{W}\PY{o}{.}\PY{n}{T}\PY{p}{)}
\PY{n}{R} \PY{o}{=} \PY{n}{df\PYZus{}returns}\PY{o}{.}\PY{n}{mean}\PY{p}{(}\PY{n}{axis}\PY{o}{=}\PY{l+m+mi}{0}\PY{p}{)}
\PY{k}{return} \PY{o}{\PYZhy{}}\PY{n}{np}\PY{o}{.}\PY{n}{dot}\PY{p}{(}\PY{n}{W}\PY{p}{,} \PY{n}{R}\PY{p}{)} \PY{o}{/} \PY{n}{sigma\PYZus{}p}
\PY{k}{def} \PY{n+nf}{constr}\PY{p}{(}\PY{n}{W}\PY{p}{)}\PY{p}{:}
\PY{k}{return} \PY{n}{W}\PY{o}{.}\PY{n}{sum}\PY{p}{(}\PY{p}{)} \PY{o}{\PYZhy{}} \PY{l+m+mi}{1}
\PY{k}{def} \PY{n+nf}{find\PYZus{}portfolio}\PY{p}{(}\PY{n+nb+bp}{self}\PY{p}{,} \PY{n}{df\PYZus{}returns}\PY{p}{:} \PY{n}{pd}\PY{o}{.}\PY{n}{DataFrame}\PY{p}{)} \PY{o}{\PYZhy{}}\PY{o}{\PYZgt{}} \PY{n}{np}\PY{o}{.}\PY{n}{array}\PY{p}{:}
\PY{+w}{ }\PY{l+s+sd}{\PYZdq{}\PYZdq{}\PYZdq{}Optimize for MaxSharpe ratio\PYZdq{}\PYZdq{}\PYZdq{}}
\PY{n}{constrs} \PY{o}{=} \PY{p}{[}\PY{p}{\PYZob{}}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{type}\PY{l+s+s2}{\PYZdq{}}\PY{p}{:} \PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{eq}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{fun}\PY{l+s+s2}{\PYZdq{}}\PY{p}{:} \PY{n}{constr}\PY{p}{\PYZcb{}}\PY{p}{]}
\PY{n}{n\PYZus{}assets}\PY{p}{:} \PY{n+nb}{int} \PY{o}{=} \PY{n}{df\PYZus{}returns}\PY{o}{.}\PY{n}{shape}\PY{p}{[}\PY{l+m+mi}{1}\PY{p}{]}
\PY{n}{x0} \PY{o}{=} \PY{p}{[}\PY{l+m+mi}{1} \PY{o}{/} \PY{n}{n\PYZus{}assets}\PY{p}{]} \PY{o}{*} \PY{n}{n\PYZus{}assets}
\PY{n}{res} \PY{o}{=} \PY{n}{minimize}\PY{p}{(}
\PY{n}{fun}\PY{o}{=}\PY{n+nb+bp}{self}\PY{o}{.}\PY{n}{max\PYZus{}sharpe\PYZus{}objective}\PY{p}{,}
\PY{n}{x0}\PY{o}{=}\PY{n}{x0}\PY{p}{,}
\PY{n}{constraints}\PY{o}{=}\PY{n}{constrs}\PY{p}{,}
\PY{n}{args}\PY{o}{=}\PY{p}{(}\PY{n}{df\PYZus{}returns}\PY{p}{,}\PY{p}{)}
\PY{p}{)}
\PY{k}{return} \PY{n}{res}\PY{o}{.}\PY{n}{x}
\end{Verbatim}
\end{tcolorbox}
\begin{tcolorbox}[breakable, size=fbox, boxrule=1pt, pad at break*=1mm,colback=cellbackground, colframe=cellborder]
\prompt{In}{incolor}{18}{\boxspacing}
\begin{Verbatim}[commandchars=\\\{\}]
\PY{k}{class} \PY{n+nc}{Trainer}\PY{p}{:}
\PY{+w}{ }\PY{l+s+sd}{\PYZdq{}\PYZdq{}\PYZdq{}Trend continuation based strategy\PYZdq{}\PYZdq{}\PYZdq{}}
\PY{k}{def} \PY{n+nf+fm}{\PYZus{}\PYZus{}init\PYZus{}\PYZus{}}\PY{p}{(}\PY{n+nb+bp}{self}\PY{p}{,} \PY{n}{df\PYZus{}returns}\PY{p}{:} \PY{n}{pd}\PY{o}{.}\PY{n}{DataFrame}\PY{p}{,} \PY{n}{optimizer}\PY{p}{:} \PY{n}{PortfolioFinder}\PY{p}{,} \PY{n}{df\PYZus{}sp500}\PY{p}{:} \PY{n}{pd}\PY{o}{.}\PY{n}{DataFrame}\PY{p}{)} \PY{o}{\PYZhy{}}\PY{o}{\PYZgt{}} \PY{n}{Self}\PY{p}{:}
\PY{n+nb+bp}{self}\PY{o}{.}\PY{n}{df\PYZus{}returns}\PY{p}{:} \PY{n}{pd}\PY{o}{.}\PY{n}{DataFrame} \PY{o}{=} \PY{n}{df\PYZus{}returns}
\PY{n+nb+bp}{self}\PY{o}{.}\PY{n}{optimizer}\PY{p}{:} \PY{n}{PortfolioFinder} \PY{o}{=} \PY{n}{optimizer}
\PY{n+nb+bp}{self}\PY{o}{.}\PY{n}{test\PYZus{}log}\PY{p}{:} \PY{n}{List}\PY{p}{[}\PY{n}{Dict}\PY{p}{[}\PY{n+nb}{str}\PY{p}{,} \PY{n}{Any}\PY{p}{]}\PY{p}{]} \PY{o}{=} \PY{p}{[}\PY{p}{]}
\PY{n+nb+bp}{self}\PY{o}{.}\PY{n}{df\PYZus{}sp500}\PY{p}{:} \PY{n}{pd}\PY{o}{.}\PY{n}{DataFrame} \PY{o}{=} \PY{n}{df\PYZus{}sp500}
\PY{k}{def} \PY{n+nf}{backtest}\PY{p}{(}\PY{n+nb+bp}{self}\PY{p}{,} \PY{n}{df\PYZus{}test}\PY{p}{:} \PY{n}{pd}\PY{o}{.}\PY{n}{DataFrame}\PY{p}{,} \PY{n}{W\PYZus{}star}\PY{p}{:} \PY{n}{np}\PY{o}{.}\PY{n}{array}\PY{p}{)} \PY{o}{\PYZhy{}}\PY{o}{\PYZgt{}} \PY{k+kc}{None}\PY{p}{:}
\PY{n}{asset\PYZus{}returns}\PY{p}{:} \PY{n}{np}\PY{o}{.}\PY{n}{array} \PY{o}{=} \PY{p}{(}\PY{l+m+mi}{1} \PY{o}{+} \PY{n}{df\PYZus{}test}\PY{p}{)}\PY{o}{.}\PY{n}{cumprod}\PY{p}{(}\PY{p}{)}\PY{o}{.}\PY{n}{iloc}\PY{p}{[}\PY{o}{\PYZhy{}}\PY{l+m+mi}{1}\PY{p}{]}\PY{o}{.}\PY{n}{values} \PY{c+c1}{\PYZsh{} get asset cumulative returns on the last day}
\PY{n}{portfolio\PYZus{}return}\PY{p}{:} \PY{n+nb}{float} \PY{o}{=} \PY{n}{np}\PY{o}{.}\PY{n}{dot}\PY{p}{(}\PY{n}{W\PYZus{}star}\PY{p}{,} \PY{n}{asset\PYZus{}returns}\PY{p}{)}
\PY{n}{portfolio\PYZus{}max\PYZus{}daily\PYZus{}drawdown}\PY{p}{:} \PY{n+nb}{float} \PY{o}{=} \PY{p}{(}\PY{p}{(}\PY{l+m+mi}{1} \PY{o}{+} \PY{n}{df\PYZus{}test}\PY{p}{)} \PY{o}{@} \PY{n}{W\PYZus{}star}\PY{p}{)}\PY{o}{.}\PY{n}{min}\PY{p}{(}\PY{p}{)} \PY{c+c1}{\PYZsh{} find the worst daily return in df\PYZus{}test}
\PY{n}{hh\PYZus{}index}\PY{p}{:} \PY{n+nb}{float} \PY{o}{=} \PY{n}{np}\PY{o}{.}\PY{n}{sum}\PY{p}{(}\PY{n}{W\PYZus{}star}\PY{o}{*}\PY{o}{*}\PY{l+m+mi}{2}\PY{p}{)}
\PY{n+nb+bp}{self}\PY{o}{.}\PY{n}{test\PYZus{}log}\PY{o}{.}\PY{n}{append}\PY{p}{(}\PY{p}{\PYZob{}}
\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{portfolio\PYZus{}return}\PY{l+s+s2}{\PYZdq{}}\PY{p}{:} \PY{n}{portfolio\PYZus{}return}\PY{p}{,}
\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{portfolio\PYZus{}max\PYZus{}daily\PYZus{}drawdown}\PY{l+s+s2}{\PYZdq{}}\PY{p}{:} \PY{n}{portfolio\PYZus{}max\PYZus{}daily\PYZus{}drawdown}\PY{p}{,}
\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{hh\PYZus{}index}\PY{l+s+s2}{\PYZdq{}}\PY{p}{:} \PY{n}{hh\PYZus{}index}\PY{p}{,}
\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{portfolio\PYZus{}weights}\PY{l+s+s2}{\PYZdq{}}\PY{p}{:} \PY{n}{W\PYZus{}star}\PY{p}{,}
\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{time}\PY{l+s+s2}{\PYZdq{}}\PY{p}{:} \PY{n}{df\PYZus{}test}\PY{o}{.}\PY{n}{index}\PY{p}{[}\PY{o}{\PYZhy{}}\PY{l+m+mi}{1}\PY{p}{]}
\PY{p}{\PYZcb{}}\PY{p}{)}
\PY{k}{def} \PY{n+nf}{train}\PY{p}{(}\PY{n+nb+bp}{self}\PY{p}{,} \PY{n}{train\PYZus{}size}\PY{p}{:} \PY{n+nb}{int}\PY{p}{,} \PY{n}{test\PYZus{}size}\PY{p}{:} \PY{n+nb}{int}\PY{p}{,} \PY{n}{use\PYZus{}top\PYZus{}k}\PY{p}{:} \PY{n+nb}{int}\PY{p}{,} \PY{n}{clean\PYZus{}log}\PY{p}{:} \PY{n+nb}{bool} \PY{o}{=} \PY{k+kc}{True}\PY{p}{)}\PY{p}{:}
\PY{+w}{ }\PY{l+s+sd}{\PYZdq{}\PYZdq{}\PYZdq{}Perform sliding window optimization and backtest of the strategy\PYZdq{}\PYZdq{}\PYZdq{}}
\PY{k}{if} \PY{n}{clean\PYZus{}log}\PY{p}{:}
\PY{n+nb+bp}{self}\PY{o}{.}\PY{n}{test\PYZus{}log} \PY{o}{=} \PY{p}{[}\PY{p}{]}
\PY{k}{for} \PY{n}{i} \PY{o+ow}{in} \PY{n}{tqdm}\PY{p}{(}
\PY{n+nb}{range}\PY{p}{(}\PY{l+m+mi}{0}\PY{p}{,} \PY{n+nb+bp}{self}\PY{o}{.}\PY{n}{df\PYZus{}returns}\PY{o}{.}\PY{n}{shape}\PY{p}{[}\PY{l+m+mi}{0}\PY{p}{]} \PY{o}{\PYZhy{}} \PY{n}{train\PYZus{}size} \PY{o}{\PYZhy{}} \PY{n}{test\PYZus{}size}\PY{p}{,} \PY{n}{test\PYZus{}size}\PY{p}{)}
\PY{p}{)}\PY{p}{:}
\PY{n}{df\PYZus{}train} \PY{o}{=} \PY{n+nb+bp}{self}\PY{o}{.}\PY{n}{df\PYZus{}returns}\PY{o}{.}\PY{n}{iloc}\PY{p}{[}\PY{n}{i}\PY{p}{:}\PY{p}{(}\PY{n}{i}\PY{o}{+}\PY{n}{train\PYZus{}size}\PY{p}{)}\PY{p}{]}\PY{o}{.}\PY{n}{copy}\PY{p}{(}\PY{p}{)}
\PY{n}{df\PYZus{}test} \PY{o}{=} \PY{n+nb+bp}{self}\PY{o}{.}\PY{n}{df\PYZus{}returns}\PY{o}{.}\PY{n}{iloc}\PY{p}{[}\PY{p}{(}\PY{n}{i}\PY{o}{+}\PY{n}{train\PYZus{}size}\PY{p}{)}\PY{p}{:}\PY{p}{(}\PY{n}{i}\PY{o}{+}\PY{n}{train\PYZus{}size}\PY{o}{+}\PY{n}{test\PYZus{}size}\PY{p}{)}\PY{p}{]}\PY{o}{.}\PY{n}{copy}\PY{p}{(}\PY{p}{)}
\PY{c+c1}{\PYZsh{} find best performing stocks on the train sample}
\PY{n}{df\PYZus{}train\PYZus{}features} \PY{o}{=} \PY{n}{df\PYZus{}train}\PY{o}{.}\PY{n}{agg}\PY{p}{(}\PY{p}{[}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{mean}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{std}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{median}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{skew}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{kurt}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{max}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{min}\PY{l+s+s2}{\PYZdq{}}\PY{p}{]}\PY{p}{)}\PY{o}{.}\PY{n}{T}
\PY{n}{df\PYZus{}train\PYZus{}features}\PY{p}{[}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{cum\PYZus{}return}\PY{l+s+s2}{\PYZdq{}}\PY{p}{]} \PY{o}{=} \PY{p}{(}\PY{n}{df\PYZus{}train} \PY{o}{+} \PY{l+m+mi}{1}\PY{p}{)}\PY{o}{.}\PY{n}{cumprod}\PY{p}{(}\PY{p}{)}\PY{o}{.}\PY{n}{iloc}\PY{p}{[}\PY{o}{\PYZhy{}}\PY{l+m+mi}{1}\PY{p}{]}
\PY{c+c1}{\PYZsh{} Select the best performers}
\PY{n}{best\PYZus{}performers}\PY{p}{:} \PY{n}{List}\PY{p}{[}\PY{n+nb}{str}\PY{p}{]} \PY{o}{=} \PY{n}{df\PYZus{}train\PYZus{}features}\PY{o}{.}\PY{n}{sort\PYZus{}values}\PY{p}{(}\PY{n}{by}\PY{o}{=}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{cum\PYZus{}return}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{n}{ascending}\PY{o}{=}\PY{k+kc}{False}\PY{p}{)}\PY{o}{.}\PY{n}{iloc}\PY{p}{[}\PY{p}{:}\PY{n}{use\PYZus{}top\PYZus{}k}\PY{p}{]}\PY{o}{.}\PY{n}{index}
\PY{n}{W\PYZus{}star}\PY{p}{:} \PY{n}{np}\PY{o}{.}\PY{n}{array} \PY{o}{=} \PY{n+nb+bp}{self}\PY{o}{.}\PY{n}{optimizer}\PY{o}{.}\PY{n}{find\PYZus{}portfolio}\PY{p}{(}\PY{n}{df\PYZus{}returns}\PY{o}{=}\PY{n}{df\PYZus{}train}\PY{p}{[}\PY{n}{best\PYZus{}performers}\PY{p}{]}\PY{p}{)}
\PY{n+nb+bp}{self}\PY{o}{.}\PY{n}{backtest}\PY{p}{(}\PY{n}{df\PYZus{}test}\PY{o}{=}\PY{n}{df\PYZus{}test}\PY{p}{[}\PY{n}{best\PYZus{}performers}\PY{p}{]}\PY{p}{,} \PY{n}{W\PYZus{}star}\PY{o}{=}\PY{n}{W\PYZus{}star}\PY{p}{)}
\PY{k}{def} \PY{n+nf}{plot\PYZus{}results}\PY{p}{(}\PY{n+nb+bp}{self}\PY{p}{)} \PY{o}{\PYZhy{}}\PY{o}{\PYZgt{}} \PY{k+kc}{None}\PY{p}{:}
\PY{+w}{ }\PY{l+s+sd}{\PYZdq{}\PYZdq{}\PYZdq{}Get data from test\PYZus{}log and display main metrics\PYZdq{}\PYZdq{}\PYZdq{}}
\PY{n}{df\PYZus{}test} \PY{o}{=} \PY{n}{pd}\PY{o}{.}\PY{n}{DataFrame}\PY{p}{(}\PY{n+nb+bp}{self}\PY{o}{.}\PY{n}{test\PYZus{}log}\PY{p}{)}
\PY{n}{df\PYZus{}test}\PY{p}{[}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{cumprod\PYZus{}return}\PY{l+s+s2}{\PYZdq{}}\PY{p}{]} \PY{o}{=} \PY{n}{df\PYZus{}test}\PY{p}{[}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{portfolio\PYZus{}return}\PY{l+s+s2}{\PYZdq{}}\PY{p}{]}\PY{o}{.}\PY{n}{cumprod}\PY{p}{(}\PY{p}{)}
\PY{n}{fig}\PY{p}{,} \PY{n}{axs} \PY{o}{=} \PY{n}{plt}\PY{o}{.}\PY{n}{subplots}\PY{p}{(}\PY{l+m+mi}{1}\PY{p}{,} \PY{l+m+mi}{3}\PY{p}{,} \PY{n}{figsize}\PY{o}{=}\PY{p}{(}\PY{l+m+mi}{20}\PY{p}{,} \PY{l+m+mi}{5}\PY{p}{)}\PY{p}{)}
\PY{n}{ax1}\PY{p}{,} \PY{n}{ax2}\PY{p}{,} \PY{n}{ax3} \PY{o}{=} \PY{n}{axs}
\PY{n}{sp500\PYZus{}returns} \PY{o}{=} \PY{n}{df\PYZus{}sp500}\PY{p}{[}\PY{n}{df\PYZus{}sp500}\PY{o}{.}\PY{n}{index}\PY{o}{.}\PY{n}{isin}\PY{p}{(}\PY{n}{df\PYZus{}test}\PY{p}{[}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{time}\PY{l+s+s2}{\PYZdq{}}\PY{p}{]}\PY{p}{)}\PY{p}{]}\PY{p}{[}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{cum\PYZus{}return}\PY{l+s+s2}{\PYZdq{}}\PY{p}{]}
\PY{n}{df\PYZus{}test}\PY{o}{.}\PY{n}{plot}\PY{p}{(}\PY{n}{x}\PY{o}{=}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{time}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{n}{y}\PY{o}{=}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{cumprod\PYZus{}return}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{n}{ax}\PY{o}{=}\PY{n}{ax1}\PY{p}{,} \PY{n}{title}\PY{o}{=}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{Cumulative return}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{n}{label}\PY{o}{=}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{Continuation strategy}\PY{l+s+s2}{\PYZdq{}}\PY{p}{)}
\PY{n}{ax1}\PY{o}{.}\PY{n}{plot}\PY{p}{(}\PY{n}{df\PYZus{}test}\PY{p}{[}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{time}\PY{l+s+s2}{\PYZdq{}}\PY{p}{]}\PY{p}{,} \PY{n}{sp500\PYZus{}returns}\PY{p}{,} \PY{n}{label}\PY{o}{=}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{SP500 cumprod return}\PY{l+s+s2}{\PYZdq{}}\PY{p}{)}
\PY{n}{ax1}\PY{o}{.}\PY{n}{legend}\PY{p}{(}\PY{p}{)}
\PY{n}{df\PYZus{}test}\PY{o}{.}\PY{n}{plot}\PY{p}{(}\PY{n}{x}\PY{o}{=}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{time}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{n}{y}\PY{o}{=}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{portfolio\PYZus{}max\PYZus{}daily\PYZus{}drawdown}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{n}{ax}\PY{o}{=}\PY{n}{ax2}\PY{p}{,} \PY{n}{title}\PY{o}{=}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{Max daily drawdown}\PY{l+s+s2}{\PYZdq{}}\PY{p}{)}
\PY{n}{df\PYZus{}test}\PY{o}{.}\PY{n}{plot}\PY{p}{(}\PY{n}{x}\PY{o}{=}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{time}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{n}{y}\PY{o}{=}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{hh\PYZus{}index}\PY{l+s+s2}{\PYZdq{}}\PY{p}{,} \PY{n}{ax}\PY{o}{=}\PY{n}{ax3}\PY{p}{,} \PY{n}{title}\PY{o}{=}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{HH\PYZus{}index}\PY{l+s+s2}{\PYZdq{}}\PY{p}{)}
\PY{n}{plt}\PY{o}{.}\PY{n}{show}\PY{p}{(}\PY{p}{)}
\end{Verbatim}
\end{tcolorbox}
Using TOP-10 assets
\begin{tcolorbox}[breakable, size=fbox, boxrule=1pt, pad at break*=1mm,colback=cellbackground, colframe=cellborder]
\prompt{In}{incolor}{19}{\boxspacing}
\begin{Verbatim}[commandchars=\\\{\}]
\PY{n}{optimizer}\PY{p}{:} \PY{n}{PortfolioFinder} \PY{o}{=} \PY{n}{MaxSharpeOptimizer}\PY{p}{(}\PY{p}{)}
\PY{n}{trainer} \PY{o}{=} \PY{n}{Trainer}\PY{p}{(}
\PY{n}{df\PYZus{}returns}\PY{o}{=}\PY{n}{df\PYZus{}returns}\PY{p}{,} \PY{n}{optimizer}\PY{o}{=}\PY{n}{optimizer}\PY{p}{,} \PY{n}{df\PYZus{}sp500}\PY{o}{=}\PY{n}{df\PYZus{}sp500}
\PY{p}{)}
\PY{n}{trainer}\PY{o}{.}\PY{n}{train}\PY{p}{(}\PY{n}{train\PYZus{}size}\PY{o}{=}\PY{l+m+mi}{90}\PY{p}{,} \PY{n}{test\PYZus{}size}\PY{o}{=}\PY{l+m+mi}{14}\PY{p}{,} \PY{n}{use\PYZus{}top\PYZus{}k}\PY{o}{=}\PY{l+m+mi}{10}\PY{p}{)}
\end{Verbatim}
\end{tcolorbox}
\begin{Verbatim}[commandchars=\\\{\}]
100\%|██████████| 83/83 [00:21<00:00, 3.94it/s]
\end{Verbatim}
\begin{tcolorbox}[breakable, size=fbox, boxrule=1pt, pad at break*=1mm,colback=cellbackground, colframe=cellborder]
\prompt{In}{incolor}{20}{\boxspacing}
\begin{Verbatim}[commandchars=\\\{\}]
\PY{n}{trainer}\PY{o}{.}\PY{n}{plot\PYZus{}results}\PY{p}{(}\PY{p}{)}
\end{Verbatim}
\end{tcolorbox}
\begin{center}
\adjustimage{max size={0.9\linewidth}{0.9\paperheight}}{SoQ_Python_Project_3_Mikhail_Mironov_files/SoQ_Python_Project_3_Mikhail_Mironov_26_0.png}
\end{center}
{ \hspace*{\fill} \\}
Using TOP-20 assets
\begin{tcolorbox}[breakable, size=fbox, boxrule=1pt, pad at break*=1mm,colback=cellbackground, colframe=cellborder]
\prompt{In}{incolor}{21}{\boxspacing}
\begin{Verbatim}[commandchars=\\\{\}]
\PY{n}{trainer}\PY{o}{.}\PY{n}{train}\PY{p}{(}\PY{n}{train\PYZus{}size}\PY{o}{=}\PY{l+m+mi}{90}\PY{p}{,} \PY{n}{test\PYZus{}size}\PY{o}{=}\PY{l+m+mi}{14}\PY{p}{,} \PY{n}{use\PYZus{}top\PYZus{}k}\PY{o}{=}\PY{l+m+mi}{20}\PY{p}{,} \PY{n}{clean\PYZus{}log}\PY{o}{=}\PY{k+kc}{True}\PY{p}{)}
\PY{n}{trainer}\PY{o}{.}\PY{n}{plot\PYZus{}results}\PY{p}{(}\PY{p}{)}
\end{Verbatim}
\end{tcolorbox}
\begin{Verbatim}[commandchars=\\\{\}]
100\%|██████████| 83/83 [00:25<00:00, 3.20it/s]
\end{Verbatim}
\begin{center}
\adjustimage{max size={0.9\linewidth}{0.9\paperheight}}{SoQ_Python_Project_3_Mikhail_Mironov_files/SoQ_Python_Project_3_Mikhail_Mironov_28_1.png}
\end{center}
{ \hspace*{\fill} \\}
Using TOP-40 assets
\begin{tcolorbox}[breakable, size=fbox, boxrule=1pt, pad at break*=1mm,colback=cellbackground, colframe=cellborder]
\prompt{In}{incolor}{22}{\boxspacing}
\begin{Verbatim}[commandchars=\\\{\}]
\PY{n}{trainer}\PY{o}{.}\PY{n}{train}\PY{p}{(}\PY{n}{train\PYZus{}size}\PY{o}{=}\PY{l+m+mi}{90}\PY{p}{,} \PY{n}{test\PYZus{}size}\PY{o}{=}\PY{l+m+mi}{14}\PY{p}{,} \PY{n}{use\PYZus{}top\PYZus{}k}\PY{o}{=}\PY{l+m+mi}{40}\PY{p}{,} \PY{n}{clean\PYZus{}log}\PY{o}{=}\PY{k+kc}{True}\PY{p}{)}
\PY{n}{trainer}\PY{o}{.}\PY{n}{plot\PYZus{}results}\PY{p}{(}\PY{p}{)}
\end{Verbatim}
\end{tcolorbox}
\begin{Verbatim}[commandchars=\\\{\}]
100\%|██████████| 83/83 [00:44<00:00, 1.87it/s]
\end{Verbatim}
\begin{center}
\adjustimage{max size={0.9\linewidth}{0.9\paperheight}}{SoQ_Python_Project_3_Mikhail_Mironov_files/SoQ_Python_Project_3_Mikhail_Mironov_30_1.png}
\end{center}
{ \hspace*{\fill} \\}
Varying train/test sample size
\begin{tcolorbox}[breakable, size=fbox, boxrule=1pt, pad at break*=1mm,colback=cellbackground, colframe=cellborder]
\prompt{In}{incolor}{24}{\boxspacing}
\begin{Verbatim}[commandchars=\\\{\}]
\PY{n}{trainer}\PY{o}{.}\PY{n}{train}\PY{p}{(}\PY{n}{train\PYZus{}size}\PY{o}{=}\PY{l+m+mi}{30}\PY{p}{,} \PY{n}{test\PYZus{}size}\PY{o}{=}\PY{l+m+mi}{10}\PY{p}{,} \PY{n}{use\PYZus{}top\PYZus{}k}\PY{o}{=}\PY{l+m+mi}{20}\PY{p}{,} \PY{n}{clean\PYZus{}log}\PY{o}{=}\PY{k+kc}{True}\PY{p}{)}
\PY{n}{trainer}\PY{o}{.}\PY{n}{plot\PYZus{}results}\PY{p}{(}\PY{p}{)}
\end{Verbatim}
\end{tcolorbox}
\begin{Verbatim}[commandchars=\\\{\}]
100\%|██████████| 122/122 [00:51<00:00, 2.38it/s]
\end{Verbatim}
\begin{center}
\adjustimage{max size={0.9\linewidth}{0.9\paperheight}}{SoQ_Python_Project_3_Mikhail_Mironov_files/SoQ_Python_Project_3_Mikhail_Mironov_32_1.png}
\end{center}
{ \hspace*{\fill} \\}
\begin{tcolorbox}[breakable, size=fbox, boxrule=1pt, pad at break*=1mm,colback=cellbackground, colframe=cellborder]
\prompt{In}{incolor}{32}{\boxspacing}
\begin{Verbatim}[commandchars=\\\{\}]
\PY{n}{portfolio\PYZus{}returns}\PY{p}{:} \PY{n}{pd}\PY{o}{.}\PY{n}{Series} \PY{o}{=} \PY{n}{pd}\PY{o}{.}\PY{n}{DataFrame}\PY{p}{(}\PY{n}{trainer}\PY{o}{.}\PY{n}{test\PYZus{}log}\PY{p}{)}\PY{p}{[}\PY{l+s+s2}{\PYZdq{}}\PY{l+s+s2}{portfolio\PYZus{}return}\PY{l+s+s2}{\PYZdq{}}\PY{p}{]}
\PY{c+c1}{\PYZsh{} Sharpe ratio}
\PY{n}{portfolio\PYZus{}returns}\PY{o}{.}\PY{n}{mean}\PY{p}{(}\PY{p}{)} \PY{o}{/} \PY{n}{portfolio\PYZus{}returns}\PY{o}{.}\PY{n}{std}\PY{p}{(}\PY{p}{)}
\end{Verbatim}
\end{tcolorbox}
\begin{tcolorbox}[breakable, size=fbox, boxrule=.5pt, pad at break*=1mm, opacityfill=0]
\prompt{Out}{outcolor}{32}{\boxspacing}
\begin{Verbatim}[commandchars=\\\{\}]
7.1561394225808055
\end{Verbatim}
\end{tcolorbox}
Where ML \&\#128544
Whatever I tried I saw nothing better that a coinflip 50-50, this is