BUG Fix turnover calculation #117
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This fixed the incorrect turnover calculation in `plotting.plot_turnover`. Now the plot calls `pos.get_turnover` rather than calculating the values.
| if period is not None: | ||
| traded_value = traded_value.resample(period, how='sum') | ||
| portfolio_value = portfolio_value.resample(period, how='mean') | ||
| turnover = traded_value / 2.0 |
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When using constants like here it's useful to add a comment on how it came about.
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Okay, the doc string above says it uses the average of buys & sells, that's where the 2.0 comes from.
A lot of definitions use min(buys, sells) / average portfolio value, but we only store the abs value of buys + sells so averaging makes sense.
Sent from my iPhone
On Aug 10, 2015, at 6:46 AM, Thomas Wiecki [email protected] wrote:
In pyfolio/pos.py:
"""
- turnover = transactions_df.apply(
lambda z: z.apply(lambda r: abs(r))).resample(period, 'sum').sum(axis=1)- portfolio_value = backtest_data_df.portfolio_value.resample(period, 'mean')
- turnoverpct = turnover / portfolio_value
- turnoverpct = turnoverpct.fillna(0)
- return turnoverpct
- traded_value = transactions.txn_volume
- portfolio_value = positions.sum(axis=1)
- if period is not None:
traded_value = traded_value.resample(period, how='sum')portfolio_value = portfolio_value.resample(period, how='mean')- turnover = traded_value / 2.0
When using constants like here it's useful to add a comment on how it came about.—
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I agree. Then I'd add something like # traded_value contains the summed value from buys and sells; this computes the average of both.
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Looks great! While we're here, do you think we should add unit tests? |
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Related issue: #104 |
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Yes, we should definitely have unit tests, I'll get to that a bit later today. Sent from my iPhone
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Inline comment about computing the average of the buys and sells.
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Great. I'll merge this in now as it fixes a bug. We can add a unittest later. |
This fixed the incorrect turnover calculation in
plotting.plot_turnover.Now the plot calls
pos.get_turnoverrather than calculatingthe values.