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Original file line number | Diff line number | Diff line change |
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import czsc | ||
import pandas as pd | ||
import streamlit as st | ||
import plotly.express as px | ||
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def show_daily_return(df, **kwargs): | ||
"""用streamlit展示日收益""" | ||
assert df.index.dtype == 'datetime64[ns]', "index必须是datetime64[ns]类型, 请先使用 pd.to_datetime 进行转换" | ||
type_ = "持有日" if kwargs.get("none_zero", False) else "交易日" | ||
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df = df.copy().fillna(0) | ||
stats = [] | ||
for col in df.columns: | ||
col_stats = czsc.daily_performance([x for x in df[col] if x != 0]) if type_ == '持有日' else czsc.daily_performance(df[col]) | ||
col_stats['日收益名称'] = col | ||
stats.append(col_stats) | ||
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stats = pd.DataFrame(stats).set_index('日收益名称') | ||
fmt_cols = ['年化', '夏普', '最大回撤', '卡玛', '年化波动率', '非零覆盖'] | ||
stats = stats.style.background_gradient(cmap='RdYlGn_r', axis=None).format('{:.4f}', subset=fmt_cols) | ||
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df = df.cumsum() | ||
fig = px.line(df, y=df.columns.to_list(), title="日收益累计曲线") | ||
for col in kwargs.get("legend_only_cols", []): | ||
fig.update_traces(visible="legendonly", selector=dict(name=col)) | ||
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with st.container(): | ||
st.subheader(f'{kwargs.get("title", "日收益表现评价")}({type_})') | ||
st.divider() | ||
st.dataframe(stats, use_container_width=True) | ||
st.plotly_chart(fig, use_container_width=True) |
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