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MAINT Fix gross leverage - round 2 #147

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merged 1 commit into from
Sep 26, 2015
Merged

MAINT Fix gross leverage - round 2 #147

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13 changes: 4 additions & 9 deletions pyfolio/plotting.py
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Original file line number Diff line number Diff line change
Expand Up @@ -13,7 +13,6 @@
# See the License for the specific language governing permissions and
# limitations under the License.
from __future__ import division
import warnings

import pandas as pd
import numpy as np
Expand Down Expand Up @@ -799,7 +798,7 @@ def plot_gross_leverage(returns, gross_lev, ax=None, **kwargs):


def plot_exposures(returns, positions_alloc, ax=None, **kwargs):
"""Plots a cake chart of long, short, and cash exposure.
"""Plots a cake chart of the long and short exposure.

Parameters
----------
Expand All @@ -818,23 +817,19 @@ def plot_exposures(returns, positions_alloc, ax=None, **kwargs):
-------
ax : matplotlib.Axes
The axes that were plotted on.

"""
"""

if ax is None:
ax = plt.gca()

df_long_short = pos.get_long_short_pos(positions_alloc)

if np.any(df_long_short.cash < 0):
warnings.warn('Negative cash, taking absolute for area plot.')
df_long_short = df_long_short.abs()
df_long_short.plot(
kind='area', color=['lightblue', 'green', 'coral'], alpha=1.0,
kind='area', color=['lightblue', 'green'], alpha=1.0,
ax=ax, **kwargs)
df_cum_rets = timeseries.cum_returns(returns, starting_value=1)
ax.set_xlim((df_cum_rets.index[0], df_cum_rets.index[-1]))
ax.set_title("Long/Short/Cash Exposure")
ax.set_title("Long/Short Exposure")
ax.set_ylabel('Exposure')
ax.set_xlabel('')
return ax
Expand Down
34 changes: 13 additions & 21 deletions pyfolio/pos.py
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Original file line number Diff line number Diff line change
Expand Up @@ -37,39 +37,31 @@ def get_portfolio_alloc(positions):
)


def get_long_short_pos(positions, gross_lev=1.):
def get_long_short_pos(positions):
"""
Determines the long amount, short amount, and cash of a portfolio.
Determines the long and short allocations in a portfolio.

Parameters
----------
positions : pd.DataFrame
The positions that the strategy takes over time.
gross_lev : float, optional
The porfolio's gross leverage (default 1).

Returns
-------
df_long_short : pd.DataFrame
Net long, short, and cash positions.
Long and short allocations as a decimal
percentage of the total net liquidation
"""

positions_wo_cash = positions.drop('cash', axis='columns')
df_long = positions_wo_cash.apply(lambda x: x[x > 0].sum(), axis='columns')
df_short = - \
positions_wo_cash.apply(lambda x: x[x < 0].sum(), axis='columns')
# Shorting positions adds to cash
df_cash = positions.cash.abs() - df_short
df_long_short = pd.DataFrame({'long': df_long,
'short': df_short,
'cash': df_cash})
# Renormalize
df_long_short /= df_long_short.sum(axis='columns')

# Renormalize to leverage
df_long_short *= gross_lev

return df_long_short
pos_wo_cash = positions.drop('cash', axis=1)
longs = pos_wo_cash[pos_wo_cash > 0].sum(axis=1)
shorts = pos_wo_cash[pos_wo_cash < 0].abs().sum(axis=1)
cash = positions.cash
net_liquidation = longs - shorts + cash
df_long_short = pd.DataFrame({'long': longs,
'short': shorts})

return df_long_short / net_liquidation


def get_top_long_short_abs(positions, top=10):
Expand Down