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Closes #296 #301

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May 25, 2016
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Closes #296 #301

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d644cda
Closes #296
analicia May 19, 2016
1290741
Closes #301
analicia May 20, 2016
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3 changes: 1 addition & 2 deletions pyfolio/plotting.py
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Original file line number Diff line number Diff line change
Expand Up @@ -911,9 +911,8 @@ def plot_exposures(returns, positions_alloc, ax=None, **kwargs):
ax = plt.gca()

df_long_short = pos.get_long_short_pos(positions_alloc)

df_long_short.plot(
kind='area', color=['lightblue', 'green'], alpha=1.0,
kind='line', style=['-g', '-r', '--k'], 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]))
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11 changes: 6 additions & 5 deletions pyfolio/pos.py
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Original file line number Diff line number Diff line change
Expand Up @@ -57,13 +57,14 @@ def get_long_short_pos(positions):

pos_wo_cash = positions.drop('cash', axis=1)
longs = pos_wo_cash[pos_wo_cash > 0].sum(axis=1).fillna(0)
shorts = pos_wo_cash[pos_wo_cash < 0].abs().sum(axis=1).fillna(0)
shorts = pos_wo_cash[pos_wo_cash < 0].sum(axis=1).fillna(0)
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Won't removing abs() not change the results of the plot?

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Yes, it will. One of the issue tasks is to make the "shorts" line show up
as negative instead of positive.

"Make Long exposure line positive number, and Short exposure line all
negative numbers"

On Mon, May 23, 2016 at 3:34 AM, Thomas Wiecki notifications@github.com
wrote:

In pyfolio/pos.py
#301 (comment):

@@ -57,13 +57,14 @@ def get_long_short_pos(positions):

 pos_wo_cash = positions.drop('cash', axis=1)
 longs = pos_wo_cash[pos_wo_cash > 0].sum(axis=1).fillna(0)
  • shorts = pos_wo_cash[pos_wo_cash < 0].abs().sum(axis=1).fillna(0)
  • shorts = pos_wo_cash[pos_wo_cash < 0].sum(axis=1).fillna(0)

Won't removing abs() not change the results of the plot?

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https://github.com/quantopian/pyfolio/pull/301/files/12907415ecd871a19bd60e39c35613cc13692168#r64178908

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LGTM

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@twiecki @ahgnaw see line 62 below where cash is added in the net_liquidation value. I believe this results in the cash taken in from shorts being double counted. Thoughts?

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if shorts is a negative number, net liquidation should be longs + shorts + cash

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@justinlent justinlent Jun 28, 2016 •
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from our offline chat:

The explicit calculation would be net_liquidation = longs - shorts + (cash + shorts)

which removes the short exposure from the cash component
which then begs the simplification to just net_liquidation = longs + cash
where net_liquidation == portfolio_value (e.g. the amount of $ you could actually withdraw from the account)

will have to think about whether that makes sense though

cash = positions.cash
net_liquidation = longs - shorts + cash
df_long_short = pd.DataFrame({'long': longs,
'short': shorts})

return df_long_short.divide(net_liquidation, axis='index')
df_pos = pd.DataFrame({'long': longs.divide(net_liquidation, axis='index'),
'short': shorts.divide(net_liquidation,
axis='index')})
df_pos['net exposure'] = df_pos['long'] + df_pos['short']
return df_pos


def get_top_long_short_abs(positions, top=10):
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