Closes #296 #301
Closes #296 #301
Conversation
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Thanks for the PR! It looks like the build is failing due to flake8 issues, can you run flake8 locally and sort those out? |
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@justinlent Can you review this? |
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@twiecki LGTM. Merge at your convenience |
| @@ -57,13 +57,14 @@ def get_long_short_pos(positions): | |||
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| 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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@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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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
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Thanks @ahgnaw! |
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