diff options
Diffstat (limited to 'python/exploration/curve_trades.py')
| -rw-r--r-- | python/exploration/curve_trades.py | 14 |
1 files changed, 14 insertions, 0 deletions
diff --git a/python/exploration/curve_trades.py b/python/exploration/curve_trades.py index 1169f215..6a8c6cce 100644 --- a/python/exploration/curve_trades.py +++ b/python/exploration/curve_trades.py @@ -11,3 +11,17 @@ spreads_diff = spreads.diff(axis=1) spreads_diff = spreads_diff.filter([5, 7, 10]) spreads_diff.columns = ['3-5', '5-7', '7-10'] spreads_diff.plot() + +## look at returns +df = index_returns(index='IG', series=[24, 25, 26, 27, 28], tenor=['3yr', '5yr', '7yr', '10yr']) +## on-the-run returns +returns = df.price_return.unstack(-1).dropna().groupby(level='date').nth(-1) +strategy510 = returns['5yr'] - 0.56 * returns['10yr'] +strategy710 = returns['5yr'] - 0.75 * returns['10yr'] +strategy3510 = -2*returns['3yr']+3*returns['5yr'] - returns['10yr'] +monthly_returns510 = strategy510.groupby(pd.TimeGrouper(freq='M')).agg(lambda df:(1+df).prod()-1) +monthly_returns710 = strategy710.groupby(pd.TimeGrouper(freq='M')).agg(lambda df:(1+df).prod()-1) + +sharpe510 = strategy510.mean()/strategy510.std()*math.sqrt(252) +sharpe710 = strategy710.mean()/strategy710.std()*math.sqrt(252) +sharpe3510 = strategy3510.mean()/strategy3510.std()*math.sqrt(252) |