add turnover_denom para in txn tear sheet

Coulbe · Sep 23, 2019 · 870b022 · 870b022
1 parent 85433bd
commit 870b022
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Showing 2 changed files with 9 additions and 4 deletions.
diff --git a/pyfolio/plotting.py b/pyfolio/plotting.py
@@ -1323,7 +1323,7 @@ def plot_return_quantiles(returns, live_start_date=None, ax=None, **kwargs):
     return ax
 
 
-def plot_turnover(returns, transactions, positions,
+def plot_turnover(returns, transactions, positions, turnover_denom='AGB',
                   legend_loc='best', ax=None, **kwargs):
     """
     Plots turnover vs. date.
@@ -1345,6 +1345,9 @@ def plot_turnover(returns, transactions, positions,
     positions : pd.DataFrame
         Daily net position values.
          - See full explanation in tears.create_full_tear_sheet.
+    turnover_denom : str, optional
+        Either AGB or portfolio_value, default AGB.
+        - See full explanation in txn.get_turnover.
     legend_loc : matplotlib.loc, optional
         The location of the legend on the plot.
     ax : matplotlib.Axes, optional
@@ -1364,7 +1367,7 @@ def plot_turnover(returns, transactions, positions,
     y_axis_formatter = FuncFormatter(utils.two_dec_places)
     ax.yaxis.set_major_formatter(FuncFormatter(y_axis_formatter))
 
-    df_turnover = txn.get_turnover(positions, transactions)
+    df_turnover = txn.get_turnover(positions, transactions, turnover_denom)
     df_turnover_by_month = df_turnover.resample("M").mean()
     df_turnover.plot(color='steelblue', alpha=1.0, lw=0.5, ax=ax, **kwargs)
     df_turnover_by_month.plot(

diff --git a/pyfolio/tears.py b/pyfolio/tears.py
@@ -396,6 +396,7 @@ def create_simple_tear_sheet(returns,
             plotting.plot_turnover(returns,
                                    transactions,
                                    positions,
+                                   turnover_denom=turnover_denom,
                                    ax=ax_turnover)
 
             plotting.plot_txn_time_hist(transactions, ax=ax_txn_timings)
@@ -691,8 +692,8 @@ def create_position_tear_sheet(returns, positions,
 
 @plotting.customize
 def create_txn_tear_sheet(returns, positions, transactions,
-                          unadjusted_returns=None, estimate_intraday='infer',
-                          return_fig=False):
+                          turnover_denom='AGB', unadjusted_returns=None,
+                          estimate_intraday='infer', return_fig=False):
     """
     Generate a number of plots for analyzing a strategy's transactions.
 
@@ -737,6 +738,7 @@ def create_txn_tear_sheet(returns, positions, transactions,
         returns,
         transactions,
         positions,
+        turnover_denom=turnover_denom,
         ax=ax_turnover)
 
     plotting.plot_daily_volume(returns, transactions, ax=ax_daily_volume)