diff --git a/examples/2021-01-11-backtest-multicore.ipynb b/examples/2021-01-11-backtest-multicore.ipynb new file mode 100644 index 00000000..9b19bfc1 --- /dev/null +++ b/examples/2021-01-11-backtest-multicore.ipynb @@ -0,0 +1,2539 @@ +{ + "cells": [ + { + "cell_type": "markdown", + "metadata": {}, + "source": [ + "# \"backtesting multiprocessing\"\n", + "> \"How to fetch and backtest crypto data using fastquant and use multiple cores\"\n", + "\n", + "- toc: true\n", + "- branch: master\n", + "- badges: true\n", + "- comments: true\n", + "- author: Mikee Jazmines\n", + "- categories: [crypto, backtest, grid search]" + ] + }, + { + "cell_type": "markdown", + "metadata": {}, + "source": [ + "\"Open" + ] + }, + { + "cell_type": "code", + "execution_count": 1, + "metadata": {}, + "outputs": [], + "source": [ + "# uncomment to install in colab\n", + "# !pip3 install fastquant --update\n", + "# or pip install git+https://www.github.com/enzoampil/fastquant.git@history" + ] + }, + { + "cell_type": "markdown", + "metadata": {}, + "source": [ + "## fetch data from binance" + ] + }, + { + "cell_type": "code", + "execution_count": 2, + "metadata": {}, + "outputs": [], + "source": [ + "from fastquant import get_crypto_data\n", + "\n", + "crypto = get_crypto_data(\"BTC/USDT\", \n", + " \"2018-12-01\", \n", + " \"2019-12-31\",\n", + " time_resolution='1d'\n", + " )" + ] + }, + { + "cell_type": "code", + "execution_count": 3, + "metadata": {}, + "outputs": [ + { + "data": { + "text/html": [ + "
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openhighlowclosevolume
dt
2019-12-277202.007275.867076.427254.7433642.701861
2019-12-287254.777365.017238.677316.1426848.982199
2019-12-297315.367528.457288.007388.2431387.106085
2019-12-307388.437408.247220.007246.0029605.911782
2019-12-317246.007320.007145.017195.2325954.453533
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" + ], + "text/plain": [ + " open high low close volume\n", + "dt \n", + "2019-12-27 7202.00 7275.86 7076.42 7254.74 33642.701861\n", + "2019-12-28 7254.77 7365.01 7238.67 7316.14 26848.982199\n", + "2019-12-29 7315.36 7528.45 7288.00 7388.24 31387.106085\n", + "2019-12-30 7388.43 7408.24 7220.00 7246.00 29605.911782\n", + "2019-12-31 7246.00 7320.00 7145.01 7195.23 25954.453533" + ] + }, + "execution_count": 3, + "metadata": {}, + "output_type": "execute_result" + } + ], + "source": [ + "crypto.tail()" + ] + }, + { + "cell_type": "code", + "execution_count": 7, + "metadata": {}, + "outputs": [], + "source": [ + "x = crypto.reset_index()" + ] + }, + { + "cell_type": "code", + "execution_count": 9, + "metadata": {}, + "outputs": [], + "source": [ + "import datetime" + ] + }, + { + "cell_type": "code", + "execution_count": 15, + "metadata": {}, + "outputs": [ + { + "ename": "TypeError", + "evalue": "an integer is required (got type Timestamp)", + "output_type": "error", + "traceback": [ + "\u001b[0;31m---------------------------------------------------------------------------\u001b[0m", + "\u001b[0;31mTypeError\u001b[0m Traceback (most recent call last)", + "\u001b[0;32m/var/folders/js/_vkhp5md1h30xkynyqkbw15c0000gn/T/ipykernel_11316/4240321943.py\u001b[0m in \u001b[0;36m\u001b[0;34m\u001b[0m\n\u001b[0;32m----> 1\u001b[0;31m \u001b[0mx\u001b[0m\u001b[0;34m[\u001b[0m\u001b[0;34m'dt'\u001b[0m\u001b[0;34m]\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mapply\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0;32mlambda\u001b[0m \u001b[0ms\u001b[0m\u001b[0;34m:\u001b[0m \u001b[0mdatetime\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mdatetime\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mutcfromtimestamp\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0ms\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0m", + "\u001b[0;32m~/hawksight/fastquant/venv/lib/python3.7/site-packages/pandas/core/series.py\u001b[0m in \u001b[0;36mapply\u001b[0;34m(self, func, convert_dtype, args, **kwds)\u001b[0m\n\u001b[1;32m 4211\u001b[0m \u001b[0;32melse\u001b[0m\u001b[0;34m:\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m 4212\u001b[0m \u001b[0mvalues\u001b[0m \u001b[0;34m=\u001b[0m \u001b[0mself\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mastype\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mobject\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0m_values\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0;32m-> 4213\u001b[0;31m \u001b[0mmapped\u001b[0m \u001b[0;34m=\u001b[0m \u001b[0mlib\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mmap_infer\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mvalues\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mf\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mconvert\u001b[0m\u001b[0;34m=\u001b[0m\u001b[0mconvert_dtype\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0m\u001b[1;32m 4214\u001b[0m \u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m 4215\u001b[0m \u001b[0;32mif\u001b[0m \u001b[0mlen\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mmapped\u001b[0m\u001b[0;34m)\u001b[0m \u001b[0;32mand\u001b[0m \u001b[0misinstance\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mmapped\u001b[0m\u001b[0;34m[\u001b[0m\u001b[0;36m0\u001b[0m\u001b[0;34m]\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mSeries\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m:\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n", + "\u001b[0;32mpandas/_libs/lib.pyx\u001b[0m in \u001b[0;36mpandas._libs.lib.map_infer\u001b[0;34m()\u001b[0m\n", + "\u001b[0;32m/var/folders/js/_vkhp5md1h30xkynyqkbw15c0000gn/T/ipykernel_11316/4240321943.py\u001b[0m in \u001b[0;36m\u001b[0;34m(s)\u001b[0m\n\u001b[0;32m----> 1\u001b[0;31m \u001b[0mx\u001b[0m\u001b[0;34m[\u001b[0m\u001b[0;34m'dt'\u001b[0m\u001b[0;34m]\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mapply\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0;32mlambda\u001b[0m \u001b[0ms\u001b[0m\u001b[0;34m:\u001b[0m \u001b[0mdatetime\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mdatetime\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mutcfromtimestamp\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0ms\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0m", + "\u001b[0;31mTypeError\u001b[0m: an integer is required (got type Timestamp)" + ] + } + ], + "source": [ + "x['dt'].apply(lambda s: datetime.datetime.utcfromtimestamp(s))" + ] + }, + { + "cell_type": "code", + "execution_count": 17, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "Timestamp('2018-12-01 00:00:00')" + ] + }, + "execution_count": 17, + "metadata": {}, + "output_type": "execute_result" + } + ], + "source": [ + "x.iloc[0,0]" + ] + }, + { + "cell_type": "markdown", + "metadata": {}, + "source": [ + "## run backtest with a grid of values" + ] + }, + { + "cell_type": "code", + "execution_count": 19, + "metadata": {}, + "outputs": [ + { + "ename": "AttributeError", + "evalue": "Can't pickle local object 'initalize_data..CustomData'", + "output_type": "error", + "traceback": [ + "\u001b[0;31m---------------------------------------------------------------------------\u001b[0m", + "\u001b[0;31mAttributeError\u001b[0m Traceback (most recent call last)", + "\u001b[0;32m/var/folders/js/_vkhp5md1h30xkynyqkbw15c0000gn/T/ipykernel_11316/2990413032.py\u001b[0m in \u001b[0;36m\u001b[0;34m\u001b[0m\n\u001b[1;32m 7\u001b[0m \u001b[0mplot\u001b[0m\u001b[0;34m=\u001b[0m\u001b[0;32mFalse\u001b[0m\u001b[0;34m,\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m 8\u001b[0m \u001b[0mverbose\u001b[0m\u001b[0;34m=\u001b[0m\u001b[0;32mFalse\u001b[0m\u001b[0;34m,\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0;32m----> 9\u001b[0;31m \u001b[0mmax_cpus\u001b[0m\u001b[0;34m=\u001b[0m\u001b[0;36m3\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0m\u001b[1;32m 10\u001b[0m )\n", + "\u001b[0;32m~/hawksight/fastquant/venv/lib/python3.7/site-packages/fastquant/backtest/backtest.py\u001b[0m in \u001b[0;36mbacktest\u001b[0;34m(strategy, data, commission, init_cash, plot, fractional, slippage, single_position, verbose, sort_by, sentiments, strats, return_history, return_plot, channel, symbol, max_cpus, allow_short, short_max, figsize, multi_line_indicators, data_class, data_kwargs, plot_kwargs, fig, **kwargs)\u001b[0m\n\u001b[1;32m 214\u001b[0m \u001b[0;31m# clock the start of the process\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m 215\u001b[0m \u001b[0mtstart\u001b[0m \u001b[0;34m=\u001b[0m \u001b[0mtime\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mtime\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0;32m--> 216\u001b[0;31m \u001b[0mstratruns\u001b[0m \u001b[0;34m=\u001b[0m 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"\u001b[0;32m~/.pyenv/versions/3.7.7/lib/python3.7/multiprocessing/pool.py\u001b[0m in \u001b[0;36mnext\u001b[0;34m(self, timeout)\u001b[0m\n\u001b[1;32m 746\u001b[0m \u001b[0;32mif\u001b[0m \u001b[0msuccess\u001b[0m\u001b[0;34m:\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m 747\u001b[0m \u001b[0;32mreturn\u001b[0m \u001b[0mvalue\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0;32m--> 748\u001b[0;31m \u001b[0;32mraise\u001b[0m \u001b[0mvalue\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0m\u001b[1;32m 749\u001b[0m \u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m 750\u001b[0m \u001b[0m__next__\u001b[0m \u001b[0;34m=\u001b[0m \u001b[0mnext\u001b[0m \u001b[0;31m# XXX\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n", + "\u001b[0;32m~/.pyenv/versions/3.7.7/lib/python3.7/multiprocessing/pool.py\u001b[0m in \u001b[0;36m_handle_tasks\u001b[0;34m(taskqueue, put, outqueue, pool, cache)\u001b[0m\n\u001b[1;32m 429\u001b[0m \u001b[0;32mbreak\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m 430\u001b[0m \u001b[0;32mtry\u001b[0m\u001b[0;34m:\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0;32m--> 431\u001b[0;31m \u001b[0mput\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mtask\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0m\u001b[1;32m 432\u001b[0m \u001b[0;32mexcept\u001b[0m \u001b[0mException\u001b[0m \u001b[0;32mas\u001b[0m \u001b[0me\u001b[0m\u001b[0;34m:\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m 433\u001b[0m \u001b[0mjob\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0midx\u001b[0m \u001b[0;34m=\u001b[0m \u001b[0mtask\u001b[0m\u001b[0;34m[\u001b[0m\u001b[0;34m:\u001b[0m\u001b[0;36m2\u001b[0m\u001b[0;34m]\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n", + "\u001b[0;32m~/.pyenv/versions/3.7.7/lib/python3.7/multiprocessing/connection.py\u001b[0m in \u001b[0;36msend\u001b[0;34m(self, obj)\u001b[0m\n\u001b[1;32m 204\u001b[0m \u001b[0mself\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0m_check_closed\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m 205\u001b[0m \u001b[0mself\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0m_check_writable\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0;32m--> 206\u001b[0;31m \u001b[0mself\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0m_send_bytes\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0m_ForkingPickler\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mdumps\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mobj\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0m\u001b[1;32m 207\u001b[0m \u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m 208\u001b[0m \u001b[0;32mdef\u001b[0m \u001b[0mrecv_bytes\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mself\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mmaxlength\u001b[0m\u001b[0;34m=\u001b[0m\u001b[0;32mNone\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m:\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n", + "\u001b[0;32m~/.pyenv/versions/3.7.7/lib/python3.7/multiprocessing/reduction.py\u001b[0m in \u001b[0;36mdumps\u001b[0;34m(cls, obj, protocol)\u001b[0m\n\u001b[1;32m 49\u001b[0m \u001b[0;32mdef\u001b[0m \u001b[0mdumps\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mcls\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mobj\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mprotocol\u001b[0m\u001b[0;34m=\u001b[0m\u001b[0;32mNone\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m:\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m 50\u001b[0m \u001b[0mbuf\u001b[0m \u001b[0;34m=\u001b[0m \u001b[0mio\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mBytesIO\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0;32m---> 51\u001b[0;31m \u001b[0mcls\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mbuf\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mprotocol\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mdump\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mobj\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0m\u001b[1;32m 52\u001b[0m \u001b[0;32mreturn\u001b[0m \u001b[0mbuf\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mgetbuffer\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m 53\u001b[0m \u001b[0;34m\u001b[0m\u001b[0m\n", + "\u001b[0;31mAttributeError\u001b[0m: Can't pickle local object 'initalize_data..CustomData'" + ] + } + ], + "source": [ + "from fastquant import backtest\n", + "\n", + "results = backtest('smac', \n", + " crypto, \n", + " fast_period=[7,14], \n", + " slow_period=[30,45],\n", + " plot=False,\n", + " verbose=False,\n", + " max_cpus=3\n", + " )" + ] + }, + { + "cell_type": "code", + "execution_count": 5, + "metadata": { + "scrolled": true + }, + "outputs": [ + { + "data": { + "text/html": [ + "
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strat_idinit_cashbuy_propsell_propcommissionexecution_typechannelsymbolfast_periodslow_periodrtotravgrnormrnorm100sharperatiopnlfinal_value
03100000110.0075closeNoneNone7750.9490140.0023970.82927282.9272290.987367158316.23258316.234050
114100000110.0075closeNoneNone28600.9315040.0023520.80900280.9002050.986999153832.42253832.420400
27100000110.0075closeNoneNone14750.8309750.0020980.69689869.6898470.984563129555.54229555.539175
311100000110.0075closeNoneNone21750.7822430.0019750.64508364.5083230.983142118637.07218637.072700
415100000110.0075closeNoneNone28750.7695740.0019430.63187463.1874260.982741115884.74215884.739100
\n", + "
" + ], + "text/plain": [ + " strat_id init_cash buy_prop sell_prop commission execution_type \\\n", + "0 3 100000 1 1 0.0075 close \n", + "1 14 100000 1 1 0.0075 close \n", + "2 7 100000 1 1 0.0075 close \n", + "3 11 100000 1 1 0.0075 close \n", + "4 15 100000 1 1 0.0075 close \n", + "\n", + " channel symbol fast_period slow_period rtot ravg rnorm \\\n", + "0 None None 7 75 0.949014 0.002397 0.829272 \n", + "1 None None 28 60 0.931504 0.002352 0.809002 \n", + "2 None None 14 75 0.830975 0.002098 0.696898 \n", + "3 None None 21 75 0.782243 0.001975 0.645083 \n", + "4 None None 28 75 0.769574 0.001943 0.631874 \n", + "\n", + " rnorm100 sharperatio pnl final_value \n", + "0 82.927229 0.987367 158316.23 258316.234050 \n", + "1 80.900205 0.986999 153832.42 253832.420400 \n", + "2 69.689847 0.984563 129555.54 229555.539175 \n", + "3 64.508323 0.983142 118637.07 218637.072700 \n", + "4 63.187426 0.982741 115884.74 215884.739100 " + ] + }, + "execution_count": 5, + "metadata": {}, + "output_type": "execute_result" + } + ], + "source": [ + "results.head()" + ] + }, + { + "cell_type": "markdown", + "metadata": {}, + "source": [ + "That's a 258% maximum profit using only SMAC because bitcoin was bullish all time long!" + ] + }, + { + "cell_type": "code", + "execution_count": 6, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "(7, 75)" + ] + }, + "execution_count": 6, + "metadata": {}, + "output_type": "execute_result" + } + ], + "source": [ + "#get best parameters on top row \n", + "fast_best, slow_best = results.iloc[0][[\"fast_period\",\"slow_period\"]]\n", + "fast_best, slow_best" + ] + }, + { + "cell_type": "markdown", + "metadata": {}, + "source": [ + "## run backtest using optimum values" + ] + }, + { + "cell_type": "code", + "execution_count": 7, + "metadata": {}, + "outputs": [], + "source": [ + "import matplotlib as pl\n", + "pl.style.use(\"default\")\n", + "pl.rcParams[\"figure.figsize\"] = (9,5)" + ] + }, + { + "cell_type": "code", + "execution_count": 8, + "metadata": {}, + "outputs": [ + { + "name": "stdout", + "output_type": "stream", + "text": [ + "===Global level arguments===\n", + "init_cash : 100000\n", + "buy_prop : 1\n", + "sell_prop : 1\n", + "commission : 0.0075\n", + "===Strategy level arguments===\n", + "fast_period : 7\n", + "slow_period : 75\n", + "Final Portfolio Value: 258316.23405000006\n", + "Final PnL: 158316.23\n", + "Time used (seconds): 0.10248279571533203\n", + "Optimal parameters: {'init_cash': 100000, 'buy_prop': 1, 'sell_prop': 1, 'commission': 0.0075, 'execution_type': 'close', 'channel': None, 'symbol': None, 'fast_period': 7, 'slow_period': 75}\n", + "Optimal metrics: {'rtot': 0.9490143617322465, 'ravg': 0.002396500913465269, 'rnorm': 0.8292722866407841, 'rnorm100': 82.92722866407841, 'sharperatio': 0.9873670567519415, 'pnl': 158316.23, 'final_value': 258316.23405000006}\n" + ] + }, + { + "data": { + "application/javascript": [ + "/* Put everything inside the global mpl namespace */\n", + "window.mpl = {};\n", + "\n", + "\n", + "mpl.get_websocket_type = function() {\n", + " if (typeof(WebSocket) !== 'undefined') {\n", + " return WebSocket;\n", + " } else if (typeof(MozWebSocket) !== 'undefined') {\n", + " return MozWebSocket;\n", + " } else {\n", + " alert('Your browser does not have WebSocket support. ' +\n", + " 'Please try Chrome, Safari or Firefox ≥ 6. ' +\n", + " 'Firefox 4 and 5 are also supported but you ' +\n", + " 'have to enable WebSockets in about:config.');\n", + " };\n", + "}\n", + "\n", + "mpl.figure = function(figure_id, websocket, ondownload, parent_element) {\n", + " this.id = figure_id;\n", + "\n", + " this.ws = websocket;\n", + "\n", + " this.supports_binary = (this.ws.binaryType != undefined);\n", + "\n", + " if (!this.supports_binary) {\n", + " var warnings = document.getElementById(\"mpl-warnings\");\n", + " if (warnings) {\n", + " warnings.style.display = 'block';\n", + " warnings.textContent = (\n", + " \"This browser does not support binary websocket messages. \" +\n", + " \"Performance may be slow.\");\n", + " }\n", + " }\n", + "\n", + " this.imageObj = new Image();\n", + "\n", + " this.context = undefined;\n", + " this.message = undefined;\n", + " this.canvas = undefined;\n", + " this.rubberband_canvas = undefined;\n", + " this.rubberband_context = undefined;\n", + " this.format_dropdown = undefined;\n", + "\n", + " this.image_mode = 'full';\n", + "\n", + " this.root = $('
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