{ "cells": [ { "cell_type": "code", "execution_count": 1, "metadata": { "ExecuteTime": { "end_time": "2018-08-12T19:48:37.892654Z", "start_time": "2018-08-12T19:48:37.436435Z" }, "scrolled": false }, "outputs": [ { "data": { "text/html": [ "" ], "text/vnd.plotly.v1+html": [ "" ] }, "metadata": {}, "output_type": "display_data" }, { "data": { "text/html": [ "\n", "\n" ], "text/plain": [ "" ] }, "metadata": {}, "output_type": "display_data" } ], "source": [ "%run retropy.ipynb" ] }, { "cell_type": "code", "execution_count": 2, "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "Fetching 601@TASE = IL-Bonds from TASE .. DONE\n", "Fetching 602@TASE = TA-GovtBonds from TASE .. DONE\n", "Fetching 603@TASE = TA-CorpBonds from TASE .. DONE\n", "Fetching 604@TASE = TA-Tips from TASE .. DONE\n", "Fetching 605@TASE = TA-GovtTips from TASE .. DONE\n", "Fetching 606@TASE = TA-CorpTips from TASE .. DONE\n", "Fetching 707@TASE = TA-CorpBond20 from TASE .. DONE\n", "Fetching 708@TASE = TA-CorpBond40 from TASE .. DONE\n", "Fetching 709@TASE = TA-CorpBond60 from TASE .. DONE\n", "Fetching 720@TASE = TA-CorpBond60ILS from TASE .. DONE\n", "Fetching 739@TASE = TA-CorpBondUsd from TASE .. DONE\n", "Fetching AGG from AV .. DONE\n", "Fetching MFBFX = cb from AV .. DONE\n", "Fetching VFITX = gb from AV .. DONE\n", "Fetching VBMFX = gcb from AV .. DONE\n", "start dropped: 708@TASE = TA-CorpBond40, 709@TASE = TA-CorpBond60, 720@TASE = TA-CorpBond60ILS, 739@TASE = TA-CorpBondUsd\n", "trimmed |start| data from 1998-01-02 [MFBFX = cb, VFITX = gb, +3 more] to 2007-02-01 [707@TASE = TA-CorpBond20]\n", "trimmed |end| data from 2019-01-29 [601@TASE = IL-Bonds, 602@TASE = TA-GovtBonds, +8 more] to 2019-01-25 [MFBFX = cb, VFITX = gb, +3 more]\n" ] }, { "data": { "application/vnd.plotly.v1+json": { "config": { "linkText": "Export to plot.ly", "plotlyServerURL": "https://plot.ly", "showLink": true }, "data": [ { "connectgaps": false, "mode": "lines+markers+text", "name": "IL-Bonds", "text": [ "IL-Bonds" ], "textposition": "middle right", "type": "scatter", "uid": "55256f9f-366e-477f-97a7-69630f3419b6", "x": [ 1.4416939185179698 ], "y": [ 4.489494857138454 ] }, { "connectgaps": false, "mode": "lines+markers+text", "name": "TA-GovtBonds", "text": [ "TA-GovtBonds" ], "textposition": "middle right", "type": "scatter", "uid": "c20bbd2f-3a60-421d-897d-070f3d15527d", "x": [ 1.4992272968376197 ], "y": [ 4.440215858401908 ] }, { "connectgaps": false, "mode": "lines+markers+text", "name": "TA-CorpBonds", "text": [ "TA-CorpBonds" ], "textposition": "middle right", "type": "scatter", "uid": "a55cf5d3-af2c-4111-b423-2207df78f7f2", "x": [ 2.7787956799048565 ], "y": [ 4.686351804294442 ] }, { "connectgaps": false, "mode": "lines+markers+text", "name": "TA-Tips", "text": [ "TA-Tips" ], "textposition": "middle right", "type": "scatter", "uid": "736fdec7-4ceb-457a-acbb-6f1d5b5fec4a", "x": [ 2.6986503396967056 ], "y": [ 4.935714354281195 ] }, { "connectgaps": false, "mode": "lines+markers+text", "name": "TA-GovtTips", "text": [ "TA-GovtTips" ], "textposition": "middle right", "type": "scatter", "uid": "1ec66ffa-94c2-4f88-b5b2-1051ba50b69d", "x": [ 3.2159159510825726 ], "y": [ 4.846203526298698 ] }, { "connectgaps": false, "mode": "lines+markers+text", "name": "TA-CorpTips", "text": [ "TA-CorpTips" ], "textposition": "middle right", "type": "scatter", "uid": "ac84581b-e26d-44c5-a8e3-c52ad9e8287c", "x": [ 3.8491780775683586 ], "y": [ 5.117298879181775 ] }, { "connectgaps": false, "mode": "lines+markers+text", "name": "TA-CorpBond20", "text": [ "TA-CorpBond20" ], "textposition": "middle right", "type": "scatter", "uid": "ca392402-4827-4ec5-b4c7-ef647167da76", "x": [ 2.9348837213490713 ], "y": [ 4.589935014467028 ] }, { "connectgaps": false, "mode": "lines+markers+text", "name": "AGG", "text": [ "AGG" ], "textposition": "middle right", "type": "scatter", "uid": "753f76ce-0a9a-4f72-8861-4aca1dc56088", "x": [ 1.7107425309414264 ], "y": [ 3.796376776812238 ] }, { "connectgaps": false, "mode": "lines+markers+text", "name": "cb", "text": [ "cb" ], "textposition": "middle right", "type": "scatter", "uid": "52074732-3af0-4da1-8c97-d78a0a2736a1", "x": [ 3.0594275317628608 ], "y": [ 4.984032297254659 ] }, { "connectgaps": false, "mode": "lines+markers+text", "name": "gb", "text": [ "gb" ], "textposition": "middle right", "type": "scatter", "uid": "120e0702-a172-49ce-8e39-8aa2338910df", "x": [ 2.3780477478703177 ], "y": [ 3.8658009329246568 ] }, { "connectgaps": false, "mode": "lines+markers+text", "name": "gcb", "text": [ "gcb" ], "textposition": "middle right", "type": "scatter", "uid": "ec2c055c-47e8-4899-993d-ba9f70090aff", "x": [ 1.6416995406390105 ], "y": [ 3.8005024317133485 ] } ], "layout": { "hovermode": "closest", "margin": { "b": 30, "l": 30, "pad": 0, "r": 30, "t": 30 }, "showlegend": false, "title": "TR cagr <==> ulcer", "xaxis": { "rangemode": "tozero", "title": "ulcer" }, "yaxis": { "autorange": true, "rangemode": "tozero", "title": "cagr" } } }, "text/html": [ "
" ], "text/vnd.plotly.v1+html": [ "
" ] }, "metadata": {}, "output_type": "display_data" } ], "source": [ "all = get(ta_bonds + ta_corpBonds + ['AGG', cb, gb, gcb], start=2008, trim=True, mode=\"TR\", cache=False)\n", "_ta35, _taMakam, _taBonds = trimBy([ta35, taMakam, taBonds], all)\n", "\n", "showRiskReturn(*all)" ] }, { "cell_type": "code", "execution_count": null, "metadata": { "ExecuteTime": { "end_time": "2018-08-12T09:40:38.816617Z", "start_time": "2018-08-12T09:39:20.972097Z" } }, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "TASE-bonds.ipynb file age is 11 seconds old, auto saving current notebook ..\n", "save requested, sleeping to ensure execution ..\n", "done\n" ] } ], "source": [ "# be sure to save before you publish\n", "# when done, you will get a public link to an HTML file with the results\n", "publish()" ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [] } ], "metadata": { "kernelspec": { "display_name": "Python 3", "language": "python", "name": "python3" }, "language_info": { "codemirror_mode": { "name": "ipython", "version": 3 }, "file_extension": ".py", "mimetype": "text/x-python", "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", "version": "3.6.7" }, "varInspector": { "cols": { "lenName": 16, "lenType": 16, "lenVar": 40 }, "kernels_config": { "python": { "delete_cmd_postfix": "", "delete_cmd_prefix": "del ", "library": "var_list.py", "varRefreshCmd": "print(var_dic_list())" }, "r": { "delete_cmd_postfix": ") ", "delete_cmd_prefix": "rm(", "library": "var_list.r", "varRefreshCmd": "cat(var_dic_list()) " } }, "types_to_exclude": [ "module", "function", "builtin_function_or_method", "instance", "_Feature" ], "window_display": false } }, "nbformat": 4, "nbformat_minor": 2 }