fixed bug in pnl

roboquant/__init__.py

@@ -1,4 +1,4 @@
-__version__ = "0.2.2"
+__version__ = "0.2.3"
 
 from roboquant import brokers
 from roboquant import feeds

roboquant/feeds/feed.py

@@ -32,27 +32,20 @@ def __background():
         thread.start()
         return channel
 
-    def plot(self, plt, *symbols: str, price_type: str = "DEFAULT", timeframe: Timeframe | None = None, **kwargs):
+    def plot(self, plt, symbol: str, price_type: str = "DEFAULT", timeframe: Timeframe | None = None, **kwargs):
         """Plot the prices of one or more symbols"""
         channel = self.play_background(timeframe)
-        result = {}
+        times = []
+        prices = []
         while evt := channel.get():
-            for symbol, price in evt.get_prices(price_type).items():
-                if symbols and symbol not in symbols:
-                    continue
-                if symbol not in result:
-                    result[symbol] = ([], [])
-                data = result[symbol]
-                data[0].append(evt.time)
-                data[1].append(price)
-
-        for symbol, data in result.items():
-            plt.plot(data[0], data[1], **kwargs)
-            if hasattr(plt, "set_title"):
-                # assume we are in a subplot
-                plt.set_title(symbol)
-            else:
-                plt.title(symbol)
-                plt.show()
-
-
+            price = evt.get_price(symbol, price_type)
+            if price is not None:
+                times.append(evt.time)
+                prices.append(price)
+
+        plt.plot(times, prices, **kwargs)
+        if hasattr(plt, "set_title"):
+            # assume we are in a subplot
+            plt.set_title(symbol)
+        else:
+            plt.title(symbol)

roboquant/journals/pnlmetric.py

@@ -60,7 +60,7 @@ def __get_max_drawdown(self, equity) -> float:
         return self.max_drawdown
 
     def __get_max_gain(self, equity) -> float:
-        self.min_equity = max(equity, self.min_equity)
+        self.min_equity = min(equity, self.min_equity)
         gain = equity / self.min_equity - 1.0
         self.max_gain = max(gain, self.max_gain)
         return self.max_gain

roboquant/strategies/features.py

@@ -154,7 +154,7 @@ def calc(self, evt):
 
 
 class FeatureStrategy(Strategy, ABC):
-    """Abstract base class for strategies based on one or mroe features"""
+    """Abstract base class for strategies based on one or more features"""
 
     def __init__(self, history: int, dtype="float32"):
         self._features_x = []

tests/samples/plotting.py

@@ -3,13 +3,27 @@
 import roboquant as rq
 
 if __name__ == "__main__":
-    # Plot historic data
-    feed = rq.feeds.YahooFeed("JPM", "IBM", "F", start_date="2000-01-01")
-    feed.plot(plt)
 
-    # Plot metrics
+    # Plot historic price data
+    feed = rq.feeds.YahooFeed("JPM", "IBM", "F", start_date="2010-01-01")
+    _, axs = plt.subplots(2, figsize=(10, 10))
+    feed.plot(axs[0], "JPM")
+    feed.plot(axs[1], "IBM")
+    plt.show()
+
+    # run a single back-test
     strategy = rq.strategies.EMACrossover()
     journal = rq.journals.MetricsJournal.pnl()
     rq.run(feed, strategy, journal=journal)
-    journal.plot(plt.subplot(), "pnl/equity", color="green")
+
+    # Plot the equity curve with some customization
+    journal.plot(plt, "pnl/equity", color="green", linestyle="--", linewidth=0.5)
+    plt.show()
+
+    # Plot all the recorded metrics
+    metric_names = journal.get_metric_names()
+    fig, axs = plt.subplots(3, 3, figsize=(15, 15))
+    axs = axs.flatten()
+    for ax, metric_name in zip(axs, metric_names):
+        journal.plot(ax, metric_name)
     plt.show()