/// <summary>
/// Generate the annual returns plot using the python libraries.
/// </summary>
public override string Render()
{
var backtestReturns = ResultsUtil.EquityPoints(_backtest);
var liveReturns = ResultsUtil.EquityPoints(_live);
var backtestTime = backtestReturns.Keys.ToList();
var backtestStrategy = backtestReturns.Values.ToList();
var liveTime = liveReturns.Keys.ToList();
var liveStrategy = liveReturns.Values.ToList();
var base64 = "";
using (Py.GIL())
{
var backtestList = new PyList();
var liveList = new PyList();
// We need to set the datetime index first before we resample
//var backtestSeries = Pandas.Series(backtestStrategy.ToPython());
var backtestSeries = new Series <DateTime, double>(backtestTime, backtestStrategy);
// Get the annual returns for the strategy
// ResampleEquivalence works similarly to Pandas' DataFrame.resample(...) method
// Here we transform the series to resample to the year's start, then we get the aggregate return from the year.
// Pandas equivalent:
//
// df.pct_change().resample('AS').sum().mul(100)
var backtestAnnualReturns = backtestSeries.PercentChange().ResampleEquivalence(date => new DateTime(date.Year, 1, 1), agg => agg.Sum() * 100);
// We need to set the datetime index first before we resample
var liveSeries = new Series <DateTime, double>(liveTime, liveStrategy);
// Get the annual returns for the live strategy.
// Same as above, this is equivalent to:
//
// df.pct_change().resample('AS').sum().mul(100)
var liveAnnualReturns = liveSeries.PercentChange().ResampleEquivalence(date => new DateTime(date.Year, 1, 1), agg => agg.Sum() * 100);
// Select only the year number and pass it to the plotting library
backtestList.Append(backtestAnnualReturns.Keys.Select(x => x.Year).ToList().ToPython());
backtestList.Append(backtestAnnualReturns.Values.ToList().ToPython());
liveList.Append(liveAnnualReturns.Keys.Select(x => x.Year).ToList().ToPython());
liveList.Append(liveAnnualReturns.Values.ToList().ToPython());
base64 = Charting.GetAnnualReturns(backtestList, liveList);
}
return(base64);
}
