/// <summary>
/// Generate the rolling portfolio beta to equities plot using the python libraries.
/// </summary>
public override string Render()
{
var backtestPoints = ResultsUtil.EquityPoints(_backtest);
var backtestBenchmarkPoints = ResultsUtil.BenchmarkPoints(_backtest);
var livePoints = ResultsUtil.EquityPoints(_live);
var liveBenchmarkPoints = ResultsUtil.BenchmarkPoints(_live);
var backtestSeries = new Series <DateTime, double>(backtestPoints);
var backtestBenchmarkSeries = new Series <DateTime, double>(backtestBenchmarkPoints);
var liveSeries = new Series <DateTime, double>(livePoints);
var liveBenchmarkSeries = new Series <DateTime, double>(liveBenchmarkPoints);
var base64 = "";
using (Py.GIL())
{
var backtestList = new PyList();
var liveList = new PyList();
var backtestRollingBetaSixMonths = Rolling.Beta(backtestSeries, backtestBenchmarkSeries, windowSize: 22 * 6);
var backtestRollingBetaTwelveMonths = Rolling.Beta(backtestSeries, backtestBenchmarkSeries, windowSize: 252);
backtestList.Append(backtestRollingBetaSixMonths.Keys.ToList().ToPython());
backtestList.Append(backtestRollingBetaSixMonths.Values.ToList().ToPython());
backtestList.Append(backtestRollingBetaTwelveMonths.Keys.ToList().ToPython());
backtestList.Append(backtestRollingBetaTwelveMonths.Values.ToList().ToPython());
var liveRollingBetaSixMonths = Rolling.Beta(liveSeries, liveBenchmarkSeries, windowSize: 22 * 6);
var liveRollingBetaTwelveMonths = Rolling.Beta(liveSeries, liveBenchmarkSeries, windowSize: 252);
liveList.Append(liveRollingBetaSixMonths.Keys.ToList().ToPython());
liveList.Append(liveRollingBetaSixMonths.Values.ToList().ToPython());
liveList.Append(liveRollingBetaTwelveMonths.Keys.ToList().ToPython());
liveList.Append(liveRollingBetaTwelveMonths.Values.ToList().ToPython());
base64 = Charting.GetRollingBeta(backtestList, liveList);
}
return(base64);
}
