Advanced Explore market data.ΒΆ

[1]:

from mypo import Loader
from mypo.sampler import Sampler

[2]:

loader = Loader()
loader.get('VOO', expense_ratio=0.0003)
loader.get('EDV', expense_ratio=0.0007)
market = loader.get_market()
market = market.head(200)

[3]:

sampler = Sampler(market, samples=100)

Only 100 samples in chain.
Multiprocess sampling (3 chains in 3 jobs)
NUTS: [lower_triangular_chol, mu, prior_mu]
100.00% [3300/3300 03:47<00:00 Sampling 3 chains, 0 divergences] 
Sampling 3 chains for 1_000 tune and 100 draw iterations (3_000 + 300 draws total) took 233 seconds.

Original market data

[4]:

market.get_rate_of_change().hist(bins=20)
(1.0 + market.get_rate_of_change()).cumprod().plot()


[4]:

<AxesSubplot:xlabel='Date'>
../_images/tutorial_advanced_explore_market_data_5_1.png
../_images/tutorial_advanced_explore_market_data_5_2.png

Generated market data

[5]:

samples = sampler.sample(samples=262, seed=1)
samples.hist(bins=20)
(1.0 + samples).cumprod().plot()

[5]:

<AxesSubplot:>
../_images/tutorial_advanced_explore_market_data_7_1.png
../_images/tutorial_advanced_explore_market_data_7_2.png 
[6]:

samples = sampler.sample(samples=262, seed=2)
samples.hist(bins=20)
(1.0 + samples).cumprod().plot()

[6]:

<AxesSubplot:>
../_images/tutorial_advanced_explore_market_data_8_1.png
../_images/tutorial_advanced_explore_market_data_8_2.png 
[7]:

samples = sampler.sample(samples=262, seed=3)
samples.hist(bins=20)
(1.0 + samples).cumprod().plot()

[7]:

<AxesSubplot:>
../_images/tutorial_advanced_explore_market_data_9_1.png
../_images/tutorial_advanced_explore_market_data_9_2.png 
[8]:

samples = sampler.sample(samples=262, seed=4)
samples.hist(bins=20)
(1.0 + samples).cumprod().plot()


[8]:

<AxesSubplot:>
../_images/tutorial_advanced_explore_market_data_10_1.png
../_images/tutorial_advanced_explore_market_data_10_2.png 
[9]:

samples = sampler.sample(samples=262, seed=5)
samples.hist(bins=20)
(1.0 + samples).cumprod().plot()

[9]:

<AxesSubplot:>
../_images/tutorial_advanced_explore_market_data_11_1.png
../_images/tutorial_advanced_explore_market_data_11_2.png 
[10]:

samples = sampler.sample(samples=262, seed=6)
samples.hist(bins=20)
(1.0 + samples).cumprod().plot()

[10]:

<AxesSubplot:>
../_images/tutorial_advanced_explore_market_data_12_1.png
../_images/tutorial_advanced_explore_market_data_12_2.png 
[11]:

samples = sampler.sample(samples=262, seed=7)
samples.hist(bins=20)
(1.0 + samples).cumprod().plot()

[11]:

<AxesSubplot:>
../_images/tutorial_advanced_explore_market_data_13_1.png
../_images/tutorial_advanced_explore_market_data_13_2.png 
[12]:

samples = sampler.sample(samples=262, seed=8)
samples.hist(bins=20)
(1.0 + samples).cumprod().plot()

[12]:

<AxesSubplot:>
../_images/tutorial_advanced_explore_market_data_14_1.png
../_images/tutorial_advanced_explore_market_data_14_2.png 
[13]:

samples = sampler.sample(samples=262, seed=9)
samples.hist(bins=20)
(1.0 + samples).cumprod().plot()

[13]:

<AxesSubplot:>
../_images/tutorial_advanced_explore_market_data_15_1.png
../_images/tutorial_advanced_explore_market_data_15_2.png 
[14]:

samples = sampler.sample(samples=262, seed=10)
samples.hist(bins=20)
(1.0 + samples).cumprod().plot()

[14]:

<AxesSubplot:>
../_images/tutorial_advanced_explore_market_data_16_1.png
../_images/tutorial_advanced_explore_market_data_16_2.png 
[ ]:
Optimize the portfolio. Ticker selections