How to use the finmarketpy.economics.seasonality.Seasonality function in finmarketpy

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github cuemacro / finmarketpy / finmarketpy / backtest / tradeanalysis.py View on Github external
def run_day_of_month_analysis(self, trading_model, resample_freq='B'):
        from finmarketpy.economics.seasonality import Seasonality

        logger = LoggerManager().getLogger(__name__)

        calculations = Calculations()
        seas = Seasonality()
        trading_model.construct_strategy()
        pnl = trading_model.strategy_pnl()

        # get seasonality by day of the month
        pnl = pnl.resample('B').mean()
        rets = calculations.calculate_returns(pnl)

        bus_day = seas.bus_day_of_month_seasonality(rets, add_average=True, resample_freq=resample_freq)

        # get seasonality by month
        pnl = pnl.resample('BM').mean()
        rets = calculations.calculate_returns(pnl)
        month = seas.monthly_seasonality(rets)

        logger.info("About to plot seasonality...")
        style = Style()