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import streamlit as st
import pandas as pd
import numpy as np
import optuna
import plotly.express as px
import requests
import io
st.title("Portfolio weights calculator")
help_string = "NOTA: Para su informaci贸n los datos utilizados se extrajeron de GOOGLEFINANCE."
api_url = "https://www.alphavantage.co/query?function=TIME_SERIES_DAILY&apikey=QVQGE7YPO68S403J&datatype=csv"
symbols = ['AMZN', 'MELI', 'ETSY']
option = st.selectbox("Selecciona la fuente de datos:", ("API Alpha Vantage", "Subir archivo propio", "Usar archivo predeterminado"))
if option == "API Alpha Vantage":
for symbol in symbols:
st.subheader(symbol)
response = requests.get(f"{api_url}&symbol={symbol}")
if response.status_code == 200:
data = pd.read_csv(io.BytesIO(response.content))
st.write(f"Datos de la acci贸n {symbol}:")
st.write(data.head())
else:
st.write(f"Error al obtener los datos de la acci贸n {symbol}. C贸digo de estado:", response.status_code)
elif option == "Subir archivo propio":
uploaded_file = st.file_uploader("Sube aqu铆 tu archivo de excel", type=[".xls", ".xlsx", ".csv"], help=help_string)
if uploaded_file is not None:
# Cargar y procesar el archivo subido
if file_name[-3:] == "csv":
df = pd.read_csv(uploaded_file)
else:
df = pd.read_excel(uploaded_file)
# Resto del procesamiento del archivo ...
elif option == "Usar archivo predeterminado":
uploaded_file = "STOCKS - Hoja 1.csv" # Opcional: proporciona la ruta al archivo predeterminado
# Cargar y procesar el archivo predeterminado
# Resto del procesamiento del archivo ...
if uploaded_file is not None:
if file_name[-3:] == "csv":
df = pd.read_csv(uploaded_file)
else:
df = pd.read_excel(uploaded_file)
df = df.drop(0, axis=0)
df = df.drop("Unnamed: 2", axis=1).drop("Unnamed: 4", axis=1).rename({"Unnamed: 0": "Date"}, axis=1)
df['Date'] = pd.to_datetime(df['Date'], format="%d/%m/%Y %H:%M:%S")
stocks = list(df.columns)[-3:]
stocks_rets = []
for i in stocks:
stocks_rets.append(i+"_ret")
df[i] = df[i].astype(float)
df[i+"_ret"] = (df[i] - df[i].shift(1)) / df[i].shift(1)
st.write(df[["Date"] + stocks_rets])
fig = px.line(df, x=df.Date, y=stocks, labels={'value': 'Value', 'variable': 'Series'}, title='Time Series Plot')
fig.update_layout(xaxis_title='Date', yaxis_title='Value')
st.plotly_chart(fig)
ret_list = df[stocks_rets].mean().to_numpy().reshape(-1, 1)
cov_matrix = df[stocks_rets].cov().to_numpy()
optim_choice = st.selectbox("Elige la forma de optomizar :", ("max returns", "min variance", "max returns - variance"))
def portfolio_variance(weights, covariance_matrix):
return np.dot(weights.T, np.dot(covariance_matrix, weights))
def portfolio_returns(weights, expected_returns):
return np.dot(weights.T, expected_returns)
if optim_choice == "max returns":
def objective(trial):
w1 = trial.suggest_uniform('w1', 0, 1)
w2 = trial.suggest_uniform('w2', 0, 1)
w3 = 1 - w1 - w2
weights = np.array([w1, w2, w3]).reshape(-1, 1)
return np.dot(weights.T, ret_list)
study = optuna.create_study(direction="maximize")
study.optimize(objective, n_trials=100, show_progress_bar=True)
elif optim_choice == "min variance":
def objective(trial):
w1 = trial.suggest_uniform('w1', 0, 1)
w2 = trial.suggest_uniform('w2', 0, 1)
w3 = 1 - w1 - w2
weights = np.array([w1, w2, w3]).reshape(-1, 1)
return np.dot(weights.T, np.dot(cov_matrix, weights))
study = optuna.create_study(direction="minimize")
study.optimize(objective, n_trials=100, show_progress_bar=True)
else:
def objective(trial):
w1 = trial.suggest_uniform('w1', 0, 1)
w2 = trial.suggest_uniform('w2', 0, 1)
w3 = 1 - w1 - w2
weights = np.array([w1, w2, w3]).reshape(-1, 1)
return np.dot(weights.T, ret_list) - np.dot(weights.T, np.dot(cov_matrix, weights))
study = optuna.create_study(direction="maximize")
study.optimize(objective, n_trials=100, show_progress_bar=True)
w1 = study.best_params['w1']
w2 = study.best_params['w2']
w3 = 1- w1 - w2
weights = np.array([w1, w2, w3]).reshape(-1, 1)
yearly_returns = (1 + np.dot(weights.T, ret_list)[0, 0]) ** 252 - 1
yearly_variance = np.dot(weights.T, np.dot(cov_matrix, weights))[0, 0] * 252
st.write(f"Los pesos son: :green[{stocks[0]} -> {w1:,.4f}], :green[{stocks[1]} -> {w2:,.4f}], :green[{stocks[2]} -> {w3:,.4f}]")
st.write(f"El retorno anualizado del portafolio es: :green[{yearly_returns:,.4f}]")
st.write(f"La varianza anualizado del portafolio es: :green[{yearly_variance:,.4f}]")
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