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import pandas as pd | |
from json_loader import * | |
import re | |
def calCulateReturn(pnl,cap): | |
try: | |
fc=float(cap) | |
fp=float(pnl) | |
except ValueError: | |
return 0 | |
if(not re.search('\d',str(pnl)) or not re.search('\d',str(cap))): | |
return 0 | |
elif (fc==0 or fp==0): | |
return 0 | |
else: | |
return 100*float(pnl)/float(cap) | |
def agg_df(pnlDf,capDf): | |
returnsColumns=[c+' Returns' for c in capDf.columns] | |
capDf.columns=[c+' Capital' for c in capDf.columns] | |
pnlDf.columns=[c+' PnL' for c in pnlDf.columns] | |
result = pd.concat([capDf, pnlDf], axis=1, join="inner") | |
for r in returnsColumns: | |
stratName=r.split(' Returns')[0]; | |
capColumnName=stratName+' Capital' | |
pnlColumnName=stratName+' PnL' | |
result[r]=result.apply(lambda x:calCulateReturn(x[pnlColumnName],x[capColumnName]),axis=1) | |
return result | |