adjusted to the new finance-python api

notebooks/Example 3 - Multi Weight Gap Comparison.ipynb

@@ -44,7 +44,7 @@
     "batch = 0\n",
     "horizon = map_freq(freq)\n",
     "universe = Universe(\"custom\", ['zz800'])\n",
-    "data_source = 'postgres+psycopg2://postgres:A12345678!@10.63.6.220/alpha'\n",
+    "data_source = 'postgres+psycopg2://postgres:we083826@localhost/alpha'\n",
     "benchmark_code = 905\n",
     "method = 'tv'\n",
     "target_vol = 0.05\n",
@@ -269,9 +269,9 @@
    "outputs": [],
    "source": [
     "def create_report(ret_df, windows):\n",
-    "    sharp_calc = MovingSharp(windows)\n",
-    "    drawdown_calc = MovingMaxDrawdown(windows)\n",
-    "    max_drawdown_calc = MovingMaxDrawdown(len(ret_df))\n",
+    "    sharp_calc = MovingSharp(windows, x='ret', y='riskFree')\n",
+    "    drawdown_calc = MovingMaxDrawdown(windows, x='ret')\n",
+    "    max_drawdown_calc = MovingMaxDrawdown(len(ret_df), x='ret')\n",
     "\n",
     "    res_df = pd.DataFrame(columns=['daily_return', 'cum_ret', 'sharp', 'drawdown', 'max_drawn', 'leverage'])\n",
     "    total_returns = 0.\n",
@@ -285,8 +285,8 @@
     "\n",
     "        res_df.loc[date, 'daily_return'] = ret\n",
     "        res_df.loc[date, 'cum_ret'] = total_returns\n",
-    "        res_df.loc[date, 'drawdown'] = drawdown_calc.result()[0]\n",
-    "        res_df.loc[date, 'max_drawn'] = max_drawdown_calc.result()[0]\n",
+    "        res_df.loc[date, 'drawdown'] = drawdown_calc.result()\n",
+    "        res_df.loc[date, 'max_drawn'] = max_drawdown_calc.result()\n",
     "        res_df.loc[date, 'leverage'] = ret_df.loc[date, 'leverage']\n",
     "\n",
     "        if i < 5:\n",
@@ -328,13 +328,6 @@
     "        alpha_logger.info(f\"target_vol: {target_vol:.4f} finished\")"
    ]
   },
-  {
-   "cell_type": "code",
-   "execution_count": null,
-   "metadata": {},
-   "outputs": [],
-   "source": []
-  },
   {
    "cell_type": "code",
    "execution_count": null,
@@ -349,18 +342,6 @@
    "language": "python",
    "name": "python3"
   },
-  "language_info": {
-   "codemirror_mode": {
-    "name": "ipython",
-    "version": 3
-   },
-   "file_extension": ".py",
-   "mimetype": "text/x-python",
-   "name": "python",
-   "nbconvert_exporter": "python",
-   "pygments_lexer": "ipython3",
-   "version": "3.6.4"
-  },
   "varInspector": {
    "cols": {
     "lenName": 16,