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paper_pictures_30Portfolios_comparison_ICML18.py
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#!/usr/bin/env python3
# -*- coding: utf-8 -*-
"""
Created on Fri Feb 2 20:17:54 2018
@author: jeremiasknoblauch
Description: Produce plots based on 30PF data (run: 'comparison')
"""
import numpy as np
from Evaluation_tool import EvaluationTool
from matplotlib import pyplot as plt
import csv
import datetime
import matplotlib
from matplotlib import rcParams
#ensure that we have type 1 fonts (for ICML publishing guidelines)
matplotlib.rcParams['pdf.fonttype'] = 42
matplotlib.rcParams['ps.fonttype'] = 42
baseline_working_directory = ("//Users//jeremiasknoblauch//Documents//OxWaSP//BOCPDMS//" +
"//Code//" +
"SpatialBOCD//Paper//30PortfolioData")
date_file = "portfolio_dates.csv"
results_file= "results_30PortfolioData_comparison.txt"
"""Read in the dates & results"""
myl = []
count = 0
with open(baseline_working_directory + "//" + date_file) as csvfile:
reader = csv.reader(csvfile)
for row in reader:
#Don't read in column header
if count > 0:
myl += row
count += 1
if count % 2500 == 0:
print(count)
"""Dates for the x-axis"""
dates = []
for e in myl:
dates.append(int(e))
"""Build the EvaluationTool from the results you have saved"""
result_path = baseline_working_directory
EvT = EvaluationTool()
EvT.build_EvaluationTool_via_results(result_path + "//" + results_file)
"""Using the dates, select your range and indices: select
03/07/1975 -- 31/12/2008, i.e. find indices that correspond"""
start_test = dates.index(19740703)
start_algo = dates.index(19750703)
stop = dates.index(20081231)
"""time period for which we want RLD"""
start_comparison = dates.index(19980102)
stop_comparison = stop
all_dates = []
for d in dates[start_comparison:stop-2]:
s = str(d)
all_dates.append(datetime.date(year=int(s[0:4]),
month=int(s[4:6]), day=int(s[6:8])))
"""indices of that time period"""
start_range = start_comparison - start_test
stop_range = stop_comparison - start_test
time_range = np.linspace(start_range, stop_range,
stop_range - start_range, dtype = int)
"""Create list of event times and labels"""
label_list, event_time_list= [],[]
number_labels = True
"""Color for the arrows"""
color_us = "orange"
color_they = "black"
arrow_color_list = []
"""helper function getting closest date in all_dates"""
def nearest(pivot):
return min(all_dates, key=lambda x: abs(x - pivot))
"""Get the CP dates"""
label_list.append("Asia Crisis")
#date: last quarter 98
event_time_list.append(nearest(datetime.date(1998, 9, 12)))
arrow_color_list.append(color_they)
label_list.append("DotCom bubble bursts")
#date: April, when inflation reports came in
event_time_list.append(nearest(datetime.date(2000, 4, 12)))
arrow_color_list.append(color_they)
label_list.append("OPEC cuts output by 4%, Japanese central bank starts QE")
#date: announcement of output cut
event_time_list.append(nearest(datetime.date(2001,3,19)))
arrow_color_list.append(color_us)
label_list.append("9/11")
#date: airplane day
event_time_list.append(nearest(datetime.date(2001, 9, 9)))
arrow_color_list.append(color_they)
label_list.append("Afghanistan war")
#date: Operation Enduring Freedom begins
event_time_list.append(nearest(datetime.date(2001, 10, 7)))
arrow_color_list.append(color_us)
label_list.append("2002 Crash")
#date: Crash of 2002, 23/7 lowest Dow Jones value
event_time_list.append(nearest(datetime.date(2002, 7, 23)))
arrow_color_list.append(color_us)
label_list.append("Bali bombing attack")
#date: day bomb went up
event_time_list.append(nearest(datetime.date(2002, 10,13)))
arrow_color_list.append(color_us)
label_list.append("Iraq war")
#date: start of invasion
event_time_list.append(nearest(datetime.date(2003,3,20)))
arrow_color_list.append(color_us)
label_list.append("Bush cuts")
#date: day regulation was passed
event_time_list.append(nearest(datetime.date(2003, 5, 23)))
arrow_color_list.append(color_they)
label_list.append("US Election")
#date: election day
event_time_list.append(nearest(datetime.date(2005,11,8)))
arrow_color_list.append(color_they)
label_list.append("Iran announces that it has successfully enriched Uranium")
#date: day of announcement
event_time_list.append(nearest(datetime.date(2006, 7, 5)))
arrow_color_list.append(color_us)
label_list.append("Northern Rock bank run")
#date: day of run
event_time_list.append(nearest(datetime.date(2007, 9, 14)))
arrow_color_list.append(color_they)
label_list.append("Lehman collapse")
#date: day when bankruptcy was declared
event_time_list.append(nearest(datetime.date(2008, 9, 15)))
arrow_color_list.append(color_they)
"""Get the CP label number"""
if number_labels:
label_list = []
for i in range(0, len(event_time_list)):
label_list.append(str(i+1))
"""Obtain the plot for RLD"""
fig, ax = plt.subplots(1, figsize=(20,5)) #20,5
fig.subplot.top : 0.5
_, myfig = EvT.plot_run_length_distr(buffer=50, show_MAP_CPs = False, mark_median = False,
mark_max = True, upper_limit = 285,
print_colorbar = False, #True
colorbar_location= None, #'bottom',
log_format = True, aspect_ratio = 'auto',
C1=700,C2=1,
time_range = np.linspace(start_comparison - start_test,
stop_comparison - start_test - 2,
stop_comparison-start_comparison-2, dtype=int),
start=(1998 + 1/365), stop = 2009,
all_dates = all_dates,
event_time_list=event_time_list,
label_list=label_list,
space_to_colorbar = 0.75, #0.6
arrow_colors= arrow_color_list,
xlab = "", #"Year"
ax = ax, figure = fig,
number_fontsize = 27, #14
xlab_fontsize =27, #14
ylab_fontsize = 27, #14
xticks_fontsize = 23, #12
yticks_fontsize = 23, #12
arrow_length = 30, #32
arrow_thickness = 4.0,
arrows_setleft_indices = [3],
arrows_setleft_by = [datetime.timedelta(days = 35)],
zero_distance = datetime.timedelta(days=0)
#ylabel_coords = [10, 150] #void
)
"""Save the plot as pdf"""
fig.savefig(baseline_working_directory + "//30portfolio_picture_comparison.pdf",
format = "pdf", dpi = 800)
fig.savefig(baseline_working_directory + "//30portfolio_picture_comparison.jpg",
format = "jpg", dpi = 800)