hmm_market_behavior_analyze_catalyst.py

def analyze(context, perf):
    sns.set()

    # Summary output
    print("Total return: " + str(perf.algorithm_period_return[-1]))
    print("Sortino coef: " + str(perf.sortino[-1]))
    print("Max drawdown: " + str(np.min(perf.max_drawdown[-1])))
    print("alpha: " + str(perf.alpha[-1]))
    print("beta: " + str(perf.beta[-1]))

    f = plt.figure(figsize = (7.2, 7.2))

    # Plot return
    ax1 = f.add_subplot(211)
    ax1.plot(perf.algorithm_period_return, 'blue')
    ax1.plot(perf.benchmark_period_return, 'red')
    ax1.legend()
    ax1.set_title("Returns")
    ax1.set_xlabel('Time')
    ax1.set_ylabel('Value')

    # Plot state
    ax2 = f.add_subplot(212, sharex = ax1)
    ax2.plot(perf.state, 'grey')
    ax2.set_title("State")
    ax2.set_xlabel('Time')
    ax2.set_ylabel('Value')

    plt.tight_layout()
    plt.show()