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Generating the Bayesian Forecast Cone Graph in Research (plus a bonus!)

If you've used pyfolio tear sheets then you've already seen the cumulative return graph with a forecast cone. Unfortunately, the forecast cone generated is not very good. That's the whole reason behind the Bayesian tear sheet, after all! But, the Bayesian tear sheet's forecast cone is, well... terrible. You can't see anything!

I searched for a solution but couldn't find one, so I looked through the source on github and made it work in research. I also found a bootstrap multistrike cone that isn't used in the tear sheets as a bonus.

Hopefully someone will pick up what I have revealed here and show how to customize the charts. There are additional charts and options as well.

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backtest used to generate graph above

Clone Algorithm
Total Returns
Max Drawdown
Benchmark Returns
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
from quantopian.algorithm import attach_pipeline, pipeline_output  
from quantopian.pipeline import Pipeline  
from quantopian.pipeline import CustomFactor  
from import USEquityPricing  
from import morningstar 
import numpy as np
from collections import defaultdict
class momentum_factor_1(CustomFactor):    
   inputs = [USEquityPricing.close]   
   window_length = 20  
   def compute(self, today, assets, out, close):      
     out[:] = close[-1]/close[0]      
class momentum_factor_2(CustomFactor):    
   inputs = [USEquityPricing.close]   
   window_length = 60  
   def compute(self, today, assets, out, close):      
     out[:] = close[-1]/close[0]   
class momentum_factor_3(CustomFactor):    
   inputs = [USEquityPricing.close]   
   window_length = 125  
   def compute(self, today, assets, out, close):      
     out[:] = close[-1]/close[0]  
class momentum_factor_4(CustomFactor):    
   inputs = [USEquityPricing.close]   
   window_length = 252  
   def compute(self, today, assets, out, close):      
     out[:] = close[-1]/close[0]  
class market_cap(CustomFactor):    
   inputs = [USEquityPricing.close, morningstar.valuation.shares_outstanding]   
   window_length = 1  
   def compute(self, today, assets, out, close, shares):      
     out[:] = close[-1] * shares[-1]        
class efficiency_ratio(CustomFactor):    
   inputs = [USEquityPricing.close, USEquityPricing.high, USEquityPricing.low]   
   window_length = 252
   def compute(self, today, assets, out, close, high, low):
       lb = self.window_length
       e_r = np.zeros(len(assets), dtype=np.float64)
       e_r=abs(close[-1]-close[0]) /c  
       out[:] = e_r
def initialize(context):  
    set_commission(commission.PerShare(cost=0.005, min_trade_cost=1.00))
    schedule_function(func=monthly_rebalance, date_rule=date_rules.month_start(days_offset=5), time_rule=time_rules.market_open(), half_days=True)  
    schedule_function(func=daily_rebalance, date_rule=date_rules.every_day(), time_rule=time_rules.market_close(hours=1))
    context.acc_leverage = 1.00 =10
    context.profit_taking_factor = 0.01
    context.stop_pct = 0.75
    context.stop_price = defaultdict(lambda:0)
    pipe = Pipeline()  
    attach_pipeline(pipe, 'ranked_stocks')  
    factor1 = momentum_factor_1()  
    pipe.add(factor1, 'factor_1')   
    factor2 = momentum_factor_2()  
    pipe.add(factor2, 'factor_2')  
    factor3 = momentum_factor_3()  
    pipe.add(factor3, 'factor_3')  
    factor4 = momentum_factor_4()  
    pipe.add(factor4, 'factor_4') 
    pipe.add(factor5, 'factor_5')
    mkt_screen = market_cap()    
    stocks = 
    factor_5_filter = factor5 > 0.031
    total_filter = (stocks& factor_5_filter)
    factor1_rank = factor1.rank(mask=total_filter, ascending=False)  
    pipe.add(factor1_rank, 'f1_rank')  
    factor2_rank = factor2.rank(mask=total_filter, ascending=False)  
    pipe.add(factor2_rank, 'f2_rank')  
    factor3_rank = factor3.rank(mask=total_filter, ascending=False)   
    pipe.add(factor3_rank, 'f3_rank')  
    factor4_rank = factor4.rank(mask=total_filter, ascending=False)  
    pipe.add(factor4_rank, 'f4_rank')  
    combo_raw = (factor1_rank+factor2_rank+factor3_rank+factor4_rank)/4  
    pipe.add(combo_raw, 'combo_raw')   
    pipe.add(combo_raw.rank(mask=total_filter), 'combo_rank')       
def before_trading_start(context, data):  
    context.output = pipeline_output('ranked_stocks')  
    # Only consider stocks with a positive efficiency rating
    ranked_stocks = context.output[context.output.factor_5 > 0]
    # We are interested in the top 10 stocks ranked by combo_rank
    context.stock_factors = ranked_stocks.sort(['combo_rank'], ascending=True).iloc[]  
    context.stock_list = context.stock_factors.index   

def daily_rebalance(context, data):

    for stock in context.portfolio.positions:
        if data.can_trade(stock):
            # Set/update stop price
            price = data.current(stock, 'price')
            context.stop_price[stock] = max(context.stop_price[stock], context.stop_pct * price)
            # Check stop price, sell if price is below it
            if price < context.stop_price[stock]:
                order_target(stock, 0)
                context.stop_price[stock] = 0
    # Increase our position in stocks that are performing better than their target and reset the target
    takes = 0
    for stock in context.portfolio.positions:
        if data.can_trade(stock) and data.current(stock, 'close') > context.profit_target[stock]:
            context.profit_target[stock] = data.current(stock, 'close')*1.25
            profit_taking_amount = context.portfolio.positions[stock].amount * context.profit_taking_factor
            takes += 1
            order_target(stock, profit_taking_amount) 
    # Log the 10 stocks we are interested in
    print "Long List""\n" + str(context.stock_factors.sort(['combo_rank'], ascending=True).head(
    # Record leverage and number of positions held
    record(leverage=context.account.leverage, positions=len(context.portfolio.positions), t=takes)  
def monthly_rebalance(context,data):
    # used to calculate order weights
    positions = set()
    for stock in context.stock_list:
    for stock in context.portfolio.positions:
    weight = context.acc_leverage / len(context.stock_list)    
    for stock in context.stock_list:  
        if stock in security_lists.leveraged_etf_list.current_securities(get_datetime()):
        if context.stock_factors.factor_1[stock] > 1:
            order_target_percent(stock, weight)  
            context.profit_target[stock] = data.current(stock, 'close')*1.25
    for stock in context.portfolio.positions:  
        if data.can_trade(stock) not in context.stock_list or context.stock_factors.factor_1[stock]<=1:  
            order_target(stock, 0)
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