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Miron edited this page May 13, 2022 · 44 revisions 
>>> import atf as at

For more tabular data use head() and tail() methods.
Number of rows or no number for 5 rows at beginning or end.

>>> at.assets_close.head(15)

Time on Binance testserver

It's important to sync your computer clock if you get an API error

>>> atf.servertime 
Timestamp('2022-05-12 11:48:20.183000')

Balance

>>> at.balance
  asset             free      locked
0   BNB    1000.00000000  0.00000000
1   BTC       1.00000000  0.00000000
2  BUSD   10000.00000000  0.00000000
3   ETH     100.00000000  0.00000000
4   LTC     500.00000000  0.00000000
5   TRX  500000.00000000  0.00000000
6  USDT   10000.00000000  0.00000000
7   XRP   50000.00000000  0.00000000

Circulating Supply

>>> at.circulating_supply 
         Circ. Supply
BTCUSDT      19037643
LTCUSDT      70266694
TRXUSDT   98189195103
XRPUSDT   48343101197
BNBUSDT     163276975
ETHUSDT     120743491

Daily Close Prices

>>> at.assets_close
              BTCUSDT   ETHUSDT  BNBUSDT  LTCUSDT  TRXUSDT  XRPUSDT
Date
2022-05-04 39695.8000 2940.6700 402.6000 106.4000   0.0863   0.6461
2022-05-05 36551.0400 2747.9300 378.5000  96.9000   0.0745   0.5983
2022-05-06 35844.5400 2655.3300 157.0700  95.6000   0.0817   0.5813
2022-05-07 35472.3900 2637.3300 365.5000  94.5000   0.0835   0.5818
2022-05-08 34035.0000 2519.5100 356.0000  94.0000   0.0880   0.5662
2022-05-09 30092.4300 2227.2500 296.4000  76.0000   0.0727   0.4865
2022-05-10 31017.1000 2786.6700 319.2000  78.7000   0.0730   0.4864
2022-05-11 29098.2900 2000.0000 271.6000  92.2000   0.0730   0.4880
2022-05-12 28402.0900 1950.1700 270.0000  62.9000   0.0717   0.4890

Total Market Capitalization of Portfolio

>>> at.marketcap_summary
            Marketcap Sum.
Date
2022-05-04   1223701122273
2022-05-05   1132492189754
2022-05-06   1071493736674
2022-05-07   1096392897415
2022-05-08   1052899888456
2022-05-09    926210662696
2022-05-10   1015292671876
2022-05-11    877031735368
2022-05-12    842851890375

Daily Market Capitalization of all coins on testnet

>>> at.marketcap 
                BNBUSDT       BTCUSDT       ETHUSDT     LTCUSDT     TRXUSDT      XRPUSDT
Date
2022-05-04  65735310135  755714468999  355066761678  7476376241  8473727537  31234477683
2022-05-05  61800335037  695845650798  331794661223  6808842648  7319022602  28923677446
2022-05-06  25645914463  682395556019  320613813957  6717495946  8019111564  28101844725
2022-05-07  59677734362  675310697176  318440431119  6640202583  8197815899  28126016276
2022-05-08  58126603100  647946179505  304214433009  6605069236  8635739709  27371863897
2022-05-09  48395295390  572888939342  268925940329  5340268744  7141300159  23518918732
2022-05-10  52118010420  590492476695  336472264064  5529988817  7165847458  23514084422
2022-05-11  44346026410  553962856930  241486982000  6478589186  7165847458  23591433384
2022-05-12  43954161670  542404151983  235470333843  6458914512  7187449081  18979501529

Price Weighted Index by Weights

Self Rebalancing

>>> atf.weights_pwi
            BTCUSDT  ETHUSDT  BNBUSDT  XRPUSDT  TRXUSDT  LTCUSDT
Date
2022-05-04   0.9200   0.0682   0.0093   0.0000   0.0000   0.0025
2022-05-05   0.9189   0.0691   0.0095   0.0000   0.0000   0.0024
2022-05-06   0.9249   0.0685   0.0041   0.0000   0.0000   0.0025
2022-05-07   0.9197   0.0684   0.0095   0.0000   0.0000   0.0025
2022-05-08   0.9197   0.0681   0.0096   0.0000   0.0000   0.0025
2022-05-09   0.9205   0.0681   0.0091   0.0000   0.0000   0.0023
2022-05-10   0.9069   0.0815   0.0093   0.0000   0.0000   0.0023
2022-05-11   0.9249   0.0636   0.0086   0.0000   0.0000   0.0029
2022-05-12   0.9272   0.0622   0.0086   0.0000   0.0000   0.0020

Equal Weighted Index by Weights

sell winners, buy loosers

>>> at.weights_ewi
            BTCUSDT  ETHUSDT  BNBUSDT  XRPUSDT  TRXUSDT  LTCUSDT
Date
2022-05-04   0.1667   0.1667   0.1667   0.1667   0.1667   0.1667
2022-05-05   0.1667   0.1667   0.1667   0.1667   0.1667   0.1667
2022-05-06   0.1667   0.1667   0.1667   0.1667   0.1667   0.1667
2022-05-07   0.1667   0.1667   0.1667   0.1667   0.1667   0.1667
2022-05-08   0.1667   0.1667   0.1667   0.1667   0.1667   0.1667
2022-05-09   0.1667   0.1667   0.1667   0.1667   0.1667   0.1667
2022-05-10   0.1667   0.1667   0.1667   0.1667   0.1667   0.1667
2022-05-11   0.1667   0.1667   0.1667   0.1667   0.1667   0.1667
2022-05-12   0.1667   0.1667   0.1667   0.1667   0.1667   0.1667
2022-05-13   0.1667   0.1667   0.1667   0.1667   0.1667   0.1667

Capitalization Weighted Index by Weight

most economic - self-rebalancing
outperform against portfolio proportional to total MC
free float (total considered)

>>> at.weights_cwi
            BNBUSDT  BTCUSDT  ETHUSDT  LTCUSDT  TRXUSDT  XRPUSDT
Date
2022-05-04   0.0537   0.6176   0.2902   0.0061   0.0069   0.0255
2022-05-05   0.0546   0.6144   0.2930   0.0060   0.0065   0.0255
2022-05-06   0.0239   0.6369   0.2992   0.0063   0.0075   0.0262
2022-05-07   0.0544   0.6159   0.2904   0.0061   0.0075   0.0257
2022-05-08   0.0552   0.6154   0.2889   0.0063   0.0082   0.0260
2022-05-09   0.0523   0.6185   0.2904   0.0058   0.0077   0.0254
2022-05-10   0.0513   0.5816   0.3314   0.0054   0.0071   0.0232
2022-05-11   0.0506   0.6316   0.2753   0.0074   0.0082   0.0269
2022-05-12   0.0509   0.6404   0.2742   0.0052   0.0077   0.0216
2022-05-13   0.0509   0.6401   0.2744   0.0052   0.0077   0.0216

Normalized Assets, Price Weighted Index, Equal Weighted Index, Capitalization Weighted Index

>>> at.normalized
            BTCUSDT  ETHUSDT  BNBUSDT  XRPUSDT  TRXUSDT  LTCUSDT      PWI      EWI      CWI
Date
2022-05-04 100.0000 100.0000 100.0000 100.0000 100.0000 100.0000 100.0000 100.0000 100.0000
2022-05-05  92.0779  93.4457  94.0139  92.6018  86.3731  91.0714  92.1867  91.1844  92.2496
2022-05-06  90.2981  90.2968  39.0139  89.9706  94.6350  89.8496  89.8183  77.7453  85.7682
2022-05-07  89.3606  89.6847  90.7849  90.0480  96.7439  88.8158  89.3946  88.6123  86.7672
2022-05-08  85.7395  85.6781  88.4252  87.6335 101.9119  88.3459  85.7669  87.2263  83.2509
2022-05-09  75.8076  75.7395  73.6215  75.2979  84.2758  71.4286  75.7718  72.9224  72.5665
2022-05-10  78.1370  94.7631  79.2846  75.2825  84.5655  73.9662  79.2705  77.3778  78.9434
2022-05-11  73.3032  68.0117  67.4615  75.5301  84.5655  86.6541  72.9210  72.2780  66.7531
2022-05-12  73.1197  66.6369  66.7909  59.6966  77.9606  60.5263  72.5876  63.7451  65.5946
2022-05-13  73.7610  67.6679  67.1883  60.5324  77.9490  61.8421  73.2548  64.4386  66.2844

Annualized Risk and Return for Assets, PWI, EWI and CWI

>>> at.stats_index

Mean returns over testnet period

>>> at.mean_returns 
         Mean Returns
BTCUSDT       -0.0416
ETHUSDT       -0.0513
BNBUSDT       -0.0509
XRPUSDT       -0.0623
TRXUSDT       -0.0206
LTCUSDT       -0.0183

Optimal weights for tangency portfolio

>>> at.optimal_weights 
         Opt. Weights
BTCUSDT        0.0000
ETHUSDT        0.0000
BNBUSDT        1.0000
XRPUSDT        0.0000
TRXUSDT        0.0000
LTCUSDT        0.0000

Annualized covariance

>>> at.covar 
         BTCUSDT  ETHUSDT  BNBUSDT  LTCUSDT  TRXUSDT  XRPUSDT      TP
BTCUSDT   0.8077   1.8020   1.7050   0.8256   1.2483   0.7520  1.7050
ETHUSDT   1.8020   8.4996   5.3378  -1.4974   0.9944   0.5557  5.3378
BNBUSDT   1.7050   5.3378  80.1968  -0.0676  -1.4996   2.3488 80.1968
LTCUSDT   0.8256  -1.4974  -0.0676  10.0317   2.6699   1.1158 -0.0676
TRXUSDT   1.2483   0.9944  -1.4996   2.6699   3.3990   1.5177 -1.4996
XRPUSDT   0.7520   0.5557   2.3488   1.1158   1.5177   1.0857  2.3488
TP        1.7050   5.3378  80.1968  -0.0676  -1.4996   2.3488 80.1968

Daily returns, including tangency portfolio

>>> at.returns 
            BTCUSDT  ETHUSDT  BNBUSDT  LTCUSDT  TRXUSDT  XRPUSDT      TP
Date
2022-05-05  -0.0825  -0.0678  -0.0617  -0.0935  -0.1465  -0.0769 -0.0617
2022-05-06  -0.0195  -0.0343  -0.8795  -0.0135   0.0914  -0.0288 -0.8795
2022-05-07  -0.0104  -0.0068   0.8446  -0.0116   0.0220   0.0009  0.8446
2022-05-08  -0.0414  -0.0457  -0.0263  -0.0053   0.0520  -0.0272 -0.0263
2022-05-09  -0.1231  -0.1233  -0.1832  -0.2126  -0.1900  -0.1517 -0.1832
2022-05-10   0.0303   0.2241   0.0741   0.0349   0.0034  -0.0002  0.0741
2022-05-11  -0.0639  -0.3317  -0.1615   0.1583   0.0000   0.0033 -0.1615
2022-05-12  -0.0242  -0.0252  -0.0059  -0.3824  -0.0184   0.0020 -0.0059

Correlation matrix

>>> at.correlation
         BTCUSDT  ETHUSDT  BNBUSDT  LTCUSDT  TRXUSDT  XRPUSDT
BTCUSDT   1.0000   0.6878   0.2120   0.2887   0.7533   0.8035
ETHUSDT   0.6878   1.0000   0.2045  -0.1622   0.1850   0.1829
BNBUSDT   0.2120   0.2045   1.0000  -0.0037  -0.0909   0.2522
LTCUSDT   0.2887  -0.1622  -0.0037   1.0000   0.4572   0.3381
TRXUSDT   0.7533   0.1850  -0.0909   0.4572   1.0000   0.7900
XRPUSDT   0.8035   0.1829   0.2522   0.3381   0.7900   1.0000

Return, Risk Sharpe Ratio, Variance, Systematic Variance, Unsystematic Variance, beta, CAPM, alpha

beta < 1 for non-cyclical / defensive assets

>>> at.stats 
          Return   Risk   Sharpe  Variance  Sys. Var.  Unsys. Var.    beta     CAPM    alpha
BTCUSDT -15.7346 0.8987 -17.5427    0.8077     1.7050      -0.8973  0.0213  -0.3535 -15.3811
ETHUSDT -18.7520 2.9154  -6.4427    8.4996     5.3378       3.1618  0.0666  -1.1728 -17.5792
BNBUSDT -18.0550 8.9553  -2.0196   80.1968    80.1968      -0.0000  1.0000 -18.0550   0.0000
LTCUSDT -23.9996 3.1673  -7.5871   10.0317    -0.0676      10.0993 -0.0008   0.0462 -24.0459
TRXUSDT  -9.0579 1.8436  -4.9299    3.3990    -1.4996       4.8986 -0.0187   0.3692  -9.4271
XRPUSDT -12.7195 1.0420 -12.2368    1.0857     2.3488      -1.2631  0.0293  -0.4987 -12.2208
TP      -18.0550 8.9553  -2.0196   80.1968    80.1968      -0.0000  1.0000 -18.0550   0.0000

Market Cap Portfolio, Risk/Return Systematic Variance, beta

>>> at.stats_mcap
          Return   Risk  Sys. Var.   beta
BTCUSDT -11.2965 0.9969     1.3046 0.5733
ETHUSDT -14.3269 2.8081     3.8973 1.7125
BNBUSDT -12.0600 8.4344     5.7513 2.5272
XRPUSDT -17.5663 1.8122     0.8785 0.3860
TRXUSDT  -8.8039 1.8071     1.0182 0.4474
LTCUSDT -18.8309 2.9208     0.1980 0.0870
MCAP    -13.9804 1.5086     2.2758 1.0000

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