# -*- coding: utf-8 -*-
"""
Created on Tue Dec 10 02:22:57 2019

@author: Pavan
"""

start_date                      = '2004-01-01'
end_date                        = '2018-01-15'
datasets_address                = "C:\\Users\\Pavan\\Valkyrie\\engine\\Datasets\\"
tickers_file_name               = 'Final ticker list.xlsx'
tickers_column_name             = 'Ticker'
variables_file_name             = 'Variable_list.xlsx'
variables_column_name           = 'Variable'
delay                           = 1
portfolio_all                   = True
other_assets                    = ['benchmark','rf_rate','Fama_French']
dollar_neutral                  = True
long_leverage                   = 0.5
short_leverage                  = 0.5
starting_value                  = 20000000.00
costs_threshold_bps             = 5
ADV_threshold_percentage        = 10
commissions_bps                 = 0.1


strategy_expression             = 'mean(-rank(Volume)*(gauss_filter(High,5)-gauss_filter(Open,5)),5)'


if __name__ =="__main__":
    from performance import metrics
    res=metrics()
    for key,value in res.items():
        if key not in ["CLASSIFICATION_DATA","FACTOR_RES"]:
            print("{:<40}{:^5}{:<20}".format(key," :\t", value))
            
    print("Classification Metrics : \n")
    print(res['CLASSIFICATION_DATA'],"\n")
    print("Factor Analysis : \n")
    print(res['FACTOR_RES'])


