Fix portfolio metrics

[northern-64bit]

Description

Fixing the portfolio metrics calculations and fixing the metrics after the refactor.

How has this been tested?

Running the commands in jupyter notebook and the terminal

Checklist:

• Update our Hugo documentation following these guidelines.
• Update our tests following these guidelines.
• Make sure you are following our CONTRIBUTING guidelines.
• If a feature was added make sure to add it to the corresponding scripts file.

Others

• I have performed a self-review of my own code.
• I have commented my code, particularly in hard-to-understand areas.
• My code passes all the checks pylint, flake8, black, ... To speed up development you should run pre-commit install.
• New and existing unit tests pass locally with my changes. You can test this locally using pytest tests/....

[JerBouma]

The meaning of these results are confusing when you have no losing trades (e.g. a typical long-only portfolio). I'd suggest to notify the user that there is no losing trade (or gross loss) and that this calculations therefore will not be accurate. E.g. you can quite easily check if any return < 0.

2022 Jul 25, 05:59 (🦋) /portfolio/ $ metric profitfactor

Portfolio's profit factor
┏━━━━━┳━━━━━━━━━━━━━━━┓
┃     ┃ Profit Factor ┃
┡━━━━━╇━━━━━━━━━━━━━━━┩
│ mtd │ nan           │
├─────┼───────────────┤
│ qtd │ nan           │
├─────┼───────────────┤
│ ytd │ 0.064         │
├─────┼───────────────┤
│ 3m  │ inf           │
├─────┼───────────────┤
│ 6m  │ 0.064         │
├─────┼───────────────┤
│ 1y  │ 0.041         │
├─────┼───────────────┤
│ 3y  │ 0.167         │
├─────┼───────────────┤
│ 5y  │ 0.444         │
├─────┼───────────────┤
│ 10y │ 2.284         │
├─────┼───────────────┤
│ all │ 3.085         │
└─────┴───────────────┘

2022 Jul 25, 05:59 (🦋) /portfolio/ $ metric payoff

Portfolio's payoff ratio
┏━━━━━┳━━━━━━━━━━━━━━┓
┃     ┃ Payoff Ratio ┃
┡━━━━━╇━━━━━━━━━━━━━━┩
│ mtd │ 0.000        │
├─────┼──────────────┤
│ qtd │ 0.000        │
├─────┼──────────────┤
│ ytd │ 0.191        │
├─────┼──────────────┤
│ 3m  │ nan          │
├─────┼──────────────┤
│ 6m  │ 0.191        │
├─────┼──────────────┤
│ 1y  │ 0.162        │
├─────┼──────────────┤
│ 3y  │ 0.143        │
├─────┼──────────────┤
│ 5y  │ 0.311        │
├─────┼──────────────┤
│ 10y │ 0.731        │
├─────┼──────────────┤
│ all │ 0.796        │
└─────┴──────────────┘

[JerBouma]

The information ratio doesn't seem to work.

2022 Jul 25, 06:03 (🦋) /portfolio/ $ load Public_Equity_Orderbook.xlsx
 Preprocessing orderbook: ..........
      Loading price data: .
     Calculating returns: .


Portfolio: Public_Equity_Orderbook.xlsx
Risk Free Rate: 0

2022 Jul 25, 06:04 (🦋) /portfolio/ $ bench SPDR S&P 500 ETF Trust (SPY)

Benchmark: SPDR S&P 500 ETF Trust (SPY) (SPY)

2022 Jul 25, 06:04 (🦋) /portfolio/ $ metric information
Error: not enough values to unpack (expected 2, got 1)

Error: not enough values to unpack (expected 2, got 0)

2022 Jul 25, 06:04 (🦋) /portfolio/ $

[JerBouma]

If you fix linting, I am happy to approve :)

[JerBouma]

Let's go!