feat: add CutWithdrawalsIfDrawdown (CWID) to cash flow strategies

Author: chilango74

main.py

@@ -17,7 +17,7 @@
     # abs_deviation=0.10,
     # rel_deviation=0.40
 )
-weights = [0.12, 0.21, 0.42, 0.25]
+weights = [0, 0, 1, 0]
 pf = ok.Portfolio(
     ['RGBITR.INDX', 'RUCBTRNS.INDX', 'MCFTR.INDX', 'GC.COMM'],
     weights=weights,
@@ -43,22 +43,35 @@
 # cf_strategy.amount = 10_000_000 * 0.05
 # cf_strategy.indexation = 0.09
 
+# Cut Whithdrawals if Drawdown CWID strategy
+cf_strategy = ok.CutWithdrawalsIfDrawdown(pf)
+
+cf_strategy.initial_investment = 10_000_000
+cf_strategy.frequency = "year"
+cf_strategy.amount = -10_000_000 * 0.05
+cf_strategy.indexation = 0.09
+cf_strategy.crash_threshold_reduction = [
+    (.10, .20),
+    (.20, .50),
+    (.40, 1),
+]
+
 # d = {
 #     "2015-06": -35_000_000,
 # }
 #
 # cf_strategy.time_series_dic = d
 # cf_strategy.time_series_discounted_values = False
 
-# VDS strategy
-cf_strategy = ok.VanguardDynamicSpending(pf)
-cf_strategy.initial_investment = 1_000_000
-cf_strategy.percentage = -0.08
-cf_strategy.indexation = 0.09
-# cf_strategy.min_max_annual_withdrawal = 10_000_000 / 5,  10_000_000 / 10 # 20%, 10%
-cf_strategy.floor_ceiling = -0.10, 0.20
-# cf_strategy.time_series_dic = d
-# cf_strategy.time_series_discounted_values = False
+# # VDS strategy
+# cf_strategy = ok.VanguardDynamicSpending(pf)
+# cf_strategy.initial_investment = 1_000_000
+# cf_strategy.percentage = -0.08
+# cf_strategy.indexation = 0.09
+# # cf_strategy.min_max_annual_withdrawal = 10_000_000 / 5,  10_000_000 / 10 # 20%, 10%
+# cf_strategy.floor_ceiling = -0.10, 0.20
+# # cf_strategy.time_series_dic = d
+# # cf_strategy.time_series_discounted_values = False
 
 pf.dcf.cashflow_parameters = cf_strategy  # assign the cash flow strategy to portfolio
 
@@ -74,14 +87,14 @@
 # #     period=15,
 # #     number=100
 # # )
-# print(pf.dcf.cashflow_parameters.time_series_dic)
+# print(pf.dcf.cashflow_parameters._crash_threshold_reduction_series)
 
 # wi = pf.dcf.wealth_index(discounting="pv", include_negative_values=False)
 cf = pf.dcf.cash_flow_ts(discounting="pv", remove_if_wealth_index_negative=True).resample("Y").sum()
 # wi = pf.dcf.monte_carlo_wealth(discounting="fv", include_negative_values=False)
 # cf = pf.dcf.monte_carlo_cash_flow(discounting="pv", remove_if_wealth_index_negative=True)
-print(cf)
-print(cf.pct_change())
+# print(cf)
+# print(cf.pct_change())
 # wi.plot(
 #     # kind="bar",
 #     legend=False
@@ -90,12 +103,12 @@
 # plt.show()
 #
 # df = cf[0]
-# df[df != 0].plot(
-#     kind="bar",
-#     legend=False
-# )
-# plt.yscale('linear')  # linear or log
-# plt.show()
+cf.plot(
+    kind="bar",
+    legend=False
+)
+plt.yscale('linear')  # linear or log
+plt.show()
 
 # print(df[df != 0])