AnomalyLab 0.2.7__tar.gz → 0.2.8__tar.gz

{anomalylab-0.2.7 → anomalylab-0.2.8/AnomalyLab.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: AnomalyLab
-Version: 0.2.7
+Version: 0.2.8
 Summary: A Python package for empirical asset pricing analysis.
 Author: FinPhd
 Classifier: Programming Language :: Python :: 3

{anomalylab-0.2.7 → anomalylab-0.2.8}/AnomalyLab.egg-info/SOURCES.txt

@@ -23,6 +23,7 @@ anomalylab/datasets/transition_matrix.png
 anomalylab/empirical/__init__.py
 anomalylab/empirical/correlation.py
 anomalylab/empirical/empirical.py
+anomalylab/empirical/factor_return.py
 anomalylab/empirical/fm_regression.py
 anomalylab/empirical/persistence.py
 anomalylab/empirical/portfolio.py

{anomalylab-0.2.7/AnomalyLab.egg-info → anomalylab-0.2.8}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: AnomalyLab
-Version: 0.2.7
+Version: 0.2.8
 Summary: A Python package for empirical asset pricing analysis.
 Author: FinPhd
 Classifier: Programming Language :: Python :: 3

anomalylab-0.2.8/anomalylab/config.py

@@ -0,0 +1 @@
+DECIMAL = 2

{anomalylab-0.2.7 → anomalylab-0.2.8}/anomalylab/core/core.py

@@ -280,6 +280,7 @@ class Panel:
         factors_series: Optional[TimeSeries] = None,
         format: bool = False,
         decimal: Optional[int] = None,
+        factor_return: bool = False,
     ) -> tuple:
         return self.portfolio_analysis_processor(
             endog=endog, weight=weight, models=models, factors_series=factors_series
@@ -288,6 +289,7 @@ class Panel:
             core_g=core_g,
             format=format,
             decimal=decimal,
+            factor_return=factor_return,
         )
 
     def bivariate_analysis(
@@ -304,6 +306,7 @@ class Panel:
         format: bool = False,
         type: str = "dependent",
         decimal: Optional[int] = None,
+        factor_return: bool = False,
     ) -> tuple:
         return self.portfolio_analysis_processor(
             endog=endog, weight=weight, models=models, factors_series=factors_series
@@ -316,6 +319,7 @@ class Panel:
             format=format,
             type=type,
             decimal=decimal,
+            factor_return=factor_return,
         )
 
     def fm_reg(
@@ -348,8 +352,12 @@ class Panel:
             return_intermediate=return_intermediate,
         )
 
-    def format_excel(self, path: str) -> None:
-        self.format_preprocessor(path=path).process()
+    def format_excel(
+        self, path: str, align=True, line=True, convert_brackets=False
+    ) -> None:
+        self.format_preprocessor(path=path).process(
+            align=align, line=line, convert_brackets=convert_brackets
+        )
 
 
 if __name__ == "__main__":
@@ -402,7 +410,7 @@ if __name__ == "__main__":
         )
     )
     uni_ew, uni_vw = panel.univariate_analysis(
-        "return", "MktCap", "Illiq", 10, Models, time_series
+        "return", "MktCap", "Illiq", 10, Models, time_series, factor_return=True
     )
     pp(uni_ew)
     pp(uni_vw)
@@ -419,6 +427,7 @@ if __name__ == "__main__":
         True,
         False,
         "dependent",
+        factor_return=True,
     )
     pp(bi_ew)
     pp(bi_vw)

anomalylab-0.2.8/anomalylab/empirical/factor_return.py

@@ -0,0 +1,43 @@
+from pandas.core.frame import DataFrame
+
+from anomalylab.config import *
+from anomalylab.empirical.empirical import Empirical
+from anomalylab.empirical.portfolio import PortfolioAnalysis
+from anomalylab.structure import PanelData, TimeSeries
+from anomalylab.utils.imports import *
+from anomalylab.utils.utils import *
+
+if __name__ == "__main__":
+    from anomalylab.datasets import DataSet
+
+    df: DataFrame = DataSet.get_panel_data()
+    ts: DataFrame = DataSet.get_time_series_data()
+    Models: dict[str, list[str]] = {
+        "CAPM": ["MKT(3F)"],
+        "FF3": ["MKT(3F)", "SMB(3F)", "HML(3F)"],
+        "FF5": ["MKT(5F)", "SMB(5F)", "HML(5F)", "RMW(5F)", "CMA(5F)"],
+    }
+
+    panel: PanelData = PanelData(df=df, name="Stocks", classifications="industry")
+    time_series: TimeSeries = TimeSeries(df=ts, name="Factor Series")
+
+    portfolio = PortfolioAnalysis(
+        panel,
+        endog="return",
+        weight="MktCap",
+        # models=Models,
+        # factors_series=time_series,
+    )
+
+    group = portfolio.GroupN(["MktCap", "Illiq", "IdioVol"], [3, 3, 3])
+    pp(group)
+
+    # uni_ew, uni_vw = portfolio.univariate_analysis("Illiq", 10)
+    # pp(uni_ew)
+    # pp(uni_vw)
+
+    # bi_ew, bi_vw = portfolio.bivariate_analysis(
+    #     "Illiq", "IdioVol", 10, 10, True, False, "dependent"
+    # )
+    # pp(bi_ew)
+    # pp(bi_vw)

{anomalylab-0.2.7 → anomalylab-0.2.8}/anomalylab/empirical/fm_regression.py

@@ -4,7 +4,6 @@ from anomalylab.preprocess import OutlierHandler
 from anomalylab.structure import PanelData
 from anomalylab.utils.imports import *
 from anomalylab.utils.utils import *
-from anomalylab.utils.utils import RegModels, RegResult
 
 
 @dataclass

{anomalylab-0.2.7 → anomalylab-0.2.8}/anomalylab/empirical/portfolio.py

@@ -267,6 +267,7 @@ class PortfolioAnalysis(Empirical):
         core_g: int,
         format: bool = False,
         decimal: Optional[int] = None,
+        factor_return: bool = False,
     ) -> tuple:
         """Perform univariate analysis on the specified core variable.
 
@@ -332,6 +333,9 @@ class PortfolioAnalysis(Empirical):
             .reset_index(level=0, drop=True)
         )
 
+        if factor_return:
+            return ew_ret_d, vw_ret_d
+
         def generate_time_series_dict(series: Series) -> dict:
             """Generate a dictionary of time series data from the DataFrame.
 
@@ -422,6 +426,7 @@ class PortfolioAnalysis(Empirical):
         format: bool = False,
         type: str = "dependent",
         decimal: Optional[int] = None,
+        factor_return: bool = False,
     ) -> tuple:
         """Perform bivariate analysis on two specified variables.
 
@@ -519,6 +524,9 @@ class PortfolioAnalysis(Empirical):
             .reset_index(level=0, drop=True)
         )
 
+        if factor_return:
+            return ew_ret_d, vw_ret_d
+
         def generate_time_series_dict(df: pd.DataFrame) -> dict:
             """Generate a dictionary of time series data from the DataFrame.
 
@@ -677,19 +685,19 @@ if __name__ == "__main__":
         panel,
         endog="return",
         weight="MktCap",
-        # models=Models,
-        # factors_series=time_series,
+        models=Models,
+        factors_series=time_series,
     )
 
     group = portfolio.GroupN("Illiq", 10)
     pp(group)
 
-    uni_ew, uni_vw = portfolio.univariate_analysis("Illiq", 10)
+    uni_ew, uni_vw = portfolio.univariate_analysis("Illiq", 10, factor_return=False)
     pp(uni_ew)
     pp(uni_vw)
 
     bi_ew, bi_vw = portfolio.bivariate_analysis(
-        "Illiq", "IdioVol", 10, 10, True, False, "dependent"
+        "Illiq", "IdioVol", 10, 10, False, False, "dependent", factor_return=False
     )
     pp(bi_ew)
     pp(bi_vw)

{anomalylab-0.2.7 → anomalylab-0.2.8}/anomalylab/visualization/format.py

@@ -60,30 +60,66 @@ class FormatExcel:
             for cell in ws[max_row]:
                 cell.border = Border(bottom=thin)
 
+    def convert_brackets(self, direction="to_square"):
+        """Converts parentheses () to square brackets [] and vice versa in the Excel cells.
+
+        This method goes through all the cells in the workbook and:
+        - Converts () to [] if direction is 'to_square'.
+        - Converts [] to () if direction is 'to_round'.
+
+        Args:
+            direction (str): Direction of the bracket conversion.
+                            - 'to_square' for converting () to [].
+                            - 'to_round' for converting [] to ().
+                            Default is 'to_square'.
+        """
+        # Validate the direction parameter
+        if direction not in ["to_square", "to_round"]:
+            raise ValueError(
+                "Invalid direction. Choose either 'to_square' or 'to_round'."
+            )
+
+        for ws in self.wb.worksheets:
+            for row in ws.iter_rows(
+                min_row=1, max_row=ws.max_row, min_col=1, max_col=ws.max_column
+            ):
+                for cell in row:
+                    if isinstance(
+                        cell.value, str
+                    ):  # Check if the cell contains a string
+                        if direction == "to_square":
+                            cell.value = cell.value.replace("(", "[").replace(")", "]")
+                        elif direction == "to_round":
+                            cell.value = cell.value.replace("[", "(").replace("]", ")")
+
     def save(self):
         """Saves the currently loaded workbook to its file path."""
         self.wb.save(self.file_path)
 
-    def process(self):
+    def process(self, align=True, line=True, convert_brackets=False):
         """Processes and formats Excel files.
 
         - If the provided path is a directory, it formats all Excel files in that directory.
         - If the provided path is a file, it formats that specific Excel file.
         """
-        if os.path.isdir(self.path):
-            for file in glob(os.path.join(self.path, "*.xlsx")):
-                self.load_workbook(file)
+        files_to_process = (
+            glob(os.path.join(self.path, "*.xlsx"))
+            if os.path.isdir(self.path)
+            else [self.path]
+        )
+
+        for file in files_to_process:
+            self.load_workbook(file)
+            if align:
                 self.align()
+            if line:
                 self.line()
-                self.save()
-        else:
-            self.load_workbook(self.path)
-            self.align()
-            self.line()
+            if convert_brackets:
+                self.convert_brackets()
             self.save()
 
 
 if __name__ == "__main__":
     path = "..."
     excel_formatter = FormatExcel(path)
-    excel_formatter.process()
+    excel_formatter.process(convert_brackets=True)

{anomalylab-0.2.7 → anomalylab-0.2.8}/setup.py

@@ -2,7 +2,7 @@ from setuptools import find_packages, setup
 
 setup(
     name="AnomalyLab",
-    version="0.2.7",
+    version="0.2.8",
     author="FinPhd",
     # author_email="your.email@example.com",
     description="A Python package for empirical asset pricing analysis.",

anomalylab-0.2.7/anomalylab/config.py

@@ -1,11 +0,0 @@
-# CLASSIFICATIONS: list[str] = ["industry"]
-
-
-DECIMAL = 2
-
-
-# SIGNIFICANCE = {
-#     (0, 0.01): "***",
-#     (0.01, 0.05): "**",
-#     (0.05, 0.1): "*",
-# }