ml4t-diagnostic 0.1.0a1__py3-none-any.whl

ml4t/diagnostic/visualization/portfolio/risk_plots.py

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+"""Risk visualization functions for portfolio analysis.
+
+Interactive Plotly plots for risk metrics including:
+- Rolling volatility
+- Rolling Sharpe ratio
+- Rolling beta
+"""
+
+from __future__ import annotations
+
+from typing import TYPE_CHECKING
+
+import plotly.graph_objects as go
+
+from ml4t.diagnostic.visualization.core import (
+    create_base_figure,
+    get_theme_config,
+    validate_theme,
+)
+
+if TYPE_CHECKING:
+    from ml4t.diagnostic.evaluation.portfolio_analysis import (
+        PortfolioAnalysis,
+        RollingMetricsResult,
+    )
+
+
+def plot_rolling_volatility(
+    analysis: PortfolioAnalysis | None = None,
+    rolling_result: RollingMetricsResult | None = None,
+    windows: list[int] | None = None,
+    theme: str | None = None,
+    height: int = 400,
+    width: int | None = None,
+) -> go.Figure:
+    """Plot rolling annualized volatility.
+
+    Parameters
+    ----------
+    analysis : PortfolioAnalysis, optional
+        Portfolio analysis object (used if rolling_result not provided)
+    rolling_result : RollingMetricsResult, optional
+        Pre-computed rolling metrics
+    windows : list[int], optional
+        Rolling windows to plot. Default [21, 63, 252].
+    theme : str, optional
+        Plot theme
+    height : int, default 400
+        Figure height
+    width : int, optional
+        Figure width
+
+    Returns
+    -------
+    go.Figure
+        Interactive Plotly figure
+    """
+    theme = validate_theme(theme)
+    theme_config = get_theme_config(theme)
+
+    if windows is None:
+        windows = [21, 63, 252]
+
+    # Get rolling metrics
+    if rolling_result is None:
+        if analysis is None:
+            raise ValueError("Must provide either analysis or rolling_result")
+        rolling_result = analysis.compute_rolling_metrics(
+            windows=windows,
+            metrics=["volatility"],
+        )
+
+    fig = create_base_figure(
+        title="Rolling Volatility (Annualized)",
+        xaxis_title="Date",
+        yaxis_title="Volatility",
+        height=height,
+        width=width,
+        theme=theme,
+    )
+
+    dates = rolling_result.dates.to_list()
+
+    for i, window in enumerate(windows):
+        if window in rolling_result.volatility:
+            vol = rolling_result.volatility[window].to_numpy()
+            color = theme_config["colorway"][i % len(theme_config["colorway"])]
+
+            fig.add_trace(
+                go.Scatter(
+                    x=dates,
+                    y=vol,
+                    mode="lines",
+                    name=f"{window}d",
+                    line={"color": color, "width": 1.5},
+                    hovertemplate=f"{window}d Vol: %{{y:.2%}}<extra></extra>",
+                )
+            )
+
+    fig.update_layout(
+        legend={"yanchor": "top", "y": 0.99, "xanchor": "right", "x": 0.99},
+        hovermode="x unified",
+        yaxis={"tickformat": ".0%"},
+    )
+
+    return fig
+
+
+def plot_rolling_sharpe(
+    analysis: PortfolioAnalysis | None = None,
+    rolling_result: RollingMetricsResult | None = None,
+    windows: list[int] | None = None,
+    theme: str | None = None,
+    height: int = 400,
+    width: int | None = None,
+) -> go.Figure:
+    """Plot rolling Sharpe ratio.
+
+    Parameters
+    ----------
+    analysis : PortfolioAnalysis, optional
+        Portfolio analysis object (used if rolling_result not provided)
+    rolling_result : RollingMetricsResult, optional
+        Pre-computed rolling metrics
+    windows : list[int], optional
+        Rolling windows to plot. Default [63, 126, 252].
+    theme : str, optional
+        Plot theme
+    height : int, default 400
+        Figure height
+    width : int, optional
+        Figure width
+
+    Returns
+    -------
+    go.Figure
+        Interactive Plotly figure
+    """
+    theme = validate_theme(theme)
+    theme_config = get_theme_config(theme)
+
+    if windows is None:
+        windows = [63, 126, 252]
+
+    # Get rolling metrics
+    if rolling_result is None:
+        if analysis is None:
+            raise ValueError("Must provide either analysis or rolling_result")
+        rolling_result = analysis.compute_rolling_metrics(
+            windows=windows,
+            metrics=["sharpe"],
+        )
+
+    fig = create_base_figure(
+        title="Rolling Sharpe Ratio",
+        xaxis_title="Date",
+        yaxis_title="Sharpe Ratio",
+        height=height,
+        width=width,
+        theme=theme,
+    )
+
+    dates = rolling_result.dates.to_list()
+
+    for i, window in enumerate(windows):
+        if window in rolling_result.sharpe:
+            sharpe = rolling_result.sharpe[window].to_numpy()
+            color = theme_config["colorway"][i % len(theme_config["colorway"])]
+
+            fig.add_trace(
+                go.Scatter(
+                    x=dates,
+                    y=sharpe,
+                    mode="lines",
+                    name=f"{window}d",
+                    line={"color": color, "width": 1.5},
+                    hovertemplate=f"{window}d Sharpe: %{{y:.2f}}<extra></extra>",
+                )
+            )
+
+    # Add reference lines
+    fig.add_hline(y=0, line_dash="solid", line_color="gray", line_width=1)
+    fig.add_hline(
+        y=1,
+        line_dash="dash",
+        line_color="green",
+        line_width=1,
+        annotation_text="Good (1.0)",
+        annotation_position="right",
+    )
+    fig.add_hline(
+        y=2,
+        line_dash="dash",
+        line_color="darkgreen",
+        line_width=1,
+        annotation_text="Excellent (2.0)",
+        annotation_position="right",
+    )
+
+    fig.update_layout(
+        legend={"yanchor": "top", "y": 0.99, "xanchor": "left", "x": 0.01},
+        hovermode="x unified",
+    )
+
+    return fig
+
+
+def plot_rolling_beta(
+    analysis: PortfolioAnalysis | None = None,
+    rolling_result: RollingMetricsResult | None = None,
+    window: int = 126,
+    theme: str | None = None,
+    height: int = 400,
+    width: int | None = None,
+) -> go.Figure:
+    """Plot rolling beta vs benchmark.
+
+    Parameters
+    ----------
+    analysis : PortfolioAnalysis, optional
+        Portfolio analysis object (must have benchmark)
+    rolling_result : RollingMetricsResult, optional
+        Pre-computed rolling metrics
+    window : int, default 126
+        Rolling window size (6 months)
+    theme : str, optional
+        Plot theme
+    height : int, default 400
+        Figure height
+    width : int, optional
+        Figure width
+
+    Returns
+    -------
+    go.Figure
+        Interactive Plotly figure
+
+    Raises
+    ------
+    ValueError
+        If no benchmark data is available
+    """
+    theme = validate_theme(theme)
+    theme_config = get_theme_config(theme)
+
+    # Get rolling metrics
+    if rolling_result is None:
+        if analysis is None:
+            raise ValueError("Must provide either analysis or rolling_result")
+        if not analysis.has_benchmark:
+            raise ValueError("Benchmark data required for beta calculation")
+
+        rolling_result = analysis.compute_rolling_metrics(
+            windows=[window],
+            metrics=["beta"],
+        )
+
+    if not rolling_result.beta:
+        raise ValueError("No beta data available")
+
+    fig = create_base_figure(
+        title=f"Rolling Beta ({window}d)",
+        xaxis_title="Date",
+        yaxis_title="Beta",
+        height=height,
+        width=width,
+        theme=theme,
+    )
+
+    dates = rolling_result.dates.to_list()
+    beta = rolling_result.beta[window].to_numpy()
+
+    fig.add_trace(
+        go.Scatter(
+            x=dates,
+            y=beta,
+            mode="lines",
+            name="Beta",
+            line={"color": theme_config["colorway"][0], "width": 2},
+            fill="tozeroy",
+            fillcolor=f"rgba({int(theme_config['colorway'][0][1:3], 16)}, "
+            f"{int(theme_config['colorway'][0][3:5], 16)}, "
+            f"{int(theme_config['colorway'][0][5:7], 16)}, 0.2)",
+            hovertemplate="Date: %{x}<br>Beta: %{y:.2f}<extra></extra>",
+        )
+    )
+
+    # Reference lines
+    fig.add_hline(y=0, line_dash="solid", line_color="gray", line_width=1)
+    fig.add_hline(
+        y=1,
+        line_dash="dash",
+        line_color="orange",
+        line_width=1,
+        annotation_text="Market (1.0)",
+        annotation_position="right",
+    )
+
+    fig.update_layout(hovermode="x unified")
+
+    return fig