openseries 1.2.2__py3-none-any.whl → 1.2.4__py3-none-any.whl

openseries/load_plotly.py

@@ -1,32 +1,22 @@
-"""
-Function to load plotly layout and configuration from local json file
-"""
+"""Function to load plotly layout and configuration from local json file."""
+from __future__ import annotations
+
 from json import load
 from os.path import abspath, dirname, join
-from typing import Union
+
+from openseries.types import PlotlyLayoutType
 
 
 def load_plotly_dict(
     responsive: bool = True,
-) -> tuple[
-    dict[
-        str,
-        Union[
-            str,
-            int,
-            float,
-            bool,
-            list[str],
-            dict[str, Union[str, int, float, bool, list[str]]],
-        ],
-    ],
-    dict[str, Union[str, float]],
-]:
-    """Function to load the plotly defaults
+) -> PlotlyLayoutType:
+    """
+    Load Plotly defaults.
 
     Parameters
     ----------
     responsive : bool
+        Flag whether to load as responsive
 
     Returns
     -------
@@ -36,9 +26,9 @@ def load_plotly_dict(
     layoutfile = join(abspath(project_root), "openseries", "plotly_layouts.json")
     logofile = join(abspath(project_root), "openseries", "plotly_captor_logo.json")
 
-    with open(layoutfile, "r", encoding="utf-8") as layout_file:
+    with open(layoutfile, encoding="utf-8") as layout_file:
         fig = load(layout_file)
-    with open(logofile, "r", encoding="utf-8") as logo_file:
+    with open(logofile, encoding="utf-8") as logo_file:
         logo = load(logo_file)
 
     fig["config"].update({"responsive": responsive})

openseries/risk.py

@@ -8,7 +8,8 @@ from __future__ import annotations
 
 import datetime as dt
 from math import ceil
-from typing import cast, Union
+from typing import Union, cast
+
 from numpy import (
     Inf,
     isnan,
@@ -26,13 +27,17 @@ from openseries.types import LiteralQuantileInterp
 
 
 def cvar_down_calc(
-    data: Union[DataFrame, Series, list[float]], level: float = 0.95
+    data: Union[DataFrame, Series, list[float]],
+    level: float = 0.95,
 ) -> float:
-    """https://www.investopedia.com/terms/c/conditional_value_at_risk.asp
+    """
+    Calculate downside Conditional Value at Risk (CVaR).
+
+    https://www.investopedia.com/terms/c/conditional_value_at_risk.asp.
 
     Parameters
     ----------
-    data: DataFrame | Series | list[float]
+    data: Union[DataFrame, Series, list[float]]
         The data to perform the calculation over
     level: float, default: 0.95
         The sought CVaR level
@@ -42,7 +47,6 @@ def cvar_down_calc(
     float
         Downside Conditional Value At Risk "CVaR"
     """
-
     if isinstance(data, DataFrame):
         clean = nan_to_num(data.iloc[:, 0])
     else:
@@ -57,13 +61,15 @@ def var_down_calc(
     level: float = 0.95,
     interpolation: LiteralQuantileInterp = "lower",
 ) -> float:
-    """Downside Value At Risk, "VaR". The equivalent of
-    percentile.inc([...], 1-level) over returns in MS Excel \n
-    https://www.investopedia.com/terms/v/var.asp
+    """
+    Calculate downside Value At Risk (VaR).
+
+    The equivalent of percentile.inc([...], 1-level) over returns in MS Excel
+    https://www.investopedia.com/terms/v/var.asp.
 
     Parameters
     ----------
-    data: DataFrame | Series | list[float]
+    data: Union[DataFrame, Series, list[float]]
         The data to perform the calculation over
     level: float, default: 0.95
         The sought VaR level
@@ -75,7 +81,6 @@ def var_down_calc(
     float
         Downside Value At Risk
     """
-
     if isinstance(data, DataFrame):
         clean = nan_to_num(data.iloc[:, 0])
     else:
@@ -85,7 +90,10 @@ def var_down_calc(
 
 
 def drawdown_series(prices: Union[DataFrame, Series]) -> Union[DataFrame, Series]:
-    """Calculates https://www.investopedia.com/terms/d/drawdown.asp
+    """
+    Convert series into a maximum drawdown series.
+
+    Calculates https://www.investopedia.com/terms/d/drawdown.asp
     This returns a series representing a drawdown. When the price is at all-time
     highs, the drawdown is 0. However, when prices are below high watermarks,
     the drawdown series = current / hwm - 1 The max drawdown can be obtained by
@@ -94,12 +102,12 @@ def drawdown_series(prices: Union[DataFrame, Series]) -> Union[DataFrame, Series
 
     Parameters
     ----------
-    prices: DataFrame | Series
+    prices: Union[DataFrame, Series]
         A timeserie of dates and values
 
     Returns
     -------
-    DataFrame | Series
+    Union[DataFrame, Series]
         A drawdown timeserie
     """
     drawdown = prices.copy()
@@ -111,11 +119,12 @@ def drawdown_series(prices: Union[DataFrame, Series]) -> Union[DataFrame, Series
 
 
 def drawdown_details(prices: Union[DataFrame, Series], min_periods: int = 1) -> Series:
-    """Details of the maximum drawdown
+    """
+    Details of the maximum drawdown.
 
     Parameters
     ----------
-    prices: DataFrame | Series
+    prices: Union[DataFrame, Series]
         A timeserie of dates and values
     min_periods: int, default: 1
         Smallest number of observations to use to find the maximum drawdown
@@ -129,19 +138,28 @@ def drawdown_details(prices: Union[DataFrame, Series], min_periods: int = 1) ->
         Days from start to bottom
         Average fall per day
     """
-
     mdd_date = (
-        (prices / prices.expanding(min_periods=min_periods).max()).idxmin().values[0]
+        (prices / prices.expanding(min_periods=min_periods).max())
+        .idxmin()
+        .to_numpy()[0]
+    )
+    mdate = (
+        dt.datetime.strptime(str(mdd_date)[:10], "%Y-%m-%d")
+        .replace(tzinfo=dt.timezone.utc)
+        .date()
     )
-    mdate = dt.datetime.strptime(str(mdd_date)[:10], "%Y-%m-%d").date()
     maxdown = (
         (prices / prices.expanding(min_periods=min_periods).max()).min() - 1
     ).iloc[0]
     ddata = prices.copy()
     drwdwn = drawdown_series(ddata).loc[: cast(int, mdate)]
-    drwdwn.sort_index(ascending=False, inplace=True)
-    sdate = drwdwn[drwdwn == 0.0].idxmax().values[0]
-    sdate = dt.datetime.strptime(str(sdate)[:10], "%Y-%m-%d").date()
+    drwdwn = drwdwn.sort_index(ascending=False)
+    sdate = drwdwn[drwdwn == 0.0].idxmax().to_numpy()[0]
+    sdate = (
+        dt.datetime.strptime(str(sdate)[:10], "%Y-%m-%d")
+        .replace(tzinfo=dt.timezone.utc)
+        .date()
+    )
     duration = (mdate - sdate).days
     ret_per_day = maxdown / duration
 
@@ -159,9 +177,13 @@ def drawdown_details(prices: Union[DataFrame, Series], min_periods: int = 1) ->
 
 
 def ewma_calc(
-    reeturn: float, prev_ewma: float, time_factor: float, lmbda: float = 0.94
+    reeturn: float,
+    prev_ewma: float,
+    time_factor: float,
+    lmbda: float = 0.94,
 ) -> float:
-    """Helper function for EWMA calculation
+    """
+    Calculate Exponentially Weighted Moving Average volatility.
 
     Parameters
     ----------