openseries 1.5.0__py3-none-any.whl → 1.5.1__py3-none-any.whl
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- openseries/_risk.py +0 -3
- openseries/frame.py +21 -69
- openseries/series.py +1 -0
- openseries/types.py +0 -2
- {openseries-1.5.0.dist-info → openseries-1.5.1.dist-info}/METADATA +21 -21
- {openseries-1.5.0.dist-info → openseries-1.5.1.dist-info}/RECORD +8 -8
- {openseries-1.5.0.dist-info → openseries-1.5.1.dist-info}/LICENSE.md +0 -0
- {openseries-1.5.0.dist-info → openseries-1.5.1.dist-info}/WHEEL +0 -0
openseries/_risk.py
CHANGED
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@@ -124,9 +124,6 @@ def _calc_inv_vol_weights(returns: DataFrame) -> NDArray[float64]:
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"""
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Calculate weights proportional to inverse volatility.
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Source: https://github.com/pmorissette/ffn.
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Function copied here because of FutureWarning from pandas ^2.1.0
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Parameters
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----------
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returns: pandas.DataFrame
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openseries/frame.py
CHANGED
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@@ -12,10 +12,6 @@ from pathlib import Path
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from typing import Callable, Optional, Union, cast
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import statsmodels.api as sm # type: ignore[import-untyped,unused-ignore]
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from ffn.core import ( # type: ignore[import-untyped,unused-ignore]
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calc_erc_weights,
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calc_mean_var_weights,
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)
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from numpy import (
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append,
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array,
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@@ -70,7 +66,6 @@ from openseries.types import (
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DaysInYearType,
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LiteralBizDayFreq,
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LiteralCaptureRatio,
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LiteralCovMethod,
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LiteralFrameProps,
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LiteralHowMerge,
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LiteralLinePlotMode,
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@@ -80,13 +75,13 @@ from openseries.types import (
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LiteralPlotlyJSlib,
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LiteralPlotlyOutput,
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LiteralPortfolioWeightings,
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LiteralRiskParityMethod,
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LiteralTrunc,
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OpenFramePropertiesList,
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ValueType,
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)
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# noinspection PyUnresolvedReferences
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class OpenFrame(_CommonModel):
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"""
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@@ -249,7 +244,7 @@ class OpenFrame(_CommonModel):
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prop_list = [
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getattr(self, x) for x in OpenFramePropertiesList.allowed_strings
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]
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return concat(prop_list, axis="columns").T
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return cast(DataFrame, concat(prop_list, axis="columns").T)
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@property
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def lengths_of_items(self: Self) -> Series[int]:
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@@ -666,6 +661,7 @@ class OpenFrame(_CommonModel):
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"""
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self.constituents += [new_series]
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# noinspection PyUnreachableCode
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self.tsdf = concat([self.tsdf, new_series.tsdf], axis="columns", sort=True)
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return self
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@@ -1476,15 +1472,6 @@ class OpenFrame(_CommonModel):
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self: Self,
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name: str,
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weight_strat: Optional[LiteralPortfolioWeightings] = None,
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initial_weights: Optional[list[float]] = None,
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risk_weights: Optional[list[float]] = None,
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risk_parity_method: LiteralRiskParityMethod = "ccd",
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maximum_iterations: int = 100,
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tolerance: float = 1e-8,
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weight_bounds: tuple[float, float] = (0.0, 1.0),
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riskfree: float = 0.0,
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covar_method: LiteralCovMethod = "ledoit-wolf",
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options: Optional[dict[str, int]] = None,
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) -> DataFrame:
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"""
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Calculate a basket timeseries based on the supplied weights.
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name: str
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Name of the basket timeseries
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weight_strat: LiteralPortfolioWeightings, optional
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weight calculation
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initial_weights: list[float], optional
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Starting asset weights, default inverse volatility
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risk_weights: list[float], optional
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Risk target weights, default equal weight
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risk_parity_method: LiteralRiskParityMethod, default: ccd
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Risk parity estimation method
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maximum_iterations: int, default: 100
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Maximum iterations in iterative solutions
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tolerance: float, default: 1e-8
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Tolerance level in iterative solutions
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weight_bounds: tuple[float, float], default: (0.0, 1.0)
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Weigh limits for optimization
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riskfree: float, default: 0.0
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Risk-free rate used in utility calculation
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covar_method: LiteralCovMethod, default: ledoit-wolf
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Covariance matrix estimation method
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options: dict, optional
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options for minimizing, e.g. {'maxiter': 10000 }
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weight calculation strategies
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Returns
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-------
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if weight_strat:
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if weight_strat == "eq_weights":
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self.weights = [1.0 / self.item_count] * self.item_count
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elif weight_strat == "eq_risk":
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weight_calc = list(
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calc_erc_weights(
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returns=dframe,
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initial_weights=initial_weights,
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risk_weights=risk_weights,
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risk_parity_method=risk_parity_method,
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maximum_iterations=maximum_iterations,
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tolerance=tolerance,
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),
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)
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self.weights = weight_calc
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elif weight_strat == "inv_vol":
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weight_calc = list(_calc_inv_vol_weights(returns=dframe))
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self.weights = weight_calc
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elif weight_strat == "mean_var":
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weight_calc = list(
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calc_mean_var_weights(
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returns=dframe,
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weight_bounds=weight_bounds,
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rf=riskfree,
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covar_method=covar_method,
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options=options,
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),
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self.weights = weight_calc
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else:
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msg = "Weight strategy not implemented"
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raise NotImplementedError(msg)
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sharpe_arr[x] = ret_arr[x] / vol_arr[x]
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# noinspection PyUnreachableCode
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simdf = concat(
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DataFrame({"stdev": vol_arr, "ret": ret_arr, "sharpe": sharpe_arr}),
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DataFrame(all_weights, columns=simframe.columns_lvl_zero),
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],
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axis="columns",
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)
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simdf = simdf.replace([inf, -inf], nan)
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return cast(float64, npsum(weights) - 1)
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def _get_ret_vol_sr(
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lg_ret: DataFrame,
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weights: NDArray[float64],
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per_in_yr: float,
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ret = npsum(lg_ret.mean() * weights) * per_in_yr
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volatility = sqrt(dot(weights.T, dot(lg_ret.cov() * per_in_yr, weights)))
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def _diff_return(
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per_in_yr: float,
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poss_return: float,
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frontier_x.append(result["fun"])
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# noinspection PyUnreachableCode
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line_df = concat(
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openseries/series.py
CHANGED
openseries/types.py
CHANGED
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LiteralPlotlyJSlib = Literal[True, False, "cdn"]
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LiteralOlsFitMethod = Literal["pinv", "qr"]
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LiteralPortfolioWeightings = Literal["eq_weights", "eq_risk", "inv_vol", "mean_var"]
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LiteralCovMethod = Literal["ledoit-wolf", "standard"]
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LiteralRiskParityMethod = Literal["ccd", "slsqp"]
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LiteralOlsFitCovType = Literal[
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"nonrobust",
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Metadata-Version: 2.1
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Name: openseries
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Version: 1.5.
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Version: 1.5.1
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Summary: Package for analyzing financial timeseries.
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Home-page: https://github.com/CaptorAB/OpenSeries
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License: BSD-3-Clause
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Classifier: Programming Language :: Python :: 3.11
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Classifier: Programming Language :: Python :: 3.12
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Classifier: Topic :: Office/Business :: Financial :: Investment
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Requires-Dist: ffn (>=1.0.0,<2.0.0)
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Requires-Dist: holidays (>=0.30,<1.0)
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Requires-Dist: numpy (>=1.23.2,<=2.0.0)
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Requires-Dist: openpyxl (>=3.1.2,<4.0.0)
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Requires-Dist: pandas (>=2.1.2,<3.0.0)
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Requires-Dist: plotly (>=5.18.0,<6.0.0)
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Requires-Dist: pyarrow (>=14.0.2,<
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Requires-Dist: pyarrow (>=14.0.2,<16.0.0)
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Requires-Dist: pydantic (>=2.5.2,<3.0.0)
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Requires-Dist: python-dateutil (>=2.8.2,<3.0.0)
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Requires-Dist: requests (>=2.20.0,<3.0.0)
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Requires-Dist: scipy (>=1.11.4,<2.0.0)
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Requires-Dist: statsmodels (>=0.14.0,<1.0.0)
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Project-URL: Repository, https://github.com/CaptorAB/OpenSeries
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### Methods that apply only to the [OpenFrame](https://github.com/CaptorAB/OpenSeries/blob/master/openseries/frame.py) class.
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| Method | Applies to | Description
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| `merge_series` | `OpenFrame` | Merges the Pandas Dataframes of the constituent OpenTimeSeries.
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| `trunc_frame` | `OpenFrame` | Truncates the OpenFrame to a common period.
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| `add_timeseries` | `OpenFrame` | Adds a given OpenTimeSeries to the OpenFrame.
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| `delete_timeseries` | `OpenFrame` | Deletes an OpenTimeSeries from the OpenFrame.
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| `relative` | `OpenFrame` | Calculates a new series that is the relative performance of two others.
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| `make_portfolio` | `OpenFrame` | Calculates a portfolio timeseries based on the series and weights. Weights can be provided as a list, or a weight strategy can be
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| `ord_least_squares_fit` | `OpenFrame` | Performs a regression and an [Ordinary Least Squares](https://www.statsmodels.org/stable/examples/notebooks/generated/ols.html) fit.
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| `beta` | `OpenFrame` | Calculates [Beta](https://www.investopedia.com/terms/b/beta.asp) of an asset relative a market.
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| `jensen_alpha` | `OpenFrame` | Calculates [Jensen's Alpha](https://www.investopedia.com/terms/j/jensensmeasure.asp) of an asset relative a market.
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| `tracking_error_func` | `OpenFrame` | Calculates the [tracking errors](https://www.investopedia.com/terms/t/trackingerror.asp) relative to a selected series in the OpenFrame.
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| `info_ratio_func` | `OpenFrame` | Calculates the [information ratios](https://www.investopedia.com/terms/i/informationratio.asp) relative to a selected series in the OpenFrame.
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| `capture_ratio_func` | `OpenFrame` | Calculates up, down and up/down [capture ratios](https://www.investopedia.com/terms/d/down-market-capture-ratio.asp) relative to a selected series.
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| `rolling_info_ratio` | `OpenFrame` | Returns a pandas.DataFrame with the rolling [information ratio](https://www.investopedia.com/terms/i/informationratio.asp) between two series.
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| `rolling_beta` | `OpenFrame` | Returns a pandas.DataFrame with the rolling [Beta](https://www.investopedia.com/terms/b/beta.asp) of an asset relative a market.
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| `rolling_corr` | `OpenFrame` | Calculates and adds a series of rolling [correlations](https://www.investopedia.com/terms/c/correlation.asp) between two other series.
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| `ewma_risk` | `OpenFrame` | Returns a `pandas.DataFrame` with volatility and correlation based on [Exponentially Weighted Moving Average](https://www.investopedia.com/articles/07/ewma.asp).
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| Method | Applies to | Description |
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|:------------------------|:------------|:-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
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| `merge_series` | `OpenFrame` | Merges the Pandas Dataframes of the constituent OpenTimeSeries. |
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| `trunc_frame` | `OpenFrame` | Truncates the OpenFrame to a common period. |
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| `add_timeseries` | `OpenFrame` | Adds a given OpenTimeSeries to the OpenFrame. |
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| `delete_timeseries` | `OpenFrame` | Deletes an OpenTimeSeries from the OpenFrame. |
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| `relative` | `OpenFrame` | Calculates a new series that is the relative performance of two others. |
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| `make_portfolio` | `OpenFrame` | Calculates a portfolio timeseries based on the series and weights. Weights can be provided as a list, or a weight strategy can be set as *equal weights* or *inverted volatility*. |
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| `ord_least_squares_fit` | `OpenFrame` | Performs a regression and an [Ordinary Least Squares](https://www.statsmodels.org/stable/examples/notebooks/generated/ols.html) fit. |
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| `beta` | `OpenFrame` | Calculates [Beta](https://www.investopedia.com/terms/b/beta.asp) of an asset relative a market. |
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| `jensen_alpha` | `OpenFrame` | Calculates [Jensen's Alpha](https://www.investopedia.com/terms/j/jensensmeasure.asp) of an asset relative a market. |
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| `tracking_error_func` | `OpenFrame` | Calculates the [tracking errors](https://www.investopedia.com/terms/t/trackingerror.asp) relative to a selected series in the OpenFrame. |
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| `info_ratio_func` | `OpenFrame` | Calculates the [information ratios](https://www.investopedia.com/terms/i/informationratio.asp) relative to a selected series in the OpenFrame. |
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| `capture_ratio_func` | `OpenFrame` | Calculates up, down and up/down [capture ratios](https://www.investopedia.com/terms/d/down-market-capture-ratio.asp) relative to a selected series. |
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| `rolling_info_ratio` | `OpenFrame` | Returns a pandas.DataFrame with the rolling [information ratio](https://www.investopedia.com/terms/i/informationratio.asp) between two series. |
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| `rolling_beta` | `OpenFrame` | Returns a pandas.DataFrame with the rolling [Beta](https://www.investopedia.com/terms/b/beta.asp) of an asset relative a market. |
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| `rolling_corr` | `OpenFrame` | Calculates and adds a series of rolling [correlations](https://www.investopedia.com/terms/c/correlation.asp) between two other series. |
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| `ewma_risk` | `OpenFrame` | Returns a `pandas.DataFrame` with volatility and correlation based on [Exponentially Weighted Moving Average](https://www.investopedia.com/articles/07/ewma.asp). |
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### Methods that apply to both the [OpenTimeSeries](https://github.com/CaptorAB/OpenSeries/blob/master/openseries/series.py) and the [OpenFrame](https://github.com/CaptorAB/OpenSeries/blob/master/openseries/frame.py) class.
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