openseries 1.5.7__py3-none-any.whl → 1.7.0__py3-none-any.whl

openseries/load_plotly.py

@@ -5,16 +5,19 @@ from __future__ import annotations
 from json import load
 from logging import warning
 from pathlib import Path
+from typing import TYPE_CHECKING
 
 import requests
 from requests.exceptions import ConnectionError
 
-from openseries.types import CaptorLogoType, PlotlyLayoutType
+if TYPE_CHECKING:
+    from .types import CaptorLogoType, PlotlyLayoutType  # pragma: no cover
+
+__all__ = ["load_plotly_dict"]
 
 
 def _check_remote_file_existence(url: str) -> bool:
-    """
-    Check if remote file exists.
+    """Check if remote file exists.
 
     Parameters
     ----------
@@ -42,8 +45,7 @@ def load_plotly_dict(
     *,
     responsive: bool = True,
 ) -> tuple[PlotlyLayoutType, CaptorLogoType]:
-    """
-    Load Plotly defaults.
+    """Load Plotly defaults.
 
     Parameters
     ----------
@@ -56,13 +58,13 @@ def load_plotly_dict(
         A dictionary with the Plotly config and layout template
 
     """
-    project_root = Path(__file__).resolve().parent.parent
+    project_root = Path(__file__).parent.parent
     layoutfile = project_root.joinpath("openseries").joinpath("plotly_layouts.json")
     logofile = project_root.joinpath("openseries").joinpath("plotly_captor_logo.json")
 
-    with Path.open(layoutfile, mode="r", encoding="utf-8") as layout_file:
+    with layoutfile.open(mode="r", encoding="utf-8") as layout_file:
         fig = load(layout_file)
-    with Path.open(logofile, mode="r", encoding="utf-8") as logo_file:
+    with logofile.open(mode="r", encoding="utf-8") as logo_file:
         logo = load(logo_file)
 
     if _check_remote_file_existence(url=logo["source"]) is False:

openseries/portfoliotools.py

@@ -0,0 +1,612 @@
+"""Defining the portfolio tools for the OpenFrame class."""
+
+# mypy: disable-error-code="index,assignment"
+from __future__ import annotations
+
+from inspect import stack
+from pathlib import Path
+from typing import TYPE_CHECKING, Callable, cast
+
+from numpy import (
+    append,
+    array,
+    dot,
+    float64,
+    inf,
+    linspace,
+    nan,
+    sqrt,
+    zeros,
+)
+from numpy import (
+    sum as npsum,
+)
+from numpy.typing import NDArray
+from pandas import (
+    DataFrame,
+    Series,
+    concat,
+)
+from plotly.graph_objs import Figure  # type: ignore[import-untyped,unused-ignore]
+from plotly.io import to_html  # type: ignore[import-untyped,unused-ignore]
+from plotly.offline import plot  # type: ignore[import-untyped,unused-ignore]
+from scipy.optimize import minimize  # type: ignore[import-untyped,unused-ignore]
+
+from .load_plotly import load_plotly_dict
+from .series import OpenTimeSeries
+
+# noinspection PyProtectedMember
+from .simulation import _random_generator
+from .types import (
+    LiteralLinePlotMode,
+    LiteralMinimizeMethods,
+    LiteralPlotlyJSlib,
+    LiteralPlotlyOutput,
+    ValueType,
+)
+
+if TYPE_CHECKING:  # pragma: no cover
+    from pydantic import DirectoryPath
+
+    from .frame import OpenFrame
+
+__all__ = [
+    "constrain_optimized_portfolios",
+    "efficient_frontier",
+    "prepare_plot_data",
+    "sharpeplot",
+    "simulate_portfolios",
+]
+
+
+def simulate_portfolios(
+    simframe: OpenFrame,
+    num_ports: int,
+    seed: int,
+) -> DataFrame:
+    """Generate random weights for simulated portfolios.
+
+    Parameters
+    ----------
+    simframe: OpenFrame
+        Return data for portfolio constituents
+    num_ports: int
+        Number of possible portfolios to simulate
+    seed: int
+        The seed for the random process
+
+    Returns
+    -------
+    pandas.DataFrame
+        The resulting data
+
+    """
+    copi = simframe.from_deepcopy()
+
+    if any(
+        x == ValueType.PRICE for x in copi.tsdf.columns.get_level_values(1).to_numpy()
+    ):
+        copi.value_to_ret()
+        log_ret = copi.tsdf.copy()[1:]
+    else:
+        log_ret = copi.tsdf.copy()
+
+    log_ret.columns = log_ret.columns.droplevel(level=1)
+
+    randomizer = _random_generator(seed=seed)
+
+    all_weights = zeros((num_ports, simframe.item_count))
+    ret_arr = zeros(num_ports)
+    vol_arr = zeros(num_ports)
+    sharpe_arr = zeros(num_ports)
+
+    for x in range(num_ports):
+        weights = array(randomizer.random(simframe.item_count))
+        weights = weights / npsum(weights)
+        all_weights[x, :] = weights
+
+        vol_arr[x] = sqrt(
+            dot(
+                weights.T,
+                dot(log_ret.cov() * simframe.periods_in_a_year, weights),
+            ),
+        )
+
+        ret_arr[x] = npsum(log_ret.mean() * weights * simframe.periods_in_a_year)
+
+        sharpe_arr[x] = ret_arr[x] / vol_arr[x]
+
+    # noinspection PyUnreachableCode
+    simdf = concat(
+        [
+            DataFrame({"stdev": vol_arr, "ret": ret_arr, "sharpe": sharpe_arr}),
+            DataFrame(all_weights, columns=simframe.columns_lvl_zero),
+        ],
+        axis="columns",
+    )
+    simdf = simdf.replace([inf, -inf], nan)
+    return simdf.dropna()
+
+
+# noinspection PyUnusedLocal
+def efficient_frontier(  # noqa: C901
+    eframe: OpenFrame,
+    num_ports: int = 5000,
+    seed: int = 71,
+    bounds: tuple[tuple[float]] | None = None,
+    frontier_points: int = 200,
+    minimize_method: LiteralMinimizeMethods = "SLSQP",
+    *,
+    tweak: bool = True,
+) -> tuple[DataFrame, DataFrame, NDArray[float64]]:
+    """Identify an efficient frontier.
+
+    Parameters
+    ----------
+    eframe: OpenFrame
+        Portfolio data
+    num_ports: int, default: 5000
+        Number of possible portfolios to simulate
+    seed: int, default: 71
+        The seed for the random process
+    bounds: tuple[tuple[float]], optional
+        The range of minumum and maximum allowed allocations for each asset
+    frontier_points: int, default: 200
+        number of points along frontier to optimize
+    minimize_method: LiteralMinimizeMethods, default: SLSQP
+        The method passed into the scipy.minimize function
+    tweak: bool, default: True
+        cutting the frontier to exclude multiple points with almost the same risk
+
+    Returns
+    -------
+    tuple[DataFrame, DataFrame, NDArray[float]]
+        The efficient frontier data, simulation data and optimal portfolio
+
+    """
+    if eframe.weights is None:
+        eframe.weights = [1.0 / eframe.item_count] * eframe.item_count
+
+    copi = eframe.from_deepcopy()
+
+    if any(
+        x == ValueType.PRICE for x in copi.tsdf.columns.get_level_values(1).to_numpy()
+    ):
+        copi.value_to_ret()
+        log_ret = copi.tsdf.copy()[1:]
+    else:
+        log_ret = copi.tsdf.copy()
+
+    log_ret.columns = log_ret.columns.droplevel(level=1)
+
+    simulated = simulate_portfolios(simframe=copi, num_ports=num_ports, seed=seed)
+
+    frontier_min = simulated.loc[simulated["stdev"].idxmin()]["ret"]
+    arithmetic_mean = log_ret.mean() * copi.periods_in_a_year
+    frontier_max = 0.0
+    if isinstance(arithmetic_mean, Series):
+        frontier_max = arithmetic_mean.max()
+
+    def _check_sum(weights: NDArray[float64]) -> float64:
+        return cast(float64, npsum(weights) - 1)
+
+    def _get_ret_vol_sr(
+        lg_ret: DataFrame,
+        weights: NDArray[float64],
+        per_in_yr: float,
+    ) -> NDArray[float64]:
+        ret = npsum(lg_ret.mean() * weights) * per_in_yr
+        volatility = sqrt(dot(weights.T, dot(lg_ret.cov() * per_in_yr, weights)))
+        sr = ret / volatility
+        return cast(NDArray[float64], array([ret, volatility, sr]))
+
+    def _diff_return(
+        lg_ret: DataFrame,
+        weights: NDArray[float64],
+        per_in_yr: float,
+        poss_return: float,
+    ) -> float64:
+        return cast(
+            float64,
+            _get_ret_vol_sr(lg_ret=lg_ret, weights=weights, per_in_yr=per_in_yr)[0]
+            - poss_return,
+        )
+
+    def _neg_sharpe(weights: NDArray[float64]) -> float64:
+        return cast(
+            float64,
+            _get_ret_vol_sr(
+                lg_ret=log_ret,
+                weights=weights,
+                per_in_yr=eframe.periods_in_a_year,
+            )[2]
+            * -1,
+        )
+
+    def _minimize_volatility(
+        weights: NDArray[float64],
+    ) -> float64:
+        return cast(
+            float64,
+            _get_ret_vol_sr(
+                lg_ret=log_ret,
+                weights=weights,
+                per_in_yr=eframe.periods_in_a_year,
+            )[1],
+        )
+
+    constraints = {"type": "eq", "fun": _check_sum}
+    if not bounds:
+        bounds = tuple((0.0, 1.0) for _ in range(eframe.item_count))
+    init_guess = array(eframe.weights)
+
+    opt_results = minimize(
+        fun=_neg_sharpe,
+        x0=init_guess,
+        method=minimize_method,
+        bounds=bounds,
+        constraints=constraints,
+    )
+
+    optimal = _get_ret_vol_sr(
+        lg_ret=log_ret,
+        weights=opt_results.x,
+        per_in_yr=eframe.periods_in_a_year,
+    )
+
+    frontier_y = linspace(start=frontier_min, stop=frontier_max, num=frontier_points)
+    frontier_x = []
+    frontier_weights = []
+
+    for possible_return in frontier_y:
+        cons = cast(
+            dict[str, str | Callable[[float, NDArray[float64]], float64]],
+            (
+                {"type": "eq", "fun": _check_sum},
+                {
+                    "type": "eq",
+                    "fun": lambda w, poss_return=possible_return: _diff_return(
+                        lg_ret=log_ret,
+                        weights=w,
+                        per_in_yr=eframe.periods_in_a_year,
+                        poss_return=poss_return,
+                    ),
+                },
+            ),
+        )
+
+        result = minimize(
+            fun=_minimize_volatility,
+            x0=init_guess,
+            method=minimize_method,
+            bounds=bounds,
+            constraints=cons,
+        )
+
+        frontier_x.append(result["fun"])
+        frontier_weights.append(result["x"])
+
+    # noinspection PyUnreachableCode
+    line_df = concat(
+        [
+            DataFrame(data=frontier_weights, columns=eframe.columns_lvl_zero),
+            DataFrame({"stdev": frontier_x, "ret": frontier_y}),
+        ],
+        axis="columns",
+    )
+    line_df["sharpe"] = line_df.ret / line_df.stdev
+
+    limit_small = 0.0001
+    line_df = line_df.mask(line_df.abs() < limit_small, 0.0)
+    line_df["text"] = line_df.apply(
+        lambda c: "<br><br>Weights:<br>"
+        + "<br>".join(
+            [f"{c[nm]:.1%}  {nm}" for nm in eframe.columns_lvl_zero],
+        ),
+        axis="columns",
+    )
+
+    if tweak:
+        limit_tweak = 0.001
+        line_df["stdev_diff"] = line_df.stdev.pct_change()
+        line_df = line_df.loc[line_df.stdev_diff.abs() > limit_tweak]
+        line_df = line_df.drop(columns="stdev_diff")
+
+    return line_df, simulated, append(optimal, opt_results.x)
+
+
+def constrain_optimized_portfolios(
+    data: OpenFrame,
+    serie: OpenTimeSeries,
+    portfolioname: str = "Current Portfolio",
+    simulations: int = 10000,
+    curve_points: int = 200,
+    bounds: tuple[tuple[float]] | None = None,
+    minimize_method: LiteralMinimizeMethods = "SLSQP",
+) -> tuple[OpenFrame, OpenTimeSeries, OpenFrame, OpenTimeSeries]:
+    """Constrain optimized portfolios to those that improve on the current one.
+
+    Parameters
+    ----------
+    data: OpenFrame
+        Portfolio data
+    serie: OpenTimeSeries
+        A
+    portfolioname: str, default: "Current Portfolio"
+        Name of the portfolio
+    simulations: int, default: 10000
+        Number of possible portfolios to simulate
+    curve_points: int, default: 200
+        Number of optimal portfolios on the efficient frontier
+    bounds: tuple[tuple[float]], optional
+        The range of minumum and maximum allowed allocations for each asset
+    minimize_method: LiteralMinimizeMethods, default: SLSQP
+        The method passed into the scipy.minimize function
+
+    Returns
+    -------
+    tuple[OpenFrame, OpenTimeSeries, OpenFrame, OpenTimeSeries]
+        The constrained optimal portfolio data
+
+    """
+    lr_frame = data.from_deepcopy()
+    mv_frame = data.from_deepcopy()
+
+    if not bounds:
+        bounds = tuple((0.0, 1.0) for _ in range(data.item_count))
+
+    front_frame, sim_frame, optimal = efficient_frontier(
+        eframe=data,
+        num_ports=simulations,
+        frontier_points=curve_points,
+        bounds=bounds,
+        minimize_method=minimize_method,
+    )
+
+    condition_least_ret = front_frame.ret > serie.arithmetic_ret
+    # noinspection PyArgumentList
+    least_ret_frame = front_frame[condition_least_ret].sort_values(by="stdev")
+    least_ret_port = least_ret_frame.iloc[0]
+    least_ret_port_name = f"Minimize vol & target return of {portfolioname}"
+    least_ret_weights = [least_ret_port[c] for c in lr_frame.columns_lvl_zero]
+    lr_frame.weights = least_ret_weights
+    resleast = OpenTimeSeries.from_df(lr_frame.make_portfolio(least_ret_port_name))
+
+    condition_most_vol = front_frame.stdev < serie.vol
+    # noinspection PyArgumentList
+    most_vol_frame = front_frame[condition_most_vol].sort_values(
+        by="ret",
+        ascending=False,
+    )
+    most_vol_port = most_vol_frame.iloc[0]
+    most_vol_port_name = f"Maximize return & target risk of {portfolioname}"
+    most_vol_weights = [most_vol_port[c] for c in mv_frame.columns_lvl_zero]
+    mv_frame.weights = most_vol_weights
+    resmost = OpenTimeSeries.from_df(mv_frame.make_portfolio(most_vol_port_name))
+
+    return lr_frame, resleast, mv_frame, resmost
+
+
+def prepare_plot_data(
+    assets: OpenFrame,
+    current: OpenTimeSeries,
+    optimized: NDArray[float64],
+) -> DataFrame:
+    """Prepare date to be used as point_frame in the sharpeplot function.
+
+    Parameters
+    ----------
+    assets: OpenFrame
+        Portfolio data with individual assets and a weighted portfolio
+    current: OpenTimeSeries
+        The current or initial portfolio based on given weights
+    optimized: DataFrame
+        Data optimized with the efficient_frontier method
+
+    Returns
+    -------
+    DataFrame
+        The data prepared with mean returns, volatility and weights
+
+    """
+    txt = "<br><br>Weights:<br>" + "<br>".join(
+        [
+            f"{wgt:.1%}  {nm}"
+            for wgt, nm in zip(
+                cast(list[float], assets.weights),
+                assets.columns_lvl_zero,
+            )
+        ],
+    )
+
+    opt_text_list = [
+        f"{wgt:.1%}  {nm}" for wgt, nm in zip(optimized[3:], assets.columns_lvl_zero)
+    ]
+    opt_text = "<br><br>Weights:<br>" + "<br>".join(opt_text_list)
+    vol: Series[float] = assets.vol
+    plotframe = DataFrame(
+        data=[
+            assets.arithmetic_ret,
+            vol,
+            Series(
+                data=[""] * assets.item_count,
+                index=vol.index,
+            ),
+        ],
+        index=["ret", "stdev", "text"],
+    )
+    plotframe.columns = plotframe.columns.droplevel(level=1)
+    plotframe["Max Sharpe Portfolio"] = [optimized[0], optimized[1], opt_text]
+    plotframe[current.label] = [current.arithmetic_ret, current.vol, txt]
+
+    return plotframe
+
+
+def sharpeplot(  # noqa: C901
+    sim_frame: DataFrame | None = None,
+    line_frame: DataFrame | None = None,
+    point_frame: DataFrame | None = None,
+    point_frame_mode: LiteralLinePlotMode = "markers",
+    filename: str | None = None,
+    directory: DirectoryPath | None = None,
+    titletext: str | None = None,
+    output_type: LiteralPlotlyOutput = "file",
+    include_plotlyjs: LiteralPlotlyJSlib = "cdn",
+    *,
+    title: bool = True,
+    add_logo: bool = True,
+    auto_open: bool = True,
+) -> tuple[Figure, str]:
+    """Create scatter plot coloured by Sharpe Ratio.
+
+    Parameters
+    ----------
+    sim_frame: DataFrame, optional
+        Data from the simulate_portfolios method.
+    line_frame: DataFrame, optional
+        Data from the efficient_frontier method.
+    point_frame: DataFrame, optional
+        Data to highlight current and efficient portfolios.
+    point_frame_mode: LiteralLinePlotMode, default: markers
+        Which type of scatter to use.
+    filename: str, optional
+        Name of the Plotly html file
+    directory: DirectoryPath, optional
+        Directory where Plotly html file is saved
+    titletext: str, optional
+        Text for the plot title
+    output_type: LiteralPlotlyOutput, default: "file"
+        Determines output type
+    include_plotlyjs: LiteralPlotlyJSlib, default: "cdn"
+        Determines how the plotly.js library is included in the output
+    title: bool, default: True
+        Whether to add standard plot title
+    add_logo: bool, default: True
+        Whether to add Captor logo
+    auto_open: bool, default: True
+        Determines whether to open a browser window with the plot
+
+    Returns
+    -------
+    Figure
+        The scatter plot with simulated and optimized results
+
+    """
+    returns = []
+    risk = []
+
+    if directory:
+        dirpath = Path(directory).resolve()
+    elif Path.home().joinpath("Documents").exists():
+        dirpath = Path.home().joinpath("Documents")
+    else:
+        dirpath = Path(stack()[1].filename).parent
+
+    if not filename:
+        filename = "sharpeplot.html"
+    plotfile = dirpath.joinpath(filename)
+
+    fig, logo = load_plotly_dict()
+    figure = Figure(fig)
+
+    if sim_frame is not None:
+        returns.extend(list(sim_frame.loc[:, "ret"]))
+        risk.extend(list(sim_frame.loc[:, "stdev"]))
+        figure.add_scatter(
+            x=sim_frame.loc[:, "stdev"],
+            y=sim_frame.loc[:, "ret"],
+            hoverinfo="skip",
+            marker={
+                "size": 10,
+                "opacity": 0.5,
+                "color": sim_frame.loc[:, "sharpe"],
+                "colorscale": "Jet",
+                "reversescale": True,
+                "colorbar": {"thickness": 20, "title": "Ratio<br>ret / vol"},
+            },
+            mode="markers",
+            name="simulated portfolios",
+        )
+    if line_frame is not None:
+        returns.extend(list(line_frame.loc[:, "ret"]))
+        risk.extend(list(line_frame.loc[:, "stdev"]))
+        figure.add_scatter(
+            x=line_frame.loc[:, "stdev"],
+            y=line_frame.loc[:, "ret"],
+            text=line_frame.loc[:, "text"],
+            xhoverformat=".2%",
+            yhoverformat=".2%",
+            hovertemplate="Return %{y}<br>Vol %{x}%{text}",
+            hoverlabel_align="right",
+            line={"width": 2.5, "dash": "solid"},
+            mode="lines",
+            name="Efficient frontier",
+        )
+
+    colorway = fig["layout"].get("colorway")[  # type: ignore[union-attr]
+        : len(cast(DataFrame, point_frame).columns)
+    ]
+
+    if point_frame is not None:
+        for col, clr in zip(point_frame.columns, colorway):
+            returns.extend([point_frame.loc["ret", col]])
+            risk.extend([point_frame.loc["stdev", col]])
+            figure.add_scatter(
+                x=[point_frame.loc["stdev", col]],
+                y=[point_frame.loc["ret", col]],
+                xhoverformat=".2%",
+                yhoverformat=".2%",
+                hovertext=[point_frame.loc["text", col]],
+                hovertemplate="Return %{y}<br>Vol %{x}%{hovertext}",
+                hoverlabel_align="right",
+                marker={"size": 20, "color": clr},
+                mode=point_frame_mode,
+                name=col,
+                text=col,
+                textfont={"size": 14},
+                textposition="bottom center",
+            )
+
+    figure.update_layout(
+        xaxis={"tickformat": ".1%"},
+        xaxis_title="volatility",
+        yaxis={
+            "tickformat": ".1%",
+            "scaleanchor": "x",
+            "scaleratio": 1,
+        },
+        yaxis_title="annual return",
+        showlegend=False,
+    )
+    if title:
+        if titletext is None:
+            titletext = "<b>Risk and Return</b><br>"
+        figure.update_layout(title={"text": titletext, "font": {"size": 32}})
+
+    if add_logo:
+        figure.add_layout_image(logo)
+
+    if output_type == "file":
+        plot(
+            figure_or_data=figure,
+            filename=str(plotfile),
+            auto_open=auto_open,
+            auto_play=False,
+            link_text="",
+            include_plotlyjs=cast(bool, include_plotlyjs),
+            config=fig["config"],
+            output_type=output_type,
+        )
+        string_output = str(plotfile)
+    else:
+        div_id = filename.split(sep=".")[0]
+        string_output = to_html(
+            fig=figure,
+            config=fig["config"],
+            auto_play=False,
+            include_plotlyjs=cast(bool, include_plotlyjs),
+            full_html=False,
+            div_id=div_id,
+        )
+
+    return figure, string_output