qis 2.0.40__tar.gz → 2.1.40__tar.gz

{qis-2.0.40 → qis-2.1.40}/PKG-INFO

@@ -1,15 +1,14 @@
-Metadata-Version: 2.1
+Metadata-Version: 2.3
 Name: qis
-Version: 2.0.40
+Version: 2.1.40
 Summary: Implementation of visualisation and reporting analytics for Quantitative Investment Strategies
-Home-page: https://github.com/ArturSepp/QuantInvestStrats
 License: LICENSE.txt
 Keywords: quantitative,investing,portfolio optimization,systematic strategies,volatility
 Author: Artur Sepp
 Author-email: artursepp@gmail.com
 Maintainer: Artur Sepp
 Maintainer-email: artursepp@gmail.com
-Requires-Python: >=3.8,<3.11
+Requires-Python: >=3.8
 Classifier: Development Status :: 4 - Beta
 Classifier: Environment :: Console
 Classifier: Intended Audience :: Financial and Insurance Industry
@@ -22,6 +21,9 @@ Classifier: Programming Language :: Python :: 3
 Classifier: Programming Language :: Python :: 3.8
 Classifier: Programming Language :: Python :: 3.9
 Classifier: Programming Language :: Python :: 3.10
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Programming Language :: Python :: 3.12
+Classifier: Programming Language :: Python :: 3.13
 Classifier: Programming Language :: Python :: 3 :: Only
 Classifier: Topic :: Office/Business :: Financial :: Investment
 Requires-Dist: PyYAML (>=6.0)
@@ -32,14 +34,14 @@ Requires-Dist: matplotlib (>=3.2.2)
 Requires-Dist: numba (>=0.56.4)
 Requires-Dist: numpy (>=1.22.4)
 Requires-Dist: openpyxl (>=3.0.10)
-Requires-Dist: pandas (>=1.5.2)
+Requires-Dist: pandas (>=2.2.0)
 Requires-Dist: psycopg2 (>=2.9.5)
 Requires-Dist: pyarrow (>=10.0.1)
 Requires-Dist: scipy (>=1.10)
 Requires-Dist: seaborn (>=0.12.2)
 Requires-Dist: statsmodels (>=0.13.5)
 Requires-Dist: tabulate (>=0.9.0)
-Requires-Dist: yfinance (>0.1.38)
+Requires-Dist: yfinance (>=0.1.38)
 Project-URL: Documentation, https://github.com/ArturSepp/QuantInvestStrats
 Project-URL: Issues, https://github.com/ArturSepp/QuantInvestStrats/issues
 Project-URL: Personal website, https://artursepp.com
@@ -53,7 +55,7 @@ qis package implements analytics for visualisation of financial data, performanc
 reporting, analysis of quantitative strategies. 
 
 qis package is split into 5 main modules with the 
-dependecy path increasing sequentially as follows.
+dependency path increasing sequentially as follows.
 
 1. ```qis.utils``` is module containing low level utilities for operations with pandas, numpy, and datetimes.
 
@@ -64,9 +66,14 @@ dependecy path increasing sequentially as follows.
 4. ```qis.models``` is module containing statistical models including filtering and regressions.
 
 5. ```qis.portfolio``` is high level module for analysis, simulation, backtesting, and reporting of quant strategies.
+Function ```backtest_model_portfolio()```  in ```qis.portfolio.backtester.py``` takes instrument prices 
+and simulated weights from a generic strategy and compute the total return, performance attribution, and risk analysis
 
 ```qis.examples``` contains scripts with illustrations of QIS analytics.
 
+```qis.examples.factheets``` contains scripts with examples of factsheets for simulated and actual strategies,
+and cross-sectional analysis of backtests.
+
 
 # Table of contents
 1. [Analytics](#analytics)
@@ -83,30 +90,29 @@ dependecy path increasing sequentially as follows.
 6. [ToDos](#todos)
 7. [Disclaimer](#disclaimer)
 
-## **Updates** <a name="updates"></a>
 
 ## **Installation** <a name="installation"></a>
-install using
+Install using
 ```python 
 pip install qis
 ```
-upgrade using
+Upgrade using
 ```python 
 pip install --upgrade qis
 ```
 
-close using
+Close using
 ```python 
 git clone https://github.com/ArturSepp/QuantInvestStrats.git
 ```
 
 Core dependencies:
-    python = ">=3.8,<3.11",
+    python = ">=3.8",
     numba = ">=0.56.4",
     numpy = ">=1.22.4",
     scipy = ">=1.10",
     statsmodels = ">=0.13.5",
-    pandas = ">=1.5.2",
+    pandas = ">=2.2.0",
     matplotlib = ">=3.2.2",
     seaborn = ">=0.12.2"
 
@@ -140,7 +146,7 @@ with sns.axes_style("darkgrid"):
 ```python 
 # 2-axis plot with drawdowns using sns styles
 with sns.axes_style("darkgrid"):
-    fig, axs = plt.subplots(2, 1, figsize=(10, 7))
+    fig, axs = plt.subplots(2, 1, figsize=(10, 7), tight_layout=True)
     qis.plot_prices_with_dd(prices=prices, x_date_freq='YE', axs=axs)
 ```
 ![image info](qis/examples/figures/perf2.PNG)
@@ -168,16 +174,16 @@ fig = qis.plot_ra_perf_table(prices=prices,
 # add benchmark regression using excess returns for linear beta
 # regression frequency is specified using perf_params.freq_reg
 # regression alpha is multiplied using perf_params.alpha_an_factor
-fig = qis.plot_ra_perf_table_benchmark(prices=prices,
-                                       benchmark='SPY',
-                                       perf_columns=[PerfStat.TOTAL_RETURN, PerfStat.PA_RETURN, PerfStat.PA_EXCESS_RETURN,
-                                                     PerfStat.VOL, PerfStat.SHARPE_RF0,
-                                                     PerfStat.SHARPE_EXCESS, PerfStat.SORTINO_RATIO, PerfStat.CALMAR_RATIO,
-                                                     PerfStat.MAX_DD, PerfStat.MAX_DD_VOL,
-                                                     PerfStat.SKEWNESS, PerfStat.KURTOSIS,
-                                                     PerfStat.ALPHA_AN, PerfStat.BETA, PerfStat.R2],
-                                       title=f"Risk-adjusted performance: {qis.get_time_period_label(prices, date_separator='-')} benchmarked with SPY",
-                                       perf_params=perf_params)
+fig, _ = qis.plot_ra_perf_table_benchmark(prices=prices,
+                                          benchmark='SPY',
+                                          perf_columns=[PerfStat.TOTAL_RETURN, PerfStat.PA_RETURN, PerfStat.PA_EXCESS_RETURN,
+                                                        PerfStat.VOL, PerfStat.SHARPE_RF0,
+                                                        PerfStat.SHARPE_EXCESS, PerfStat.SORTINO_RATIO, PerfStat.CALMAR_RATIO,
+                                                        PerfStat.MAX_DD, PerfStat.MAX_DD_VOL,
+                                                        PerfStat.SKEWNESS, PerfStat.KURTOSIS,
+                                                        PerfStat.ALPHA_AN, PerfStat.BETA, PerfStat.R2],
+                                          title=f"Risk-adjusted performance: {qis.get_time_period_label(prices, date_separator='-')} benchmarked with SPY",
+                                          perf_params=perf_params)
 ```
 ![image info](qis/examples/figures/perf4.PNG)
 
@@ -200,8 +206,9 @@ for either backtested or actual strategy
 
 Run example in ```qis.examples.factsheets.strategy.py``` https://github.com/ArturSepp/QuantInvestStrats/blob/master/qis/examples/factsheets/strategy.py
 
-![image info](qis/examples/figures/strategy.PNG)
-
+![image info](qis/examples/figures/strategy1.PNG)
+![image info](qis/examples/figures/strategy2.PNG)
+![image info](qis/examples/figures/strategy3.PNG)
 
 ### 4. Strategy benchmark factsheet <a name="strategybenchmark"></a>
 This report is adopted for report performance and marginal comparison
@@ -212,6 +219,9 @@ Run example in ```qis.examples.factsheets.strategy_benchmark.py``` https://githu
 
 ![image info](qis/examples/figures/strategy_benchmark.PNG)
 
+Brinson-Fachler performance attribution (https://en.wikipedia.org/wiki/Performance_attribution)
+![image info](qis/examples/figures/brinson_attribution.PNG)
+
 
 ### 5. Multi strategy factsheet <a name="multistrategy"></a>
 This report is adopted to examine the sensitivity of 
@@ -233,6 +243,9 @@ Starting local server
 jupyter notebook
 ```
 
+Examples of using qis analytics jupyter notebooks are located here
+https://github.com/ArturSepp/QuantInvestStrats/blob/master/qis/examples/notebooks
+
 
 ## **Contributions** <a name="contributions"></a>
 If you are interested in extending and improving QIS analytics, 

{qis-2.0.40 → qis-2.1.40}/README.md

@@ -5,7 +5,7 @@ qis package implements analytics for visualisation of financial data, performanc
 reporting, analysis of quantitative strategies. 
 
 qis package is split into 5 main modules with the 
-dependecy path increasing sequentially as follows.
+dependency path increasing sequentially as follows.
 
 1. ```qis.utils``` is module containing low level utilities for operations with pandas, numpy, and datetimes.
 
@@ -16,9 +16,14 @@ dependecy path increasing sequentially as follows.
 4. ```qis.models``` is module containing statistical models including filtering and regressions.
 
 5. ```qis.portfolio``` is high level module for analysis, simulation, backtesting, and reporting of quant strategies.
+Function ```backtest_model_portfolio()```  in ```qis.portfolio.backtester.py``` takes instrument prices 
+and simulated weights from a generic strategy and compute the total return, performance attribution, and risk analysis
 
 ```qis.examples``` contains scripts with illustrations of QIS analytics.
 
+```qis.examples.factheets``` contains scripts with examples of factsheets for simulated and actual strategies,
+and cross-sectional analysis of backtests.
+
 
 # Table of contents
 1. [Analytics](#analytics)
@@ -35,30 +40,29 @@ dependecy path increasing sequentially as follows.
 6. [ToDos](#todos)
 7. [Disclaimer](#disclaimer)
 
-## **Updates** <a name="updates"></a>
 
 ## **Installation** <a name="installation"></a>
-install using
+Install using
 ```python 
 pip install qis
 ```
-upgrade using
+Upgrade using
 ```python 
 pip install --upgrade qis
 ```
 
-close using
+Close using
 ```python 
 git clone https://github.com/ArturSepp/QuantInvestStrats.git
 ```
 
 Core dependencies:
-    python = ">=3.8,<3.11",
+    python = ">=3.8",
     numba = ">=0.56.4",
     numpy = ">=1.22.4",
     scipy = ">=1.10",
     statsmodels = ">=0.13.5",
-    pandas = ">=1.5.2",
+    pandas = ">=2.2.0",
     matplotlib = ">=3.2.2",
     seaborn = ">=0.12.2"
 
@@ -92,7 +96,7 @@ with sns.axes_style("darkgrid"):
 ```python 
 # 2-axis plot with drawdowns using sns styles
 with sns.axes_style("darkgrid"):
-    fig, axs = plt.subplots(2, 1, figsize=(10, 7))
+    fig, axs = plt.subplots(2, 1, figsize=(10, 7), tight_layout=True)
     qis.plot_prices_with_dd(prices=prices, x_date_freq='YE', axs=axs)
 ```
 ![image info](qis/examples/figures/perf2.PNG)
@@ -120,16 +124,16 @@ fig = qis.plot_ra_perf_table(prices=prices,
 # add benchmark regression using excess returns for linear beta
 # regression frequency is specified using perf_params.freq_reg
 # regression alpha is multiplied using perf_params.alpha_an_factor
-fig = qis.plot_ra_perf_table_benchmark(prices=prices,
-                                       benchmark='SPY',
-                                       perf_columns=[PerfStat.TOTAL_RETURN, PerfStat.PA_RETURN, PerfStat.PA_EXCESS_RETURN,
-                                                     PerfStat.VOL, PerfStat.SHARPE_RF0,
-                                                     PerfStat.SHARPE_EXCESS, PerfStat.SORTINO_RATIO, PerfStat.CALMAR_RATIO,
-                                                     PerfStat.MAX_DD, PerfStat.MAX_DD_VOL,
-                                                     PerfStat.SKEWNESS, PerfStat.KURTOSIS,
-                                                     PerfStat.ALPHA_AN, PerfStat.BETA, PerfStat.R2],
-                                       title=f"Risk-adjusted performance: {qis.get_time_period_label(prices, date_separator='-')} benchmarked with SPY",
-                                       perf_params=perf_params)
+fig, _ = qis.plot_ra_perf_table_benchmark(prices=prices,
+                                          benchmark='SPY',
+                                          perf_columns=[PerfStat.TOTAL_RETURN, PerfStat.PA_RETURN, PerfStat.PA_EXCESS_RETURN,
+                                                        PerfStat.VOL, PerfStat.SHARPE_RF0,
+                                                        PerfStat.SHARPE_EXCESS, PerfStat.SORTINO_RATIO, PerfStat.CALMAR_RATIO,
+                                                        PerfStat.MAX_DD, PerfStat.MAX_DD_VOL,
+                                                        PerfStat.SKEWNESS, PerfStat.KURTOSIS,
+                                                        PerfStat.ALPHA_AN, PerfStat.BETA, PerfStat.R2],
+                                          title=f"Risk-adjusted performance: {qis.get_time_period_label(prices, date_separator='-')} benchmarked with SPY",
+                                          perf_params=perf_params)
 ```
 ![image info](qis/examples/figures/perf4.PNG)
 
@@ -152,8 +156,9 @@ for either backtested or actual strategy
 
 Run example in ```qis.examples.factsheets.strategy.py``` https://github.com/ArturSepp/QuantInvestStrats/blob/master/qis/examples/factsheets/strategy.py
 
-![image info](qis/examples/figures/strategy.PNG)
-
+![image info](qis/examples/figures/strategy1.PNG)
+![image info](qis/examples/figures/strategy2.PNG)
+![image info](qis/examples/figures/strategy3.PNG)
 
 ### 4. Strategy benchmark factsheet <a name="strategybenchmark"></a>
 This report is adopted for report performance and marginal comparison
@@ -164,6 +169,9 @@ Run example in ```qis.examples.factsheets.strategy_benchmark.py``` https://githu
 
 ![image info](qis/examples/figures/strategy_benchmark.PNG)
 
+Brinson-Fachler performance attribution (https://en.wikipedia.org/wiki/Performance_attribution)
+![image info](qis/examples/figures/brinson_attribution.PNG)
+
 
 ### 5. Multi strategy factsheet <a name="multistrategy"></a>
 This report is adopted to examine the sensitivity of 
@@ -185,6 +193,9 @@ Starting local server
 jupyter notebook
 ```
 
+Examples of using qis analytics jupyter notebooks are located here
+https://github.com/ArturSepp/QuantInvestStrats/blob/master/qis/examples/notebooks
+
 
 ## **Contributions** <a name="contributions"></a>
 If you are interested in extending and improving QIS analytics, 

{qis-2.0.40 → qis-2.1.40}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "qis"
-version = "2.0.40"
+version = "2.1.40"
 description = "Implementation of visualisation and reporting analytics for Quantitative Investment Strategies"
 license = "LICENSE.txt"
 authors = ["Artur Sepp <artursepp@gmail.com>"]
@@ -23,19 +23,21 @@ classifiers=[
         "Programming Language :: Python :: 3 :: Only",
         "Topic :: Office/Business :: Financial :: Investment",
     ]
-packages = [ {include = "qis"} ]
+packages = [ {include = "qis"}]
+exclude = ["qis/examples/figures/",
+           "qis/examples/notebooks/"]
 
 [tool.poetry.urls]
 "Issues" = "https://github.com/ArturSepp/QuantInvestStrats/issues"
 "Personal website" = "https://artursepp.com"
 
 [tool.poetry.dependencies]
-python = ">=3.8,<3.11"
+python = ">=3.8"
 numba = ">=0.56.4"
 numpy = ">=1.22.4"
 scipy = ">=1.10"
 statsmodels = ">=0.13.5"
-pandas = ">=1.5.2"
+pandas = ">=2.2.0"
 matplotlib = ">=3.2.2"
 seaborn = ">=0.12.2"
 openpyxl = ">=3.0.10"
@@ -46,7 +48,7 @@ psycopg2 = ">=2.9.5"
 SQLAlchemy = ">=1.4.46"
 pyarrow = ">=10.0.1"
 fsspec = ">=2022.11.0"
-yfinance = "> 0.1.38"
+yfinance = ">=0.1.38"
 
 [build-system]
 requires = ["poetry-core>=1.0.0"]

{qis-2.0.40 → qis-2.1.40}/qis/__init__.py

@@ -9,7 +9,6 @@ from qis.file_utils import (
     get_all_folder_files,
     get_local_file_path,
     get_output_path,
-    get_param_file_path,
     get_paths,
     get_pdf_path,
     get_resource_path,
@@ -46,3 +45,5 @@ from qis.plots.__init__ import *
 from qis.models.__init__ import *
 
 from qis.portfolio.__init__ import *
+
+

qis-2.1.40/qis/examples/bond_futures_portfolio.py

@@ -0,0 +1,49 @@
+import pandas as pd
+import numpy as np
+import matplotlib.pyplot as plt
+from enum import Enum
+import qis as qis
+
+import quant_strats.local_path as lp
+
+output_path = lp.OUTPUT_PATH
+local_path = lp.LOCAL_PATH
+# quant_strats
+from quant_strats import (compute_strategy_portfolio_data_with_costs,
+                          compute_multi_strategy_data_from_blocks,
+                          compute_marginal_perfs_for_strategy)
+from quant_strats.data.universes.futures.bbg_futures import Universes
+from quant_strats.data.set.assets_bbg import AssetsBBG
+from quant_strats.research_strategies.futures.cross_trend.csft_strategies import (CSTF_RB_TRACKER,
+                                                                                  CSTF_EXACT_TRACKER,
+                                                                                  CSTF_RB_AC_TRACKER)
+from quant_strats.research_strategies.futures.trackers.run_trackers_backtest import (CSTF_GOLDMAN_TRACKER_AC,
+                                                                                     GOLDMAN_UNIVERSE)
+
+strategy_universe = Universes.BBG_FUTURES_INVESTABLE.load_universe_data(local_path=local_path)
+prices = strategy_universe.get_prices(freq='B')[['UXY1 Comdty', 'US1 Comdty', 'WN1 Comdty']].ffill().dropna()
+prices = prices[prices.columns[::-1]]
+qis.plot_prices_with_dd(prices=prices)
+
+portfolio_data = qis.backtest_model_portfolio(prices=prices,
+                                              weights=np.array([-1.0, 2.0, -1.0]),
+                                              rebalance_freq='ME',
+                                              ticker='Butterly'
+                                              )
+
+time_period = qis.TimePeriod('31Dec2015', None)
+figs = qis.generate_strategy_factsheet(portfolio_data=portfolio_data,
+                                       benchmark_prices=prices.iloc[:, -1],
+                                       is_grouped=False,
+                                       add_current_position_var_risk_sheet=False,
+                                       add_weights_turnover_sheet=False,
+                                       add_grouped_exposures=False,
+                                       add_grouped_cum_pnl=False,
+                                       time_period=time_period,
+                                       **qis.fetch_default_report_kwargs(time_period=time_period,
+                                                                         add_rates_data=False))
+
+qis.save_figs_to_pdf(figs=figs, file_name=f"butterfly", orientation='landscape',
+                     local_path=output_path)
+
+plt.show()

{qis-2.0.40 → qis-2.1.40}/qis/examples/bootstrap_analysis.py

@@ -63,7 +63,7 @@ def plot_bootsrap_paths(prices: pd.Series,
                              ax=ax,
                              **kwargs)
 
-    acfs, m_acf, std_acf = qis.estimate_path_acf(log_returns, is_pacf=True, nlags=nlags)
+    acfs, m_acf, std_acf = qis.estimate_acf_from_paths(log_returns, is_pacf=True, nlags=nlags)
     with sns.axes_style("darkgrid"):
         fig, ax = plt.subplots(1, 1, figsize=(10, 7))
         qis.set_suptitle(fig, title=f"Auto-correlation of returns of realized (red) and bootsrapped paths (grey)")
@@ -73,7 +73,7 @@ def plot_bootsrap_paths(prices: pd.Series,
                       ax=ax,
                       **kwargs)
 
-    acfs, m_acf, std_acf = qis.estimate_path_acf(log_returns2, is_pacf=True, nlags=nlags)
+    acfs, m_acf, std_acf = qis.estimate_acf_from_paths(log_returns2, is_pacf=True, nlags=nlags)
     with sns.axes_style("darkgrid"):
         fig, ax = plt.subplots(1, 1, figsize=(10, 7))
         qis.set_suptitle(fig, title=f"Auto-correlation of squared returns of realized (red) and bootsrapped paths (grey)")
@@ -129,7 +129,7 @@ def plot_autocorr_in_block_size(prices: pd.Series,
         prices1 = pd.concat([bootstrap_prices, prices], axis=1)
         log_returns = qis.to_returns(prices1, is_log_returns=True, is_first_zero=True)
         log_returns2 = np.square(log_returns)
-        acfs, m_acf, std_acf = qis.estimate_path_acf(log_returns2, is_pacf=True, nlags=nlags)
+        acfs, m_acf, std_acf = qis.estimate_acf_from_paths(log_returns2, is_pacf=True, nlags=nlags)
 
         with sns.axes_style("darkgrid"):
             fig, ax = plt.subplots(1, 1, figsize=(14, 10))

qis-2.1.40/qis/examples/btc_asset_corr.py

@@ -0,0 +1,46 @@
+"""
+compute rolling correlations between crypto and asset
+"""
+import pandas as pd
+import numpy as np
+import matplotlib.pyplot as plt
+import seaborn as sns
+import qis as qis
+import yfinance as yf
+
+# define asset and cryptocurrency
+ASSET = 'QQQ'
+CRYPTO = 'BTC-USD'
+tickers = [ASSET, CRYPTO]
+# fetch yahoo data
+prices = yf.download(tickers, start=None, end=None)['Adj Close'][tickers]
+# resample to business days
+prices = prices.asfreq('B', method='ffill').dropna()
+# % returns
+returns = prices.pct_change()
+# returns = np.log(prices).diff()
+
+# compute rolling correlations
+corr_3m = returns[CRYPTO].rolling(63).corr(returns[ASSET]).rename('3m')
+corr_1y = returns[CRYPTO].rolling(252).corr(returns[ASSET]).rename('1y')
+corr_2y = returns[CRYPTO].rolling(2*252).corr(returns[ASSET]).rename('2y')
+corrs = pd.concat([corr_3m, corr_1y, corr_2y], axis=1).dropna()
+
+# select period
+time_period = qis.TimePeriod('01Jan2016', None)
+corrs = time_period.locate(corrs)
+# qis.save_df_to_excel(data=corrs, file_name='btc_spy_corr')
+
+with sns.axes_style("darkgrid"):
+    fig, ax = plt.subplots(1, 1, figsize=(15, 8), tight_layout=True)
+
+qis.plot_time_series(df=corrs,
+                     trend_line=qis.TrendLine.ZERO_SHADOWS,
+                     legend_stats=qis.LegendStats.AVG_LAST_SCORE,
+                     var_format='{:.0%}',
+                     fontsize=14,
+                     title=f"Rolling correlation of daily returns between {CRYPTO} and {ASSET} as function of rolling window",
+                     ax=ax)
+# qis.save_fig(fig=fig, file_name='btc_all_corr')
+
+plt.show()

{qis-2.0.40 → qis-2.1.40}/qis/examples/constant_notional.py

@@ -70,7 +70,7 @@ with sns.axes_style("darkgrid"):
 
     # plot performance
     qis.plot_prices_with_dd(prices=prices,
-                            performance_label=qis.PerformanceLabel.ARITHMETIC,
+                            perf_stats_labels=qis.PerfStatsLabels.TOTAL.value,
                             title=f"Realized performance of strategies with short exposure to {ticker}",
                             axs=axs)
 

qis-2.1.40/qis/examples/constant_weight_portfolios.py

@@ -0,0 +1,22 @@
+
+import pandas as pd
+import numpy as np
+import matplotlib.pyplot as plt
+import seaborn as sns
+import qis as qis
+import yfinance as yf
+
+tickers_weights = dict(SPY=0.6, IEF=0.4)
+tickers = list(tickers_weights.keys())
+prices = yf.download(tickers, start=None, end=None)['Adj Close'][tickers]
+prices = prices.asfreq('B', method='ffill').dropna()
+
+balanced_60_40a = qis.backtest_model_portfolio(prices=prices, weights=tickers_weights, rebalance_freq='QE',
+                                              ticker='Zero Cost').get_portfolio_nav()
+balanced_60_40b = qis.backtest_model_portfolio(prices=prices, weights=tickers_weights, rebalance_freq='QE',
+                                              ticker='2% Cost',
+                                               management_fee=0.02).get_portfolio_nav()
+navs = pd.concat([balanced_60_40a, balanced_60_40b], axis=1)
+qis.plot_prices_with_dd(prices=navs)
+
+plt.show()

qis-2.1.40/qis/examples/core/perf_bbg_prices.py

@@ -0,0 +1,83 @@
+# packages
+import matplotlib.pyplot as plt
+import qis as qis
+from enum import Enum
+from bbg_fetch import fetch_field_timeseries_per_tickers
+
+
+def run_report():
+    # tickers = {'TY1 Comdty': '10y', 'UXY1 Comdty': '10y Ultra'}
+    tickers = {
+        'SPTR Index': 'SPTR Index',
+        'CIEQVEHG Index': 'Citi SPX 0D Vol Carry',
+        'CIEQVRUG Index': 'Citi SX5E 1W Vol Carry',
+        'CICXCOSE  Index': 'Citi Brent Vol Carry',
+        'GSISXC07 Index': 'GS Multi Asset Carry',
+        'GSISXC11 Index': 'GS Macro Carry',
+        'XUBSPGRA Index': 'UBS Gold Strangles',
+        'XUBSU1D1 Index': 'UBS Short Vol Daily',
+        'BCKTARU2 Index': 'BNP Call on Short-vol Carry',
+        'BNPXAUUS Index': 'BNP Intraday SPX Vol Carry',
+        'BNPXAUTS Index': 'BNP Intraday NDX Vol Carry',
+        'BNPXOV3U Index': 'BNP 3M Long DHhedged Puts'
+        }
+
+    prices = fetch_field_timeseries_per_tickers(tickers=tickers, freq='B', field='PX_LAST').ffill()
+    print(prices)
+    qis.save_df_to_csv(df=prices, file_name='qis_vol_indices', local_path=qis.get_output_path())
+
+    time_period = qis.TimePeriod('31Dec2019', '15Nov2024')
+    kwargs = qis.fetch_default_report_kwargs(time_period=time_period, add_rates_data=False)
+
+    fig = qis.generate_multi_asset_factsheet(prices=prices,
+                                             benchmark='SPTR Index',
+                                             time_period=time_period,
+                                             **kwargs)
+    qis.save_figs_to_pdf(figs=[fig],
+                         file_name=f"bbg_multiasset_report", orientation='landscape',
+                         # local_path='C://Users//uarts//outputs//',
+                         local_path=qis.get_output_path()
+                         )
+
+
+def run_price():
+    tickers = {'CL1 Comdty': 'WTI'}
+    prices = fetch_field_timeseries_per_tickers(tickers=tickers, freq='B', field='PX_LAST').ffill()
+    print(prices)
+
+    time_period = qis.TimePeriod('31Dec1989', '08Nov2024')
+    prices = time_period.locate(prices)
+
+    qis.plot_prices_with_dd(prices,
+                            start_to_one=False)
+
+
+class UnitTests(Enum):
+    REPORT = 1
+    PRICE = 2
+
+
+def run_unit_test(unit_test: UnitTests):
+
+    if unit_test == UnitTests.REPORT:
+        run_report()
+
+    elif unit_test == UnitTests.PRICE:
+        run_price()
+
+    plt.show()
+
+
+if __name__ == '__main__':
+
+    unit_test = UnitTests.PRICE
+
+    is_run_all_tests = False
+    if is_run_all_tests:
+        for unit_test in UnitTests:
+            run_unit_test(unit_test=unit_test)
+    else:
+        run_unit_test(unit_test=unit_test)
+
+
+plt.show()