qis 2.1.40__tar.gz → 2.1.42__tar.gz

{qis-2.1.40 → qis-2.1.42}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: qis
-Version: 2.1.40
+Version: 2.1.42
 Summary: Implementation of visualisation and reporting analytics for Quantitative Investment Strategies
 License: LICENSE.txt
 Keywords: quantitative,investing,portfolio optimization,systematic strategies,volatility

{qis-2.1.40 → qis-2.1.42}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "qis"
-version = "2.1.40"
+version = "2.1.42"
 description = "Implementation of visualisation and reporting analytics for Quantitative Investment Strategies"
 license = "LICENSE.txt"
 authors = ["Artur Sepp <artursepp@gmail.com>"]

{qis-2.1.40 → qis-2.1.42}/qis/examples/bond_futures_portfolio.py

@@ -4,21 +4,21 @@ import matplotlib.pyplot as plt
 from enum import Enum
 import qis as qis
 
-import quant_strats.local_path as lp
+import futures_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)
+# futures_strats
+from futures_strats import (compute_strategy_portfolio_data_with_costs,
+                            compute_multi_strategy_data_from_blocks,
+                            compute_marginal_perfs_for_strategy)
+from futures_strats.data.universes.futures.bbg_futures import Universes
+from futures_strats.data.providers.bloomberg.assets_bbg import AssetsBBG
+from futures_strats.research.cross_trend import (CSTF_RB_TRACKER,
+                                                 CSTF_EXACT_TRACKER,
+                                                 CSTF_RB_AC_TRACKER)
+from futures_strats.research.trackers 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()

{qis-2.1.40 → qis-2.1.42}/qis/file_utils.py

@@ -118,20 +118,19 @@ def get_local_file_path(file_name: Optional[str],
                         file_type: Optional[FileTypes] = None,
                         local_path: Optional[str] = None,
                         folder_name: str = None,
-                        subfolder_name: str = None,
                         key: str = None,
                         is_output_file: bool = False
                         ) -> str:
     """
     file data management is organised as:
-    file_path = RESOURCE_PATH/folder_name/subfolder_name/file_name+file_type.value
+    file_path = RESOURCE_PATH/folder_name/file_name+file_type.value
     default value without optional arguments will be:
     file_path = RESOURCE_PATH/file_name.file_type.value
 
     for datasets, we can define datasets keys so the file paths are:
-    file_path = RESOURCE_PATH/folder_name/subfolder_name/file_name+_key+file_type.value
+    file_path = RESOURCE_PATH/folder_name/file_name+_key+file_type.value
     or if file_name is None:
-    file_path = RESOURCE_PATH/folder_name/subfolder_name/key+file_type.value
+    file_path = RESOURCE_PATH/folder_name/key+file_type.value
 
     if local_path is not None: file_path=local_path
     if local_path in not None and file_name and file_type is passed: file_path=local_path//file_name+file_type.value
@@ -146,10 +145,7 @@ def get_local_file_path(file_name: Optional[str],
             local_path = RESOURCE_PATH
 
         if folder_name is not None:
-            if subfolder_name is not None:
-                local_path = join(local_path, folder_name, subfolder_name)
-            else:
-                local_path = join(local_path, folder_name)
+            local_path = join(local_path, folder_name)
 
     if file_name is not None:
         if key is not None:
@@ -209,7 +205,6 @@ def save_df_to_excel(data: Union[pd.DataFrame, List[pd.DataFrame], Dict[str, pd.
                      local_path: Optional[str] = None,
                      mode: Literal['w', 'a'] = 'w',
                      folder_name: str = None,
-                     subfolder_name: str = None,
                      key: str = None,
                      add_current_date: bool = False,
                      sheet_names: List[str] = None,
@@ -229,7 +224,6 @@ def save_df_to_excel(data: Union[pd.DataFrame, List[pd.DataFrame], Dict[str, pd.
                                     file_type=FileTypes.EXCEL,
                                     local_path=local_path,
                                     folder_name=folder_name,
-                                    subfolder_name=subfolder_name,
                                     key=key)
 
     excel_writer = pd.ExcelWriter(file_path, engine='openpyxl', mode=mode, if_sheet_exists=if_sheet_exists)
@@ -262,7 +256,6 @@ def load_df_from_excel(file_name: str,
                        sheet_name: str = 'Sheet1',
                        local_path: Optional[str] = None,
                        folder_name: str = None,
-                       subfolder_name: str = None,
                        key: str = None,
                        is_index: bool = True,
                        delocalize: bool = False  # excel data may have local time which are unwanted
@@ -274,7 +267,6 @@ def load_df_from_excel(file_name: str,
                                     file_type=FileTypes.EXCEL,
                                     local_path=local_path,
                                     folder_name=folder_name,
-                                    subfolder_name=subfolder_name,
                                     key=key)
     if os.path.isfile(file_path):
         excel_reader = pd.ExcelFile(file_path, engine='openpyxl')
@@ -295,7 +287,6 @@ def save_df_dict_to_excel(datasets: Dict[Union[str, Enum, NamedTuple], pd.DataFr
                           local_path: Optional[str] = None,
                           mode: Literal['w', 'a'] = 'w',
                           folder_name: str = None,
-                          subfolder_name: str = None,
                           key: str = None,
                           add_current_date: bool = False,
                           delocalize: bool = False
@@ -311,7 +302,6 @@ def save_df_dict_to_excel(datasets: Dict[Union[str, Enum, NamedTuple], pd.DataFr
                                     file_type=FileTypes.EXCEL,
                                     local_path=local_path,
                                     folder_name=folder_name,
-                                    subfolder_name=subfolder_name,
                                     key=key)
 
     excel_writer = pd.ExcelWriter(file_path, engine='openpyxl', mode=mode)
@@ -327,7 +317,6 @@ def load_df_dict_from_excel(file_name: str,
                             dataset_keys: Optional[List[Union[str, Enum, NamedTuple]]] = None,
                             local_path: Optional[str] = None,
                             folder_name: str = None,
-                            subfolder_name: str = None,
                             key: str = None,
                             is_index: bool = True,
                             delocalize: bool = False,
@@ -341,7 +330,6 @@ def load_df_dict_from_excel(file_name: str,
                                     file_type=FileTypes.EXCEL,
                                     local_path=local_path,
                                     folder_name=folder_name,
-                                    subfolder_name=subfolder_name,
                                     key=key)
 
     if os.path.isfile(file_path):
@@ -374,7 +362,6 @@ Pandas to/from CSV core
 def save_df_to_csv(df: pd.DataFrame,
                    file_name: str = None,
                    folder_name: str = None,
-                   subfolder_name: str = None,
                    key: str = None,
                    add_current_date: bool = False,
                    local_path: Optional[str] = None
@@ -389,7 +376,6 @@ def save_df_to_csv(df: pd.DataFrame,
                                     file_type=FileTypes.CSV,
                                     local_path=local_path,
                                     folder_name=folder_name,
-                                    subfolder_name=subfolder_name,
                                     key=key)
     df.to_csv(path_or_buf=file_path)
 
@@ -397,7 +383,6 @@ def save_df_to_csv(df: pd.DataFrame,
 def load_df_from_csv(file_name: Optional[str] = None,
                      local_path: Optional[str] = None,
                      folder_name: str = None,
-                     subfolder_name: str = None,
                      key: str = None,
                      is_index: bool = True,
                      parse_dates: bool = True,
@@ -412,9 +397,7 @@ def load_df_from_csv(file_name: Optional[str] = None,
                                     file_type=FileTypes.CSV,
                                     local_path=local_path,
                                     folder_name=folder_name,
-                                    subfolder_name=subfolder_name,
                                     key=key)
-
     if is_index:
         index_col = 0
         parse_dates = parse_dates
@@ -450,7 +433,6 @@ def load_df_from_csv(file_name: Optional[str] = None,
 def append_df_to_csv(df: pd.DataFrame,
                      file_name: str = None,
                      folder_name: str = None,
-                     subfolder_name: str = None,
                      key: str = None,
                      local_path: Optional[str] = None,
                      keep: Optional[Literal['first', 'last']] = None
@@ -463,13 +445,11 @@ def append_df_to_csv(df: pd.DataFrame,
                                     file_type=FileTypes.CSV,
                                     local_path=local_path,
                                     folder_name=folder_name,
-                                    subfolder_name=subfolder_name,
                                     key=key)
     if os.path.isfile(file_path):  # append using format of old file
         old_df = load_df_from_csv(file_name=file_name,
                                   local_path=local_path,
                                   folder_name=folder_name,
-                                  subfolder_name=subfolder_name,
                                   key=key)
         df = pd.concat([old_df, df], axis=0)
         if keep is not None:
@@ -481,7 +461,6 @@ def append_df_to_csv(df: pd.DataFrame,
     save_df_to_csv(df=df,
                    file_name=file_name,
                    folder_name=folder_name,
-                   subfolder_name=subfolder_name,
                    key=key,
                    local_path=local_path)
 
@@ -490,7 +469,6 @@ def save_df_dict_to_csv(datasets: Dict[Union[str, Enum, NamedTuple], pd.DataFram
                         file_name: Optional[str] = None,
                         local_path: Optional[str] = None,
                         folder_name: str = None,
-                        subfolder_name: str = None,
                         add_current_date: bool = False
                         ) -> None:
     """
@@ -505,7 +483,6 @@ def save_df_dict_to_csv(datasets: Dict[Union[str, Enum, NamedTuple], pd.DataFram
                                             file_type=FileTypes.CSV,
                                             local_path=local_path,
                                             folder_name=folder_name,
-                                            subfolder_name=subfolder_name,
                                             key=key)
             data.to_csv(path_or_buf=file_path)
 
@@ -514,7 +491,6 @@ def load_df_dict_from_csv(dataset_keys: List[Union[str, Enum, NamedTuple]],
                           file_name: Optional[str],
                           local_path: Optional[str] = None,
                           folder_name: str = None,
-                          subfolder_name: str = None,
                           is_index: bool = True,
                           dayfirst: Optional[bool] = None,  # will give priority to formats where day come first
                           force_not_found_error: bool = False,
@@ -529,7 +505,6 @@ def load_df_dict_from_csv(dataset_keys: List[Union[str, Enum, NamedTuple]],
                                         file_type=FileTypes.CSV,
                                         local_path=local_path,
                                         folder_name=folder_name,
-                                        subfolder_name=subfolder_name,
                                         key=key)
         if os.path.isfile(file_path):
             data = pd.read_csv(filepath_or_buffer=file_path,
@@ -599,7 +574,6 @@ def save_df_to_feather(df: pd.DataFrame,
                        file_name: Optional[str] = None,
                        local_path: Optional[str] = None,
                        folder_name: str = None,
-                       subfolder_name: str = None,
                        key: str = None,
                        index_col: Optional[str] = INDEX_COLUMN
                        ) -> None:
@@ -611,7 +585,6 @@ def save_df_to_feather(df: pd.DataFrame,
                                     file_type=FileTypes.FEATHER,
                                     local_path=local_path,
                                     folder_name=folder_name,
-                                    subfolder_name=subfolder_name,
                                     key=key)
     if index_col is not None and index_col not in df.columns:  # index is unique and preserved
         df = df.reset_index(names=index_col)
@@ -623,7 +596,6 @@ def save_df_to_feather(df: pd.DataFrame,
 def append_df_to_feather(df: pd.DataFrame,
                          file_name: str = None,
                          folder_name: str = None,
-                         subfolder_name: str = None,
                          key: str = None,
                          local_path: Optional[str] = None,
                          keep: Optional[Literal['first', 'last']] = None,
@@ -637,13 +609,11 @@ def append_df_to_feather(df: pd.DataFrame,
                                     file_type=FileTypes.FEATHER,
                                     local_path=local_path,
                                     folder_name=folder_name,
-                                    subfolder_name=subfolder_name,
                                     key=key)
     if os.path.isfile(file_path):  # append using format of old file
         old_df = load_df_from_feather(file_name=file_name,
                                       local_path=local_path,
                                       folder_name=folder_name,
-                                      subfolder_name=subfolder_name,
                                       key=key,
                                       index_col=index_col)
         df = pd.concat([old_df, df], axis=0)
@@ -656,7 +626,6 @@ def append_df_to_feather(df: pd.DataFrame,
     save_df_to_feather(df=df,
                        file_name=file_name,
                        folder_name=folder_name,
-                       subfolder_name=subfolder_name,
                        key=key,
                        local_path=local_path,
                        index_col=index_col)
@@ -666,7 +635,6 @@ def append_df_to_feather(df: pd.DataFrame,
 def load_df_from_feather(file_name: Optional[str] = None,
                          local_path: Optional[str] = None,
                          folder_name: str = None,
-                         subfolder_name: str = None,
                          key: str = None,
                          index_col: Optional[str] = INDEX_COLUMN
                          ) -> pd.DataFrame:
@@ -677,7 +645,6 @@ def load_df_from_feather(file_name: Optional[str] = None,
                                     file_type=FileTypes.FEATHER,
                                     local_path=local_path,
                                     folder_name=folder_name,
-                                    subfolder_name=subfolder_name,
                                     key=key)
     if os.path.isfile(file_path):  # append using format of old file
         df = pd.read_feather(file_path)
@@ -695,7 +662,6 @@ def save_df_dict_to_feather(dfs: Dict[Union[str, Enum, NamedTuple], pd.DataFrame
                             file_name: Optional[str] = None,
                             local_path: Optional[str] = None,
                             folder_name: str = None,
-                            subfolder_name: str = None,
                             index_col: Optional[str] = INDEX_COLUMN
                             ) -> None:
     """
@@ -707,7 +673,6 @@ def save_df_dict_to_feather(dfs: Dict[Union[str, Enum, NamedTuple], pd.DataFrame
                                             file_type=FileTypes.FEATHER,
                                             local_path=local_path,
                                             folder_name=folder_name,
-                                            subfolder_name=subfolder_name,
                                             key=key)
             if index_col not in df.columns:
                 df = df.reset_index(names=index_col)
@@ -718,7 +683,6 @@ def load_df_dict_from_feather(dataset_keys: List[Union[str, Enum, NamedTuple]],
                               file_name: Optional[str],
                               local_path: Optional[str] = None,
                               folder_name: str = None,
-                              subfolder_name: str = None,
                               force_not_found_error: bool = False,
                               index_col: Optional[str] = INDEX_COLUMN
                               ) -> Dict[str, pd.DataFrame]:
@@ -731,7 +695,6 @@ def load_df_dict_from_feather(dataset_keys: List[Union[str, Enum, NamedTuple]],
                                         file_type=FileTypes.FEATHER,
                                         local_path=local_path,
                                         folder_name=folder_name,
-                                        subfolder_name=subfolder_name,
                                         key=key)
         if os.path.isfile(file_path):
             df = pd.read_feather(file_path)
@@ -757,7 +720,6 @@ Pandas to/from parquet core
 def save_df_to_parquet(df: pd.DataFrame,
                        file_name: str,
                        folder_name: Optional[str] = None,
-                       subfolder_name: str = None,
                        key: Optional[str] = None,
                        local_path: Optional[str] = None,
                        delocalize: bool = False
@@ -769,7 +731,6 @@ def save_df_to_parquet(df: pd.DataFrame,
                                     file_type=FileTypes.PARQUET,
                                     local_path=local_path,
                                     folder_name=folder_name,
-                                    subfolder_name=subfolder_name,
                                     key=key)
     if delocalize:
         df = delocalize_df(df)
@@ -778,7 +739,6 @@ def save_df_to_parquet(df: pd.DataFrame,
 
 def load_df_from_parquet(file_name: Optional[str],
                          folder_name: str = None,
-                         subfolder_name: str = None,
                          key: Optional[str] = None,
                          local_path: Optional[str] = None,
                          delocalize: bool = False
@@ -790,7 +750,6 @@ def load_df_from_parquet(file_name: Optional[str],
                                     file_type=FileTypes.PARQUET,
                                     local_path=local_path,
                                     folder_name=folder_name,
-                                    subfolder_name=subfolder_name,
                                     key=key)
     if os.path.isfile(file_path):
         df = pd.read_parquet(path=file_path)
@@ -805,7 +764,6 @@ def load_df_from_parquet(file_name: Optional[str],
 def save_df_dict_to_parquet(datasets: Dict[Union[str, Enum, NamedTuple], pd.DataFrame],
                             file_name: Optional[str] = None,
                             folder_name: str = None,
-                            subfolder_name: str = None,
                             local_path: Optional[str] = None,
                             delocalize: bool = False
                             ) -> None:
@@ -818,7 +776,6 @@ def save_df_dict_to_parquet(datasets: Dict[Union[str, Enum, NamedTuple], pd.Data
                                             file_type=FileTypes.PARQUET,
                                             local_path=local_path,
                                             folder_name=folder_name,
-                                            subfolder_name=subfolder_name,
                                             key=key)
             if delocalize:
                 data = delocalize_df(data)
@@ -828,7 +785,6 @@ def save_df_dict_to_parquet(datasets: Dict[Union[str, Enum, NamedTuple], pd.Data
 def load_df_dict_from_parquet(dataset_keys: List[Union[str, Enum, NamedTuple]],
                               file_name: Optional[str],
                               folder_name: str = None,
-                              subfolder_name: str = None,
                               local_path: Optional[str] = None,
                               force_not_found_error: bool = False
                               ) -> Dict[str, pd.DataFrame]:
@@ -841,7 +797,6 @@ def load_df_dict_from_parquet(dataset_keys: List[Union[str, Enum, NamedTuple]],
                                         file_type=FileTypes.PARQUET,
                                         local_path=local_path,
                                         folder_name=folder_name,
-                                        subfolder_name=subfolder_name,
                                         key=key)
         if os.path.isfile(file_path):
             pandas_dict[key] = pd.read_parquet(path=file_path)

{qis-2.1.40 → qis-2.1.42}/qis/plots/reports/econ_data_single.py

@@ -170,7 +170,7 @@ class UnitTests(Enum):
 def run_unit_test(unit_test: UnitTests):
 
     import matplotlib.pyplot as plt
-    import quant_strats.local_path as lp
+    import futures_strats.local_path as lp
     local_path = lp.get_resource_path()
 
     if unit_test == UnitTests.UPDATE_DATA:

{qis-2.1.40 → qis-2.1.42}/qis/portfolio/reports/strategy_benchmark_factsheet.py

@@ -637,7 +637,18 @@ def weights_tracking_error_report(multi_portfolio_data: MultiPortfolioData,
                                                   time_period=time_period,
                                                   **kwargs)
 
-        # risk contributions
+        # brinson
+        fig, axs = plt.subplots(1, 2, figsize=figsize, tight_layout=True)
+        figs['brinson'] = fig
+        axs = [axs[0], axs[1], None, None, None]
+        multi_portfolio_data.plot_brinson_attribution(strategy_idx=strategy_idx,
+                                                      benchmark_idx=benchmark_idx,
+                                                      time_period=time_period,
+                                                      freq=None,
+                                                      axs=axs,
+                                                      total_column='Total Sum',
+                                                      is_exclude_interaction_term=True,
+                                                      **kwargs)
 
     return figs, dfs