qis 3.0.10__tar.gz → 3.1.2__tar.gz

{qis-3.0.10 → qis-3.1.2}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: qis
-Version: 3.0.10
+Version: 3.1.2
 Summary: Implementation of visualisation and reporting analytics for Quantitative Investment Strategies
 License: LICENSE.txt
 Keywords: quantitative,investing,portfolio optimization,systematic strategies,volatility
@@ -54,7 +54,7 @@ Description-Content-Type: text/markdown
 qis package implements analytics for visualisation of financial data, performance
 reporting, analysis of quantitative strategies. 
 
-qis package is split into 5 main modules with the 
+The package is split into 5 main modules with the 
 dependency path increasing sequentially as follows.
 
 1. ```qis.utils``` is module containing low level utilities for operations with pandas, numpy, and datetimes.
@@ -318,4 +318,5 @@ See the [LICENSE.txt](https://github.com/ArturSepp/QuantInvestStrats/blob/master
 
 Please report any bugs or suggestions by opening an [issue](https://github.com/ArturSepp/QuantInvestStrats/issues).
 
+.
 

{qis-3.0.10 → qis-3.1.2}/README.md

@@ -4,7 +4,7 @@
 qis package implements analytics for visualisation of financial data, performance
 reporting, analysis of quantitative strategies. 
 
-qis package is split into 5 main modules with the 
+The package is split into 5 main modules with the 
 dependency path increasing sequentially as follows.
 
 1. ```qis.utils``` is module containing low level utilities for operations with pandas, numpy, and datetimes.
@@ -268,3 +268,4 @@ See the [LICENSE.txt](https://github.com/ArturSepp/QuantInvestStrats/blob/master
 
 Please report any bugs or suggestions by opening an [issue](https://github.com/ArturSepp/QuantInvestStrats/issues).
 
+.

{qis-3.0.10 → qis-3.1.2}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "qis"
-version = "3.0.10"
+version = "3.1.2"
 description = "Implementation of visualisation and reporting analytics for Quantitative Investment Strategies"
 license = "LICENSE.txt"
 authors = ["Artur Sepp <artursepp@gmail.com>"]

{qis-3.0.10 → qis-3.1.2}/qis/examples/bond_futures_portfolio.py

@@ -27,7 +27,7 @@ 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',
+                                              rebalancing_freq='ME',
                                               ticker='Butterly'
                                               )
 

{qis-3.0.10 → qis-3.1.2}/qis/examples/constant_weight_portfolios.py

@@ -11,9 +11,9 @@ tickers = list(tickers_weights.keys())
 prices = yf.download(tickers, start=None, end=None)['Close'][tickers]
 prices = prices.asfreq('B', method='ffill').dropna()
 
-balanced_60_40a = qis.backtest_model_portfolio(prices=prices, weights=tickers_weights, rebalance_freq='QE',
+balanced_60_40a = qis.backtest_model_portfolio(prices=prices, weights=tickers_weights, rebalancing_freq='QE',
                                               ticker='Zero Cost').get_portfolio_nav()
-balanced_60_40b = qis.backtest_model_portfolio(prices=prices, weights=tickers_weights, rebalance_freq='QE',
+balanced_60_40b = qis.backtest_model_portfolio(prices=prices, weights=tickers_weights, rebalancing_freq='QE',
                                               ticker='2% Cost',
                                                management_fee=0.02).get_portfolio_nav()
 navs = pd.concat([balanced_60_40a, balanced_60_40b], axis=1)

{qis-3.0.10 → qis-3.1.2}/qis/examples/factsheets/strategy.py

@@ -163,7 +163,7 @@ def run_unit_test(unit_test: UnitTests):
         # benchmark_prices = fetch_field_timeseries_per_tickers(tickers={'LQD US Equity': 'LQD'})
         delta1_portfolio = qis.backtest_model_portfolio(prices=prices,
                                                         weights=np.array([1.0]),
-                                                        rebalance_freq='SE',   # only at starts
+                                                        rebalancing_freq='SE',   # only at starts
                                                         rebalancing_costs=rebalancing_costs,
                                                         ticker='Delta1')
         figs = qis.generate_strategy_factsheet(portfolio_data=delta1_portfolio,

{qis-3.0.10 → qis-3.1.2}/qis/examples/leveraged_strategies.py

@@ -16,13 +16,13 @@ tickers = [benchmark, 'SSO', 'IEF']
 prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Close'][tickers]
 prices = prices.asfreq('B', method='ffill').dropna()  # make B frequency
 
-rebalance_freq = 'B'  # each business day
+rebalancing_freq = 'B'  # each business day
 rebalancing_costs = 0.0010  # 10bp for rebalancing
 
 # 50/50 SSO/IEF
 unleveraged_portfolio = qis.backtest_model_portfolio(prices=prices[['SSO', 'IEF']],
                                                      weights={'SSO': 0.5, 'IEF': 0.5},
-                                                     rebalance_freq=rebalance_freq,
+                                                     rebalancing_freq=rebalancing_freq,
                                                      rebalancing_costs=rebalancing_costs,
                                                      ticker='50/50 SSO/IEF').get_portfolio_nav()
 
@@ -30,7 +30,7 @@ unleveraged_portfolio = qis.backtest_model_portfolio(prices=prices[['SSO', 'IEF'
 funding_rate = 0.01 + yf.download('^IRX', start=None, end=None)['Close'].dropna() / 100.0
 leveraged_portfolio = qis.backtest_model_portfolio(prices=prices[['SPY', 'IEF']],
                                                    weights={'SPY': 1.0, 'IEF': 0.5},
-                                                   rebalance_freq=rebalance_freq,
+                                                   rebalancing_freq=rebalancing_freq,
                                                    rebalancing_costs=rebalancing_costs,
                                                    funding_rate=funding_rate,
                                                    ticker='100/50 SPY/IEF').get_portfolio_nav()

{qis-3.0.10 → qis-3.1.2}/qis/file_utils.py

@@ -231,14 +231,14 @@ def save_df_to_excel(data: Union[pd.DataFrame, List[pd.DataFrame], Dict[str, pd.
         if sheet_names is None:
             sheet_names = [f"Sheet {n+1}" for n, _ in enumerate(data)]
         for df, name in zip(data, sheet_names):
-            if df is not None:
+            if df is not None and isinstance(df, pd.DataFrame):
                 df = delocalize_df(df)
                 if transpose:
                     df = df.T
                 df.to_excel(excel_writer=excel_writer, sheet_name=name)
     elif isinstance(data, dict):  # publish with sheet names
         for key, df in data.items():
-            if df is not None:
+            if df is not None and isinstance(df, pd.DataFrame):
                 df = delocalize_df(df)
                 if transpose:
                     df = df.T
@@ -482,7 +482,7 @@ def save_df_dict_to_csv(datasets: Dict[Union[str, Enum, NamedTuple], pd.DataFram
         file_name = f"{file_name}_{pd.Timestamp.now().strftime(DATE_FORMAT)}"
 
     for key, data in datasets.items():
-        if data is not None:
+        if data is not None and isinstance(data, pd.DataFrame):
             file_path = get_local_file_path(file_name=file_name,
                                             file_type=FileTypes.CSV,
                                             local_path=local_path,
@@ -541,7 +541,7 @@ def save_df_dict_to_sql(engine: Engine,
     save pandas dict to sql engine
     """
     for key, df in dfs.items():
-        if df is not None:
+        if df is not None and isinstance(df, pd.DataFrame):
             if index_col is not None:
                 df = df.reset_index(names=index_col)
             df.to_sql(f"{table_name}_{key}", engine, schema=schema, if_exists='replace')
@@ -672,7 +672,7 @@ def save_df_dict_to_feather(dfs: Dict[Union[str, Enum, NamedTuple], pd.DataFrame
     pandas dict to csv files
     """
     for key, df in dfs.items():
-        if df is not None:
+        if df is not None and isinstance(df, pd.DataFrame):
             file_path = get_local_file_path(file_name=file_name,
                                             file_type=FileTypes.FEATHER,
                                             local_path=local_path,

{qis-3.0.10 → qis-3.1.2}/qis/portfolio/__init__.py

@@ -35,7 +35,8 @@ from qis.portfolio.reports.multi_assets_factsheet import (MultiAssetsReport, gen
 from qis.portfolio.reports.strategy_factsheet import generate_strategy_factsheet
 
 from qis.portfolio.reports.strategy_benchmark_factsheet import (generate_strategy_benchmark_factsheet_plt,
-                                                                generate_strategy_benchmark_active_perf_plt)
+                                                                generate_strategy_benchmark_active_perf_plt,
+                                                                plot_exposures_strategy_vs_benchmark_stack)
 
 from qis.portfolio.reports.multi_strategy_factsheet import generate_multi_portfolio_factsheet
 

{qis-3.0.10 → qis-3.1.2}/qis/portfolio/backtester.py

@@ -15,7 +15,7 @@ from qis.portfolio.portfolio_data import PortfolioData
 
 def backtest_model_portfolio(prices: pd.DataFrame,
                              weights: Union[Dict[str, float], List[float], np.ndarray, pd.DataFrame, pd.Series],
-                             rebalance_freq: Optional[str] = 'QE',
+                             rebalancing_freq: Optional[str] = 'QE',
                              initial_nav: float = 100,
                              funding_rate: pd.Series = None,  # annualised on positive / negative cash balances
                              management_fee: float = None,  # annualised
@@ -30,7 +30,7 @@ def backtest_model_portfolio(prices: pd.DataFrame,
     simulate portfolio given prices and weights
     include_start_date if index rebalanced at start date
     the safest weight is to pass weights as Dict or pd.Dataframe - this enforces the alignment with prices
-    does not rebalance_freq when dates are pd.DataFrame
+    does not rebalancing_freq when dates are pd.DataFrame
     funding_rate is funding rate on cash annualised
     management_fee is man fee on strategy nav annualised
     """
@@ -55,7 +55,7 @@ def backtest_model_portfolio(prices: pd.DataFrame,
             raise ValueError(f"only single aray is allowed")
 
         is_rebalancing = qu.generate_rebalancing_indicators(df=prices,
-                                                            freq=rebalance_freq,
+                                                            freq=rebalancing_freq,
                                                             include_start_date=is_rebalanced_at_first_date)
 
         portfolio_rebalance_dates = is_rebalancing[is_rebalancing == True]
@@ -232,15 +232,15 @@ def run_unit_test(unit_test: UnitTests):
 
         portfolio_nav_1_0 = backtest_model_portfolio(prices=prices,
                                                      weights=np.array([1.0, 0.0]),
-                                                     rebalance_freq='QE').get_portfolio_nav()
+                                                     rebalancing_freq='QE').get_portfolio_nav()
 
         portfolio_nav_5_5 = backtest_model_portfolio(prices=prices,
                                                      weights=np.array([1.0, 0.5]),
-                                                     rebalance_freq='QE').get_portfolio_nav()
+                                                     rebalancing_freq='QE').get_portfolio_nav()
 
         portfolio_nav_0_1 = backtest_model_portfolio(prices=prices,
                                                      weights=np.array([1.0, 1.0]),
-                                                     rebalance_freq='QE').get_portfolio_nav()
+                                                     rebalancing_freq='QE').get_portfolio_nav()
 
         portfolio_nav = pd.concat([portfolio_nav_1_0, portfolio_nav_5_5, portfolio_nav_0_1], axis=1)
         portfolio_nav.columns = ['x1=100, x2=0', 'x1=100, x2=50', 'x1=100, x2=100']
@@ -251,7 +251,7 @@ def run_unit_test(unit_test: UnitTests):
     elif unit_test == UnitTests.COSTS:
         portfolio_nav = backtest_model_portfolio(prices=prices,
                                                  weights=np.array([1.0, 1.0]),
-                                                 rebalance_freq='QE')
+                                                 rebalancing_freq='QE')
 
         portfolio_nav.plot_pnl()
 

{qis-3.0.10 → qis-3.1.2}/qis/portfolio/multi_portfolio_data.py

@@ -80,12 +80,17 @@ class MultiPortfolioData:
                  ) -> pd.DataFrame:
         """
         get portfolio navs
+        double check that benchmark is not part of portfolio
         """
         navs = self.navs
         if benchmark is not None:
-            navs = pd.concat([self.benchmark_prices[benchmark].reindex(index=navs.index).ffill(), navs], axis=1)
+            if benchmark not in navs.columns:
+                navs = pd.concat([self.benchmark_prices[benchmark].reindex(index=navs.index).ffill(), navs], axis=1)
         elif add_benchmarks_to_navs:
-            navs = pd.concat([navs, self.benchmark_prices.reindex(index=navs.index).ffill()], axis=1).ffill()
+            benchmarks = self.benchmark_prices.reindex(index=navs.index).ffill()
+            for benchmark in benchmarks.columns:
+                if benchmark not in navs.columns:
+                    navs = pd.concat([navs, benchmarks[benchmark]], axis=1)
 
         if time_period is not None:
             navs = time_period.locate(navs)
@@ -442,14 +447,14 @@ class MultiPortfolioData:
             drop_benchmark = False
         ra_perf_title = f"RA performance table for {perf_params.freq_vol}-freq returns with beta to {benchmark}: " \
                         f"{qis.get_time_period(prices).to_str()}"
-        
+
         if add_turnover:
             turnover = self.get_turnover(time_period=time_period, **kwargs)
             turnover = turnover.mean(axis=0).to_frame('Turnover')
             df_to_add = qis.df_to_str(turnover, var_format='{:,.0%}')
         else:
             df_to_add = None
-            
+
         fig, ra_perf_table = ppt.plot_ra_perf_table_benchmark(prices=prices,
                                                               benchmark=benchmark,
                                                               perf_params=perf_params,
@@ -499,11 +504,13 @@ class MultiPortfolioData:
             strategy_prices = pd.concat(strategy_prices, axis=1)
 
             benchmark_price = benchmark_price.reindex(index=strategy_prices.index, method='ffill')
+            if benchmark_price.name not in strategy_prices.columns:
+                prices = pd.concat([benchmark_price, strategy_prices], axis=1)
+            else:
+                prices = strategy_prices
             if add_ac:  # otherwise tables look too bad
                 ac_prices = pd.concat(ac_prices, axis=1)
-                prices = pd.concat([benchmark_price, strategy_prices, ac_prices], axis=1)
-            else:
-                prices = pd.concat([strategy_prices, benchmark_price], axis=1)
+                prices = pd.concat([prices, ac_prices], axis=1)
 
         ra_perf_title = f"RA performance table for {perf_params.freq_vol}-freq returns with beta to " \
                         f"{benchmark_price.name}: {qis.get_time_period(prices).to_str()}"

{qis-3.0.10 → qis-3.1.2}/qis/portfolio/portfolio_data.py

@@ -138,7 +138,8 @@ class PortfolioData:
     NAV level getters
     """
 
-    def get_portfolio_nav(self, time_period: TimePeriod = None, freq: Optional[str] = None) -> pd.Series:
+    def get_portfolio_nav(self, time_period: TimePeriod = None, freq: Optional[str] = None,
+                          ticker: Optional[str] = None) -> pd.Series:
         """
         get nav using consistent function for all return computations
         """
@@ -148,6 +149,8 @@ class PortfolioData:
             nav_ = self.nav.copy()
         if freq is not None:
             nav_ = nav_.asfreq(freq=freq, method='ffill')
+        if ticker is not None:
+            nav_ = nav_.rename(ticker)
         return nav_
 
     def get_portfolio_nav_with_benchmark_prices(self,
@@ -1714,7 +1717,7 @@ class PortfolioInput:
     prices: pd.DataFrame = None  # mandatory but we set none for enumarators
     allocation_type: AllocationType = AllocationType.FIXED_WEIGHTS
     time_period: TimePeriod = None
-    rebalance_freq: str = 'QE'
+    rebalancing_freq: str = 'QE'
     freq_regime: str = 'ME'
     returns_freq: str = 'ME'
     ewm_lambda: float = 0.92

{qis-3.0.10 → qis-3.1.2}/qis/settings.yaml

@@ -18,4 +18,3 @@ OUTPUT_PATH:
 
 AWS_POSTGRES:
   ""
-

{qis-3.0.10 → qis-3.1.2}/qis/utils/df_str.py

@@ -32,6 +32,8 @@ def float_to_str(x: float,
     elif isinstance(x, str):
         return x
     else:
+        if not isinstance(x, float):
+            raise ValueError(f"x must ne float not type={type(x)}")
         return var_format.format(x)
 
 

qis-3.0.10/qis/examples/oakmark_analysis.py

@@ -1,21 +0,0 @@
-"""
-analysis of Oakmark Select Fund Investor shareclass (expense ratio=1%)
-"""
-import qis as qis
-from bbg_fetch import fetch_field_timeseries_per_tickers
-
-# Define benchmark and fetch prices
-benchmark = 'SPY'
-tickers = {'SPY US Equity': benchmark, 'OAKLX US Equity': 'Oakmark Select Inv'}
-prices = fetch_field_timeseries_per_tickers(tickers=tickers, field='PX_LAST', CshAdjNormal=True, freq='B')
-
-# defined time period for analysis and run factcheet
-time_period = qis.TimePeriod('01Nov1996', '10Jan2025')
-fig = qis.generate_multi_asset_factsheet(prices=prices, benchmark=benchmark,
-                                         time_period=time_period,
-                                         **qis.fetch_default_report_kwargs(reporting_frequency=qis.ReportingFrequency.DAILY))
-
-qis.save_fig(fig=fig, file_name=f"oakmark_report", local_path=qis.local_path.get_output_path())
-qis.save_figs_to_pdf(figs=[fig],
-                     file_name=f"oakmark_report", orientation='landscape',
-                     local_path=qis.local_path.get_output_path())