qis 3.0.1__tar.gz → 3.0.3__tar.gz

{qis-3.0.1 → qis-3.0.3}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: qis
-Version: 3.0.1
+Version: 3.0.3
 Summary: Implementation of visualisation and reporting analytics for Quantitative Investment Strategies
 License: LICENSE.txt
 Keywords: quantitative,investing,portfolio optimization,systematic strategies,volatility
@@ -135,7 +135,7 @@ import qis
 
 # define tickers and fetch price data
 tickers = ['SPY', 'QQQ', 'EEM', 'TLT', 'IEF', 'SHY', 'LQD', 'HYG', 'GLD']
-prices = yf.download(tickers, start=None, end=None)['Adj Close'][tickers].dropna()
+prices = yf.download(tickers, start=None, end=None)['Close'][tickers].dropna()
 
 # plotting price data with minimum usage
 with sns.axes_style("darkgrid"):
@@ -153,7 +153,7 @@ with sns.axes_style("darkgrid"):
 
 ```python 
 # plot risk-adjusted performance table with excess Sharpe ratio
-ust_3m_rate = yf.download('^IRX', start=None, end=None)['Adj Close'].dropna() / 100.0
+ust_3m_rate = yf.download('^IRX', start=None, end=None)['Close'].dropna() / 100.0
 # set parameters for computing performance stats including returns vols and regressions
 perf_params = qis.PerfParams(freq='ME', freq_reg='QE', alpha_an_factor=4.0, rates_data=ust_3m_rate)
 # perf_columns is list to display different perfomance metrics from enumeration PerfStat

{qis-3.0.1 → qis-3.0.3}/README.md

@@ -85,7 +85,7 @@ import qis
 
 # define tickers and fetch price data
 tickers = ['SPY', 'QQQ', 'EEM', 'TLT', 'IEF', 'SHY', 'LQD', 'HYG', 'GLD']
-prices = yf.download(tickers, start=None, end=None)['Adj Close'][tickers].dropna()
+prices = yf.download(tickers, start=None, end=None)['Close'][tickers].dropna()
 
 # plotting price data with minimum usage
 with sns.axes_style("darkgrid"):
@@ -103,7 +103,7 @@ with sns.axes_style("darkgrid"):
 
 ```python 
 # plot risk-adjusted performance table with excess Sharpe ratio
-ust_3m_rate = yf.download('^IRX', start=None, end=None)['Adj Close'].dropna() / 100.0
+ust_3m_rate = yf.download('^IRX', start=None, end=None)['Close'].dropna() / 100.0
 # set parameters for computing performance stats including returns vols and regressions
 perf_params = qis.PerfParams(freq='ME', freq_reg='QE', alpha_an_factor=4.0, rates_data=ust_3m_rate)
 # perf_columns is list to display different perfomance metrics from enumeration PerfStat

{qis-3.0.1 → qis-3.0.3}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "qis"
-version = "3.0.1"
+version = "3.0.3"
 description = "Implementation of visualisation and reporting analytics for Quantitative Investment Strategies"
 license = "LICENSE.txt"
 authors = ["Artur Sepp <artursepp@gmail.com>"]

{qis-3.0.1 → qis-3.0.3}/qis/examples/best_returns.py

@@ -73,7 +73,7 @@ class UnitTests(Enum):
 def run_unit_test(unit_test: UnitTests):
 
     ticker = 'SPY'
-    prices = yf.download(ticker, start=None, end=None)['Adj Close'].rename(ticker)
+    prices = yf.download(ticker, start=None, end=None)['Close'].rename(ticker)
 
     freq = 'ME'
     wo_type = WoType.BEST

{qis-3.0.1 → qis-3.0.3}/qis/examples/bootstrap_analysis.py

@@ -165,7 +165,7 @@ def run_unit_test(unit_test: UnitTests):
     LOCAL_PATH = "C://Users//artur//OneDrive//analytics//outputs//"
 
     # download spy prices
-    prices = yf.download(tickers=['SPY'], start=None, end=None, ignore_tz=True)['Adj Close'].rename('Realised')
+    prices = yf.download(tickers=['SPY'], start=None, end=None, ignore_tz=True)['Close'].rename('Realised')
 
     if unit_test == UnitTests.PLOT_BOOTSRAPPED_PRICES:
         # use small number of num_samples for illustration

{qis-3.0.1 → qis-3.0.3}/qis/examples/boxplot_conditional_returns.py

@@ -15,7 +15,7 @@ def run_unit_test(unit_test: UnitTests):
     if unit_test == UnitTests.RETURNS_BOXPLOT:
         asset = 'SPY'
         regime_benchmark = '^VIX'
-        prices = yf.download([asset, regime_benchmark], start=None, end=None)['Adj Close'].dropna()
+        prices = yf.download([asset, regime_benchmark], start=None, end=None)['Close'].dropna()
         prices = prices.asfreq('W-FRI', method='ffill')
         data = pd.concat([prices[asset].pct_change(),  # use returns over (t_0, t_1]
                           prices[regime_benchmark].shift(1)  # use level at t_0

{qis-3.0.1 → qis-3.0.3}/qis/examples/btc_asset_corr.py

@@ -13,7 +13,7 @@ ASSET = 'QQQ'
 CRYPTO = 'BTC-USD'
 tickers = [ASSET, CRYPTO]
 # fetch yahoo data
-prices = yf.download(tickers, start=None, end=None)['Adj Close'][tickers]
+prices = yf.download(tickers, start=None, end=None)['Close'][tickers]
 # resample to business days
 prices = prices.asfreq('B', method='ffill').dropna()
 # % returns

{qis-3.0.1 → qis-3.0.3}/qis/examples/constant_notional.py

@@ -16,7 +16,7 @@ import qis
 
 # load dprice data for given ticker
 ticker = 'SPY'
-price = yf.download(ticker, start=None, end=None)['Adj Close'].rename(ticker)
+price = yf.download(ticker, start=None, end=None)['Close'].rename(ticker)
 price = price.loc['2016':]
 price_np = price.to_numpy()
 

{qis-3.0.1 → qis-3.0.3}/qis/examples/constant_weight_portfolios.py

@@ -8,7 +8,7 @@ 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 = 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',

{qis-3.0.1 → qis-3.0.3}/qis/examples/core/price_plots.py

@@ -96,7 +96,7 @@ class UnitTests(Enum):
 
 def run_unit_test(unit_test: UnitTests):
 
-    ust_3m_rate = yf.download('^IRX', start=None, end=None)['Adj Close'].dropna() / 100.0
+    ust_3m_rate = yf.download('^IRX', start=None, end=None)['Close'].dropna() / 100.0
 
     if unit_test == UnitTests.ETF_DATA:
         regime_benchmark_str = 'SPY'
@@ -140,7 +140,7 @@ def run_unit_test(unit_test: UnitTests):
         perf_params = qis.PerfParams(freq='W-WED', freq_reg='W-WED', freq_drawdown='B', rates_data=ust_3m_rate, alpha_an_factor=52)
         kwargs = dict(x_date_freq='ME', heatmap_freq='ME', date_format='%b-%y', perf_params=perf_params)
 
-    prices = yf.download(tickers, start=None, end=None)['Adj Close'][tickers].dropna()
+    prices = yf.download(tickers, start=None, end=None)['Close'][tickers].dropna()
 
     if time_period is not None:
         prices = time_period.locate(prices)

{qis-3.0.1 → qis-3.0.3}/qis/examples/factsheets/multi_assets.py

@@ -83,7 +83,7 @@ def run_unit_test(unit_test: UnitTests):
         raise NotImplementedError
 
     if prices is None:
-        prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Adj Close'][tickers]
+        prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Close'][tickers]
 
     prices = prices.asfreq('B', method='ffill')  # make B frequency
     prices = prices.dropna()

{qis-3.0.1 → qis-3.0.3}/qis/examples/factsheets/multi_strategy.py

@@ -25,7 +25,7 @@ def fetch_universe_data() -> Tuple[pd.DataFrame, pd.DataFrame, pd.Series]:
                          GLD='Gold')
     tickers = list(universe_data.keys())
     group_data = pd.Series(universe_data)  # for portfolio reporting
-    prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Adj Close'][tickers]
+    prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Close'][tickers]
     prices = prices.asfreq('B', method='ffill')
     benchmark_prices = prices[['SPY', 'TLT']]
     return prices, benchmark_prices, group_data

{qis-3.0.1 → qis-3.0.3}/qis/examples/factsheets/pyblogs_reports.py

@@ -26,7 +26,7 @@ def fetch_riskparity_universe_data() -> Tuple[pd.DataFrame, pd.DataFrame, pd.Ser
                          GLD='Gold')
     tickers = list(universe_data.keys())
     group_data = pd.Series(universe_data)  # for portfolio reporting
-    prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Adj Close'][tickers]
+    prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Close'][tickers]
     prices = prices.asfreq('B', method='ffill').loc['2003': ]
     benchmark_prices = prices[['SPY', 'TLT']]
     return prices, benchmark_prices, group_data

{qis-3.0.1 → qis-3.0.3}/qis/examples/factsheets/strategy.py

@@ -22,7 +22,7 @@ def fetch_universe_data() -> Tuple[pd.DataFrame, pd.DataFrame, pd.Series]:
                          GLD='Gold')
     tickers = list(universe_data.keys())
     group_data = pd.Series(universe_data)  # for portfolio reporting
-    prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Adj Close'][tickers]
+    prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Close'][tickers]
     prices = prices.asfreq('B', method='ffill')  # make B frequency
     benchmark_prices = prices[['SPY', 'TLT']]
     return prices, benchmark_prices, group_data
@@ -36,7 +36,7 @@ def fetch_equity_bond() -> Tuple[pd.DataFrame, pd.DataFrame, pd.Series]:
                          IEF='Bonds')
     tickers = list(universe_data.keys())
     group_data = pd.Series(universe_data)  # for portfolio reporting
-    prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Adj Close'][tickers]
+    prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Close'][tickers]
     benchmark_prices = prices[['SPY', 'IEF']]
     return prices, benchmark_prices, group_data
 

{qis-3.0.1 → qis-3.0.3}/qis/examples/factsheets/strategy_benchmark.py

@@ -34,7 +34,7 @@ def fetch_universe_data() -> Tuple[pd.DataFrame, pd.DataFrame, pd.Series]:
                          GLD='Gold')
     tickers = list(universe_data.keys())
     group_data = pd.Series(universe_data)  # for portfolio reporting
-    prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Adj Close'][tickers]
+    prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Close'][tickers]
     prices = prices.asfreq('B', method='ffill')
     benchmark_prices = prices[['SPY', 'TLT']]
     return prices, benchmark_prices, group_data

{qis-3.0.1 → qis-3.0.3}/qis/examples/interpolation_infrequent_returns.py

@@ -25,7 +25,7 @@ def run_unit_test(unit_test: UnitTests):
         pivot = 'SPY'
         asset = 'QQQ'
         tickers = [pivot, asset]
-        prices = yf.download(tickers=tickers, start=None, end=None)['Adj Close']
+        prices = yf.download(tickers=tickers, start=None, end=None)['Close']
 
     elif unit_test == UnitTests.BBG:
         from bbg_fetch import fetch_field_timeseries_per_tickers

{qis-3.0.1 → qis-3.0.3}/qis/examples/leveraged_strategies.py

@@ -13,7 +13,7 @@ benchmark = 'SPY'
 tickers = [benchmark, 'SSO', 'IEF']
 
 # fetch prices
-prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Adj Close'][tickers]
+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
@@ -27,7 +27,7 @@ unleveraged_portfolio = qis.backtest_model_portfolio(prices=prices[['SSO', 'IEF'
                                                      ticker='50/50 SSO/IEF').get_portfolio_nav()
 
 # leveraged is funded at 100bp + 3m UST
-funding_rate = 0.01 + yf.download('^IRX', start=None, end=None)['Adj Close'].dropna() / 100.0
+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,

{qis-3.0.1 → qis-3.0.3}/qis/examples/long_short.py

@@ -24,13 +24,13 @@ def run_unit_test(unit_test: UnitTests):
     time_period = TimePeriod('31Dec2021', '19Sep2022')
 
     if unit_test == UnitTests.LONG_IEF_SHORT_LQD:
-        prices = yf.download(tickers=['IEF', 'LQD', 'LQDH', 'IGIB'], start=None, end=None)['Adj Close']
+        prices = yf.download(tickers=['IEF', 'LQD', 'LQDH', 'IGIB'], start=None, end=None)['Close']
         prices = time_period.locate(prices)
         rets = qis.to_returns(prices=prices, is_first_zero=True)
         navs1 = qis.returns_to_nav(returns=4.0*(rets.iloc[:, 0] - rets.iloc[:, 1]).rename('4x(Long 10y ETF / Short IG ETF)'))
         navs2 = qis.returns_to_nav(returns=-4.0*rets.iloc[:, 2].rename('4x(Short LQDH)'))
         navs3 = qis.returns_to_nav(returns=4.0*(0.5*rets.iloc[:, 0] - rets.iloc[:, 3]).rename('4x(Long 10y ETF / Short IGIB)'))
-        spy = time_period.locate(yf.download(tickers=['SPY'])['Adj Close'])
+        spy = time_period.locate(yf.download(tickers=['SPY'])['Close'])
         prices2 = pd.concat([navs1, navs2, navs3, spy], axis=1)
 
         with sns.axes_style('darkgrid'):

{qis-3.0.1 → qis-3.0.3}/qis/examples/overnight_returns.py

@@ -14,9 +14,9 @@ def compute_returns(ticker: str = 'SPY', time_period: qis.TimePeriod = None) ->
     if time_period is not None:
         ohlc_data = time_period.locate(ohlc_data)
     # need to adjust open price for dividends
-    adjustment_ratio = ohlc_data['Adj Close'] / ohlc_data['Close']
+    adjustment_ratio = ohlc_data['Close'] / ohlc_data['Close']
     adjusted_open = adjustment_ratio.multiply(ohlc_data['Open'])
-    adjusted_close = ohlc_data['Adj Close']
+    adjusted_close = ohlc_data['Close']
     overnight_return = adjusted_open.divide(adjusted_close.shift(1)) - 1.0
     intraday_return = adjusted_close.divide(adjusted_open) - 1.0
     close_to_close_return = adjusted_close.divide(adjusted_close.shift(1)) - 1.0

{qis-3.0.1 → qis-3.0.3}/qis/examples/perf_external_assets.py

@@ -15,14 +15,14 @@ import qis
 svrpo = qis.load_df_from_csv(file_name='SVRPO_History', local_path=qis.get_resource_path())
 # spy etf as benchmark
 benchmark = 'SPY'
-spy = yf.download([benchmark], start=None, end=None)['Adj Close'].rename(benchmark)
+spy = yf.download([benchmark], start=None, end=None)['Close'].rename(benchmark)
 # merge
 prices = pd.concat([spy, svrpo], axis=1).dropna()
 # take last 3 years
 prices = prices.loc['2020':, :]
 
 # set parameters for computing performance stats including returns vols and regressions
-ust_3m_rate = yf.download('^IRX', start=None, end=None)['Adj Close'].dropna() / 100.0
+ust_3m_rate = yf.download('^IRX', start=None, end=None)['Close'].dropna() / 100.0
 perf_params = qis.PerfParams(freq='ME', freq_reg='W-WED', alpha_an_factor=52.0, rates_data=ust_3m_rate)
 
 # price perf

{qis-3.0.1 → qis-3.0.3}/qis/examples/readme_performances.py

@@ -7,7 +7,7 @@ import qis as qis
 
 # define tickers and fetch price data
 tickers = ['SPY', 'QQQ', 'EEM', 'TLT', 'IEF', 'SHY', 'LQD', 'HYG', 'GLD']
-prices = yf.download(tickers, start=None, end=None)['Adj Close'][tickers].dropna()
+prices = yf.download(tickers, start=None, end=None)['Close'][tickers].dropna()
 
 # minimum usage
 with sns.axes_style("darkgrid"):
@@ -28,7 +28,7 @@ qis.save_fig(fig, file_name='perf2', local_path="figures/")
 # risk-adjusted performance table with specified data entries
 # add rates for excess Sharpe
 from qis import PerfStat
-ust_3m_rate = yf.download('^IRX', start=None, end=None)['Adj Close'].dropna() / 100.0
+ust_3m_rate = yf.download('^IRX', start=None, end=None)['Close'].dropna() / 100.0
 
 # set parameters for computing performance stats including returns vols and regressions
 perf_params = qis.PerfParams(freq='ME', freq_reg='QE', alpha_an_factor=4.0, rates_data=ust_3m_rate)

{qis-3.0.1 → qis-3.0.3}/qis/examples/risk_return_frontier.py

@@ -22,10 +22,10 @@ bond_etfs = {'SHV': '3m UST',
              }
 # fetch prices and rename to dict values
 tickers = list(bond_etfs.keys())
-prices = yf.download(tickers, start=None, end=None)['Adj Close'][tickers].rename(bond_etfs, axis=1)
+prices = yf.download(tickers, start=None, end=None)['Close'][tickers].rename(bond_etfs, axis=1)
 
 # set parameters for computing performance stats including returns vols and regressions
-ust_3m_rate = yf.download('^IRX', start=None, end=None)['Adj Close'].dropna() / 100.0
+ust_3m_rate = yf.download('^IRX', start=None, end=None)['Close'].dropna() / 100.0
 perf_params = qis.PerfParams(freq='W-WED', rates_data=ust_3m_rate)
 
 # time period for performance measurement

{qis-3.0.1 → qis-3.0.3}/qis/examples/seasonality.py

@@ -8,7 +8,7 @@ import qis
 tickers = ['SPY', 'TLT', 'GLD']
 
 # fetch prices
-prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Adj Close'][tickers]
+prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Close'][tickers]
 prices = prices.asfreq('B', method='ffill').dropna() # make B frequency
 returns = qis.to_returns(prices, freq='ME', drop_first=True)
 returns['month'] = returns.index.month

{qis-3.0.1 → qis-3.0.3}/qis/examples/sharpe_vs_sortino.py

@@ -7,7 +7,7 @@ from qis import PerfStat
 
 # define tickers and fetch price data
 tickers = ['SPY', 'QQQ', 'EEM', 'TLT', 'IEF', 'SHY', 'LQD', 'HYG', 'GLD']
-prices = yf.download(tickers, start=None, end=None)['Adj Close'][tickers].dropna()
+prices = yf.download(tickers, start=None, end=None)['Close'][tickers].dropna()
 
 # define frequencies for vol computations
 freqs = ['B', 'W-WED', 'ME', 'QE']

{qis-3.0.1 → qis-3.0.3}/qis/examples/simulate_quant_strats.py

@@ -226,7 +226,7 @@ def run_unit_test(unit_test: UnitTests):
     import yfinance as yf
 
     if unit_test == UnitTests.BTC_SIMULATION:
-        prices = yf.download(tickers=['BTC-USD'], start=None, end=None)['Adj Close'].rename('BTC').dropna()
+        prices = yf.download(tickers=['BTC-USD'], start=None, end=None)['Close'].rename('BTC').dropna()
 
         time_period = qis.TimePeriod('31Dec2015', '21Jun2023')
         figs = create_time_series_report(prices=prices, time_period=time_period, vol_target=0.5, vol_af=360)
@@ -234,7 +234,7 @@ def run_unit_test(unit_test: UnitTests):
                             add_current_date=True, local_path=None)
 
     elif unit_test == UnitTests.SPY_SIMULATION:
-        prices = yf.download(tickers=['SPY'], start=None, end=None)['Adj Close'].rename('SPY').dropna()
+        prices = yf.download(tickers=['SPY'], start=None, end=None)['Close'].rename('SPY').dropna()
         time_period = qis.TimePeriod('31Dec2019', '15Aug2024')
         figs = create_time_series_report(prices=prices, time_period=time_period, vol_target=0.15, vol_af=260)
         fu.save_figs_to_pdf(figs=figs, file_name='spy_analysis', orientation='landscape',

{qis-3.0.1 → qis-3.0.3}/qis/examples/try_pybloqs.py

@@ -131,7 +131,7 @@ class UnitTests(Enum):
 
 def run_unit_test(unit_test: UnitTests):
 
-    ust_3m_rate = yf.download('^IRX', start=None, end=None)['Adj Close'].dropna() / 100.0
+    ust_3m_rate = yf.download('^IRX', start=None, end=None)['Close'].dropna() / 100.0
 
     if unit_test == UnitTests.ETF_DATA:
         regime_benchmark_str = 'SPY'
@@ -154,7 +154,7 @@ def run_unit_test(unit_test: UnitTests):
         perf_params = qis.PerfParams(freq='W-WED', freq_reg='W-WED', freq_drawdown='B', rates_data=ust_3m_rate)
         kwargs = dict(x_date_freq='ME', heatmap_freq='ME', date_format='%b-%y', perf_params=perf_params)
 
-    prices = yf.download(tickers, start=None, end=None)['Adj Close'].dropna()
+    prices = yf.download(tickers, start=None, end=None)['Close'].dropna()
 
     if time_period is not None:
         prices = time_period.locate(prices)

{qis-3.0.1 → qis-3.0.3}/qis/examples/universe_corrs.py

@@ -11,7 +11,7 @@ class UnitTests(Enum):
 def run_unit_test(unit_test: UnitTests):
 
     tickers = ['SPY', 'QQQ', 'TLT', 'GLD']
-    prices = yf.download(tickers, start=None, end=None)['Adj Close'][tickers].dropna()
+    prices = yf.download(tickers, start=None, end=None)['Close'][tickers].dropna()
 
     if unit_test == UnitTests.CORR1:
         fig, ax = plt.subplots(1, 1, figsize=(7, 7), tight_layout=True)

{qis-3.0.1 → qis-3.0.3}/qis/examples/vix_beta_to_equities_bonds.py

@@ -9,10 +9,10 @@ import qis
 from qis import PortfolioData
 
 # load VIX ETH
-vix = yf.download(tickers=['VXX'], start=None, end=None, ignore_tz=True)['Adj Close'].asfreq('B', method='ffill').rename('Long VIX ETF')
+vix = yf.download(tickers=['VXX'], start=None, end=None, ignore_tz=True)['Close'].asfreq('B', method='ffill').rename('Long VIX ETF')
 
 # load becnhmarks benchmarks
-benchmark_prices = yf.download(tickers=['SPY', 'TLT'], start=None, end=None, ignore_tz=True)['Adj Close'].asfreq('B', method='ffill')
+benchmark_prices = yf.download(tickers=['SPY', 'TLT'], start=None, end=None, ignore_tz=True)['Close'].asfreq('B', method='ffill')
 
 # create long-only portfolio using vix nav
 vix_portfolio = PortfolioData(nav=vix)
@@ -20,7 +20,7 @@ vix_portfolio = PortfolioData(nav=vix)
 # set timeperiod for analysis
 time_period = qis.TimePeriod('31Dec2021', None)
 perf_params = qis.PerfParams(freq='W-WED', freq_reg='W-WED', alpha_an_factor=52.0,
-                             rates_data=yf.download('^IRX', start=None, end=None)['Adj Close'].dropna() / 100.0)
+                             rates_data=yf.download('^IRX', start=None, end=None)['Close'].dropna() / 100.0)
 regime_params = qis.BenchmarkReturnsQuantileRegimeSpecs(freq='ME')
 
 prices = pd.concat([vix, benchmark_prices], axis=1).sort_index().dropna()

{qis-3.0.1 → qis-3.0.3}/qis/examples/vix_spy_by_year.py

@@ -81,7 +81,7 @@ def run_unit_test(unit_test: UnitTests):
     time_period = qis.TimePeriod('01Jan1996', None)
 
     if unit_test == UnitTests.VIX_SPY:
-        prices = yf.download(['SPY', '^VIX'], start=None, end=None)['Adj Close']
+        prices = yf.download(['SPY', '^VIX'], start=None, end=None)['Close']
         fig = plot_vol_vs_underlying(spot=prices['SPY'].rename('S&P500'),
                                      vol=prices['^VIX'].rename('VIX'),
                                      time_period=time_period)

{qis-3.0.1 → qis-3.0.3}/qis/plots/reports/econ_data_single.py

@@ -170,20 +170,17 @@ class UnitTests(Enum):
 def run_unit_test(unit_test: UnitTests):
 
     import matplotlib.pyplot as plt
-    import futures_strats.local_path as lp
-    local_path = lp.get_resource_path()
-
     if unit_test == UnitTests.UPDATE_DATA:
         from bbg_fetch import fetch_field_timeseries_per_tickers
         vix_tickers = ['VIX1D Index', 'VIX9D Index', 'VIX Index', 'VIX3M Index', 'VIX6M Index', 'VIX1Y Index']
         vols = 0.01 * fetch_field_timeseries_per_tickers(tickers=vix_tickers, field='PX_LAST', CshAdjNormal=True)
         print(vols)
-        qis.save_df_to_csv(df=vols, file_name='vix_indices', local_path=local_path)
+        qis.save_df_to_csv(df=vols, file_name='vix_indices')
 
     elif unit_test == UnitTests.RUN_REPORT:
-        df = qis.load_df_from_csv(file_name='vix_indices', local_path=local_path)
+        df = qis.load_df_from_csv(file_name='vix_indices')
         figs = econ_data_report(data=df)
-        qis.save_figs_to_pdf(figs, file_name='vix_indices', local_path=local_path)
+        qis.save_figs_to_pdf(figs, file_name='vix_indices')
 
     plt.show()
 

{qis-3.0.1 → qis-3.0.3}/qis/portfolio/ewm_portfolio_risk.py

@@ -75,9 +75,11 @@ def compute_portfolio_vol(returns: pd.DataFrame,
                                               init_type=init_type,
                                               nan_backfill=nan_backfill)
 
+    if span is not None:
+        ewm_lambda = 1.0 - 2.0 / (span + 1.0)
+
     portfolio_vol = compute_portfolio_var_np(returns=returns_np,
                                              weights=weights_np,
-                                             span=span,
                                              ewm_lambda=ewm_lambda)
 
     if annualize:

{qis-3.0.1 → qis-3.0.3}/qis/portfolio/multi_portfolio_data.py

@@ -216,7 +216,7 @@ class MultiPortfolioData:
                                      freq: Optional[str] = 'B',
                                      time_period: TimePeriod = None,
                                      af: float = 260,
-                                     is_norm_costs: bool = True,
+                                     is_unit_based_traded_volume: bool = True,
                                      **kwargs
                                      ) -> pd.DataFrame:
         """
@@ -238,7 +238,7 @@ class MultiPortfolioData:
                                                                             roll_period=None, add_total=False)
         strategy_cost = self.portfolio_datas[strategy_idx].get_costs(time_period=time_period, freq=freq,
                                                                      roll_period=None,
-                                                                     add_total=False, is_norm_costs=is_norm_costs)
+                                                                     add_total=False, is_unit_based_traded_volume=is_unit_based_traded_volume)
         strategy_ticker = self.portfolio_datas[strategy_idx].ticker
 
         # benchmark_weights = self.portfolio_datas[benchmark_idx].get_weights(time_period=time_period, freq=None, is_input_weights=True)
@@ -246,7 +246,7 @@ class MultiPortfolioData:
                                                                               roll_period=None, add_total=False)
         benchmark_cost = self.portfolio_datas[benchmark_idx].get_costs(time_period=time_period, freq=freq,
                                                                        roll_period=None,
-                                                                       add_total=False, is_norm_costs=is_norm_costs)
+                                                                       add_total=False, is_unit_based_traded_volume=is_unit_based_traded_volume)
         benchmark_ticker = self.portfolio_datas[benchmark_idx].ticker
 
         # compute stats
@@ -606,12 +606,14 @@ class MultiPortfolioData:
                       turnover_rolling_period: Optional[int] = 260,
                       freq_turnover: Optional[str] = 'B',
                       var_format: str = '{:.0%}',
+                      is_unit_based_traded_volume: bool = True,
                       ax: plt.Subplot = None,
                       **kwargs) -> None:
 
         turnover = []
         for portfolio in self.portfolio_datas:
-            turnover.append(portfolio.get_turnover(roll_period=turnover_rolling_period, freq=freq_turnover, is_agg=True).rename(portfolio.nav.name))
+            turnover.append(portfolio.get_turnover(roll_period=turnover_rolling_period, freq=freq_turnover, is_agg=True,
+                                                   is_unit_based_traded_volume=is_unit_based_traded_volume).rename(portfolio.nav.name))
         turnover = pd.concat(turnover, axis=1)
         if time_period is not None:
             turnover = time_period.locate(turnover)
@@ -635,13 +637,13 @@ class MultiPortfolioData:
                    time_period: TimePeriod = None,
                    regime_params: BenchmarkReturnsQuantileRegimeSpecs = REGIME_PARAMS,
                    var_format: str = '{:.2%}',
-                   is_norm_costs: bool = True,
+                   is_unit_based_traded_volume: bool = True,
                    ax: plt.Subplot = None,
                    **kwargs) -> None:
         costs = []
         for portfolio in self.portfolio_datas:
             costs.append(portfolio.get_costs(roll_period=cost_rolling_period, freq=freq_cost, is_agg=True,
-                                             is_norm_costs=is_norm_costs).rename(portfolio.nav.name))
+                                             is_unit_based_traded_volume=is_unit_based_traded_volume).rename(portfolio.nav.name))
         costs = pd.concat(costs, axis=1)
         if time_period is not None:
             costs = time_period.locate(costs)

{qis-3.0.1 → qis-3.0.3}/qis/portfolio/portfolio_data.py

@@ -167,13 +167,13 @@ class PortfolioData:
                             add_total: bool = False,
                             time_period: TimePeriod = None,
                             is_net: bool = False,
-                            is_norm_costs: bool = True,
+                            is_unit_based_traded_volume: bool = True,
                             is_compounded: bool = False,
                             freq: Optional[str] = None
                             ) -> pd.DataFrame:
         pnl = self.instrument_pnl.copy()
         if is_net:
-            costs = self.get_costs(add_total=False, is_norm_costs=is_norm_costs)
+            costs = self.get_costs(add_total=False, is_unit_based_traded_volume=is_unit_based_traded_volume)
             pnl = pnl.subtract(costs)
         if add_total:
             pnl.insert(loc=0, value=pnl.sum(1), column='Total')
@@ -335,12 +335,17 @@ class PortfolioData:
                      is_vol_adjusted: bool = False,
                      add_total: bool = True,
                      vol_span: int = 33,
-                     freq: Optional[str] = None
+                     freq: Optional[str] = None,
+                     is_unit_based_traded_volume: bool = True
                      ) -> Union[pd.DataFrame, pd.Series]:
-        turnover = (self.units.diff(1).abs()).multiply(self.prices)
-        abs_exposure = self.units.multiply(self.prices).abs().sum(axis=1)
-        # turnover = turnover.divide(self.nav.to_numpy(), axis=0)
-        turnover = turnover.divide(abs_exposure.to_numpy(), axis=0)
+
+        if is_unit_based_traded_volume:  # for unit generated backtest
+            turnover = (self.units.diff(1).abs()).multiply(self.prices)
+            abs_exposure = self.units.multiply(self.prices).abs().sum(axis=1)
+            # turnover = turnover.divide(self.nav.to_numpy(), axis=0)
+            turnover = turnover.divide(abs_exposure.to_numpy(), axis=0)
+        else:  # for weight generated backtets
+            turnover = self.input_weights.diff(1).abs()
 
         if is_vol_adjusted:
             instrument_vols = compute_ewm_vol(data=qis.to_returns(self.prices, is_log_returns=True),
@@ -374,13 +379,13 @@ class PortfolioData:
                   is_grouped: bool = False,
                   time_period: TimePeriod = None,
                   add_total: bool = True,
-                  is_norm_costs: bool = True,
+                  is_unit_based_traded_volume: bool = True,
                   roll_period: Optional[int] = 260,
                   freq: Optional[str] = None
                   ) -> Union[pd.DataFrame, pd.Series]:
 
         costs = self.realized_costs
-        if is_norm_costs:
+        if is_unit_based_traded_volume:
             costs = costs.divide(self.nav.to_numpy(), axis=0)
         if is_agg:
             costs = pd.Series(np.nansum(costs, axis=1), index=self.nav.index, name=self.nav.name)
@@ -533,7 +538,7 @@ class PortfolioData:
     def get_performance_attribution_data(self,
                                          attribution_metric: AttributionMetric = AttributionMetric.PNL,
                                          time_period: TimePeriod = None,
-                                         is_norm_costs: bool = True,
+                                         is_unit_based_traded_volume: bool = True,
                                          **kwargs
                                          ) -> Union[pd.DataFrame, pd.Series]:
         if attribution_metric == AttributionMetric.PNL:
@@ -543,11 +548,11 @@ class PortfolioData:
         elif attribution_metric == AttributionMetric.INST_PNL:
             data = self.get_instruments_navs(time_period=time_period)
         elif attribution_metric == AttributionMetric.COSTS:
-            data = self.get_costs(is_agg=False, is_grouped=False, roll_period=None, is_norm_costs=is_norm_costs,
+            data = self.get_costs(is_agg=False, is_grouped=False, roll_period=None, is_unit_based_traded_volume=is_unit_based_traded_volume,
                                   add_total=False,
                                   time_period=time_period)
             data = data.sum(0)
-            #print(f"total costs, is_norm_costs={is_norm_costs} = {np.nansum(data)}")
+            #print(f"total costs, is_unit_based_traded_volume={is_unit_based_traded_volume} = {np.nansum(data)}")
         elif attribution_metric == AttributionMetric.TURNOVER:
             data = self.get_turnover(is_agg=False, is_grouped=False, roll_period=None,
                                      add_total=False,