qis 3.0.7__tar.gz → 3.0.9__tar.gz

{qis-3.0.7 → qis-3.0.9}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: qis
-Version: 3.0.7
+Version: 3.0.9
 Summary: Implementation of visualisation and reporting analytics for Quantitative Investment Strategies
 License: LICENSE.txt
 Keywords: quantitative,investing,portfolio optimization,systematic strategies,volatility

{qis-3.0.7 → qis-3.0.9}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "qis"
-version = "3.0.7"
+version = "3.0.9"
 description = "Implementation of visualisation and reporting analytics for Quantitative Investment Strategies"
 license = "LICENSE.txt"
 authors = ["Artur Sepp <artursepp@gmail.com>"]

{qis-3.0.7 → qis-3.0.9}/qis/plots/scatter.py

@@ -92,7 +92,7 @@ def plot_scatter(df: pd.DataFrame,
         hue_ids = df[hue].unique()
         for idx, hue_id in enumerate(hue_ids):
             # estimate model equation
-            data_hue = df[df[hue] == hue_id].sort_values(by=x)
+            data_hue = df[df[hue] == hue_id].replace([np.inf, -np.inf], np.nan).dropna().sort_values(by=x)
             x_ = data_hue[x].to_numpy()
             y_ = data_hue[y].to_numpy()
             x1 = qu.get_ols_x(x=x_, order=order, fit_intercept=fit_intercept)

{qis-3.0.7 → qis-3.0.9}/qis/plots/time_series.py

@@ -124,25 +124,26 @@ def plot_time_series(df: Union[pd.Series, pd.DataFrame],
     elif trend_line in [TrendLine.TREND_LINE, TrendLine.TREND_LINE_SHADOWS]:
         for column, color in zip(columns, trend_line_colors):
             y = data1[column].dropna()
-            x0 = y.first_valid_index() or y.index[0]  # if all are nons
-            x1 = y.index[-1]
-            y0 = y[x0]
-            y1 = y.iloc[-1]
-            x = [x0, x1]
-            y = [y0, y1]
-            ax.plot(x, y,
-                    color=color,
-                    linestyle='--',
-                    transform=ax.transData,
-                    linewidth=linewidth)
-
-            if trend_line == TrendLine.TREND_LINE_SHADOWS:
-                x_ = (data1.index - data1.index[0]).days
-                slope = (y1 - y0) / (x_[-1] - x_[0])
-                y_line = [slope * x + y0 for x in x_]
-                y = data1[column]
-                ax.fill_between(data1.index, y, y_line, where=y_line >= y,
-                                facecolor=color, interpolate=True, alpha=0.2, lw=linewidth)
+            if not y.empty:
+                x0 = y.first_valid_index()
+                x1 = y.index[-1]
+                y0 = y[x0]
+                y1 = y.iloc[-1]
+                x = [x0, x1]
+                y = [y0, y1]
+                ax.plot(x, y,
+                        color=color,
+                        linestyle='--',
+                        transform=ax.transData,
+                        linewidth=linewidth)
+
+                if trend_line == TrendLine.TREND_LINE_SHADOWS:
+                    x_ = (data1.index - data1.index[0]).days
+                    slope = (y1 - y0) / (x_[-1] - x_[0])
+                    y_line = [slope * x + y0 for x in x_]
+                    y = data1[column]
+                    ax.fill_between(data1.index, y, y_line, where=y_line >= y,
+                                    facecolor=color, interpolate=True, alpha=0.2, lw=linewidth)
 
     # add last labels
     if last_label in [LastLabel.AVERAGE_VALUE, LastLabel.AVERAGE_VALUE_SORTED]:

{qis-3.0.7 → qis-3.0.9}/qis/portfolio/multi_portfolio_data.py

@@ -1002,6 +1002,7 @@ class MultiPortfolioData:
                              regime_benchmark: str = None,
                              regime_params: BenchmarkReturnsQuantileRegimeSpecs = REGIME_PARAMS,
                              time_period: TimePeriod = None,
+                             title: Optional[str] = 'Tracking error',
                              var_format: str = '{:.2%}',
                              ax: plt.Subplot = None,
                              **kwargs
@@ -1012,7 +1013,7 @@ class MultiPortfolioData:
         pts.plot_time_series(df=tre,
                              var_format=var_format,
                              legend_stats=pts.LegendStats.AVG_NONNAN_LAST,
-                             title='Tracking error',
+                             title=title,
                              ax=ax,
                              **kwargs)
         if regime_benchmark is not None:

{qis-3.0.7 → qis-3.0.9}/qis/portfolio/reports/brinson_attribution.py

@@ -174,7 +174,7 @@ def plot_brinson_totals_table(totals_table: pd.DataFrame,
                               **kwargs
                               ) -> Optional[plt.Figure]:
     special_rows_colors = [(len(totals_table.index), 'steelblue')]
-    rows_edge_lines = [len(totals_table.columns)]  # line before totals
+    rows_edge_lines = [len(totals_table.index)-1]  # line before totals
 
     special_columns_colors = [(0, 'lightblue'),
                               (len(totals_table.columns), 'steelblue')]

{qis-3.0.7 → qis-3.0.9}/qis/portfolio/reports/strategy_benchmark_factsheet.py

@@ -513,6 +513,7 @@ def weights_tracking_error_report_by_ac_subac(multi_portfolio_data: MultiPortfol
                                               add_benchmarks_to_navs: bool = True,
                                               figsize: Tuple[float, float] = (11.7, 8.3),
                                               var_format: str = '{:.1%}',
+                                              add_titles: bool = True,
                                               **kwargs
                                               ) -> Tuple[Dict[str, plt.Figure], Dict[str, pd.DataFrame]]:
     """
@@ -528,13 +529,17 @@ def weights_tracking_error_report_by_ac_subac(multi_portfolio_data: MultiPortfol
         # navs + ra table
         fig, ax = plt.subplots(1, 1, figsize=figsize, tight_layout=True)
         figs['navs'] = fig
+        if add_titles:
+            title = f"Cumulative performance with background colors using bear/normal/bull "
+            f"regimes of {regime_benchmark} {regime_params.freq}-returns"
+        else:
+            title = None
         multi_portfolio_data.plot_nav(regime_benchmark=regime_benchmark,
                                       time_period=time_period,
                                       perf_params=perf_params,
                                       regime_params=regime_params,
                                       add_benchmarks_to_navs=add_benchmarks_to_navs,
-                                      title=f"Cumulative performance with background colors using bear/normal/bull "
-                                            f"regimes of {regime_benchmark} {regime_params.freq}-returns",
+                                      title=title,
                                       ax=ax,
                                       **kwargs)
 
@@ -567,9 +572,11 @@ def weights_tracking_error_report_by_ac_subac(multi_portfolio_data: MultiPortfol
                                                                **weight_kwargs)
 
         # plot strategy and benchmark weights by ac
-        kwargs = qis.update_kwargs(kwargs, dict(strategy_ticker=strategy_ticker, benchmark_ticker=benchmark_ticker))
+        kwargs = qis.update_kwargs(kwargs, dict(strategy_ticker=f"(B) {strategy_ticker}",
+                                                benchmark_ticker=f"(A) {benchmark_ticker}"))
         fig, axs = plt.subplots(1, 2, figsize=figsize, tight_layout=True)
-        qis.set_suptitle(fig, title=f"Time series of weights by asset classes")
+        if add_titles:
+            qis.set_suptitle(fig, title=f"Time series of weights by asset classes")
         figs['strategy_benchmark_weights_stack'] = fig
         plot_exposures_strategy_vs_benchmark_stack(strategy_exposures=strategy_exposures_ac,
                                                    benchmark_exposures=benchmark_exposures_ac,
@@ -579,20 +586,24 @@ def weights_tracking_error_report_by_ac_subac(multi_portfolio_data: MultiPortfol
 
         # boxplot by subac
         fig, axs = plt.subplots(1, 2, figsize=figsize, tight_layout=True)
-        qis.set_suptitle(fig, title=f"Boxplot of weights")
+        if add_titles:
+            qis.set_suptitle(fig, title=f"Boxplot of weights")
         figs['strategy_benchmark_weights_box'] = fig
         plot_exposures_strategy_vs_benchmark_boxplot(strategy_exposures=strategy_exposures_ac,
                                                      benchmark_exposures=benchmark_exposures_ac,
                                                      ax=axs[0],
                                                      ylabel='Weights',
                                                      title='(A) Weights by asset classes',
+                                                     hue_var_name='Asset Class',
                                                      var_format=var_format,
+                                                     allow_negative=True,
                                                      **kwargs)
         plot_exposures_strategy_vs_benchmark_boxplot(strategy_exposures=strategy_exposures_subac,
                                                      benchmark_exposures=benchmark_exposures_subac,
                                                      ax=axs[1],
                                                      ylabel='Weights',
                                                      title='(B) Weights by sub-asset classes',
+                                                     hue_var_name='Sub-Asset Class',
                                                      var_format=var_format,
                                                      **kwargs)
         # risk contributions
@@ -617,7 +628,8 @@ def weights_tracking_error_report_by_ac_subac(multi_portfolio_data: MultiPortfol
 
         # stack for ac
         fig, axs = plt.subplots(1, 2, figsize=figsize, tight_layout=True)
-        qis.set_suptitle(fig, title=f"Time Series of risk contributions by asset classes")
+        if add_titles:
+            qis.set_suptitle(fig, title=f"Time Series of risk contributions by asset classes")
         figs['time_series_risk_contrib'] = fig
         plot_exposures_strategy_vs_benchmark_stack(strategy_exposures=strategy_risk_contributions_ac,
                                                    benchmark_exposures=benchmark_risk_contributions_ac,
@@ -627,13 +639,16 @@ def weights_tracking_error_report_by_ac_subac(multi_portfolio_data: MultiPortfol
 
         # box plots for subac
         fig, axs = plt.subplots(1, 2, figsize=figsize, tight_layout=True)
-        qis.set_suptitle(fig, title=f"Boxplot of risk contributions")
+        if add_titles:
+            qis.set_suptitle(fig, title=f"Boxplot of risk contributions")
         figs['risk_contributions_boxplot'] = fig
         plot_exposures_strategy_vs_benchmark_boxplot(
             strategy_exposures=strategy_risk_contributions_ac,
             benchmark_exposures=benchmark_risk_contributions_ac,
             ax=axs[0],
             title='(A) Risk contributions by asset classes',
+            hue_var_name='Asset Class',
+            ylabel='Risk contributions',
             var_format=var_format,
             allow_negative=True,
             **kwargs)
@@ -642,6 +657,8 @@ def weights_tracking_error_report_by_ac_subac(multi_portfolio_data: MultiPortfol
             benchmark_exposures=benchmark_risk_contributions_subac,
             ax=axs[1],
             title='(B) Risk contributions by sub-asset classes',
+            hue_var_name='Sub-Asset Class',
+            ylabel='Risk contributions',
             var_format=var_format,
             allow_negative=True,
             **kwargs)
@@ -649,9 +666,15 @@ def weights_tracking_error_report_by_ac_subac(multi_portfolio_data: MultiPortfol
         # tracking error
         fig, ax = plt.subplots(1, 1, figsize=figsize, tight_layout=True)
         figs['tre_time_series'] = fig
+        if add_titles:
+            title = 'Tracking Error'
+        else:
+            title = None
         multi_portfolio_data.plot_tre_time_series(strategy_idx=strategy_idx,
                                                   benchmark_idx=benchmark_idx,
                                                   regime_benchmark=regime_benchmark,
+                                                  regime_params=regime_params,
+                                                  title=title,
                                                   ax=ax,
                                                   time_period=time_period,
                                                   **kwargs)
@@ -671,17 +694,25 @@ def weights_tracking_error_report_by_ac_subac(multi_portfolio_data: MultiPortfol
 
         fig, ax = plt.subplots(1, 1, figsize=figsize, tight_layout=True)
         figs['brinson_total_time_series'] = fig
+        if add_titles:
+            title = 'Active total return'
+        else:
+            title = None
         qis.plot_time_series(df=active_total.cumsum(axis=0),
-                             title='Active total return',
+                             title=title,
+                             legend_stats=qis.LegendStats.LAST,
+                             var_format='{:.0%}',
                              ax=ax, **kwargs)
         if regime_benchmark is not None:
             multi_portfolio_data.add_regime_shadows(ax=ax, regime_benchmark=regime_benchmark,
-                                                    index=grouped_allocation_return.index, regime_params=regime_params)
+                                                    index=active_total.index, regime_params=regime_params)
 
         fig, ax = plt.subplots(1, 1, figsize=figsize, tight_layout=True)
         figs['brinson_grouped_allocation_return'] = fig
         qis.plot_time_series(df=grouped_allocation_return.cumsum(axis=0),
                              title='Grouped allocation return',
+                             legend_stats=qis.LegendStats.LAST,
+                             var_format='{:.0%}',
                              ax=ax, **kwargs)
         if regime_benchmark is not None:
             multi_portfolio_data.add_regime_shadows(ax=ax, regime_benchmark=regime_benchmark,
@@ -691,10 +722,12 @@ def weights_tracking_error_report_by_ac_subac(multi_portfolio_data: MultiPortfol
         figs['brinson_grouped_selection_return'] = fig
         qis.plot_time_series(df=grouped_selection_return.cumsum(axis=0),
                              title='Grouped selection return',
+                             legend_stats=qis.LegendStats.LAST,
+                             var_format='{:.0%}',
                              ax=ax, **kwargs)
         if regime_benchmark is not None:
             multi_portfolio_data.add_regime_shadows(ax=ax, regime_benchmark=regime_benchmark,
-                                                    index=grouped_allocation_return.index, regime_params=regime_params)
+                                                    index=grouped_selection_return.index, regime_params=regime_params)
 
         # brinson by sub-asset class
         totals_table, active_total, grouped_allocation_return, grouped_selection_return, grouped_interaction_return = \
@@ -715,6 +748,7 @@ def weights_tracking_error_report_by_ac_subac(multi_portfolio_data: MultiPortfol
         multi_portfolio_data.plot_turnover(ax=ax,
                                            time_period=time_period,
                                            regime_benchmark=regime_benchmark,
+                                           regime_params=regime_params,
                                            #turnover_rolling_period=260,
                                            #freq_turnover=None,
                                            **kwargs)
@@ -744,7 +778,7 @@ def plot_exposures_long_short_groups(exposures_short: pd.DataFrame,
                               y_var_name=ylabel,
                               ylabel=ylabel,
                               showmedians=True,
-                              add_y_median_labels=True,
+                              add_y_median_labels=False,
                               yvar_format=var_format,
                               x_rotation=90,
                               colors=qis.get_n_sns_colors(n=len(exposures_long.columns)),
@@ -803,7 +837,7 @@ def plot_exposures_strategy_vs_benchmark_boxplot(strategy_exposures: pd.DataFram
                                    y_var_name=ylabel,
                                    ylabel=ylabel,
                                    showmedians=True,
-                                   add_y_median_labels=True,
+                                   add_y_median_labels=False,
                                    yvar_format=var_format,
                                    x_rotation=90,
                                    title=title,