qis 3.2.10__tar.gz → 3.2.12__tar.gz

{qis-3.2.10 → qis-3.2.12}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: qis
-Version: 3.2.10
+Version: 3.2.12
 Summary: Implementation of visualisation and reporting analytics for Quantitative Investment Strategies
 License: LICENSE.txt
 Keywords: quantitative,investing,portfolio optimization,systematic strategies,volatility

{qis-3.2.10 → qis-3.2.12}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "qis"
-version = "3.2.10"
+version = "3.2.12"
 description = "Implementation of visualisation and reporting analytics for Quantitative Investment Strategies"
 license = "LICENSE.txt"
 authors = ["Artur Sepp <artursepp@gmail.com>"]

{qis-3.2.10 → qis-3.2.12}/qis/examples/factsheets/multi_assets.py

@@ -23,7 +23,7 @@ class UnitTests(Enum):
 
 def run_unit_test(unit_test: UnitTests):
 
-    end_date = '10Jan2025'  # performance repoting
+    end_date = '21Apr2025'  # performance repoting
 
     prices = None  # if Noe, use yahoo finance data
 

{qis-3.2.10 → qis-3.2.12}/qis/examples/factsheets/multi_strategy.py

@@ -67,7 +67,7 @@ def run_unit_test(unit_test: UnitTests):
 
     if unit_test == UnitTests.VOLPARITY_SPAN:
         # time period for portfolio reporting
-        time_period = qis.TimePeriod('31Dec2005', '10Jan2025')
+        time_period = qis.TimePeriod('31Dec2005', '21Apr2025')
 
         prices, benchmark_prices, group_data = fetch_universe_data()
         multi_portfolio_data = generate_volparity_multi_strategy(prices=prices,

{qis-3.2.10 → qis-3.2.12}/qis/examples/factsheets/pyblogs_reports.py

@@ -67,7 +67,7 @@ class UnitTests(Enum):
 
 def run_unit_test(unit_test: UnitTests):
 
-    time_period = qis.TimePeriod('31Dec2005', '06Sep2024')  # time period for portfolio reporting
+    time_period = qis.TimePeriod('31Dec2005', '21Apr2025')  # time period for portfolio reporting
 
     prices, benchmark_prices, group_data = fetch_riskparity_universe_data()
     multi_portfolio_data = generate_volparity_multi_strategy(prices=prices,

{qis-3.2.10 → qis-3.2.12}/qis/examples/factsheets/strategy.py

@@ -86,7 +86,7 @@ class UnitTests(Enum):
 
 def run_unit_test(unit_test: UnitTests):
 
-    time_period = qis.TimePeriod('31Dec2005', '10Jan2025')  # time period for portfolio reporting
+    time_period = qis.TimePeriod('31Dec2005', '21Apr2025')  # time period for portfolio reporting
     time_period_short = TimePeriod('31Dec2022', time_period.end)
     rebalancing_costs = 0.0010  # per traded volume
 

{qis-3.2.10 → qis-3.2.12}/qis/examples/factsheets/strategy_benchmark.py

@@ -91,7 +91,7 @@ class UnitTests(Enum):
 def run_unit_test(unit_test: UnitTests):
 
     # time period for portfolio reporting
-    time_period = qis.TimePeriod('31Dec2006', '10Jan2025')
+    time_period = qis.TimePeriod('31Dec2006', '21Apr2025')
     prices, benchmark_prices, group_data = fetch_universe_data()
 
     multi_portfolio_data = generate_volparity_multiportfolio(prices=prices,
@@ -114,6 +114,7 @@ def run_unit_test(unit_test: UnitTests):
                                                          add_strategy_factsheet=True,  # for strategy factsheet
                                                          add_grouped_exposures=False,  # for strategy factsheet
                                                          add_grouped_cum_pnl=False,  # for strategy factsheet
+                                                         is_grouped=True,
                                                          **fetch_default_report_kwargs(time_period=time_period,
                                                                                        add_rates_data=True))
         qis.save_figs_to_pdf(figs=figs,
@@ -160,7 +161,7 @@ def run_unit_test(unit_test: UnitTests):
 
 if __name__ == '__main__':
 
-    unit_test = UnitTests.TRACKING_ERROR
+    unit_test = UnitTests.STRATEGY_BENCHMARK_PLT
 
     is_run_all_tests = False
     if is_run_all_tests:

{qis-3.2.10 → qis-3.2.12}/qis/plots/lineplot.py

@@ -15,6 +15,9 @@ import qis.plots.utils as put
 
 
 def plot_line(df: Union[pd.Series, pd.DataFrame],
+              x: str = None,
+              y: str = None,
+              hue: str = None,
               linestyles: List[str] = None,
               linestyle: Any = '-',
               linewidth: float = 1.0,
@@ -37,7 +40,13 @@ def plot_line(df: Union[pd.Series, pd.DataFrame],
               ax: plt.Subplot = None,
               **kwargs
               ) -> Optional[plt.Figure]:
-
+    """
+    line plot wrapper for sns, lineplot
+    plot df using index
+    x: str = None: x column
+    y: str = None: y column
+    hue: str = None: hue
+    """
     if isinstance(df, pd.DataFrame):
         pass
     elif isinstance(df, pd.Series):
@@ -45,22 +54,40 @@ def plot_line(df: Union[pd.Series, pd.DataFrame],
     else:
         raise TypeError(f"unsuported data type {type(df)}")
 
+    if x is not None:
+        if y is None:
+            raise ValueError(f"y column must be given with x column")
+        else:
+            if hue is not None:
+                df = df[[x, y, hue]]
+            else:
+                df = df[[x, y]]
+
     if ax is None:
         fig, ax = plt.subplots()
     else:
         fig = None
 
     if colors is None:
-        colors = put.get_n_colors(n=len(df.columns), **kwargs)
+        if hue is None:
+            colors = put.get_n_colors(n=len(df.columns), **kwargs)
+        else:
+            colors = put.get_n_colors(n=len(df[hue].unique()), **kwargs)
 
-    sns.lineplot(data=df, palette=colors, dashes=False, markers=markers, linestyle=linestyle, linewidth=linewidth, ax=ax)
+    sns.lineplot(data=df, x=x, y=y, hue=hue,
+                 palette=colors, dashes=False, markers=markers, linestyle=linestyle, linewidth=linewidth,
+                 style=hue,
+                 ax=ax)
 
     if title is not None:
         put.set_title(ax=ax, title=title, fontsize=fontsize, **kwargs)
 
     if legend_loc is not None:
         if legend_labels is None:
-            legend_labels = put.get_legend_lines(data=df, legend_stats=legend_stats, var_format=yvar_format)
+            if hue is None:
+                legend_labels = put.get_legend_lines(data=df, legend_stats=legend_stats, var_format=yvar_format)
+            else:
+                h, legend_labels = ax.get_legend_handles_labels()
         put.set_legend(ax=ax,
                        labels=legend_labels,
                        colors=colors,

{qis-3.2.10 → qis-3.2.12}/qis/portfolio/reports/config.py

@@ -70,7 +70,7 @@ class FactsheetConfig(NamedTuple):
     freq_beta: str = 'W-WED'  # for scatter plot
     exposures_freq: str = 'W-WED'  # for plotting strategy exposures
     # general data
-    perf_columns: List[PerfStat] = PERF_COLUMNS
+    perf_columns: List[PerfStat] = PERF_COLUMNS_RF0
     perf_stats_labels: List[PerfStat] = (PerfStat.PA_RETURN, PerfStat.VOL, PerfStat.SHARPE_RF0,)
     short: bool = True  # ra columns
     # next depend on report time period

{qis-3.2.10 → qis-3.2.12}/qis/portfolio/reports/multi_assets_factsheet.py

@@ -420,7 +420,7 @@ def generate_multi_asset_factsheet(prices: pd.DataFrame,
                                    heatmap_freq: str = 'YE',
                                    time_period: TimePeriod = None,  # time period for reporting
                                    figsize: Tuple[float, float] = (8.3, 11.7),  # A4 for portrait
-                                   fontsize: int = 4,
+                                   fontsize: int = 5,
                                    factsheet_name: str = None,
                                    performance_bars: Tuple[PerfStat, PerfStat] = (PerfStat.SHARPE_RF0, PerfStat.MAX_DD),
                                    drop_1y_ra_perf_table: bool = True,

{qis-3.2.10 → qis-3.2.12}/qis/portfolio/reports/multi_strategy_factseet_pybloqs.py

@@ -232,7 +232,7 @@ def generate_multi_portfolio_factsheet(multi_portfolio_data: MultiPortfolioData,
                                        heatmap_freq: str = 'YE',
                                        figsize: Tuple[float, float] = (8.3, 11.7),  # A4 for portrait
                                        is_grouped: bool = False,
-                                       fontsize: int = 4,
+                                       fontsize: int = 5,
                                        **kwargs
                                        ) -> plt.Figure:
     """

{qis-3.2.10 → qis-3.2.12}/qis/portfolio/reports/multi_strategy_factsheet.py

@@ -27,7 +27,7 @@ def generate_multi_portfolio_factsheet(multi_portfolio_data: MultiPortfolioData,
                                        group_data: pd.Series = None,
                                        add_group_exposures_and_pnl: bool = False,
                                        add_strategy_factsheets: bool = False,
-                                       fontsize: int = 4,
+                                       fontsize: int = 5,
                                        **kwargs
                                        ) -> List[plt.Figure]:
     """

{qis-3.2.10 → qis-3.2.12}/qis/portfolio/reports/strategy_benchmark_factsheet.py

@@ -35,7 +35,8 @@ def generate_strategy_benchmark_factsheet_plt(multi_portfolio_data: MultiPortfol
                                               add_exposures_comp: bool = False,
                                               is_grouped: Optional[bool] = None,
                                               figsize: Tuple[float, float] = (8.3, 11.7),  # A4 for portrait
-                                              fontsize: int = 4,
+                                              fontsize: int = 5,
+                                              heatmap_fontsize: int = 4,
                                               **kwargs
                                               ) -> List[plt.Figure]:
     """
@@ -144,7 +145,8 @@ def generate_strategy_benchmark_factsheet_plt(multi_portfolio_data: MultiPortfol
 
     # periodic returns
     local_kwargs = qis.update_kwargs(kwargs=kwargs,
-                                     new_kwargs=dict(fontsize=fontsize, square=False, x_rotation=90, transpose=False))
+                                     new_kwargs=dict(fontsize=heatmap_fontsize, square=False,
+                                                     x_rotation=90, transpose=False))
     if add_benchmarks_to_navs:
         benchmark_prices = multi_portfolio_data.benchmark_prices
     else:

{qis-3.2.10 → qis-3.2.12}/qis/portfolio/reports/strategy_benchmark_factsheet_pybloqs.py

@@ -33,7 +33,7 @@ def generate_strategy_benchmark_factsheet_with_pyblogs(multi_portfolio_data: Mul
                                                        heatmap_freq: str = 'YE',
                                                        weight_freq: str = 'ME',
                                                        is_input_weights: bool = True,
-                                                       fontsize: int = 4,
+                                                       fontsize: int = 5,
                                                        **kwargs
                                                        ) -> p.VStack:
     """

{qis-3.2.10 → qis-3.2.12}/qis/portfolio/reports/strategy_factsheet.py

@@ -38,7 +38,8 @@ def generate_strategy_factsheet(portfolio_data: PortfolioData,
                                 sharpe_rolling_window: int = 260,
                                 add_benchmarks_to_navs: bool = False,
                                 figsize: Tuple[float, float] = (8.5, 11.7),  # A4 for portrait
-                                fontsize: int = 4,
+                                fontsize: int = 5,
+                                heatmap_fontsize: int = 4,
                                 weight_change_sample_size: int = 20,
                                 add_current_position_var_risk_sheet: bool = False,
                                 add_weights_turnover_sheet: bool = False,
@@ -228,7 +229,8 @@ def generate_strategy_factsheet(portfolio_data: PortfolioData,
     portfolio_data.plot_monthly_returns_heatmap(ax=ax,
                                                 time_period=time_period,
                                                 title='Monthly Returns',
-                                                **qis.update_kwargs(kwargs, dict(fontsize=fontsize, date_format='%Y')))
+                                                **qis.update_kwargs(kwargs, dict(fontsize=heatmap_fontsize,
+                                                                                 date_format='%Y')))
 
     # periodic returns
     ax = fig.add_subplot(gs[4:6, 2:])

{qis-3.2.10 → qis-3.2.12}/qis/utils/dates.py

@@ -28,6 +28,9 @@ CALENDAR_DAYS_IN_MONTH = 30
 CALENDAR_DAYS_PER_YEAR_SHARPE = 365.25  # for total return computations for Sharpe
 
 
+DEFAULT_TRADING_YEAR_DAYS = 252  # How mny trading days we assume per year, see get_period_days()
+
+
 def get_current_time_with_tz(tz: Optional[str] = 'UTC',
                              days_offset: int = None,
                              normalize: bool = True,
@@ -67,7 +70,7 @@ def get_period_days(freq: str = 'B',
     an_f will return the number of period in year
     consistent with using 252 for vol annualization
     """
-    an_days = 365 if is_calendar else 252
+    an_days = 365 if is_calendar else DEFAULT_TRADING_YEAR_DAYS
     if freq in ['1M']:
         days = 1.0 / 24.0 / 60.0
         an_f = an_days * 24.0 * 60.0
@@ -117,7 +120,7 @@ def get_period_days(freq: str = 'B',
         days = an_days
         an_f = 1.0
     else:
-        raise TypeError(f'freq={freq} is not impelemnted')
+        raise TypeError(f'freq={freq} is not implemented')
 
     return days, an_f