qis 3.2.11__tar.gz → 3.2.12__tar.gz

{qis-3.2.11 → qis-3.2.12}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: qis
-Version: 3.2.11
+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-3.2.11 → qis-3.2.12}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "qis"
-version = "3.2.11"
+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-3.2.11 → 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 = '17Apr2025'  # performance repoting
+    end_date = '21Apr2025'  # performance repoting
 
     prices = None  # if Noe, use yahoo finance data
 

{qis-3.2.11 → 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-3.2.11 → 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-3.2.11 → 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-3.2.11 → 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-3.2.11 → 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-3.2.11 → qis-3.2.12}/qis/portfolio/reports/strategy_benchmark_factsheet.py

@@ -36,6 +36,7 @@ def generate_strategy_benchmark_factsheet_plt(multi_portfolio_data: MultiPortfol
                                               is_grouped: Optional[bool] = None,
                                               figsize: Tuple[float, float] = (8.3, 11.7),  # A4 for portrait
                                               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-3.2.11 → qis-3.2.12}/qis/portfolio/reports/strategy_factsheet.py

@@ -39,6 +39,7 @@ def generate_strategy_factsheet(portfolio_data: PortfolioData,
                                 add_benchmarks_to_navs: bool = False,
                                 figsize: Tuple[float, float] = (8.5, 11.7),  # A4 for portrait
                                 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:])