qis 3.2.5__tar.gz → 3.2.8__tar.gz

{qis-3.2.5 → qis-3.2.8}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: qis
-Version: 3.2.5
+Version: 3.2.8
 Summary: Implementation of visualisation and reporting analytics for Quantitative Investment Strategies
 License: LICENSE.txt
 Keywords: quantitative,investing,portfolio optimization,systematic strategies,volatility

{qis-3.2.5 → qis-3.2.8}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "qis"
-version = "3.2.5"
+version = "3.2.8"
 description = "Implementation of visualisation and reporting analytics for Quantitative Investment Strategies"
 license = "LICENSE.txt"
 authors = ["Artur Sepp <artursepp@gmail.com>"]

{qis-3.2.5 → qis-3.2.8}/qis/examples/factsheets/strategy_benchmark.py

@@ -147,10 +147,12 @@ def run_unit_test(unit_test: UnitTests):
         ac_group_data = multi_portfolio_data.portfolio_datas[0].group_data
         asset_tickers = multi_portfolio_data.portfolio_datas[0].weights.columns
         sub_ac_group_data = pd.Series(asset_tickers, index=asset_tickers)
-
+        turnover_groups = multi_portfolio_data.portfolio_datas[0].group_data
+        multi_portfolio_data.portfolio_datas[0].benchmark_prices = multi_portfolio_data.benchmark_prices
         weights_tracking_error_report_by_ac_subac(multi_portfolio_data=multi_portfolio_data,
                                                   ac_group_data=ac_group_data,
                                                   sub_ac_group_data=sub_ac_group_data,
+                                                  turnover_groups=turnover_groups,
                                                   time_period=time_period)
 
     plt.show()
@@ -158,7 +160,7 @@ def run_unit_test(unit_test: UnitTests):
 
 if __name__ == '__main__':
 
-    unit_test = UnitTests.STRATEGY_BENCHMARK_PLT
+    unit_test = UnitTests.TRACKING_ERROR
 
     is_run_all_tests = False
     if is_run_all_tests:

{qis-3.2.5 → qis-3.2.8}/qis/models/__init__.py

@@ -47,7 +47,8 @@ from qis.models.linear.ewm import (
     compute_roll_mean,
     compute_rolling_mean_adj,
     set_init_dim1,
-    set_init_dim2
+    set_init_dim2,
+    compute_ewm_covar_newey_west
 )
 
 from qis.models.linear.ewm_convolution import ConvolutionType, SignalAggType, ewm_xy_convolution

{qis-3.2.5 → qis-3.2.8}/qis/models/linear/ewm.py

@@ -237,6 +237,7 @@ def compute_ewm_long_short_filter(data: Union[pd.DataFrame, pd.Series, np.ndarra
 
 @njit
 def compute_ewm_covar(a: np.ndarray,
+                      b: np.ndarray = None,
                       span: Union[int, np.ndarray] = None,
                       ewm_lambda: float = 0.94,
                       covar0: np.ndarray = None,
@@ -245,7 +246,13 @@ def compute_ewm_covar(a: np.ndarray,
                       ) -> np.ndarray:
     """
     compute ewm covariance matrix
+    b is optional, when given the covar is cross product a and b
     """
+    if b is None:
+        b = a
+    else:
+        assert a.shape[0] == b.shape[0]
+        assert a.shape[1] == b.shape[1]
 
     if span is not None:
         ewm_lambda = 1.0 - 2.0 / (span + 1.0)
@@ -263,7 +270,7 @@ def compute_ewm_covar(a: np.ndarray,
 
     last_covar = covar
     if a.ndim == 1:  # ndarry array
-        r_ij = np.outer(a, a)
+        r_ij = np.outer(a, b)
         covar = ewm_lambda_1 * r_ij + ewm_lambda * last_covar
         if nan_backfill == NanBackfill.FFILL:
             fill_value = last_covar
@@ -277,8 +284,7 @@ def compute_ewm_covar(a: np.ndarray,
     else:  # loop over rows
         t = a.shape[0]
         for idx in range(0, t):  # row in x:
-            row = a[idx]
-            r_ij = np.outer(row, row)
+            r_ij = np.outer(a[idx], b[idx])
             covar = ewm_lambda_1 * r_ij + ewm_lambda * last_covar
 
             if nan_backfill == NanBackfill.FFILL:
@@ -290,21 +296,59 @@ def compute_ewm_covar(a: np.ndarray,
 
             last_covar = np.where(np.isfinite(covar), covar, fill_value)
 
-            if is_corr:
-                if np.nansum(np.diag(last_covar)) > 1e-10:
-                    inv_vol = np.reciprocal(np.sqrt(np.diag(last_covar)))
-                    norm = np.outer(inv_vol, inv_vol)
-                else:
-                    norm = np.identity(n)
-                last_covar_ = norm * last_covar
+        # for covar normalise
+        if is_corr:
+            if np.nansum(np.diag(last_covar)) > 1e-10:
+                inv_vol = np.reciprocal(np.sqrt(np.diag(last_covar)))
+                norm = np.outer(inv_vol, inv_vol)
             else:
-                last_covar_ = last_covar
-
-            covar = last_covar_
+                norm = np.identity(n)
+            covar = norm * last_covar
+        else:
+            covar = last_covar
 
     return covar
 
 
+@njit
+def compute_ewm_covar_newey_west(a: np.ndarray,
+                                 num_lags: int = 2,
+                                 span: Union[int, np.ndarray] = None,
+                                 ewm_lambda: float = 0.94,
+                                 covar0: np.ndarray = None,
+                                 is_corr: bool = False,
+                                 nan_backfill: NanBackfill = NanBackfill.FFILL
+                                 ) -> np.ndarray:
+    """
+    implementation of newey west covar estimator
+    """
+    ewm0 = compute_ewm_covar(a=a, span=span, ewm_lambda=ewm_lambda, covar0=covar0, is_corr=False, nan_backfill=nan_backfill)
+    # compute m recursions
+    if num_lags > 0:
+        nw_adjustment = np.zeros_like(ewm0)
+        for m in np.arange(1, num_lags+1):
+            # lagged value
+            a_m = np.empty_like(a)
+            a_m[m:] = a[:-m]
+            a_m[:m] = np.nan
+            ewm_m1 = compute_ewm_covar(a=a, b=a_m, span=span)
+            # ewm_m2 = compute_ewm_covar(a=a_m, b=a, span=span)
+            nw_adjustment += (1.0-m/(num_lags+1))*(ewm_m1 + np.transpose(ewm_m1))
+        ewm_nw = ewm0 + nw_adjustment
+    else:
+        ewm_nw = ewm0
+
+    if is_corr:
+        if np.nansum(np.diag(ewm_nw)) > 1e-10:
+            inv_vol = np.reciprocal(np.sqrt(np.diag(ewm_nw)))
+            norm = np.outer(inv_vol, inv_vol)
+        else:
+            norm = np.identity(a.shape[1])
+        ewm_nw = norm * ewm_nw
+
+    return ewm_nw
+
+
 @njit
 def compute_ewm_covar_tensor(a: np.ndarray,
                              span: Union[int, np.ndarray] = None,
@@ -663,6 +707,27 @@ def compute_ewm_vol(data: Union[pd.DataFrame, pd.Series, np.ndarray],
     return ewm
 
 
+@njit
+def matrix_recursion(a: np.ndarray,
+                     a_m: np.ndarray,
+                     span: Optional[Union[float, np.ndarray]] = None,
+                     ewm_lambda: Union[float, np.ndarray] = 0.94
+                     ) -> np.ndarray:
+    if span is not None:
+        ewm_lambda = 1.0 - 2.0 / (span + 1.0)
+    ewm_lambda_1 = 1.0 - ewm_lambda
+    t = a.shape[0]
+    last_covar = np.zeros((a.shape[1], a.shape[1]))
+    ewm_m = np.zeros_like(a_m)
+    for idx in range(0, t):
+        r_ij = np.outer(a[idx], a_m[idx])
+        covar = ewm_lambda_1 * r_ij + ewm_lambda * last_covar
+        fill_value = last_covar
+        last_covar = np.where(np.isfinite(covar), covar, fill_value)
+        ewm_m[idx, :] = np.diag(last_covar) + np.diag(np.transpose(last_covar))
+    return ewm_m
+
+
 def compute_ewm_newey_west_vol(data: Union[pd.DataFrame, pd.Series, np.ndarray],
                                num_lags: int = 2,
                                span: Optional[Union[float, np.ndarray]] = None,
@@ -704,36 +769,25 @@ def compute_ewm_newey_west_vol(data: Union[pd.DataFrame, pd.Series, np.ndarray],
         if isinstance(init_value, np.ndarray):
             init_value = float(init_value)
 
-    if span is not None:
-        ewm_lambda = 1.0 - 2.0 / (span + 1.0)
-    ewm_lambda_1 = 1.0 - ewm_lambda
-
-    def matrix_recursion(a_m: np.ndarray) -> np.ndarray:
-        t = a.shape[0]
-        last_covar = np.zeros((a.shape[1], a.shape[1]))
-        ewm_m = np.zeros_like(a_m)
-        for idx in range(0, t):
-            r_ij = np.outer(a[idx], a_m[idx])
-            covar = ewm_lambda_1 * r_ij + ewm_lambda * last_covar
-            fill_value = last_covar
-            last_covar = np.where(np.isfinite(covar), covar, fill_value)
-            ewm_m[idx, :] = np.diag(last_covar) + np.diag(np.transpose(last_covar))
-        return ewm_m
-
     ewm0 = ewm_recursion(a=np.square(a), ewm_lambda=ewm_lambda, init_value=init_value, nan_backfill=nan_backfill)
-    nw_adjustment = np.zeros_like(ewm0)
-    # compute m recursions
-    for m in np.arange(1, num_lags+1):
-        # lagged value
-        a_m = np.empty_like(a)
-        a_m[m:] = a[:-m]
-        a_m[:m] = np.nan
-        # qqq
-        ewm_m = matrix_recursion(a_m=a_m)
-        nw_adjustment += (1.0-m/(num_lags+1))*ewm_m
-
-    ewm_nw = ewm0 + nw_adjustment
-    nw_ratio = np.divide(ewm_nw, ewm0, where=ewm0 > 0.0)
+
+    if num_lags == 0:
+        ewm_nw = ewm0
+        nw_ratio = np.ones_like(ewm0)
+    else:
+        nw_adjustment = np.zeros_like(ewm0)
+        # compute m recursions
+        for m in np.arange(1, num_lags+1):
+            # lagged value
+            a_m = np.empty_like(a)
+            a_m[m:] = a[:-m]
+            a_m[:m] = np.nan
+            ewm_m = matrix_recursion(a=a, a_m=a_m, span=span)
+            nw_adjustment += (1.0-m/(num_lags+1))*ewm_m
+
+        ewm_nw = ewm0 + nw_adjustment
+        nw_ratio = np.divide(ewm_nw, ewm0, where=ewm0 > 0.0)
+        nw_ratio = np.where(nw_ratio > 0.0, nw_ratio, 1.0)
 
     if warmup_period is not None:   # set to nan first nonnan in warmup_period
         ewm_nw = npo.set_nans_for_warmup_period(a=ewm_nw, warmup_period=warmup_period)

{qis-3.2.5 → qis-3.2.8}/qis/plots/time_series.py

@@ -345,6 +345,7 @@ def plot_time_series_2ax(df1: Union[pd.Series, pd.DataFrame],
                      is_log=is_logs[0],
                      y_limits=y_limits,
                      ylabel=ylabel1,
+                     fontsize=fontsize,
                      ax=ax,
                      **kwargs)
 
@@ -358,16 +359,17 @@ def plot_time_series_2ax(df1: Union[pd.Series, pd.DataFrame],
                      is_log=is_logs[1],
                      y_limits=y_limits_ax2,
                      ylabel=ylabel2,
+                     fontsize=fontsize,
                      ax=ax_twin,
                      **kwargs)
 
+    ax.tick_params(axis='x', which='both', bottom=False)
+
     put.set_ax_ticks_format(ax=ax, fontsize=fontsize, xvar_format=None, yvar_format=var_format, set_ticks=False,
                             yvar_major_ticks=yvar_major_ticks1, x_rotation=x_rotation, **kwargs)
     put.set_ax_ticks_format(ax=ax_twin, fontsize=fontsize, xvar_format=None, yvar_format=var_format_yax2, set_ticks=False,
                             yvar_major_ticks=yvar_major_ticks2, x_rotation=x_rotation, **kwargs)
 
-    ax.tick_params(axis='x', which='both', bottom=False)
-
     if legend_loc is not None:
         if legend_labels is None:
             df1.columns = [f"{x} (left)" for x in df1.columns]

{qis-3.2.5 → qis-3.2.8}/qis/portfolio/__init__.py

@@ -2,8 +2,8 @@
 from qis.portfolio.portfolio_data import (PortfolioData,
                                           PortfolioInput,
                                           AttributionMetric,
-                                          SnapshotPeriod,
-                                          StrategySignalData)
+                                          SnapshotPeriod)
+from qis.portfolio.signal_data import StrategySignalData
 
 from qis.portfolio.multi_portfolio_data import MultiPortfolioData
 

{qis-3.2.5 → qis-3.2.8}/qis/portfolio/portfolio_data.py

@@ -6,8 +6,7 @@ import pandas as pd
 import seaborn as sns
 import matplotlib.pyplot as plt
 from numba import njit
-from dataclasses import dataclass, asdict
-from statsmodels.regression.linear_model import RegressionResults as RegModel
+from dataclasses import dataclass
 from typing import Union, Dict, Any, Optional, Tuple, List
 from enum import Enum
 
@@ -28,6 +27,7 @@ import qis.plots.derived.returns_scatter as prs
 import qis.plots.derived.returns_heatmap as rhe
 import qis.models.linear.ewm_factors as ef
 from qis.models.linear.ewm import compute_ewm_vol
+from qis.portfolio.signal_data import StrategySignalData
 from qis.portfolio.ewm_portfolio_risk import compute_portfolio_vol, compute_portfolio_risk_contributions
 
 
@@ -347,7 +347,8 @@ class PortfolioData:
                      add_total: bool = True,
                      vol_span: int = 33,
                      freq: Optional[str] = None,
-                     is_unit_based_traded_volume: bool = True
+                     is_unit_based_traded_volume: bool = True,
+                     **kwargs
                      ) -> Union[pd.DataFrame, pd.Series]:
 
         if is_unit_based_traded_volume:  # for unit generated backtest
@@ -1476,228 +1477,41 @@ class PortfolioData:
                        ax=axs[1],
                        **kwargs)
 
-
-@dataclass
-class StrategySignalData:
-    """
-    data class instance applied for output of strategy backtest data
-    """
-    log_returns: pd.DataFrame = None
-    ra_carry: pd.DataFrame = None  # risk-adjusted carry
-    momentum: pd.DataFrame = None
-    signal: pd.DataFrame = None  # signal output
-    instrument_vols: pd.DataFrame = None  # instrument vols
-    instrument_target_vols: pd.DataFrame = None  # target vols for portfolio allocation
-    instrument_target_signal_vol_weights: pd.DataFrame = None  # target vols * signal
-    instrument_portfolio_leverages: pd.DataFrame = None  # = portfolio weight / instrument_target_signal_vol_weights
-    weights: pd.DataFrame = None  # final weights
-    kwargs: Dict[str, pd.DataFrame] = None  # any other outputs
-
-    def locate_period(self, time_period: TimePeriod) -> StrategySignalData:
-        # nb: does not work for returns
-        data_dict = asdict(self)
-        for key, df in data_dict.items():
-            if df is not None:
-                data_dict[key] = time_period.locate(df)
-        return StrategySignalData(**data_dict)
-
-    def rename_data(self, names_map: Dict[str, str]) -> StrategySignalData:
-        data_dict = asdict(self)
-        for key, df in data_dict.items():
-            if df is not None:
-                data_dict[key] = df.rename(names_map, axis=1)
-        return StrategySignalData(**data_dict)
-
-    def get_current_signal_by_groups(self, group_data: pd.Series,
-                                     group_order: List[str] = None
-                                     ) -> Dict[str, pd.DataFrame]:
-        group_dict = dfg.get_group_dict(group_data=group_data,
-                                        group_order=group_order,
-                                        total_column=None)
-        group_signals = {}
-        agg_by_group = {}
-        last_date = qis.date_to_str(self.signal.index[-21])
-        current_date = qis.date_to_str(self.signal.index[-1])
-        last_signals = self.signal.iloc[-21, :]
-        current_signals = self.signal.iloc[-1, :]
-        for group, tickers in group_dict.items():
-            last_signals_ = last_signals[tickers]
-            current_signals_ = current_signals[tickers]
-            group_signals[group] = pd.concat([last_signals_.rename(last_date),
-                                              current_signals_.rename(current_date)
-                                              ], axis=1)
-
-            agg_by_group[group] = pd.Series({last_date: np.nanmean(last_signals_),
-                                             current_date: np.nanmean(current_signals_)})
-        agg_by_group = {'Total by groups': pd.DataFrame.from_dict(agg_by_group, orient='index')}
-        agg_by_group.update(group_signals)
-        return agg_by_group
-
-    def asdiff(self, tickers: List[str] = None,
-               freq: str = None,
-               sample_size: Optional[int] = 21,  # can use rolling instead for freq
-               time_period: TimePeriod = None
-               ) -> StrategySignalData:
-
-        if tickers is None:
-            tickers = self.log_returns.columns.to_list()
-        # nb: does not work for returns
-        if time_period is not None:
-            ssd = self.locate_period(time_period=time_period)
-        else:
-            ssd = self
-
-        data_dict = asdict(ssd)
-        if sample_size is not None:
-            for key, df in data_dict.items():
-                if df is not None:
-                    data_dict[key] = qis.df_resample_at_int_index(df=df[tickers], func=None, sample_size=sample_size).diff()
-        else:
-            for key, df in data_dict.items():
-                if df is not None:
-                    data_dict[key] = qis.df_resample_at_freq(df=df[tickers], freq=freq, include_end_date=True).diff()
-        return StrategySignalData(**data_dict)
-
-    def estimate_signal_changes_joint(self,
-                                      tickers: List[str] = None,
-                                      freq: Optional[str] = None,
-                                      sample_size: Optional[int] = 21,  # can use rolling instead for freq
-                                      time_period: TimePeriod = None
-                                      ) -> Tuple[pd.DataFrame, RegModel, TimePeriod]:
-        if tickers is None:
-            tickers = self.log_returns.columns.to_list()
-        ssd = self.asdiff(tickers=tickers, sample_size=sample_size, freq=freq, time_period=time_period)
-        y_var_name = 'weight_change'
-        y = qis.melt_df_by_columns(ssd.weights.iloc[:-1, :], y_var_name=y_var_name)[y_var_name]
-        x_var_name1 = 'momentum_change'
-        x1 = qis.melt_df_by_columns(ssd.momentum.iloc[:-1, :], y_var_name=x_var_name1)[x_var_name1]
-        x_var_name2 = 'target_vol_change'
-        x2 = qis.melt_df_by_columns(ssd.instrument_target_vols.iloc[:-1, :], y_var_name=x_var_name2)[x_var_name2]
-        x_var_name3 = 'port_leverage_change'
-        x3 = qis.melt_df_by_columns(ssd.instrument_portfolio_leverages.iloc[:-1, :], y_var_name=x_var_name3)[x_var_name3]
-        if self.ra_carry is not None:
-            x_var_name0 = 'carry_change'
-            x0 = qis.melt_df_by_columns(ssd.ra_carry.iloc[:-1, :], y_var_name=x_var_name0)[x_var_name0]
-            x = pd.concat([x0, x1, x2, x3], axis=1).dropna()
-        else:
-            x = pd.concat([x1, x2, x3], axis=1).dropna()
-        x_names = x.columns.to_list()
-        y = y.reindex(index=x.index)
-
-        # keep last obs for prediction
-        fitted_model = qis.fit_ols(x=x.to_numpy(), y=y.to_numpy(), order=1, fit_intercept=False)
-        actual_change = ssd.weights.iloc[-1, :]
-        predictions = {}
-        for ticker in tickers:
-            if self.ra_carry is not None:
-                x_ts = np.array([ssd.ra_carry[ticker].iloc[-1],
-                                 ssd.momentum[ticker].iloc[-1],
-                                 ssd.instrument_target_vols[ticker].iloc[-1],
-                                 ssd.instrument_portfolio_leverages[ticker].iloc[-1]])
-            else:
-                x_ts = np.array([ssd.momentum[ticker].iloc[-1],
-                                 ssd.instrument_target_vols[ticker].iloc[-1],
-                                 ssd.instrument_portfolio_leverages[ticker].iloc[-1]])
-            pred_t = {}
-            total_pred = 0.0
-            for idx, x_t in enumerate(x_ts):
-                pred_x = fitted_model.params[idx] * x_t
-                total_pred += pred_x
-                pred_t[x_names[idx]] = pred_x
-            pred_t['predicted'] = total_pred
-            pred_t['actual'] = actual_change[ticker]
-            pred_t['residual'] = actual_change[ticker] - total_pred
-            pred_t['residual %'] = total_pred / actual_change[ticker]
-            pred_t['r2'] = fitted_model.rsquared
-            predictions[ticker] = pd.Series(pred_t)
-
-        predictions = pd.DataFrame.from_dict(predictions, orient='index')
-        prediction_period = TimePeriod(start=ssd.weights.index[-2], end=ssd.weights.index[-1])
-
-        return predictions, fitted_model, prediction_period
-
-    def estimate_signal_changes_by_groups(self,
-                                          group_data: pd.Series, group_order: List[str] = None,
-                                          freq: Optional[str] = None,
-                                          sample_size: Optional[int] = 21,  # can use rolling instead for freq
-                                          time_period: TimePeriod = None
-                                          ) -> Tuple[Dict[str, pd.DataFrame], Dict[str, RegModel], TimePeriod]:
-        """
-        estimate weight change for groups
-        """
-        group_dict = dfg.get_group_dict(group_data=group_data,
-                                        group_order=group_order,
-                                        total_column=None)
-        predictions = {}
-        fitted_models = {}
-        prediction_period = None
-        for group, tickers in group_dict.items():
-            prediction, fitted_model, prediction_period = self.estimate_signal_changes_joint(
-                tickers=tickers, freq=freq,
-                sample_size=sample_size,
-                time_period=time_period)
-            predictions[group] = prediction
-            fitted_models[group] = fitted_model
-        return predictions, fitted_models, prediction_period
-
-    def estimate_signal_changes_individual(self,
-                                           tickers: List[str] = None,
-                                           freq: Optional[str] = None,
-                                           sample_size: Optional[int] = 21,  # can use rolling instead for freq
-                                           time_period: TimePeriod = None
-                                           ) -> Tuple[pd.DataFrame, Dict[str, RegModel]]:
-        if tickers is None:
-            tickers = self.log_returns.columns.to_list()
-        ssd = self.asdiff(tickers=tickers, sample_size=sample_size, freq=freq, time_period=time_period)
-        y_var_name = 'weight_change'
-        y = ssd.weights
-        x_var_name1 = 'momentum_change'
-        x1 = ssd.momentum
-        x_var_name2 = 'target_vol_change'
-        x2 = ssd.instrument_target_vols
-        x_var_name3 = 'port_leverage_change'
-        x3 = ssd.instrument_portfolio_leverages
-        if self.ra_carry is not None:
-            x_var_name0 = 'carry_change'
-            x0 = ssd.ra_carry
-            x_names = [x_var_name0, x_var_name1, x_var_name2, x_var_name3]
-        else:
-            x_names = [x_var_name1, x_var_name2, x_var_name3]
-
-        predictions = {}
-        fitted_models = {}
-        for ticker in tickers:
-            if self.ra_carry is not None:
-                x = pd.concat([x0[ticker].rename(x_var_name0),
-                               x1[ticker].rename(x_var_name1),
-                               x2[ticker].rename(x_var_name2),
-                               x3[ticker].rename(x_var_name3)], axis=1)
-            else:
-                x = pd.concat([x1[ticker].rename(x_var_name1),
-                               x2[ticker].rename(x_var_name2),
-                               x3[ticker].rename(x_var_name3)], axis=1)
-
-            # keep last obs for prediction
-            fitted_model = qis.fit_ols(x=x.iloc[:-1, :].to_numpy(), y=y[ticker].iloc[:-1].to_numpy(), order=1, fit_intercept=False)
-            actual_change = y[ticker].iloc[-1]
-            x_ts = x.iloc[-1, :].to_numpy()
-            pred_t = {}
-            total_pred = 0.0
-            for idx, x_t in enumerate(x_ts):
-                pred_x = fitted_model.params[idx] * x_t
-                total_pred += pred_x
-                pred_t[x_names[idx]] = pred_x
-            pred_t['predicted'] = total_pred
-            pred_t['actual'] = actual_change
-            pred_t['residual'] = actual_change - total_pred
-            pred_t['residual %'] = total_pred / actual_change
-            pred_t['r2'] = fitted_model.rsquared
-            predictions[ticker] = pd.Series(pred_t)
-            fitted_models[ticker] = fitted_model
-
-        predictions = pd.DataFrame.from_dict(predictions, orient='index')
-
-        return predictions, fitted_models
+    def plot_turnover(self,
+                      regime_benchmark: str = None,
+                      is_agg: bool = False,
+                      is_grouped: bool = False,
+                      group_data: pd.Series = None,
+                      group_order: List[str] = None,
+                      time_period: TimePeriod = None,
+                      roll_period: Optional[int] = 260,
+                      add_total: bool = True,
+                      title: str = None,
+                      freq: Optional[str] = None,
+                      regime_params: BenchmarkReturnsQuantileRegimeSpecs = None,
+                      ax: plt.Subplot = None,
+                      **kwargs
+                      ) -> None:
+        turnover = self.get_turnover(is_agg=is_agg,
+                                     is_grouped=is_grouped,
+                                     group_data=group_data,
+                                     group_order=group_order,
+                                     time_period=time_period,
+                                     roll_period=roll_period,
+                                     add_total=add_total,
+                                     freq=freq,
+                                     **kwargs)
+        turnover_title = title or f"{roll_period}-period rolling {freq}-freq Turnover"
+        qis.plot_time_series(df=turnover,
+                             var_format='{:,.2%}',
+                             # y_limits=(0.0, None),
+                             legend_stats=qis.LegendStats.AVG_NONNAN_LAST,
+                             title=turnover_title,
+                             ax=ax,
+                             **kwargs)
+        if regime_benchmark is not None:
+            self.add_regime_shadows(ax=ax, regime_benchmark=regime_benchmark, index=turnover.index,
+                                    regime_params=regime_params)
 
 
 @njit

{qis-3.2.5 → qis-3.2.8}/qis/portfolio/reports/strategy_benchmark_factsheet.py

@@ -746,7 +746,7 @@ def weights_tracking_error_report_by_ac_subac(multi_portfolio_data: MultiPortfol
 
         # turnover
         fig, ax = plt.subplots(1, 1, figsize=figsize, tight_layout=True)
-        figs['turnover'] = fig
+        figs['joint_turnover'] = fig
         multi_portfolio_data.plot_turnover(ax=ax,
                                            time_period=time_period,
                                            regime_benchmark=regime_benchmark,
@@ -754,6 +754,20 @@ def weights_tracking_error_report_by_ac_subac(multi_portfolio_data: MultiPortfol
                                            #turnover_rolling_period=260,
                                            #freq_turnover=None,
                                            **kwargs)
+        # group turnover
+        fig, ax = plt.subplots(1, 1, figsize=figsize, tight_layout=True)
+        figs['group_turnover'] = fig
+        multi_portfolio_data.portfolio_datas[strategy_idx].plot_turnover(ax=ax,
+                                                                         time_period=time_period,
+                                                                         regime_benchmark=regime_benchmark,
+                                                                         regime_params=regime_params,
+                                                                         is_grouped=True,
+                                                                         group_data=turnover_groups,
+                                                                         group_order=turnover_order,
+                                                                         add_total=False,
+                                                                         #turnover_rolling_period=260,
+                                                                         #freq_turnover=None,
+                                                                         **kwargs)
 
     return figs, dfs
 

{qis-3.2.5 → qis-3.2.8}/qis/portfolio/reports/strategy_factsheet.py

@@ -20,6 +20,7 @@ def generate_strategy_factsheet(portfolio_data: PortfolioData,
                                 benchmark_prices: Union[pd.DataFrame, pd.Series],
                                 time_period: TimePeriod = None,
                                 ytd_attribution_time_period: TimePeriod = qis.get_ytd_time_period(),
+                                weight_report_time_period: TimePeriod = None,
                                 perf_params: PerfParams = PERF_PARAMS,
                                 regime_params: BenchmarkReturnsQuantileRegimeSpecs = REGIME_PARAMS,
                                 regime_benchmark: str = None,  # default is set to benchmark_prices.columns[0]
@@ -39,7 +40,6 @@ def generate_strategy_factsheet(portfolio_data: PortfolioData,
                                 figsize: Tuple[float, float] = (8.5, 11.7),  # A4 for portrait
                                 fontsize: int = 4,
                                 weight_change_sample_size: int = 20,
-                                weight_report_time_period: TimePeriod = None,
                                 add_current_position_var_risk_sheet: bool = False,
                                 add_weights_turnover_sheet: bool = False,
                                 add_grouped_exposures: bool = False,

{qis-3.2.5 → qis-3.2.8}/qis/portfolio/reports/strategy_signal_factsheet.py

@@ -9,7 +9,8 @@ import seaborn as sns
 from typing import Tuple, List, Dict, Optional
 import qis as qis
 from qis import TimePeriod, BenchmarkReturnsQuantileRegimeSpecs
-from qis.portfolio.portfolio_data import PortfolioData, StrategySignalData
+from qis.portfolio.portfolio_data import PortfolioData
+from qis.portfolio.signal_data import StrategySignalData
 
 
 def generate_weight_change_report(portfolio_data: PortfolioData,