qis 3.2.7__tar.gz → 3.2.9__tar.gz

{qis-3.2.7 → qis-3.2.9}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: qis
-Version: 3.2.7
+Version: 3.2.9
 Summary: Implementation of visualisation and reporting analytics for Quantitative Investment Strategies
 License: LICENSE.txt
 Keywords: quantitative,investing,portfolio optimization,systematic strategies,volatility

{qis-3.2.7 → qis-3.2.9}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "qis"
-version = "3.2.7"
+version = "3.2.9"
 description = "Implementation of visualisation and reporting analytics for Quantitative Investment Strategies"
 license = "LICENSE.txt"
 authors = ["Artur Sepp <artursepp@gmail.com>"]

{qis-3.2.7 → qis-3.2.9}/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-3.2.7 → qis-3.2.9}/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-3.2.7 → qis-3.2.9}/qis/portfolio/multi_portfolio_data.py

@@ -192,8 +192,11 @@ class MultiPortfolioData:
 
     def compute_tracking_error_implied_by_covar(self,
                                                 strategy_idx: int = 0,
-                                                benchmark_idx: int = 1
-                                                ) -> pd.Series:
+                                                benchmark_idx: int = 1,
+                                                is_grouped: bool = False,
+                                                group_data: pd.Series = None,
+                                                group_order: List[str] = None
+                                                ) -> Union[pd.Series, pd.DataFrame]:
         """
         compute Ex ante  tracking error =
         (strategy_weights - strategy_weights) @ covar @ (strategy_weights - strategy_weights).T
@@ -208,11 +211,33 @@ class MultiPortfolioData:
         benchmark_weights = benchmark_weights.reindex(index=covar_index, columns=investable_assets).ffill().fillna(0.0)
 
         weight_diffs = benchmark_weights - strategy_weights
-        tracking_error = {}
-        for date, pd_covar in self.covar_dict.items():
-            w = weight_diffs.loc[date]
-            tracking_error[date] = np.sqrt(w @ pd_covar @ w.T)
-        tracking_error = pd.Series(tracking_error, name='Tracking error')
+        if not is_grouped:
+            tracking_error = {}
+            for date, pd_covar in self.covar_dict.items():
+                w = weight_diffs.loc[date]
+                tracking_error[date] = np.sqrt(w @ pd_covar @ w.T)
+            tracking_error = pd.Series(tracking_error, name='Tracking error')
+        else:
+            if group_data is None:
+                group_data = self.portfolio_datas[strategy_idx].group_data
+            if group_order is None:
+                group_order = self.portfolio_datas[strategy_idx].group_order
+            group_dict = dfg.get_group_dict(group_data=group_data,
+                                            group_order=group_order,
+                                            total_column='Total')
+            tracking_error = {key: {} for key in group_dict.keys()}
+            for date, pd_covar in self.covar_dict.items():
+                w = weight_diffs.loc[date]
+                for key, tickers in group_dict.items():
+                    w_g = w.loc[tickers]
+                    pd_covar_g = pd_covar.loc[tickers, tickers]
+                    tracking_error[key][date] = np.sqrt(w_g @ pd_covar_g @ w_g.T)
+            # merge
+            tracking_error_pd = {}
+            for key in group_dict.keys():
+                tracking_error_pd[key] = pd.Series(tracking_error[key], name=key)
+            tracking_error = pd.DataFrame.from_dict(tracking_error_pd, orient='columns')
+
         return tracking_error
 
     def compute_tracking_error_table(self,
@@ -1007,6 +1032,9 @@ class MultiPortfolioData:
     def plot_tre_time_series(self,
                              strategy_idx: int = 0,
                              benchmark_idx: int = 1,
+                             is_grouped: bool = False,
+                             group_data: pd.Series = None,
+                             group_order: List[str] = None,
                              regime_benchmark: str = None,
                              regime_params: BenchmarkReturnsQuantileRegimeSpecs = REGIME_PARAMS,
                              time_period: TimePeriod = None,
@@ -1015,13 +1043,16 @@ class MultiPortfolioData:
                              ax: plt.Subplot = None,
                              **kwargs
                              ) -> None:
-        tre = self.compute_tracking_error_implied_by_covar(strategy_idx=strategy_idx, benchmark_idx=benchmark_idx)
+        tre = self.compute_tracking_error_implied_by_covar(strategy_idx=strategy_idx, benchmark_idx=benchmark_idx,
+                                                           is_grouped=is_grouped, group_data=group_data,
+                                                           group_order=group_order)
         if time_period is not None:
             tre = time_period.locate(tre)
         pts.plot_time_series(df=tre,
                              var_format=var_format,
                              legend_stats=pts.LegendStats.AVG_NONNAN_LAST,
                              title=title,
+                             y_limits=(0.0, None),
                              ax=ax,
                              **kwargs)
         if regime_benchmark is not None:

{qis-3.2.7 → qis-3.2.9}/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 +1477,42 @@ 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,
+                      turnover_rolling_period: Optional[int] = 260,
+                      freq_turnover: Optional[str] = 'B',
+                      add_total: bool = True,
+                      title: 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=turnover_rolling_period,
+                                     add_total=add_total,
+                                     freq=freq_turnover,
+                                     **kwargs)
+        freq = pd.infer_freq(turnover.index)
+        turnover_title = title or f"{turnover_rolling_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-3.2.7 → qis-3.2.9}/qis/portfolio/reports/strategy_benchmark_factsheet.py

@@ -665,22 +665,6 @@ def weights_tracking_error_report_by_ac_subac(multi_portfolio_data: MultiPortfol
             allow_negative=True,
             **kwargs)
 
-        # 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)
-
         # brinson by asset class
         totals_table, active_total, grouped_allocation_return, grouped_selection_return, grouped_interaction_return = \
             multi_portfolio_data.compute_brinson_attribution(strategy_idx=strategy_idx,
@@ -744,17 +728,65 @@ def weights_tracking_error_report_by_ac_subac(multi_portfolio_data: MultiPortfol
         figs['brinson_table_subac'] = qis.plot_brinson_totals_table(totals_table=totals_table, **kwargs)
         dfs['brinson_table_subac'] = totals_table
 
+        # 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)
+
+        # group tracking error
+        fig, ax = plt.subplots(1, 1, figsize=figsize, tight_layout=True)
+        figs['tre_group_time_series'] = fig
+        if add_titles:
+            title = 'Asset Class Tracking Error'
+        else:
+            title = None
+        multi_portfolio_data.plot_tre_time_series(strategy_idx=strategy_idx,
+                                                  benchmark_idx=benchmark_idx,
+                                                  is_grouped=True,
+                                                  group_data=ac_group_data,
+                                                  group_order=ac_group_order,
+                                                  regime_benchmark=regime_benchmark,
+                                                  regime_params=regime_params,
+                                                  title=title,
+                                                  ax=ax,
+                                                  time_period=time_period,
+                                                  **kwargs)
+
         # 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,
                                            regime_params=regime_params,
-                                           #turnover_rolling_period=260,
-                                           #freq_turnover=None,
                                            **kwargs)
-
+        if not add_titles:
+            ax.title.set_visible(False)
+        # 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,
+                                                                         **kwargs)
+        if not add_titles:
+            ax.title.set_visible(False)
     return figs, dfs
 
 

{qis-3.2.7 → qis-3.2.9}/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,