riskfolio-lib 7.2.0__cp313-cp313-macosx_10_13_x86_64.whl

riskfolio/src/Reports.py

@@ -0,0 +1,692 @@
+""""""  #
+
+"""
+Copyright (c) 2020-2026, Dany Cajas
+All rights reserved.
+This work is licensed under BSD 3-Clause "New" or "Revised" License.
+License available at https://github.com/dcajasn/Riskfolio-Lib/blob/master/LICENSE.txt
+"""
+
+import pandas as pd
+import matplotlib.pyplot as plt
+from matplotlib.gridspec import GridSpec
+from xlsxwriter.utility import xl_range_abs, xl_range, xl_rowcol_to_cell, xl_col_to_name
+import datetime
+import riskfolio.src.PlotFunctions as plf
+import riskfolio.src.RiskFunctions as rk
+
+
+__all__ = [
+    "jupyter_report",
+    "excel_report",
+]
+
+
+__LICENSE__ = """Copyright (c) 2020-2024, Dany Cajas
+All rights reserved.
+
+Redistribution and use in source and binary forms, with or without modification, are permitted provided that the following conditions are met:
+* Redistributions of source code must retain the above copyright notice, this  list of conditions and the following disclaimer.
+* Redistributions in binary form must reproduce the above copyright notice, this list of conditions and the following disclaimer in the documentation and/or other materials provided with the distribution.
+* Neither the name of Riskfolio-Lib nor the names of its contributors may be used to endorse or promote products derived from this software without specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT HOLDER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE."""
+
+
+def jupyter_report(
+    returns,
+    w,
+    rm="MV",
+    rf=0,
+    alpha=0.05,
+    a_sim=100,
+    beta=None,
+    b_sim=None,
+    kappa=0.30,
+    solver="CLARABEL",
+    percentage=False,
+    erc_line=True,
+    color="tab:blue",
+    erc_linecolor="r",
+    others=0.05,
+    nrow=25,
+    cmap="tab20",
+    height=6,
+    width=14,
+    t_factor=252,
+    ini_days=1,
+    days_per_year=252,
+    bins=50,
+):
+    r"""
+    Create a matplotlib report with useful information to analyze risk and
+    profitability of investment portfolios.
+
+    Parameters
+    ----------
+    returns : DataFrame of shape (n_samples, n_assets), optional
+        Assets returns DataFrame, where n_samples is the number of
+        observations and n_assets is the number of assets.
+    w : DataFrame or Series of shape (n_assets, 1)
+        Portfolio weights, where n_assets is the number of assets.
+    rm : str, optional
+        Risk measure used to estimate risk contribution.
+        The default is 'MV'. Possible values are:
+
+        - 'MV': Standard Deviation.
+        - 'KT': Square Root Kurtosis.
+        - 'MAD': Mean Absolute Deviation.
+        - 'GMD': Gini Mean Difference.
+        - 'MSV': Semi Standard Deviation.
+        - 'SKT': Square Root Semi Kurtosis.
+        - 'FLPM': First Lower Partial Moment (Omega Ratio).
+        - 'SLPM': Second Lower Partial Moment (Sortino Ratio).
+        - 'CVaR': Conditional Value at Risk.
+        - 'TG': Tail Gini.
+        - 'EVaR': Entropic Value at Risk.
+        - 'RLVaR': Relativistc Value at Risk.
+        - 'WR': Worst Realization (Minimax).
+        - 'CVRG': CVaR range of returns.
+        - 'TGRG': Tail Gini range of returns.
+        - 'RG': Range of returns.
+        - 'MDD': Maximum Drawdown of uncompounded cumulative returns (Calmar Ratio).
+        - 'ADD': Average Drawdown of uncompounded cumulative returns.
+        - 'DaR': Drawdown at Risk of uncompounded cumulative returns.
+        - 'CDaR': Conditional Drawdown at Risk of uncompounded cumulative returns.
+        - 'EDaR': Entropic Drawdown at Risk of uncompounded cumulative returns.
+        - 'RLDaR': Relativistic Drawdown at Risk of uncompounded cumulative returns.
+        - 'UCI': Ulcer Index of uncompounded cumulative returns.
+
+    rf : float, optional
+        Risk free rate or minimum acceptable return. The default is 0.
+    alpha : float, optional
+        Significance level of VaR, CVaR, Tail Gini, EVaR, RLVaR, CDaR, EDaR and RLDaR. The default is 0.05.
+        The default is 0.05.
+    a_sim : float, optional
+        Number of CVaRs used to approximate Tail Gini of losses. The default is 100.
+    beta : float, optional
+        Significance level of CVaR and Tail Gini of gains. If None it duplicates alpha value.
+        The default is None.
+    b_sim : float, optional
+        Number of CVaRs used to approximate Tail Gini of gains. If None it duplicates a_sim value.
+        The default is None.
+    kappa : float, optional
+        Deformation parameter of RLVaR and RLDaR, must be between 0 and 1. The default is 0.30.
+    solver: str, optional
+        Solver available for CVXPY that supports power cone programming and exponential cone programming.
+        Used to calculate EVaR, EDaR, RLVaR and RLDaR. The default value is 'CLARABEL'.
+    percentage : bool, optional
+        If risk contribution per asset is expressed as percentage or as a value. The default is False.
+    erc_line : bool, optional
+        If equal risk contribution line is plotted.
+        The default is False.
+    color : str, optional
+        Color used to plot each asset risk contribution.
+        The default is 'tab:blue'.
+    erc_linecolor : str, optional
+        Color used to plot equal risk contribution line.
+        The default is 'r'.
+    others : float, optional
+        Percentage of others section. The default is 0.05.
+    nrow : int, optional
+        Number of rows of the legend. The default is 25.
+    cmap : cmap, optional
+        Color scale used to plot each asset weight.
+        The default is 'tab20'.
+    height : float, optional
+        Average height of charts in the image in inches. The default is 6.
+    width : float, optional
+        Width of the image in inches. The default is 14.
+    t_factor : float, optional
+        Factor used to annualize expected return and expected risks for
+        risk measures based on returns (not drawdowns). The default is 252.
+
+        .. math::
+
+            \begin{align}
+            \text{Annualized Return} & = \text{Return} \, \times \, \text{t_factor} \\
+            \text{Annualized Risk} & = \text{Risk} \, \times \, \sqrt{\text{t_factor}}
+            \end{align}
+
+    ini_days : float, optional
+        If provided, it is the number of days of compounding for first return.
+        It is used to calculate Compound Annual Growth Rate (CAGR). This value
+        depend on assumptions used in t_factor, for example if data is monthly
+        you can use 21 (252 days per year) or 30 (360 days per year). The
+        default is 1 for daily returns.
+    days_per_year: float, optional
+        Days per year assumption. It is used to calculate Compound Annual
+        Growth Rate (CAGR). Default value is 252 trading days per year.
+    bins : float, optional
+        Number of bins of the histogram. The default is 50.
+
+    Raises
+    ------
+    ValueError
+        When the value cannot be calculated.
+
+    Returns
+    -------
+    ax : matplotlib axis of size (6,1)
+        Returns the Axes object with the plot for further tweaking.
+
+    Example
+    -------
+    ::
+
+        ax = rp.jupyter_report(returns,
+                               w,
+                               rm='MV',
+                               rf=0,
+                               alpha=0.05,
+                               height=6,
+                               width=14,
+                               others=0.05,
+                               nrow=25)
+
+    .. image:: images/Report_1.png
+    .. image:: images/Report_2.png
+    .. image:: images/Report_3.png
+    .. image:: images/Report_4.png
+
+    """
+
+    cov = returns.cov()
+
+    fig, ax = plt.subplots(figsize=(width, height * 6))
+    ax.axis("off")
+
+    gs0 = GridSpec(5, 1, figure=fig, height_ratios=[2, 1.5, 1, 2, 1])
+    gs00 = gs0[0].subgridspec(1, 1)
+    ax0 = fig.add_subplot(gs00[0, 0])
+
+    gs01 = gs0[1].subgridspec(1, 1)
+    ax1 = fig.add_subplot(gs01[0, 0])
+
+    gs02 = gs0[2].subgridspec(1, 1)
+    ax2 = fig.add_subplot(gs02[0, 0])
+
+    gs03 = gs0[3].subgridspec(1, 1)
+    ax3 = fig.add_subplot(gs03[0, 0])
+
+    gs04 = gs0[4].subgridspec(1, 1)
+    ax4 = fig.add_subplot(gs04[0, 0])
+
+    ax0 = plf.plot_table(
+        returns,
+        w,
+        MAR=rf,
+        alpha=alpha,
+        a_sim=a_sim,
+        kappa=kappa,
+        solver=solver,
+        t_factor=t_factor,
+        ini_days=ini_days,
+        days_per_year=days_per_year,
+        ax=ax0,
+    )
+
+    ax1 = plf.plot_pie(
+        w=w,
+        title="Portfolio Composition",
+        others=others,
+        nrow=nrow,
+        cmap=cmap,
+        ax=ax1,
+    )
+
+    ax2 = plf.plot_hist(
+        returns=returns,
+        w=w,
+        alpha=alpha,
+        a_sim=a_sim,
+        kappa=kappa,
+        solver=solver,
+        bins=bins,
+        ax=ax2,
+    )
+
+    ax3 = plf.plot_drawdown(
+        returns=returns, w=w, alpha=alpha, kappa=kappa, solver=solver, ax=ax3
+    )
+
+    ax4 = plf.plot_risk_con(
+        w=w,
+        cov=cov,
+        returns=returns,
+        rm=rm,
+        rf=rf,
+        alpha=alpha,
+        a_sim=a_sim,
+        beta=beta,
+        b_sim=b_sim,
+        kappa=kappa,
+        solver=solver,
+        t_factor=t_factor,
+        percentage=percentage,
+        erc_line=erc_line,
+        color=color,
+        erc_linecolor=erc_linecolor,
+        ax=ax4,
+    )
+
+    year = str(datetime.datetime.now().year)
+
+    title = "Riskfolio-Lib Report"
+    subtitle = "Copyright (c) 2020-" + year + ", Dany Cajas. All rights reserved."
+
+    fig.suptitle(title, fontsize="xx-large", y=1.011, fontweight="bold")
+    ax0.set_title(subtitle, fontsize="large", ha="center", pad=10)
+
+    return ax
+
+
+def excel_report(
+    returns,
+    w,
+    rf=0,
+    alpha=0.05,
+    solver="CLARABEL",
+    t_factor=252,
+    ini_days=1,
+    days_per_year=252,
+    name="report",
+):
+    r"""
+    Create an Excel report (with formulas) with useful information to analyze
+    risk and profitability of investment portfolios.
+
+    Parameters
+    ----------
+    returns : DataFrame of shape (n_samples, n_assets), optional
+        Assets returns DataFrame, where n_samples is the number of
+        observations and n_assets is the number of assets.
+    w : DataFrame or Series of shape (n_assets, 1)
+        Portfolio weights, where n_assets is the number of assets.
+    rf : float, optional
+        Risk free rate or minimum acceptable return. The default is 0.
+    alpha : float, optional
+        Significance level of VaR, CVaR, EVaR, DaR and CDaR.
+        The default is 0.05.
+    solver: str, optional
+        Solver available for CVXPY that supports exponential cone programming.
+        Used to calculate EVaR and EDaR. The default value is 'CLARABEL'.
+    t_factor : float, optional
+        Factor used to annualize expected return and expected risks for
+        risk measures based on returns (not drawdowns). The default is 252.
+
+        .. math::
+
+            \begin{align}
+            \text{Annualized Return} & = \text{Return} \, \times \, \text{t_factor} \\
+            \text{Annualized Risk} & = \text{Risk} \, \times \, \sqrt{\text{t_factor}}
+            \end{align}
+
+    ini_days : float, optional
+        If provided, it is the number of days of compounding for first return.
+        It is used to calculate Compound Annual Growth Rate (CAGR). This value
+        depend on assumptions used in t_factor, for example if data is monthly
+        you can use 21 (252 days per year) or 30 (360 days per year). The
+        default is 1 for daily returns.
+    days_per_year: float, optional
+        Days per year assumption. It is used to calculate Compound Annual
+        Growth Rate (CAGR). Default value is 252 trading days per year.
+    name : str, optional
+        Name or name with path where the Excel report will be saved. If no
+        path is provided the report will be saved in the same path of
+        current file.
+
+    Raises
+    ------
+    ValueError
+        When the report cannot be built.
+
+    Example
+    -------
+    ::
+
+        rp.excel_report(returns,
+                        w,
+                        rf=0,
+                        alpha=0.05,
+                        t_factor=252,
+                        ini_days=1,
+                        days_per_year=252,
+                        name="report")
+
+    .. image:: images/Excel.png
+
+    """
+    n1 = w.shape[0]
+    n2 = returns.shape[0]
+
+    portfolios = w.columns.tolist()
+    returns.index = returns.index.tz_localize(None)
+    dates = returns.index.tolist()
+    year = str(datetime.datetime.now().year)
+    days = (returns.index[-1] - returns.index[0]).days + ini_days
+
+    # Create a Pandas Excel writer using XlsxWriter as the engine.
+    writer = pd.ExcelWriter(name + ".xlsx", engine="xlsxwriter")
+
+    # Convert the dataframe to an XlsxWriter Excel object.
+    w.to_excel(writer, sheet_name="Resume", startrow=36, startcol=0)
+    returns.to_excel(writer, sheet_name="Returns", index_label=["Date"])
+
+    # Get the xlsxwriter objects from the dataframe writer object.
+    workbook = writer.book
+    worksheet1 = writer.sheets["Resume"]
+    worksheet2 = writer.sheets["Returns"]
+    worksheet3 = workbook.add_worksheet("Portfolios")
+    worksheet4 = workbook.add_worksheet("Absdev")
+    worksheet5 = workbook.add_worksheet("CumRet")
+    worksheet6 = workbook.add_worksheet("Drawdown")
+    worksheet7 = workbook.add_worksheet("devBelowTarget")
+    worksheet8 = workbook.add_worksheet("devBelowMean")
+
+    worksheet1.hide_gridlines(2)
+    worksheet2.hide_gridlines(2)
+    worksheet3.hide_gridlines(2)
+    worksheet4.hide_gridlines(2)
+    worksheet5.hide_gridlines(2)
+    worksheet6.hide_gridlines(2)
+    worksheet7.hide_gridlines(2)
+    worksheet8.hide_gridlines(2)
+
+    # Cell Formats
+    cell_format1 = workbook.add_format({"bold": True, "border": True})
+    cell_format2 = workbook.add_format({"bold": True, "font_size": 28, "right": True})
+    cell_format3 = workbook.add_format({"num_format": "0.0000%"})
+    cell_format4 = workbook.add_format({"num_format": "0.0000%", "border": True})
+    cell_format5 = workbook.add_format({"num_format": "yyyy-mm-dd", "bold": True})
+    cell_format6 = workbook.add_format({"num_format": "0.0000", "border": True})
+    cell_format7 = workbook.add_format(
+        {"num_format": "yyyy-mm-dd", "bold": True, "border": True}
+    )
+    cell_format8 = workbook.add_format({"num_format": "0,000", "border": True})
+
+    cols = xl_col_to_name(1) + ":" + xl_col_to_name(n2)
+    worksheet1.set_column(cols, 11, cell_format3)
+    worksheet2.set_column(cols, 9, cell_format3)
+
+    worksheet2.write(0, 0, "Date", cell_format1)
+    worksheet3.write(0, 0, "Date", cell_format1)
+    worksheet4.write(0, 0, "Date", cell_format1)
+    worksheet5.write(0, 0, "Date", cell_format1)
+    worksheet6.write(0, 0, "Date", cell_format1)
+    worksheet7.write(0, 0, "Date", cell_format1)
+    worksheet8.write(0, 0, "Date", cell_format1)
+
+    worksheet1.set_column("A:A", 36)
+    worksheet2.set_column("A:A", 10, cell_format5)
+    worksheet3.set_column("A:A", 10, cell_format5)
+    worksheet4.set_column("A:A", 10, cell_format5)
+    worksheet5.set_column("A:A", 10, cell_format5)
+    worksheet6.set_column("A:A", 10, cell_format5)
+    worksheet7.set_column("A:A", 10, cell_format5)
+    worksheet8.set_column("A:A", 10, cell_format5)
+
+    for i in range(0, n2):
+        r = xl_rowcol_to_cell(i + 1, 0)
+        formula = "=Returns!" + r + ""
+        worksheet2.write(i + 1, 0, dates[i], cell_format7)
+        worksheet3.write_formula(i + 1, 0, formula, cell_format7)
+        worksheet4.write_formula(i + 1, 0, formula, cell_format7)
+        worksheet5.write_formula(i + 1, 0, formula, cell_format7)
+        worksheet6.write_formula(i + 1, 0, formula, cell_format7)
+        worksheet7.write_formula(i + 1, 0, formula, cell_format7)
+        worksheet8.write_formula(i + 1, 0, formula, cell_format7)
+
+    labels_1 = [
+        "",
+        "",
+        "",
+        "",
+        "Profitability and Other Inputs",
+        "Total Days in DataBase",
+        "Mean Return (1)",
+        "Compound Annual Growth Rate (CAGR)",
+        "Minimum Acceptable Return (MAR) (1)",
+        "Alpha",
+        "",
+        "Risk Measures based on Returns",
+        "Standard Deviation (2)",
+        "Mean Absolute Deviation (MAD) (2)",
+        "Semi Standard Deviation (2)",
+        "First Lower Partial Moment (FLPM) (2)",
+        "Second Lower Partial Moment (SLPM) (2)",
+        "Value at Risk (VaR) (2)",
+        "Conditional Value at Risk (CVaR) (2)",
+        "Entropic Value at Risk (EVaR) (2)",
+        "Worst Realization (2)",
+        "Skewness",
+        "Kurtosis",
+        "",
+        "Risk Measures based on Drawdowns (3)",
+        "Ulcer Index (UCI)",
+        "Average Drawdown (ADD)",
+        "Drawdown at Risk (DaR)",
+        "Conditional Drawdown at Risk (CDaR)",
+        "Entropic Drawdown at Risk (CDaR)",
+        "Max Drawdown (MDD)",
+    ]
+
+    for i in range(0, len(labels_1)):
+        if labels_1[i] != "":
+            worksheet1.write(i, 0, labels_1[i], cell_format1)
+
+    for i in range(0, len(portfolios)):
+        a = "Portfolio " + str(i + 1)
+        worksheet1.write(3, 1 + i, a, cell_format1)
+        worksheet1.write(36, 1 + i, a, cell_format1)
+        worksheet3.write(0, 1 + i, a, cell_format1)
+        worksheet4.write(0, 1 + i, a, cell_format1)
+        worksheet5.write(0, 1 + i, a, cell_format1)
+        worksheet6.write(0, 1 + i, a, cell_format1)
+        worksheet7.write(0, 1 + i, a, cell_format1)
+        worksheet8.write(0, 1 + i, a, cell_format1)
+
+    for j in range(0, len(portfolios)):
+        r_0 = xl_rowcol_to_cell(8, 1 + j)  # MAR cell
+        r_1 = xl_range_abs(37, 1 + j, 36 + n1, 1 + j)
+        r_2 = xl_range_abs(1, 1 + j, n2, 1 + j)
+        for i in range(0, n2):
+            r_3 = xl_range(i + 1, 1, i + 1, n1)
+            r_4 = xl_rowcol_to_cell(i + 1, 1 + j)
+            r_5 = xl_range_abs(1, 1 + j, i + 1, 1 + j)
+            formula1 = "{=MMULT(" + "Returns!" + r_3 + ",Resume!" + r_1 + ")}"
+            formula2 = "=ABS(Portfolios!" + r_4 + "-AVERAGE(Portfolios!" + r_2 + "))"
+            formula3 = "=SUM(Portfolios!" + r_5 + ")"
+            formula4 = "=MAX(CumRet!" + r_5 + ")-CumRet!" + r_4
+            formula5 = (
+                "=MAX(Resume!"
+                + r_0
+                + "/ "
+                + str(t_factor)
+                + "-Portfolios!"
+                + r_4
+                + ", 0)"
+            )
+            formula6 = "=MAX(AVERAGE(Portfolios!" + r_2 + ")-Portfolios!" + r_4 + ", 0)"
+            worksheet3.write_formula(i + 1, 1 + j, formula1, cell_format3)
+            worksheet4.write_formula(i + 1, 1 + j, formula2, cell_format3)
+            worksheet5.write_formula(i + 1, 1 + j, formula3, cell_format3)
+            worksheet6.write_formula(i + 1, 1 + j, formula4, cell_format3)
+            worksheet7.write_formula(i + 1, 1 + j, formula5, cell_format3)
+            worksheet8.write_formula(i + 1, 1 + j, formula6, cell_format3)
+
+        r_6 = xl_rowcol_to_cell(9, 1 + j)  # Alpha cell
+        r_7 = xl_rowcol_to_cell(17, 1 + j)  # Value at Risk cell
+        AVG = "=AVERAGE(Portfolios!" + r_2 + ") * " + str(t_factor) + ""
+        CUM = (
+            "{=PRODUCT(1 + Portfolios!"
+            + r_2
+            + ")^("
+            + str(days_per_year)
+            + "/"
+            + str(days)
+            + ")-1}"
+        )
+        STDEV = "=STDEV(Portfolios!" + r_2 + ") * SQRT(" + str(t_factor) + ")"
+        MAD = "=AVERAGE(Absdev!" + r_2 + ") * SQRT(" + str(t_factor) + ")"
+        ALPHA = "=" + str(alpha)
+        VaR = (
+            "=-SMALL(Portfolios!"
+            + r_2
+            + ",ROUNDUP(COUNT(Portfolios!"
+            + r_2
+            + ")*"
+            + r_6
+            + ",0)) * SQRT("
+            + str(t_factor)
+            + ")"
+        )
+        CVaR = (
+            "=-((SUMIF(Portfolios!"
+            + r_2
+            + ',"<="&(-'
+            + r_7
+            + "/SQRT("
+            + str(t_factor)
+            + ")),Portfolios!"
+            + r_2
+            + ")"
+        )
+        CVaR += (
+            "-ROUNDUP(COUNT(Portfolios!"
+            + r_2
+            + ")*"
+            + r_6
+            + ",0)*(-"
+            + r_7
+            + "/SQRT("
+            + str(t_factor)
+            + ")))/(COUNT(Portfolios!"
+            + r_2
+            + ")*"
+            + r_6
+            + ")-"
+            + r_7
+            + "/SQRT("
+            + str(t_factor)
+            + ")) * SQRT("
+            + str(t_factor)
+            + ")"
+        )
+        EVaR = (
+            "="
+            + str(rk.EVaR_Hist(returns @ w.iloc[:, j], alpha=alpha, solver=solver)[0])
+            + " * SQRT("
+            + str(t_factor)
+            + ")"
+        )
+        WR = "=-MIN(Portfolios!" + r_2 + ") * SQRT(" + str(t_factor) + ")"
+        MDD = "=MAX(Drawdown!" + r_2 + ")"
+        ADD = "=AVERAGE(Drawdown!" + r_2 + ")"
+        DaR = (
+            "=+LARGE(Drawdown!"
+            + r_2
+            + ",ROUNDUP(COUNT(Drawdown!"
+            + r_2
+            + ")*"
+            + r_6
+            + ",0))"
+        )
+        CDaR = (
+            "=((SUMIF(Drawdown!" + r_2 + ',">="&' + DaR[2:] + ",Drawdown!" + r_2 + ")"
+        )
+        CDaR += (
+            "-ROUNDUP(COUNT(Drawdown!"
+            + r_2
+            + ")*"
+            + r_6
+            + ",0)*"
+            + DaR[2:]
+            + ")/(COUNT(Drawdown!"
+            + r_2
+            + ")*"
+            + r_6
+            + ")+"
+            + DaR[2:]
+            + ")"
+        )
+        EDaR = "=" + str(rk.EDaR_Abs(returns @ w.iloc[:, j], alpha=alpha)[0])
+        UCI = "=SQRT(SUMSQ(Drawdown!" + r_2 + ")/COUNT(Drawdown!" + r_2 + "))"
+        MAR = "=" + str(rf)
+        FLPM = "=AVERAGE(devBelowTarget!" + r_2 + ") * SQRT(" + str(t_factor) + ")"
+        SLPM = (
+            "=SQRT(SUMSQ(devBelowTarget!"
+            + r_2
+            + ")/(COUNT(devBelowTarget!"
+            + r_2
+            + ") - 1))"
+            + " * SQRT("
+            + str(t_factor)
+            + ")"
+        )
+        SDEV = (
+            "=SQRT(SUMSQ(devBelowMean!"
+            + r_2
+            + ")/(COUNT(devBelowMean!"
+            + r_2
+            + ") - 1))"
+            + " * SQRT("
+            + str(t_factor)
+            + ")"
+        )
+        SKEW = "=SKEW(Portfolios!" + r_2 + ")"
+        KURT = "=KURT(Portfolios!" + r_2 + ")"
+
+        labels_2 = [
+            "",
+            "",
+            "",
+            "",
+            "",
+            str(days),
+            AVG,
+            CUM,
+            MAR,
+            ALPHA,
+            "",
+            "",
+            STDEV,
+            MAD,
+            SDEV,
+            FLPM,
+            SLPM,
+            VaR,
+            CVaR,
+            EVaR,
+            WR,
+            SKEW,
+            KURT,
+            "",
+            "",
+            UCI,
+            ADD,
+            DaR,
+            CDaR,
+            EDaR,
+            MDD,
+        ]
+
+        for i in range(0, len(labels_2)):
+            if labels_1[i] in ["Skewness", "Kurtosis"]:
+                worksheet1.write_formula(i, 1 + j, labels_2[i], cell_format6)
+            elif labels_1[i] in ["Total Days in DataBase"]:
+                worksheet1.write_formula(i, 1 + j, labels_2[i], cell_format8)
+            elif labels_2[i] != "":
+                worksheet1.write_formula(i, 1 + j, labels_2[i], cell_format4)
+
+    merge_format = workbook.add_format({"align": "Left", "valign": "vjustify"})
+    merge_format.set_text_wrap()
+    worksheet1.set_row(1, 215)
+    worksheet1.merge_range("A2:K2", __LICENSE__.replace("2021", year), merge_format)
+    worksheet1.write(2, 0, "https://github.com/dcajasn/Riskfolio-Lib")
+    worksheet1.write(31, 0, "(1) Annualized, multiplied by " + str(t_factor))
+    worksheet1.write(32, 0, "(2) Annualized, multiplied by √" + str(t_factor))
+    worksheet1.write(33, 0, "(3) Based on uncompounded cumulated returns")
+    worksheet1.write(0, 0, "Riskfolio-Lib Report", cell_format2)
+
+    workbook.close()