sigma-terminal 2.0.2__py3-none-any.whl → 3.3.0__py3-none-any.whl

sigma/analytics/__init__.py

@@ -0,0 +1,636 @@
+"""Advanced analytics module for Sigma."""
+
+import asyncio
+from datetime import datetime, date, timedelta
+from typing import Any, Dict, List, Optional, Tuple, Union
+
+import numpy as np
+import pandas as pd
+from scipy import stats
+from scipy.cluster.hierarchy import linkage, fcluster
+from scipy.spatial.distance import squareform
+
+
+# ============================================================================
+# PERFORMANCE ANALYTICS
+# ============================================================================
+
+class PerformanceAnalytics:
+    """Comprehensive performance metrics calculation."""
+    
+    @staticmethod
+    def calculate_metrics(
+        returns: pd.Series,
+        benchmark_returns: Optional[pd.Series] = None,
+        risk_free_rate: float = 0.0,
+        periods_per_year: int = 252,
+    ) -> Dict[str, float]:
+        """Calculate comprehensive performance metrics."""
+        
+        # Clean returns
+        returns = returns.dropna()
+        n = len(returns)
+        
+        if n < 2:
+            return {}
+        
+        # Basic metrics
+        total_return = (1 + returns).prod() - 1
+        cagr = (1 + total_return) ** (periods_per_year / n) - 1
+        volatility = returns.std() * np.sqrt(periods_per_year)
+        
+        # Downside metrics
+        negative_returns = returns[returns < 0]
+        downside_deviation = negative_returns.std() * np.sqrt(periods_per_year) if len(negative_returns) > 0 else 0
+        
+        # Drawdown
+        cumulative = (1 + returns).cumprod()
+        running_max = cumulative.expanding().max()
+        drawdown = (cumulative - running_max) / running_max
+        max_drawdown = drawdown.min()
+        
+        # Drawdown duration
+        in_drawdown = drawdown < 0
+        dd_groups = (in_drawdown != in_drawdown.shift()).cumsum()
+        dd_durations = in_drawdown.groupby(dd_groups).sum()
+        max_dd_duration = dd_durations.max() if len(dd_durations) > 0 else 0
+        
+        # Risk-adjusted metrics
+        excess_return = cagr - risk_free_rate
+        sharpe = excess_return / volatility if volatility > 0 else 0
+        sortino = excess_return / downside_deviation if downside_deviation > 0 else 0
+        calmar = cagr / abs(max_drawdown) if max_drawdown != 0 else 0
+        
+        # VaR and CVaR
+        var_95 = returns.quantile(0.05)
+        cvar_95 = returns[returns <= var_95].mean() if len(returns[returns <= var_95]) > 0 else var_95
+        
+        # Win rate
+        win_rate = (returns > 0).mean()
+        
+        # Profit factor
+        gains = returns[returns > 0].sum()
+        losses = abs(returns[returns < 0].sum())
+        profit_factor = gains / losses if losses > 0 else float('inf')
+        
+        metrics = {
+            "total_return": total_return,
+            "cagr": cagr,
+            "volatility": volatility,
+            "downside_deviation": downside_deviation,
+            "max_drawdown": max_drawdown,
+            "max_dd_duration": int(max_dd_duration),
+            "sharpe_ratio": sharpe,
+            "sortino_ratio": sortino,
+            "calmar_ratio": calmar,
+            "var_95": var_95,
+            "cvar_95": cvar_95,
+            "win_rate": win_rate,
+            "profit_factor": profit_factor,
+        }
+        
+        # Beta and alpha if benchmark provided
+        if benchmark_returns is not None:
+            aligned = pd.concat([returns, benchmark_returns], axis=1).dropna()
+            if len(aligned) > 10:
+                cov = np.cov(aligned.iloc[:, 0], aligned.iloc[:, 1])
+                beta = cov[0, 1] / cov[1, 1] if cov[1, 1] != 0 else 0
+                alpha = cagr - (risk_free_rate + beta * (aligned.iloc[:, 1].mean() * periods_per_year - risk_free_rate))
+                
+                # R-squared
+                correlation = aligned.corr().iloc[0, 1]
+                r_squared = correlation ** 2
+                
+                # Tracking error
+                tracking_diff = aligned.iloc[:, 0] - aligned.iloc[:, 1]
+                tracking_error = tracking_diff.std() * np.sqrt(periods_per_year)
+                
+                # Information ratio
+                info_ratio = tracking_diff.mean() * periods_per_year / tracking_error if tracking_error > 0 else 0
+                
+                # Treynor ratio
+                treynor = excess_return / beta if beta != 0 else 0
+                
+                metrics.update({
+                    "beta": beta,
+                    "alpha": alpha,
+                    "r_squared": r_squared,
+                    "tracking_error": tracking_error,
+                    "information_ratio": info_ratio,
+                    "treynor_ratio": treynor,
+                })
+        
+        return metrics
+    
+    @staticmethod
+    def rolling_metrics(
+        returns: pd.Series,
+        window: int = 252,
+        periods_per_year: int = 252,
+    ) -> pd.DataFrame:
+        """Calculate rolling performance metrics."""
+        
+        rolling_return = returns.rolling(window).apply(lambda x: (1 + x).prod() - 1)
+        rolling_vol = returns.rolling(window).std() * np.sqrt(periods_per_year)
+        rolling_sharpe = (rolling_return - 0) / rolling_vol
+        
+        # Rolling max drawdown
+        def max_dd(x):
+            cumulative = (1 + x).cumprod()
+            running_max = cumulative.expanding().max()
+            drawdown = (cumulative - running_max) / running_max
+            return drawdown.min()
+        
+        rolling_dd = returns.rolling(window).apply(max_dd)
+        
+        return pd.DataFrame({
+            "rolling_return": rolling_return,
+            "rolling_volatility": rolling_vol,
+            "rolling_sharpe": rolling_sharpe,
+            "rolling_max_dd": rolling_dd,
+        })
+
+
+# ============================================================================
+# REGIME DETECTION
+# ============================================================================
+
+class RegimeDetector:
+    """Detect market regimes using various methods."""
+    
+    @staticmethod
+    def volatility_regime(
+        returns: pd.Series,
+        short_window: int = 21,
+        long_window: int = 63,
+        threshold: float = 1.5,
+    ) -> pd.Series:
+        """Detect volatility regimes."""
+        short_vol = returns.rolling(short_window).std()
+        long_vol = returns.rolling(long_window).std()
+        
+        ratio = short_vol / long_vol
+        
+        regimes = pd.Series(index=returns.index, data="normal")
+        regimes[ratio > threshold] = "high_vol"
+        regimes[ratio < 1 / threshold] = "low_vol"
+        
+        return regimes
+    
+    @staticmethod
+    def trend_regime(
+        prices: pd.Series,
+        short_window: int = 20,
+        long_window: int = 50,
+    ) -> pd.Series:
+        """Detect trend regimes using moving averages."""
+        short_ma = prices.rolling(short_window).mean()
+        long_ma = prices.rolling(long_window).mean()
+        
+        regimes = pd.Series(index=prices.index, data="sideways")
+        regimes[(short_ma > long_ma) & (prices > short_ma)] = "bull"
+        regimes[(short_ma < long_ma) & (prices < short_ma)] = "bear"
+        
+        return regimes
+    
+    @staticmethod
+    def correlation_regime(
+        returns_matrix: pd.DataFrame,
+        window: int = 63,
+        high_corr_threshold: float = 0.7,
+    ) -> pd.Series:
+        """Detect correlation regimes (risk-on/risk-off)."""
+        
+        rolling_corr = returns_matrix.rolling(window).corr()
+        
+        # Average pairwise correlation over time
+        def avg_corr(df):
+            if len(df) < window:
+                return np.nan
+            corr = df.corr()
+            mask = np.triu(np.ones_like(corr, dtype=bool), k=1)
+            return corr.where(mask).stack().mean()
+        
+        avg_correlations = returns_matrix.rolling(window).apply(
+            lambda x: returns_matrix.loc[x.index].corr().values[np.triu_indices(len(returns_matrix.columns), k=1)].mean(),
+            raw=False
+        ).mean(axis=1)
+        
+        regimes = pd.Series(index=returns_matrix.index, data="normal")
+        regimes[avg_correlations > high_corr_threshold] = "high_correlation"
+        regimes[avg_correlations < 0.3] = "low_correlation"
+        
+        return regimes
+    
+    @staticmethod
+    def hidden_markov_regime(
+        returns: pd.Series,
+        n_regimes: int = 2,
+    ) -> Tuple[pd.Series, Dict[str, Any]]:
+        """Simple regime detection using return distribution clustering."""
+        # Simplified HMM-like approach using rolling statistics
+        
+        window = 21
+        rolling_mean = returns.rolling(window).mean()
+        rolling_vol = returns.rolling(window).std()
+        
+        # Classify based on mean and volatility
+        combined = pd.DataFrame({
+            'mean': rolling_mean,
+            'vol': rolling_vol
+        }).dropna()
+        
+        # Simple k-means-like classification
+        mean_threshold = combined['mean'].median()
+        vol_threshold = combined['vol'].median()
+        
+        regimes = pd.Series(index=returns.index, data=0)
+        
+        bull_mask = (combined['mean'] > mean_threshold) & (combined['vol'] < vol_threshold)
+        bear_mask = (combined['mean'] < mean_threshold) & (combined['vol'] > vol_threshold)
+        
+        regimes.loc[bull_mask.index[bull_mask]] = 1  # Bull
+        regimes.loc[bear_mask.index[bear_mask]] = -1  # Bear
+        
+        regime_labels = {-1: "bear", 0: "neutral", 1: "bull"}
+        labeled_regimes = regimes.map(regime_labels)
+        
+        # Transition matrix
+        transitions = {}
+        for from_regime in regime_labels.values():
+            transitions[from_regime] = {}
+            for to_regime in regime_labels.values():
+                mask = (labeled_regimes.shift(1) == from_regime) & (labeled_regimes == to_regime)
+                from_mask = labeled_regimes.shift(1) == from_regime
+                prob = mask.sum() / from_mask.sum() if from_mask.sum() > 0 else 0
+                transitions[from_regime][to_regime] = prob
+        
+        return labeled_regimes, {"transition_matrix": transitions}
+
+
+# ============================================================================
+# SEASONALITY ANALYSIS
+# ============================================================================
+
+class SeasonalityAnalyzer:
+    """Analyze seasonal patterns in returns."""
+    
+    @staticmethod
+    def monthly_seasonality(returns: pd.Series) -> Dict[int, Dict[str, float]]:
+        """Analyze month-of-year seasonality."""
+        monthly = returns.groupby(returns.index.month)
+        
+        result = {}
+        for month in range(1, 13):
+            if month in monthly.groups:
+                month_returns = monthly.get_group(month)
+                result[month] = {
+                    "mean_return": month_returns.mean(),
+                    "median_return": month_returns.median(),
+                    "win_rate": (month_returns > 0).mean(),
+                    "volatility": month_returns.std(),
+                    "count": len(month_returns),
+                    "t_stat": stats.ttest_1samp(month_returns, 0)[0] if len(month_returns) > 1 else 0,
+                    "p_value": stats.ttest_1samp(month_returns, 0)[1] if len(month_returns) > 1 else 1,
+                }
+        
+        return result
+    
+    @staticmethod
+    def day_of_week_seasonality(returns: pd.Series) -> Dict[int, Dict[str, float]]:
+        """Analyze day-of-week seasonality."""
+        daily = returns.groupby(returns.index.dayofweek)
+        
+        day_names = {0: "Monday", 1: "Tuesday", 2: "Wednesday", 3: "Thursday", 4: "Friday"}
+        
+        result = {}
+        for day in range(5):
+            if day in daily.groups:
+                day_returns = daily.get_group(day)
+                result[day_names[day]] = {
+                    "mean_return": day_returns.mean(),
+                    "median_return": day_returns.median(),
+                    "win_rate": (day_returns > 0).mean(),
+                    "count": len(day_returns),
+                }
+        
+        return result
+    
+    @staticmethod
+    def pre_post_event_returns(
+        returns: pd.Series,
+        event_dates: List[date],
+        pre_days: int = 5,
+        post_days: int = 5,
+    ) -> Dict[str, Any]:
+        """Analyze returns around events."""
+        
+        pre_returns = []
+        post_returns = []
+        
+        for event_date in event_dates:
+            event_idx = returns.index.get_indexer([event_date], method='nearest')[0]
+            
+            if event_idx >= pre_days and event_idx < len(returns) - post_days:
+                pre_ret = returns.iloc[event_idx - pre_days:event_idx].sum()
+                post_ret = returns.iloc[event_idx:event_idx + post_days].sum()
+                pre_returns.append(pre_ret)
+                post_returns.append(post_ret)
+        
+        return {
+            "pre_event": {
+                "mean": np.mean(pre_returns) if pre_returns else 0,
+                "median": np.median(pre_returns) if pre_returns else 0,
+                "win_rate": np.mean([r > 0 for r in pre_returns]) if pre_returns else 0,
+            },
+            "post_event": {
+                "mean": np.mean(post_returns) if post_returns else 0,
+                "median": np.median(post_returns) if post_returns else 0,
+                "win_rate": np.mean([r > 0 for r in post_returns]) if post_returns else 0,
+            },
+            "events_analyzed": len(pre_returns),
+        }
+
+
+# ============================================================================
+# FACTOR ANALYSIS
+# ============================================================================
+
+class FactorAnalyzer:
+    """Factor exposure and attribution analysis."""
+    
+    # Standard factor definitions
+    FACTORS = {
+        "market": "SPY",
+        "size": "IWM",  # Small cap proxy
+        "value": "IVE",  # S&P 500 Value
+        "momentum": "MTUM",  # Momentum factor ETF
+        "quality": "QUAL",  # Quality factor ETF
+        "low_vol": "USMV",  # Low volatility ETF
+    }
+    
+    @staticmethod
+    def calculate_factor_exposures(
+        returns: pd.Series,
+        factor_returns: Dict[str, pd.Series],
+        window: Optional[int] = None,
+    ) -> Dict[str, float]:
+        """Calculate factor exposures using regression."""
+        
+        # Align all series
+        aligned = pd.DataFrame({"asset": returns})
+        for name, factor in factor_returns.items():
+            aligned[name] = factor
+        
+        aligned = aligned.dropna()
+        
+        if len(aligned) < 30:
+            return {}
+        
+        y = aligned["asset"].values
+        X = aligned.drop("asset", axis=1).values
+        X = np.column_stack([np.ones(len(X)), X])  # Add intercept
+        
+        # OLS regression
+        try:
+            coeffs, residuals, rank, s = np.linalg.lstsq(X, y, rcond=None)
+        except:
+            return {}
+        
+        # R-squared
+        y_pred = X @ coeffs
+        ss_res = np.sum((y - y_pred) ** 2)
+        ss_tot = np.sum((y - y.mean()) ** 2)
+        r_squared = 1 - (ss_res / ss_tot) if ss_tot > 0 else 0
+        
+        # Residual volatility
+        residual_vol = np.std(y - y_pred) * np.sqrt(252)
+        
+        exposures = {
+            "alpha": coeffs[0] * 252,  # Annualized
+            "r_squared": r_squared,
+            "residual_vol": residual_vol,
+        }
+        
+        factor_names = list(factor_returns.keys())
+        for i, name in enumerate(factor_names):
+            exposures[f"{name}_beta"] = coeffs[i + 1]
+        
+        return exposures
+    
+    @staticmethod
+    def rolling_factor_exposures(
+        returns: pd.Series,
+        factor_returns: Dict[str, pd.Series],
+        window: int = 252,
+    ) -> pd.DataFrame:
+        """Calculate rolling factor exposures."""
+        
+        results = []
+        
+        aligned = pd.DataFrame({"asset": returns})
+        for name, factor in factor_returns.items():
+            aligned[name] = factor
+        aligned = aligned.dropna()
+        
+        for i in range(window, len(aligned)):
+            subset = aligned.iloc[i - window:i]
+            exposures = FactorAnalyzer.calculate_factor_exposures(
+                subset["asset"],
+                {k: subset[k] for k in factor_returns.keys()}
+            )
+            exposures["date"] = aligned.index[i]
+            results.append(exposures)
+        
+        return pd.DataFrame(results).set_index("date") if results else pd.DataFrame()
+    
+    @staticmethod
+    def return_attribution(
+        returns: pd.Series,
+        factor_returns: Dict[str, pd.Series],
+        exposures: Dict[str, float],
+    ) -> Dict[str, float]:
+        """Attribute returns to factors."""
+        
+        attribution = {"total_return": returns.sum()}
+        
+        for factor_name, factor_ret in factor_returns.items():
+            beta_key = f"{factor_name}_beta"
+            if beta_key in exposures:
+                contribution = factor_ret.sum() * exposures[beta_key]
+                attribution[f"{factor_name}_contribution"] = contribution
+        
+        # Residual (alpha) contribution
+        factor_contributions = sum(
+            v for k, v in attribution.items() if k.endswith("_contribution")
+        )
+        attribution["alpha_contribution"] = attribution["total_return"] - factor_contributions
+        
+        return attribution
+
+
+# ============================================================================
+# CORRELATION ANALYSIS
+# ============================================================================
+
+class CorrelationAnalyzer:
+    """Advanced correlation analysis."""
+    
+    @staticmethod
+    def correlation_matrix(returns: pd.DataFrame) -> pd.DataFrame:
+        """Calculate correlation matrix."""
+        return returns.corr()
+    
+    @staticmethod
+    def rolling_correlation(
+        returns1: pd.Series,
+        returns2: pd.Series,
+        window: int = 63,
+    ) -> pd.Series:
+        """Calculate rolling correlation between two series."""
+        return returns1.rolling(window).corr(returns2)
+    
+    @staticmethod
+    def clustered_correlation(
+        returns: pd.DataFrame,
+        n_clusters: int = 3,
+    ) -> Tuple[pd.DataFrame, List[List[str]]]:
+        """Cluster assets by correlation."""
+        
+        corr = returns.corr()
+        
+        # Convert correlation to distance
+        distance = 1 - corr.abs()
+        
+        # Hierarchical clustering
+        linkage_matrix = linkage(squareform(distance), method='ward')
+        clusters = fcluster(linkage_matrix, n_clusters, criterion='maxclust')
+        
+        # Group assets by cluster
+        cluster_groups = [[] for _ in range(n_clusters)]
+        for asset, cluster in zip(corr.columns, clusters):
+            cluster_groups[cluster - 1].append(asset)
+        
+        # Reorder correlation matrix by cluster
+        ordered_assets = [asset for group in cluster_groups for asset in group]
+        ordered_corr = corr.loc[ordered_assets, ordered_assets]
+        
+        return ordered_corr, cluster_groups
+    
+    @staticmethod
+    def correlation_breakdown_by_regime(
+        returns: pd.DataFrame,
+        regimes: pd.Series,
+    ) -> Dict[str, pd.DataFrame]:
+        """Calculate correlation matrices by regime."""
+        
+        results = {}
+        
+        for regime in regimes.unique():
+            mask = regimes == regime
+            regime_returns = returns.loc[mask]
+            
+            if len(regime_returns) > 30:
+                results[regime] = regime_returns.corr()
+        
+        return results
+
+
+# ============================================================================
+# MONTE CARLO SIMULATION
+# ============================================================================
+
+class MonteCarloSimulator:
+    """Monte Carlo portfolio simulations."""
+    
+    @staticmethod
+    def bootstrap_returns(
+        returns: pd.Series,
+        n_simulations: int = 1000,
+        horizon_days: int = 252,
+        block_size: int = 21,  # Block bootstrap for autocorrelation
+    ) -> np.ndarray:
+        """Generate bootstrapped return paths."""
+        
+        n_blocks = horizon_days // block_size + 1
+        simulated_paths = np.zeros((n_simulations, horizon_days))
+        
+        returns_arr = returns.values
+        n_obs = len(returns_arr)
+        
+        for sim in range(n_simulations):
+            path = []
+            for _ in range(n_blocks):
+                start_idx = np.random.randint(0, n_obs - block_size)
+                block = returns_arr[start_idx:start_idx + block_size]
+                path.extend(block)
+            
+            simulated_paths[sim] = path[:horizon_days]
+        
+        return simulated_paths
+    
+    @staticmethod
+    def simulate_portfolio_value(
+        returns_paths: np.ndarray,
+        initial_value: float = 100000,
+    ) -> Dict[str, Any]:
+        """Simulate portfolio values and calculate statistics."""
+        
+        cumulative_returns = (1 + returns_paths).cumprod(axis=1)
+        portfolio_values = initial_value * cumulative_returns
+        
+        final_values = portfolio_values[:, -1]
+        
+        return {
+            "mean_final_value": final_values.mean(),
+            "median_final_value": np.median(final_values),
+            "std_final_value": final_values.std(),
+            "percentiles": {
+                "5th": np.percentile(final_values, 5),
+                "25th": np.percentile(final_values, 25),
+                "50th": np.percentile(final_values, 50),
+                "75th": np.percentile(final_values, 75),
+                "95th": np.percentile(final_values, 95),
+            },
+            "prob_loss": (final_values < initial_value).mean(),
+            "prob_double": (final_values > 2 * initial_value).mean(),
+            "worst_case": final_values.min(),
+            "best_case": final_values.max(),
+            "paths": portfolio_values,
+        }
+    
+    @staticmethod
+    def scenario_analysis(
+        portfolio_returns: pd.Series,
+        scenarios: Dict[str, float],
+    ) -> Dict[str, Dict[str, float]]:
+        """Analyze portfolio under different scenarios."""
+        
+        current_value = 100000
+        results = {}
+        
+        for scenario_name, shock in scenarios.items():
+            # Simple scenario: apply shock to returns
+            shocked_return = shock
+            new_value = current_value * (1 + shocked_return)
+            
+            results[scenario_name] = {
+                "shock": shock,
+                "new_value": new_value,
+                "pnl": new_value - current_value,
+                "pnl_pct": shocked_return,
+            }
+        
+        return results
+    
+    # Common scenarios
+    SCENARIOS = {
+        "rates_up_100bp": -0.05,  # Simplified impact
+        "rates_down_100bp": 0.05,
+        "market_crash_10pct": -0.10,
+        "market_rally_10pct": 0.10,
+        "vol_spike_50pct": -0.03,
+        "usd_strengthen_5pct": -0.02,
+        "oil_up_20pct": 0.01,
+        "recession": -0.15,
+    }