zipfolio 0.1.0__tar.gz

zipfolio-0.1.0/CHANGELOG.md

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+# Changelog
+
+## 0.1.0 -- 2026-10-13
+
+First release, extracted from the ZipLime backtester, where it builds the
+report next to the QuantStats tearsheet of every backtest.
+
+- `build_tearsheet`: one self-contained HTML page in the QuantStats Pro look --
+  Performance, Positions, Instruments, Sector Analysis, Factor Analysis,
+  Portfolio Risk, Transactions, Execution, Trading Costs, Round Trips, Capacity.
+- `zipfolio.ziplime`: daily bars, per-fill bars and decision prices, and order
+  types read from a ziplime run.
+- Fama-French 3/5 factors and momentum, daily, from Kenneth French's data
+  library, cached for a week.
+- GICS sectors for US tickers from a table the user supplies (`table=` or
+  `ZIPFOLIO_GICS_TABLE`); `scripts/build_us_sector_map.py` builds one. No
+  sector data ships with the package -- GICS is licensed by MSCI and S&P.
+- Every report links to https://github.com/Limex-com/zipfolio in its header
+  and footer, next to the Zipfolio version that built it, under the title
+  "Zipfolio Tearsheet: Portfolio, Execution & Cost Analysis".
+- Fixes to pyfolio-reloaded 0.9.9 behaviour, applied without patching it
+  globally: the capacity join on same-day fills, the New-York-only fill-time
+  chart, the exposure panel lost to pandas period axes, overlapping labels.
+- Allocation charts (top positions, sectors) draw a weight only while it is
+  held: an unheld name is a gap, not a zero, so exits and entries are no
+  longer vertical drops to the axis; one-session holdings are dotted, and the
+  axis keeps zero.

zipfolio-0.1.0/LICENSE

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zipfolio-0.1.0/PKG-INFO

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+Metadata-Version: 2.4
+Name: zipfolio
+Version: 0.1.0
+Summary: Backtest tearsheets that read the book, not just the returns: positions, instruments, sectors, factors, execution realism and trading costs. Part of the ZipLime ecosystem.
+License-Expression: Apache-2.0
+License-File: LICENSE
+Keywords: backtesting,tearsheet,pyfolio,ziplime,portfolio-analytics,execution,fama-french
+Author: Ziplime
+Requires-Python: >=3.10
+Classifier: Development Status :: 3 - Alpha
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: Intended Audience :: Science/Research
+Classifier: Topic :: Office/Business :: Financial :: Investment
+Classifier: Programming Language :: Python :: 3
+Provides-Extra: all
+Provides-Extra: risk
+Provides-Extra: ziplime
+Requires-Dist: cycler (>=0.11)
+Requires-Dist: empyrical-reloaded (>=0.5.9)
+Requires-Dist: matplotlib (>=3.8)
+Requires-Dist: numpy (>=1.26)
+Requires-Dist: pandas (>=2.1,<3)
+Requires-Dist: polars (>=1.0) ; extra == "all"
+Requires-Dist: polars (>=1.0) ; extra == "ziplime"
+Requires-Dist: pyfolio-reloaded (>=0.9.9)
+Requires-Dist: scipy (>=1.11)
+Requires-Dist: seaborn (>=0.13)
+Requires-Dist: skfolio (>=0.15) ; extra == "all"
+Requires-Dist: skfolio (>=0.15) ; extra == "risk"
+Requires-Dist: statsmodels (>=0.14)
+Project-URL: Changelog, https://github.com/Limex-com/zipfolio/blob/main/CHANGELOG.md
+Project-URL: Homepage, https://github.com/Limex-com/zipfolio
+Project-URL: Issues, https://github.com/Limex-com/zipfolio/issues
+Project-URL: Repository, https://github.com/Limex-com/zipfolio
+Description-Content-Type: text/markdown
+
+# Zipfolio
+
+**Backtest tearsheets that read the book, not just the returns.**
+
+Zipfolio turns a backtest into one self-contained HTML report about *how the
+strategy behaves position by position*: what it held and how concentrated it
+was, what each instrument and sector earned, which factors it was really
+exposed to, where its risk sat, how its orders were filled -- and how far those
+fills can be believed -- and what trading costs took. It is part of the
+[ZipLime](https://github.com/Limex-com) ecosystem, where it is built for every
+backtest next to the QuantStats returns tearsheet.
+
+```python
+from zipfolio import build_tearsheet
+
+build_tearsheet("report.html", returns, benchmark,
+                position_records=positions, cash=ending_cash, transactions=fills,
+                orders=orders, fill_bars=fill_bars, decision_prices=decisions,
+                market_data=daily_bars, cost_settings=settings)
+```
+
+---
+
+## Why a backtester-aware report
+
+A returns tearsheet -- QuantStats, or pyfolio fed only a return series -- sees
+one number per day. That is enough for Sharpe ratios and drawdowns, and nothing
+else: it cannot tell you whether a fill was possible, what slippage cost, or
+which position carried the risk, because none of that is in the returns.
+
+A backtester knows all of it while it runs. Every order has a type, a creation
+time, a limit or a stop; every fill belongs to an order and happens on a bar
+with an open, high, low, close and volume; every cost comes from a model with
+known settings. Most of this is thrown away once the simulation ends.
+**Zipfolio is built to be fed by the backtester itself**, while that detail
+still exists, and that is what makes its metrics possible:
+
+| Question the report answers | What it needs | Where a ziplime run has it |
+| --- | --- | --- |
+| Was each fill priced inside the bar it happened on? | the fill's own bar (OHLC) | the market-data bundle, joined as of the fill time |
+| Did a fill take more of the bar's volume than could trade? | the fill's bar volume | the same bundle |
+| Did the strategy trade at a price it had only just seen? | execution timing settings | `same_bar_execution`, `price_used_in_order_execution` |
+| What did a fill cost over the price the strategy decided at? | the close at the order's creation | the order's `created` time, joined to the bundle |
+| How long did orders wait; were any left unfilled, and why? | order lifecycle | orders: `created`, `dt`, `filled`, `status`, `reason` |
+| Which order types did the strategy use? | execution style | `MarketOrder` / `LimitOrder` / `StopOrder` / `StopLimitOrder` |
+| What did commission cost? | commission per order | `order.commission` (ziplime charges it to the order, not the fill) |
+| What did slippage cost? | the slippage model | `FixedBasisPointsSlippage`: reconstructed exactly from the fill prices |
+| What did each instrument earn? | positions and fills per day | position snapshots, fills with prices and quantities |
+| How much capital could the strategy take? | daily volume per traded name | the bundle, folded into sessions |
+| How is the cost model set, in words? | the settings themselves | `PerShare` / `PerDollar`, minimum per order, slippage bps, volume limit |
+
+The result reads like an execution and risk desk's review of the backtest,
+not a restatement of its equity curve.
+
+## What is in a report
+
+Charts on the left and narrow tables on the right in a 960px column, in the
+QuantStats Pro look (white ground, light grid, the same palette: strategy
+`#6B9E00`, benchmark `#5C5C5C`), so the two reports read as one product.
+Every chart is SVG; the page has no external requests. The header and footer
+name the Zipfolio version that built the page and link back to this repository.
+The default title is "Zipfolio Tearsheet: Portfolio, Execution & Cost Analysis"
+(`title=` changes it).
+
+| Section | Shown when | Contents |
+| --- | --- | --- |
+| **Performance** | always | key metrics, cumulative returns, underwater curve -- deliberately short; returns are QuantStats' job |
+| **Positions** | the strategy traded | exposure, top positions, long/short concentration, holdings, gross leverage |
+| **Instruments** | traded | each name's PnL, contribution, weight, days held, trade stats; contribution by year; daily and round-trip return distributions per name; cumulative PnL by name |
+| **Sector Analysis** | a held name has a sector | allocation over time, average and peak, profit attribution by GICS sector |
+| **Factor Analysis** | a factor model is set | Fama-French 5 + momentum betas with Newey-West t-stats, alpha, fit, attribution (overall and by year), rolling betas, return decomposition |
+| **Portfolio Risk** | always (more when traded) | VaR/CVaR/EVaR, drawdown-at-risk/CDaR/EDaR, Ulcer index, Gini mean difference; rolling tail risk; risk contribution per holding; clustered correlations; the same names under four allocation rules, walk-forward |
+| **Transactions** | traded | trading frequency, fill sizes, buys and sells, turnover, volume, fill times on the market's own clock |
+| **Execution** | orders are given | how the backtest fills orders, realism checks, orders by type, fill statistics, fill price within the bar and against its typical price, share of bar volume, implementation shortfall, waits |
+| **Trading Costs** | traded | the cost model in plain words, cost summary and per symbol, costs over time, returns before and after costs, sensitivity to extra slippage |
+| **Round Trips** | 5+ round trips | summary, PnL, duration and return statistics, per symbol, lifetimes, distributions |
+| **Capacity** | daily bars are given | days to liquidate, fills over 5% of daily volume, Sharpe across capital bases |
+
+A section that cannot be computed becomes a short note, a chart that fails is
+left out, and both are logged; the page fails only if nothing at all can be
+reported.
+
+## Zipfolio and pyfolio
+
+Zipfolio stands on [pyfolio-reloaded](https://github.com/stefan-jansen/pyfolio-reloaded)
+and owes it most of its analytics. What it takes, what it changes, and what it
+adds:
+
+**Uses pyfolio for the computation.** Performance statistics, drawdown tables,
+exposures and concentration, top positions, turnover, round-trip extraction and
+statistics, profit attribution, sector exposure, liquidity and the capacity
+sweep, slippage sensitivity -- all are pyfolio's functions (`timeseries`,
+`pos`, `txn`, `round_trips`, `capacity`, `plotting.plot_*`).
+
+**Replaces the presentation.** pyfolio is written for a notebook: tables go to
+IPython's `display`, and each tear sheet is one tall seaborn figure of a dozen
+panels. Zipfolio does not call the `create_*_tear_sheet` functions. It calls the
+individual `plotting.plot_*` functions, one chart per figure on an axis it
+owns, restyles each (palette, grid, percent axes, legends) and renders it to
+SVG; it catches every table at `utils.print_table` as a *frame* and renders it
+itself, with formatting pyfolio applies one-size-fits-all repaired (counts as
+`146`, money as `-$5,067.13`, three-decimal percentages as two).
+
+**Fixes, locally.** pyfolio-reloaded 0.9.9 is used as released; where it
+misbehaves, Zipfolio works around it for the one call that needs it, never by
+patching pyfolio globally:
+
+- the capacity analysis fails whenever two names trade on the same day
+  (`daily_txns_with_bar_data` calls `asfreq` on duplicate dates) -- a repaired
+  copy is swapped in for that call;
+- the transaction-time chart is fixed to New York's 09:30-16:00 -- Zipfolio
+  draws its own, on the market's clock and over the hours fills actually fall in;
+- the exposure panel disappears when pandas draws a regular-frequency index in
+  period ordinals -- charts are drawn with matplotlib dates;
+- labels and heatmap numbers that collide on dense axes are thinned and fitted
+  after drawing.
+
+**Leaves out what QuantStats already shows.** Rolling statistics, return
+distributions, the monthly heatmap and stress events are pyfolio's too, but a
+ZipLime backtest already has them in its QuantStats tearsheet.
+
+**Adds what pyfolio does not have.** The Instruments, Execution, Trading Costs
+and Factor Analysis sections, the Portfolio Risk section (computed with
+[skfolio](https://github.com/skfolio/skfolio)), sector analysis from a GICS
+table you supply, and the cost model described in words.
+
+## Zipfolio and ziplime
+
+Zipfolio is the reporting layer of ZipLime: it is designed around what a
+ziplime 1.20 run produces, and the `zipfolio.ziplime` module reads the parts a
+return series loses.
+
+What it relies on from ziplime:
+
+- **Orders as objects** -- `execution_style` (market, limit, stop, stop-limit),
+  `created` and `dt`, `amount` and `filled`, `limit` and `stop`, `status` and
+  `reason`, and `commission`, which ziplime charges to the order rather than the
+  fill.
+- **Fills with their order** -- each transaction carries its `order_id`,
+  `amount`, `price` and simulation time.
+- **The market-data bundle** -- a polars frame of OHLCV bars per instrument,
+  daily or intraday, that the simulation read; `zipfolio.ziplime.execution_bars`
+  joins every fill and every order to it *as of* the simulation time, and
+  `daily_bars` folds it into sessions.
+- **The cost and execution models** -- `PerShare` / `PerDollar` commission with
+  a per-order minimum, `FixedBasisPointsSlippage` with a volume limit,
+  `same_bar_execution` and `price_used_in_order_execution`. Zipfolio describes
+  them in words and checks every fill against them.
+- **Positions and cash per bar** -- position snapshots taken during
+  `run_simulation_iter` (ziplime mutates position objects later, so they are
+  copied as they are emitted) and `ending_cash` from the performance frame.
+
+```python
+from zipfolio.ziplime import daily_bars, execution_bars, order_type
+
+# while the run's bundle is still loaded:
+bars = daily_bars(bundle)                                  # symbol, day, price, volume
+found = execution_bars(bundle, fills, orders)              # fills: id, symbol, dt; orders: id, symbol, created
+fill_bars, decisions = found["fill_bars"], found["decision_prices"]
+kind = order_type(order)                                   # "market", "limit", "stop", "stop_limit"
+```
+
+The ZipLime backtester calls exactly this after every simulation and passes the
+frames to `build_tearsheet`. Nothing in the report requires ziplime itself:
+the inputs are plain pandas frames, and any backtester that can produce them
+gets the same report.
+
+## Installation
+
+```bash
+pip install zipfolio
+```
+
+With the optional parts:
+
+```bash
+pip install "zipfolio[all]"      # everything
+pip install "zipfolio[risk]"     # + skfolio, for the Portfolio Risk section
+pip install "zipfolio[ziplime]"  # + polars, for zipfolio.ziplime
+```
+
+Without skfolio the Portfolio Risk section is left out; nothing else changes.
+Requires Python 3.10+.
+
+Until the first release reaches PyPI, or for the latest unreleased code,
+install from GitHub:
+
+```bash
+pip install "zipfolio[all] @ git+https://github.com/Limex-com/zipfolio"
+```
+
+## Releases
+
+Zipfolio is published on GitHub first and then on PyPI, under the same
+version: a version is tagged here (`v0.1.0`), and the wheel built from that tag
+is uploaded to PyPI as `zipfolio`. Every report says which version built it --
+in the header ("Generated by ZipLime Zipfolio v0.1.0") and the footer, both
+linking back to this repository -- so a report can always be traced to the code
+that made it. Changes are listed in [CHANGELOG.md](CHANGELOG.md).
+
+To publish a release:
+
+```bash
+poetry version 0.1.1             # or: patch / minor / major
+git commit -am "Zipfolio 0.1.1" && git tag v0.1.1 && git push --tags
+poetry build && poetry publish   # PyPI token configured with `poetry config pypi-token.pypi ...`
+```
+
+## Inputs
+
+All frames are plain pandas. Only `returns` is required; each input switches
+on the sections that need it.
+
+| Argument | Shape | Used by |
+| --- | --- | --- |
+| `returns` | per-period strategy returns, datetime index | everything |
+| `benchmark` | benchmark returns, same index, or `None` | Performance, Portfolio Risk |
+| `position_records` | rows of `date, symbol, quantity, last_sale_price` per open position per day | Positions, Instruments, Sectors, Risk, Round Trips |
+| `cash` | cash at the end of each period | (same) |
+| `transactions` | rows of `id, order_id, dt, symbol, quantity, price` | Instruments, Transactions, Execution, Costs, Round Trips |
+| `orders` | rows of `id, created, dt, type, symbol, quantity, filled, commission, limit, stop, status, reason` | Execution, Trading Costs, Instruments |
+| `fill_bars` | `open, high, low, close, volume` indexed by fill `id` | Execution |
+| `decision_prices` | `decision_price` indexed by order `id` | Execution (shortfall) |
+| `market_data` | rows of `symbol, day, price, volume` | Capacity, Portfolio Risk |
+| `cost_settings` | `commission_model, commission_per_share, commission_rate, commission_min_trade_cost, slippage_basis_points, slippage_volume_limit, price_used_in_order_execution, same_bar_execution, capital` | Trading Costs, Execution |
+| `sector_mappings` | `{symbol: sector}`; `us_sector_mappings(["AAPL@XNGS", ...], table=...)` gives GICS sectors for US listings from your table | Sector Analysis |
+| `factor_model` | `"ff5_mom"` (default), `"ff5"`, `"ff3"`, `"ff3_mom"` or `None` | Factor Analysis |
+| `factor_data` | your own factor returns (decimals, with `RF`), instead of the download | Factor Analysis |
+| `title` | the page title; defaults to `zipfolio.DEFAULT_TITLE` | header |
+| `market_timezone` | e.g. `"Europe/Moscow"`; defaults to `ZIPFOLIO_MARKET_TIMEZONE`, then New York | fill-time chart |
+
+`build_tearsheet` returns the titles of the sections that made it into the page.
+
+## Data the package fetches or ships
+
+- **Fama-French factors** are downloaded from Kenneth French's
+  [data library](https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html)
+  -- the same files `pandas_datareader.famafrench` reads, without the
+  dependency -- and cached for a week under `~/.cache/zipfolio`
+  (`ZIPFOLIO_CACHE_DIR`). A failed download falls back to a stale cache, then to
+  a note in the report; the timeout is 8 seconds. The library publishes monthly
+  with a lag, so the last weeks of a fresh backtest may fall outside it. The
+  factors describe US stocks: pass `factor_model=None` for other markets.
+- **GICS sectors are not shipped.** The classification is licensed by MSCI
+  and S&P, so the codes are yours to bring: a CSV of `symbol,gics_sector`
+  (two-digit sector code) passed as `us_sector_mappings(listings, table=...)`
+  or found through `ZIPFOLIO_GICS_TABLE`. `scripts/build_us_sector_map.py`
+  builds one from exports that carry GICS codes, one row per ticker from its
+  most recent classification. `us_sector_mappings` looks up only listings on
+  US venues, so a Moscow `T` is not filed as AT&T; a reused ticker gets its
+  current holder's sector. Or skip the table and pass `sector_mappings`
+  yourself -- any `{symbol: sector}` works, GICS or not.
+
+## Limitations
+
+- Futures exposure is understated: position values are quantity x price, and
+  the records carry no contract multiplier.
+- Slippage is reconstructed for the fixed-basis-point model; other slippage
+  models would need their own reconstruction.
+- Instrument contribution adds daily PnL over the start-of-day portfolio value,
+  so dollars and percent can disagree in sign for a name that earned early and
+  gave back later -- the report says so where it shows them.
+- Factor analysis needs at least 60 sessions inside the factor data.
+
+## Development
+
+```bash
+pip install -e ".[all]" pytest     # or: poetry install --all-extras
+pytest
+```
+
+Tests never touch the network: factor downloads are replaced by synthetic
+factors. Release notes are in [CHANGELOG.md](CHANGELOG.md).
+
+## License
+
+Apache License 2.0 -- see [LICENSE](LICENSE). Zipfolio builds on
+pyfolio-reloaded (Apache-2.0) and skfolio (BSD-3-Clause). No market or
+classification data is distributed with it.
+