TimeseriesAnalysis

class qf_lib.analysis.timeseries_analysis.timeseries_analysis.TimeseriesAnalysis(returns_timeseries: QFSeries, frequency: Frequency)[source]

Bases: TimeseriesAnalysisDTO

Used for analysing a timeseries of returns. Calculates and aggregates different statistics of the timeseries, It contains the following fields:

returns_tms - series of simple returns
frequency
start_date
end_date
total_return
cagr - annualised return
annualised_vol
annualised_upside_vol
annualised_downside_vol
sharpe_ratio
omega_ratio
calmar_ratio
gain_to_pain_ratio
sorino_ratio
cvar - 5% CVaR expressed related to the specified frequency
annualised_cvar - annualised 5% CVaR
max_drawdown - maximum drawdown
avg_drawdown - average of the whole underwater chart
avg_drawdown_duration - average duration of a drawdown
best_return
worst_return
vavg_positive_return
avg_negative_return
skewness
kurtosis
kelly

Parameters:

returns_timeseries (QFSeries) – Analysed timeseries. It should be PriceSeries, SimpleReturnSeries or LogReturnSeries
frequency (Frequency) – Corresponds to the frequency od data samples in the seres.

Methods:

`get_measures`()	Returns a list of all measures (values) represented as strings
`get_nice_names`()	Returns a list of long, nice names of all the measures
`get_short_names`()	Returns a list of short names of all the measures
`get_units`()	Returns a list of all units of all measures (values)
`populate_table`(table[, name])	Adds the data calculated in this analysis to the specified table.
`table_for_df`(df[, frequency])	Returns a table similar to the one below:
`values_in_table`(ta_collection[, asset_names])	Returns a string with all the measures in a form of table of the following format:

get_measures() → List[str][source]: Returns a list of all measures (values) represented as strings

get_nice_names() → List[str][source]: Returns a list of long, nice names of all the measures

get_short_names() → List[str][source]: Returns a list of short names of all the measures

get_units() → List[str][source]: Returns a list of all units of all measures (values)

populate_table(table: Table, name=None) → None[source]

Adds the data calculated in this analysis to the specified table. The table may be brand new or contain other analyses of the same kind.

Parameters:

table – The table to add the data to.
name – Name to give this analysis in the columns.

static table_for_df(df: QFDataFrame, frequency: Frequency = Frequency.DAILY) → str[source]

Returns a table similar to the one below:

Analysed period: start_date - end_date, using frequency data Name total_ret cagr vol up_vol down_vol … Asset1 63.93 28.27 19.15 14.06 14.35 … Asset2 66.26 29.19 20.74 14.86 15.54 … Asset3 66.26 29.19 20.74 14.86 15.54 … … … … … … … …

Parameters:

df – DataFrame of returns or prices of assets to be analysed
frequency – (optional) frequency of the returns or price sampling in the DataFrame. By default daily frequency is used

static values_in_table(ta_collection: Union[TimeseriesAnalysis, Sequence[TimeseriesAnalysis]], asset_names: Union[None, str, Sequence[str]] = None) → str[source]

Returns a string with all the measures in a form of table of the following format:

Asset1 Asset2 …

Nice_name1 value11 value21 … unit1 Nice_name2 value12 value22 … unit2 … … … … unitI Nice_nameN value12 value22 … unitN

Parameters:

ta_collection – single TimeseriesAnalysis object or a collection of TimeseriesAnalysis objects
asset_names – names of assets corresponding to objects in ta_collection