# Copyright 2016-present CERN – European Organization for Nuclear Research
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from abc import ABCMeta
from datetime import datetime
from typing import List
import matplotlib as plt
from qf_lib.analysis.common.abstract_document import AbstractDocument
from qf_lib.analysis.timeseries_analysis.timeseries_analysis import TimeseriesAnalysis
from qf_lib.common.enums.plotting_mode import PlottingMode
from qf_lib.common.utils.volatility.get_volatility import get_volatility
from qf_lib.containers.series.prices_series import PricesSeries
from qf_lib.containers.series.qf_series import QFSeries
from qf_lib.documents_utils.document_exporting.element.chart import ChartElement
from qf_lib.documents_utils.document_exporting.element.grid import GridElement
from qf_lib.documents_utils.document_exporting.pdf_exporter import PDFExporter
from qf_lib.plotting.charts.cone_chart import ConeChart
from qf_lib.plotting.helpers.create_return_quantiles import create_return_quantiles
from qf_lib.plotting.helpers.create_skewness_chart import create_skewness_chart
from qf_lib.settings import Settings
[docs]class AbstractTearsheet(AbstractDocument, metaclass=ABCMeta):
"""
Creates a PDF 'one-pager' as often found in institutional strategy performance reports.
Includes an equity curve, drawdown curve, monthly returns, heatmap, yearly returns summary and other statistics
Can be used with or without the benchmark
Parameters
----------
settings: Settings
settings of the project
pdf_exporter: PDFExporter
tool that creates the pdf with the result
strategy_series: QFSeries
timeseries of the trading of the strategy
live_date: datetime
if set it is used to generate the cone chart
title: str
title of the document
"""
def __init__(self, settings: Settings, pdf_exporter: PDFExporter, strategy_series: QFSeries,
live_date: datetime = None, title: str = "Strategy Analysis"):
super().__init__(settings, pdf_exporter, title)
self.strategy_series = strategy_series
self.live_date = live_date
self.frequency = strategy_series.get_frequency()
def _add_perf_chart(self, series_list: List[QFSeries]):
"""
series_list
List of compared series. The strategy should always be the first element in the list
"""
self.document.add_element(ChartElement(self._get_large_perf_chart(series_list),
figsize=self.full_image_size, dpi=self.dpi))
def _add_cone_and_quantiles(self):
grid = self._get_new_grid()
# Cone chart
if self.live_date is not None:
# use live_date to generate the cone chart (show only the OOS part in the cone)
is_end_date = self.live_date
nr_of_data_points = len(self.strategy_series.loc[self.live_date:])
else:
# use the 1Y of data or half of the series depending of what is shorter
nr_of_data_points = min([self.frequency.value, round(len(self.strategy_series) / 2)])
is_end_date = self.strategy_series.index[-nr_of_data_points]
cone_chart = ConeChart(data=self.strategy_series, nr_of_data_points=nr_of_data_points, is_end_date=is_end_date)
grid.add_chart(cone_chart)
# Returns quantiles
chart = create_return_quantiles(self.strategy_series, self.live_date)
grid.add_chart(chart)
self.document.add_element(grid)
def _add_underwater_and_skewness(self):
grid = GridElement(mode=PlottingMode.PDF, figsize=self.half_image_size, dpi=self.dpi)
# Underwater plot
grid.add_chart(self._get_underwater_chart(self.strategy_series))
# Skewness chart
chart = create_skewness_chart(self.strategy_series, title="Skewness")
grid.add_chart(chart)
self.document.add_element(grid)
def _add_rolling_ret_and_vol_chart(self, timeseries):
chart = self._get_rolling_ret_and_vol_chart(timeseries)
self.document.add_element(ChartElement(chart, figsize=self.full_image_size, dpi=self.dpi))
def _add_rolling_vol_chart(self, timeseries_list):
def volatility(window):
return get_volatility(PricesSeries(window), self.frequency, annualise=True)
chart = self._get_rolling_chart(timeseries_list, volatility, "Volatility")
self.document.add_element(ChartElement(chart, figsize=self.full_image_size, dpi=self.dpi))
def _add_rolling_return_chart(self, timeseries_list):
def tot_return(window):
return PricesSeries(window).total_cumulative_return()
chart = self._get_rolling_chart(timeseries_list, tot_return, "Return")
self.document.add_element(ChartElement(chart, figsize=self.full_image_size, dpi=self.dpi))
def _add_statistics_table(self, series_list: List[QFSeries]):
ta_list = [TimeseriesAnalysis(series, self.frequency) for series in series_list]
super()._add_statistics_table(ta_list)
def save(self, report_dir: str = "", file_name=None):
# Set the style for the report
plt.style.use(['tearsheet'])
if file_name is None:
file_name = "%Y_%m_%d-%H%M Tearsheet.pdf"
file_name = datetime.now().strftime(file_name)
if not file_name.endswith(".pdf"):
file_name = "{}.pdf".format(file_name)
return self.pdf_exporter.generate([self.document], report_dir, file_name)