# 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 datetime import datetime
from qf_lib.common.utils.error_handling import ErrorHandling
from qf_lib.analysis.tearsheets.abstract_tearsheet import AbstractTearsheet
from qf_lib.common.enums.plotting_mode import PlottingMode
from qf_lib.containers.series.qf_series import QFSeries
from qf_lib.documents_utils.document_exporting.element.grid import GridElement
from qf_lib.documents_utils.document_exporting.element.new_page import NewPageElement
from qf_lib.documents_utils.document_exporting.element.paragraph import ParagraphElement
from qf_lib.plotting.charts.returns_heatmap_chart import ReturnsHeatmapChart
from qf_lib.plotting.helpers.create_qq_chart import create_qq_chart
from qf_lib.plotting.helpers.create_returns_bar_chart import create_returns_bar_chart
from qf_lib.plotting.helpers.create_returns_distribution import create_returns_distribution
from qf_lib.settings import Settings
[docs]@ErrorHandling.class_error_logging()
class TearsheetWithoutBenchmark(AbstractTearsheet):
"""
Creates a PDF report without a benchamrk.
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, strategy_series: QFSeries, live_date: datetime = None,
title: str = "Strategy Analysis"):
super().__init__(settings, pdf_exporter, strategy_series, live_date, title)
def build_document(self):
series_list = [self.strategy_series]
self._add_header()
self.document.add_element(ParagraphElement("\n"))
self._add_perf_chart(series_list)
self.document.add_element(ParagraphElement("\n"))
self._add_returns_statistics_charts(self.strategy_series)
self._add_ret_distribution_and_qq()
self.document.add_element(ParagraphElement("\n"))
self._add_rolling_ret_and_vol_chart(self.strategy_series)
# Next Page
self.document.add_element(NewPageElement())
self._add_header()
self.document.add_element(ParagraphElement("\n"))
self._add_cone_and_quantiles()
self._add_underwater_and_skewness()
self._add_statistics_table(series_list)
def _add_ret_distribution_and_qq(self):
grid = GridElement(mode=PlottingMode.PDF, figsize=self.half_image_size, dpi=self.dpi)
# Distribution of Monthly Returns
chart = create_returns_distribution(self.strategy_series)
grid.add_chart(chart)
# QQ chart
chart = create_qq_chart(self.strategy_series)
grid.add_chart(chart)
self.document.add_element(grid)
def _add_returns_statistics_charts(self, series):
grid = self._get_new_grid()
# Monthly returns heatmap
heatmap_chart = ReturnsHeatmapChart(series, title="Monthly Returns - {}".format(series.name))
grid.add_chart(heatmap_chart)
# Annual returns bar chart
annual_ret_chart = create_returns_bar_chart(series, title="Annual Returns - {}".format(series.name))
grid.add_chart(annual_ret_chart)
self.document.add_element(grid)