# 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 typing import Tuple
from matplotlib.dates import DateFormatter
from matplotlib.ticker import MaxNLocator
from qf_lib.common.enums.frequency import Frequency
from qf_lib.common.utils.returns.get_aggregate_returns import get_aggregate_returns
from qf_lib.plotting.charts.chart import Chart
from qf_lib.plotting.decorators.axes_formatter_decorator import PercentageFormatter
[docs]class AnnualReturnsBarChart(Chart):
def __init__(self, strategy_tms):
super().__init__()
self.strategy_tms = strategy_tms
[docs] def plot(self, figsize: Tuple[float, float] = None):
self._setup_axes_if_necessary(figsize)
annual_returns_tms = self._prepare_data_to_plot()
self._plot_data(annual_returns_tms)
def _prepare_data_to_plot(self):
simple_returns_tms = self.strategy_tms.to_simple_returns()
annual_returns_tms = get_aggregate_returns(series=simple_returns_tms, convert_to=Frequency.YEARLY)
return annual_returns_tms
def _plot_data(self, annual_returns_tms):
self.axes.yaxis.set_major_formatter(PercentageFormatter())
self.axes.yaxis.set_major_locator(MaxNLocator(steps=[1, 2, 5, 10], nbins=20, symmetric=True))
# plot the line for mean
mean_annual_return = annual_returns_tms.mean()
self.axes.axhline(mean_annual_return, color='grey', linestyle='--', alpha=0.7)
# plot the line for 0Y
self.axes.axhline(0, color='black', linestyle='-')
# plot yearly returns as bars
self.axes.xaxis.set_major_formatter(DateFormatter('%Y-%m'))
annual_returns_tms.plot(ax=self.axes, kind='bar', alpha=0.7, width=0.8)
self.axes.set_xlabel('Year')
self.axes.set_ylabel('Returns')
self.axes.set_title("Annual Returns")
mean_label = 'mean={0:.2%}'.format(mean_annual_return)
self.axes.legend([mean_label], loc='best')
self._adjust_style()