# Copyright 2016-present CERN – European Organization for Nuclear Research
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# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
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# http://www.apache.org/licenses/LICENSE-2.0
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from collections import Sequence
import numpy as np
from qf_lib.common.utils.returns.list_of_max_drawdowns import list_of_max_drawdowns
from qf_lib.containers.series.qf_series import QFSeries
from qf_lib.plotting.charts.surface_chart_3d import SurfaceChart3D
[docs]def create_dd_probability_chart_3d(prices_tms: QFSeries) -> SurfaceChart3D:
"""Create a 3d drawdowns probability chart"""
def count_dd_above_threshold(drawdown_series: Sequence, threshold: float):
return sum(1 for dd in drawdown_series if dd > threshold)
drawdowns, duration_of_drawdowns = list_of_max_drawdowns(prices_tms)
bear_marker_definitions = np.arange(0.15, 0.55, 0.05) # rows -> will be the Y axis
all_examined_dds = np.arange(0.01, 0.20, 0.01) # columns -> will be the X axis
percentage_ending_in_bear_market = np.ones((len(bear_marker_definitions), len(all_examined_dds))) * 100
for i, bear_marker_definition in enumerate(bear_marker_definitions):
nr_of_bear_markets = count_dd_above_threshold(drawdowns, bear_marker_definition)
for j, examined_dd in enumerate(all_examined_dds):
if examined_dd <= bear_marker_definition:
number_of_dds_above = count_dd_above_threshold(drawdowns, examined_dd)
percentage = nr_of_bear_markets / number_of_dds_above * 100
percentage_ending_in_bear_market[i, j] = percentage
chart = SurfaceChart3D(all_examined_dds, bear_marker_definitions, percentage_ending_in_bear_market)
chart.set_axes_names('examined drawdown', 'bear market definition')
chart.set_title('Percentage of drawdowns ending in bear market')
return chart