# 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.
import numpy as np
from qf_lib.containers.dataframe.qf_dataframe import QFDataFrame
from qf_lib.plotting.charts.line_chart import LineChart
from qf_lib.plotting.decorators.axes_label_decorator import AxesLabelDecorator
from qf_lib.plotting.decorators.data_element_decorator import DataElementDecorator
from qf_lib.plotting.decorators.legend_decorator import LegendDecorator
from qf_lib.plotting.decorators.line_decorators import HorizontalLineDecorator
from qf_lib.plotting.decorators.title_decorator import TitleDecorator
[docs]def create_holdings_chart(positions: QFDataFrame) -> LineChart:
"""
Creates a line chart showing holdings per day based on the specified positions.
Parameters
----------
positions: QFDataFrame
Positions as returned by the extract_rets_pos_txn_from_zipline function.
Returns
-------
LineChart
Created line chart
"""
# Based on:
# https://github.com/quantopian/pyfolio/blob/5d63df4ca6e0ead83f4bebf9860732d37f532026/pyfolio/plotting.py#L323
result = LineChart()
# Perform some calculations.
positions = positions.copy().drop("cash", axis="columns")
holdings = positions.apply(lambda x: np.sum(x != 0), axis="columns")
holdings_by_month = holdings.resample("1M").mean()
holdings_decorator = DataElementDecorator(holdings, color="steelblue", linewidth=1.5)
result.add_decorator(holdings_decorator)
holdings_by_month_decorator = DataElementDecorator(holdings_by_month, color="orangered", alpha=0.5, linewidth=2)
result.add_decorator(holdings_by_month_decorator)
hline_decorator = HorizontalLineDecorator(holdings.values.mean(), linestyle="--")
result.add_decorator(hline_decorator)
legend = LegendDecorator()
legend.add_entry(holdings_decorator, "Daily Holdings")
legend.add_entry(holdings_by_month_decorator, "Average Daily Holdings, by month")
legend.add_entry(hline_decorator, "Average Daily Holdings, net")
result.add_decorator(legend)
result.add_decorator(TitleDecorator("Holdings per Day"))
result.add_decorator(AxesLabelDecorator(y_label="Amount of holdings per Day"))
return result