Source code for qf_lib.plotting.helpers.create_qq_chart

#     Copyright 2016-present CERN – European Organization for Nuclear Research
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#     Licensed under the Apache License, Version 2.0 (the "License");
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from scipy.stats import norm

from qf_lib.containers.series.qf_series import QFSeries
from qf_lib.plotting.charts.chart import Chart
from qf_lib.plotting.charts.line_chart import LineChart
from qf_lib.plotting.decorators.axes_label_decorator import AxesLabelDecorator
from qf_lib.plotting.decorators.line_decorators import DiagonalLineDecorator, VerticalLineDecorator, \
    HorizontalLineDecorator
from qf_lib.plotting.decorators.scatter_decorator import ScatterDecorator
from qf_lib.plotting.decorators.title_decorator import TitleDecorator


[docs]def create_qq_chart(strategy: QFSeries) -> Chart: """ Parameters ---------- strategy: QFSeries Returns ------- Chart """ colors = Chart.get_axes_colors() strategy = strategy.to_log_returns() # Normalize strategy = strategy - strategy.mean() strategy = strategy / strategy.std() # Sort strategy_values = sorted(strategy.values) # Create benchmark benchmark_values = list(range(1, len(strategy_values) + 1)) n = len(strategy_values) + 1 benchmark_values = map(lambda x: x / n, benchmark_values) benchmark_values = list(map(lambda x: norm.ppf(x), benchmark_values)) # Figure out the limits. maximum = max(max(benchmark_values), max(strategy_values)) result = LineChart(start_x=-maximum, end_x=maximum, upper_y=maximum, lower_y=-maximum) result.add_decorator(ScatterDecorator( benchmark_values, strategy_values, color=colors[0], alpha=0.6, edgecolors='black', linewidths=0.5)) result.add_decorator(VerticalLineDecorator(0, color='black', linewidth=1)) result.add_decorator(HorizontalLineDecorator(0, color='black', linewidth=1)) result.add_decorator(TitleDecorator("Normal Distribution Q-Q")) result.add_decorator(AxesLabelDecorator("Normal Distribution Quantile", "Observed Quantile")) # Add diagonal line. result.add_decorator(DiagonalLineDecorator(color=colors[1])) return result