qis.MultiAssetsReport¶

class qis.MultiAssetsReport(prices, benchmark_prices, perf_params=PerfParams(freq='W-WED', freq_vol='W-WED', freq_skewness='ME', freq_drawdown='D', freq_reg='W-WED', freq_excess_return='W-WED', return_type=<ReturnTypes.LOG: 'Log'>, sharpe_convention=<SharpeConvention.PA: 1>, rates_data=None), regime_classifier=<qis.perfstats.regime_classifier.BenchmarkReturnsQuantilesRegime object>)[source]¶

Bases: object

Parameters:

prices (DataFrame)
benchmark_prices (Series | DataFrame)
perf_params (PerfParams)
regime_classifier (BenchmarkReturnsQuantilesRegime)

__init__(prices, benchmark_prices, perf_params=PerfParams(freq='W-WED', freq_vol='W-WED', freq_skewness='ME', freq_drawdown='D', freq_reg='W-WED', freq_excess_return='W-WED', return_type=<ReturnTypes.LOG: 'Log'>, sharpe_convention=<SharpeConvention.PA: 1>, rates_data=None), regime_classifier=<qis.perfstats.regime_classifier.BenchmarkReturnsQuantilesRegime object>)[source]¶

Parameters:

prices (DataFrame)
benchmark_prices (Series | DataFrame)
perf_params (PerfParams)
regime_classifier (BenchmarkReturnsQuantilesRegime)

Methods

`__init__`(prices, benchmark_prices[, ...])
`add_regime_shadows`(ax, regime_benchmark, data_df)
`get_prices`([benchmark, ...])
`plot_annual_returns`([...])
`plot_benchmark_alpha_attribution`(benchmark)
`plot_benchmark_beta`(benchmark[, freq_beta, ...])	plot rolling beta to one benchmark
`plot_corr_table`([corr_freq, ...])
`plot_drawdowns`([regime_benchmark, ...])
`plot_nav`([regime_benchmark, ...])
`plot_performance_bars`([time_period, ...])
`plot_ra_perf_table`(benchmark[, ...])
`plot_ra_regime_table`([regime_benchmark, ...])	plot table with bear/normal/bull sharpes
`plot_regime_data`(benchmark[, ...])
`plot_returns_scatter`(benchmark[, ...])
`plot_rolling_perf`([rolling_perf_stat, ...])
`plot_rolling_time_under_water`([...])
`plot_vol_regimes`(benchmark[, time_period, ...])

get_prices(benchmark=None, add_benchmarks_to_navs=False, time_period=None)[source]¶

Parameters:

benchmark (str)
add_benchmarks_to_navs (bool)
time_period (TimePeriod)

Return type:

DataFrame

add_regime_shadows(ax, regime_benchmark, data_df, time_period=None, regime_classifier=None)[source]¶

Parameters:

ax (Axes)
regime_benchmark (str)
data_df (DataFrame)
time_period (TimePeriod)
regime_classifier (BenchmarkReturnsQuantilesRegime)

Return type:

None

plot_ra_perf_table(benchmark, add_benchmarks_to_navs=False, time_period=None, perf_columns=(PerfStat.P.a. return, PerfStat.Vol, PerfStat.Sharpe (rf=0), PerfStat.Max DD, PerfStat.Skewness, PerfStat.An Alpha, PerfStat.Beta, PerfStat.R2, PerfStat.p-Alpha), perf_params=None, title=None, ax=None, **kwargs)[source]¶

Parameters:

benchmark (str)
add_benchmarks_to_navs (bool)
time_period (TimePeriod)
perf_columns (List[PerfStat])
perf_params (PerfParams)
title (str | None)
ax (Axes)

Return type:

None

plot_ra_regime_table(regime_benchmark=None, time_period=None, perf_columns=(PerfStat.Total, PerfStat.P.a. return, PerfStat.Vol, PerfStat.Sharpe (rf=0), PerfStat.Bear-Sharpe, PerfStat.Normal-Sharpe, PerfStat.Bull-Sharpe, PerfStat.Max DD, PerfStat.Max DD/Vol, PerfStat.Worst, PerfStat.Best, PerfStat.Skewness, PerfStat.Kurtosis), columns_title='Programs', first_column_width=3.5, ax=None, **kwargs)[source]¶

plot table with bear/normal/bull sharpes

Parameters:

regime_benchmark (str)
time_period (TimePeriod)
perf_columns (List[PerfStat])
columns_title (str)
first_column_width (float)
ax (Axes)

Return type:

None

plot_nav(regime_benchmark=None, add_benchmarks_to_navs=True, var_format='{:.0%}', sharpe_format='{:.2f}', title='Cumulative performance', is_log=False, time_period=None, perf_params=None, ax=None, **kwargs)[source]¶

Parameters:

regime_benchmark (str)
add_benchmarks_to_navs (bool)
var_format (str)
sharpe_format (str)
title (str)
is_log (bool)
time_period (TimePeriod)
perf_params (PerfParams)
ax (Axes)

Return type:

None

plot_drawdowns(regime_benchmark=None, add_benchmarks_to_navs=True, time_period=None, dd_legend_type=DdLegendType.SIMPLE, title='Running Drawdowns', ax=None, **kwargs)[source]¶

Parameters:

regime_benchmark (str)
add_benchmarks_to_navs (bool)
time_period (TimePeriod)
dd_legend_type (DdLegendType)
title (str)
ax (Axes)

Return type:

None

plot_rolling_time_under_water(regime_benchmark=None, time_period=None, dd_legend_type=DdLegendType.SIMPLE, title='Running Time Under Water', ax=None, **kwargs)[source]¶

Parameters:

regime_benchmark (str)
time_period (TimePeriod)
dd_legend_type (DdLegendType)
title (str)
ax (Axes)

Return type:

None

plot_annual_returns(add_benchmarks_to_navs=False, heatmap_freq='YE', date_format='%Y', time_period=None, table_fontsize=4, title=None, ax=None, **kwargs)[source]¶

Parameters:

add_benchmarks_to_navs (bool)
heatmap_freq (str)
date_format (str)
time_period (TimePeriod)
table_fontsize (int)
title (str | None)
ax (Axes)

Return type:

None

plot_corr_table(corr_freq='W-WED', add_benchmarks_to_navs=True, time_period=None, ax=None, **kwargs)[source]¶

Parameters:

corr_freq (str)
add_benchmarks_to_navs (bool)
time_period (TimePeriod)
ax (Axes)

Return type:

None

plot_returns_scatter(benchmark, time_period=None, freq='QE', order=2, ax=None, **kwargs)[source]¶

Parameters:

benchmark (str)
time_period (TimePeriod)
freq (str)
order (int)
ax (Axes)

Return type:

None

plot_benchmark_beta(benchmark, freq_beta='ME', factor_beta_span=12, time_period=None, ax=None, **kwargs)[source]¶

plot rolling beta to one benchmark

Parameters:

benchmark (str)
freq_beta (str)
factor_beta_span (int)
time_period (TimePeriod)
ax (Axes)

Return type:

None

plot_benchmark_alpha_attribution(benchmark, freq_beta='ME', factor_beta_span=12, factor_alpha_title=None, time_period=None, ax=None, **kwargs)[source]¶

Parameters:

benchmark (str)
freq_beta (str)
factor_beta_span (int)
factor_alpha_title (str | None)
time_period (TimePeriod)
ax (Axes)

Return type:

None

plot_rolling_perf(rolling_perf_stat=RollingPerfStat.SHARPE, regime_benchmark=None, time_period=None, sharpe_rolling_window=756, freq_sharpe=None, legend_stats=LegendStats.FIRST_AVG_LAST, ax=None, **kwargs)[source]¶

Parameters:

rolling_perf_stat (RollingPerfStat)
regime_benchmark (str)
time_period (TimePeriod)
sharpe_rolling_window (int)
freq_sharpe (str | None)
legend_stats (LegendStats)
ax (Axes)

Return type:

Figure

plot_regime_data(benchmark, regime_data_to_plot=RegimeData.REGIME_SHARPE, time_period=None, var_format=None, is_conditional_sharpe=True, drop_benchmark=False, title=None, legend_loc='upper center', perf_params=None, regime_classifier=None, ax=None, **kwargs)[source]¶

Parameters:

benchmark (str)
regime_data_to_plot (RegimeData)
time_period (TimePeriod)
var_format (str | None)
is_conditional_sharpe (bool)
drop_benchmark (bool)
title (str)
legend_loc (str | None)
perf_params (PerfParams)
regime_classifier (RegimeClassifier)
ax (Axes)

Return type:

None

plot_vol_regimes(benchmark, time_period=None, title=None, ax=None, **kwargs)[source]¶

Parameters:

benchmark (str)
time_period (TimePeriod)
title (str)
ax (Axes)

Return type:

None

plot_performance_bars(time_period=None, benchmark=None, perf_column=PerfStat.Sharpe(rf=0), add_benchmarks_to_navs=True, title=None, ax=None, **kwargs)[source]¶

Parameters:

time_period (TimePeriod)
benchmark (str | None)
perf_column (PerfStat)
add_benchmarks_to_navs (bool)
title (str)
ax (Axes)

Return type:

None