Add sheetnames and improve mret

openbb_terminal/portfolio/portfolio_controller.py

@@ -1004,6 +1004,23 @@ class PortfolioController(BaseController):
             help="Period to select start end of the year returns",
             metavar="PERIOD",
         )
+        parser.add_argument(
+            "-i",
+            "--instrument",
+            type=str,
+            dest="instrument",
+            default="both",
+            choices=["both", "portfolio", "benchmark"],
+            help="Whether to show portfolio or benchmark monthly returns. By default both are shown in one table.",
+        )
+        parser.add_argument(
+            "-g",
+            "--graph",
+            action="store_true",
+            default=False,
+            dest="graph",
+            help="Plot the monthly returns on a heatmap",
+        )
         parser.add_argument(
             "-s",
             "--show",
@@ -1018,7 +1035,7 @@ class PortfolioController(BaseController):
             parser,
             other_args,
             raw=True,
-            export_allowed=EXPORT_ONLY_FIGURES_ALLOWED,
+            export_allowed=EXPORT_ONLY_RAW_DATA_ALLOWED,
         )
 
         if ns_parser and self.portfolio is not None:
@@ -1028,10 +1045,13 @@ class PortfolioController(BaseController):
                 portfolio_view.display_monthly_returns(
                     self.portfolio,
                     ns_parser.period,
-                    ns_parser.raw,
+                    ns_parser.instrument,
+                    ns_parser.graph,
                     ns_parser.show_vals,
                     ns_parser.export,
-                    ns_parser.sheet_name,
+                    sheet_name=" ".join(ns_parser.sheet_name)
+                    if ns_parser.sheet_name
+                    else None,
                 )
 
     @log_start_end(log=logger)
@@ -1073,7 +1093,9 @@ class PortfolioController(BaseController):
                     ns_parser.raw,
                     ns_parser.limit,
                     ns_parser.export,
-                    ns_parser.sheet_name,
+                    sheet_name=" ".join(ns_parser.sheet_name)
+                    if ns_parser.sheet_name
+                    else None,
                 )
 
     @log_start_end(log=logger)
@@ -1095,9 +1117,6 @@ class PortfolioController(BaseController):
                 portfolio_view.display_maximum_drawdown(
                     self.portfolio,
                     export=ns_parser.export,
-                    sheet_name=" ".join(ns_parser.sheet_name)
-                    if ns_parser.sheet_name
-                    else None,
                 )
 
     @log_start_end(log=logger)
@@ -1331,18 +1350,26 @@ class PortfolioController(BaseController):
                         self.portfolio,
                         ns_parser.risk_free_rate / 100,
                         ns_parser.export,
-                        ns_parser.sheet_name,
+                        sheet_name=" ".join(ns_parser.sheet_name)
+                        if ns_parser.sheet_name
+                        else None,
                     )
                 elif ns_parser.metric == "sortino":
                     portfolio_view.display_sortino_ratio(
                         self.portfolio,
                         ns_parser.risk_free_rate / 100,
                         ns_parser.export,
-                        ns_parser.sheet_name,
+                        sheet_name=" ".join(ns_parser.sheet_name)
+                        if ns_parser.sheet_name
+                        else None,
                     )
                 elif ns_parser.metric == "maxdrawdown":
                     portfolio_view.display_maximum_drawdown_ratio(
-                        self.portfolio, ns_parser.export, ns_parser.sheet_name
+                        self.portfolio,
+                        ns_parser.export,
+                        sheet_name=" ".join(ns_parser.sheet_name)
+                        if ns_parser.sheet_name
+                        else None,
                     )
                 elif ns_parser.metric == "rsquare":
                     portfolio_view.display_rsquare(
@@ -1354,15 +1381,27 @@ class PortfolioController(BaseController):
                     )
                 elif ns_parser.metric == "gaintopain":
                     portfolio_view.display_gaintopain_ratio(
-                        self.portfolio, ns_parser.export, ns_parser.sheet_name
+                        self.portfolio,
+                        ns_parser.export,
+                        sheet_name=" ".join(ns_parser.sheet_name)
+                        if ns_parser.sheet_name
+                        else None,
                     )
                 elif ns_parser.metric == "trackerr":
                     portfolio_view.display_tracking_error(
-                        self.portfolio, ns_parser.export, ns_parser.sheet_name
+                        self.portfolio,
+                        ns_parser.export,
+                        sheet_name=" ".join(ns_parser.sheet_name)
+                        if ns_parser.sheet_name
+                        else None,
                     )
                 elif ns_parser.metric == "information":
                     portfolio_view.display_information_ratio(
-                        self.portfolio, ns_parser.export, ns_parser.sheet_name
+                        self.portfolio,
+                        ns_parser.export,
+                        sheet_name=" ".join(ns_parser.sheet_name)
+                        if ns_parser.sheet_name
+                        else None,
                     )
                 elif ns_parser.metric == "tail":
                     portfolio_view.display_tail_ratio(
@@ -1374,30 +1413,52 @@ class PortfolioController(BaseController):
                     )
                 elif ns_parser.metric == "commonsense":
                     portfolio_view.display_common_sense_ratio(
-                        self.portfolio, ns_parser.export, ns_parser.sheet_name
+                        self.portfolio,
+                        ns_parser.export,
+                        sheet_name=" ".join(ns_parser.sheet_name)
+                        if ns_parser.sheet_name
+                        else None,
                     )
                 elif ns_parser.metric == "jensens":
                     portfolio_view.display_jensens_alpha(
                         self.portfolio,
                         ns_parser.risk_free_rate / 100,
                         ns_parser.export,
-                        ns_parser.sheet_name,
+                        sheet_name=" ".join(ns_parser.sheet_name)
+                        if ns_parser.sheet_name
+                        else None,
                     )
                 elif ns_parser.metric == "calmar":
                     portfolio_view.display_calmar_ratio(
-                        self.portfolio, ns_parser.export, ns_parser.sheet_name
+                        self.portfolio,
+                        ns_parser.export,
+                        sheet_name=" ".join(ns_parser.sheet_name)
+                        if ns_parser.sheet_name
+                        else None,
                     )
                 elif ns_parser.metric == "kelly":
                     portfolio_view.display_kelly_criterion(
-                        self.portfolio, ns_parser.export, ns_parser.sheet_name
+                        self.portfolio,
+                        ns_parser.export,
+                        sheet_name=" ".join(ns_parser.sheet_name)
+                        if ns_parser.sheet_name
+                        else None,
                     )
                 elif ns_parser.metric == "payoff" and self.portfolio is not None:
                     portfolio_view.display_payoff_ratio(
-                        self.portfolio, ns_parser.export, ns_parser.sheet_name
+                        self.portfolio,
+                        ns_parser.export,
+                        sheet_name=" ".join(ns_parser.sheet_name)
+                        if ns_parser.sheet_name
+                        else None,
                     )
                 elif ns_parser.metric == "profitfactor" and self.portfolio is not None:
                     portfolio_view.display_profit_factor(
-                        self.portfolio, ns_parser.export, ns_parser.sheet_name
+                        self.portfolio,
+                        ns_parser.export,
+                        sheet_name=" ".join(ns_parser.sheet_name)
+                        if ns_parser.sheet_name
+                        else None,
                     )
 
     @log_start_end(log=logger)
@@ -1437,7 +1498,9 @@ class PortfolioController(BaseController):
                     ns_parser.period,
                     ns_parser.raw,
                     ns_parser.export,
-                    ns_parser.sheet_name,
+                    sheet_name=" ".join(ns_parser.sheet_name)
+                    if ns_parser.sheet_name
+                    else None,
                 )
 
     @log_start_end(log=logger)
@@ -1484,7 +1547,9 @@ class PortfolioController(BaseController):
                     ns_parser.period,
                     ns_parser.risk_free_rate / 100,
                     ns_parser.export,
-                    ns_parser.sheet_name,
+                    sheet_name=" ".join(ns_parser.sheet_name)
+                    if ns_parser.sheet_name
+                    else None,
                 )
 
 

openbb_terminal/portfolio/portfolio_model.py

@@ -371,7 +371,36 @@ def get_monthly_returns(
         ],
     )
 
-    return monthly_returns, bench_monthly_returns
+    years = [
+        (year, instrument)
+        for year in monthly_returns.index
+        for instrument in ["Portfolio", "Benchmark", "Alpha"]
+    ]
+    total_monthly_returns = pd.DataFrame(
+        np.nan,
+        columns=monthly_returns.columns,
+        index=pd.MultiIndex.from_tuples(years, names=["Year", "Instrument"]),
+    )
+
+    for year in monthly_returns.index:
+        for instrument in ["Portfolio", "Benchmark", "Alpha"]:
+            if instrument == "Portfolio":
+                total_monthly_returns.loc[
+                    (year, instrument), monthly_returns.columns
+                ] = monthly_returns.loc[year].values
+            elif instrument == "Benchmark":
+                total_monthly_returns.loc[
+                    (year, instrument), monthly_returns.columns
+                ] = bench_monthly_returns.loc[year].values
+            elif instrument == "Alpha":
+                total_monthly_returns.loc[
+                    (year, instrument), monthly_returns.columns
+                ] = (
+                    monthly_returns.loc[year].values
+                    - bench_monthly_returns.loc[year].values
+                )
+
+    return monthly_returns, bench_monthly_returns, total_monthly_returns
 
 
 @log_start_end(log=logger)

openbb_terminal/portfolio/portfolio_view.py

@@ -475,7 +475,8 @@ def display_yearly_returns(
 def display_monthly_returns(
     portfolio_engine: PortfolioEngine,
     window: str = "all",
-    raw: bool = False,
+    instrument: str = "both",
+    graph: bool = False,
     show_vals: bool = False,
     export: str = "",
     sheet_name: str = None,
@@ -490,27 +491,38 @@ def display_monthly_returns(
         Use `portfolio.load` to create a PortfolioEngine.
     window : str
         interval to compare cumulative returns and benchmark
-    raw : False
-        Display raw data from cumulative return
+    instrument : str
+        Display raw data from cumulative return, default is showing both the portfolio and benchmark in one table
     show_vals : False
         Show values on heatmap
     export : str
         Export certain type of data
+    sheet_name : str
+        Whether to export to a specific sheet name in an Excel file
     external_axes: plt.Axes
         Optional axes to display plot on
     """
 
-    portfolio_returns, benchmark_returns = get_monthly_returns(portfolio_engine, window)
+    portfolio_returns, benchmark_returns, total_monthly_returns = get_monthly_returns(
+        portfolio_engine, window
+    )
 
-    if raw:
+    if instrument == "portfolio":
         print_rich_table(
             portfolio_returns,
             title="Monthly returns - portfolio [%]",
             headers=portfolio_returns.columns,
             show_index=True,
         )
-        console.print("\n")
 
+        export_data(
+            export,
+            os.path.dirname(os.path.abspath(__file__)),
+            "mret_portfolio",
+            portfolio_returns,
+            sheet_name,
+        )
+    elif instrument == "benchmark":
         print_rich_table(
             benchmark_returns,
             title="Monthly returns - benchmark [%]",
@@ -518,7 +530,49 @@ def display_monthly_returns(
             show_index=True,
         )
 
-    else:
+        export_data(
+            export,
+            os.path.dirname(os.path.abspath(__file__)),
+            "mret_benchmark",
+            benchmark_returns,
+            sheet_name,
+        )
+    elif instrument == "both":
+        # Converts multi-index into readable rich table while keeping the multi-index intact for export
+        total_monthly_returns_rich = total_monthly_returns.copy()
+        total_monthly_returns_rich.insert(
+            0, "Instruments", total_monthly_returns_rich.index.get_level_values(1)
+        )
+        total_monthly_returns_rich.insert(
+            0,
+            "Year",
+            sum(
+                [
+                    [year, "", ""]
+                    for year in total_monthly_returns_rich.index.get_level_values(
+                        0
+                    ).unique()
+                ],
+                [],
+            ),
+        )
+
+        print_rich_table(
+            total_monthly_returns_rich,
+            title="Total Monthly returns [%]",
+            headers=total_monthly_returns_rich.columns,
+            show_index=False,
+        )
+
+        export_data(
+            export,
+            os.path.dirname(os.path.abspath(__file__)),
+            "mret_total",
+            total_monthly_returns,
+            sheet_name,
+        )
+
+    if graph or show_vals:
         if external_axes is None:
             _, ax = plt.subplots(
                 2,
@@ -564,14 +618,6 @@ def display_monthly_returns(
         if external_axes is None:
             theme.visualize_output()
 
-    export_data(
-        export,
-        os.path.dirname(os.path.abspath(__file__)),
-        "mret",
-        portfolio_returns,
-        sheet_name,
-    )
-
 
 @log_start_end(log=logger)
 def display_daily_returns(