mirror of
https://github.com/OpenBB-finance/OpenBB.git
synced 2026-11-12 04:13:06 +00:00
e9b832f779
* fix inception bug and clean some useless attributes * reorder attributes * add returns and cumulative returns * fix cumulative returns * fix cumulative returns * remove cumulative ret * add some doc and encapsule methods * order detail * add more details on docstrings * wrong docstring * add commnet * Update portfolio_engine.py * fix bug with unsupported type * Fix plot look when using eval and add query to choices (#3881) * convert index to datetime and update choices * uncomment economy integration test * fix treasury concat bug * fix datasets concat on duplciates * Lock ruff version so that new lints dont break our CI (#3905) * Lock ruff version so that new lints dont break our CI * Bumped pre-commit ruff version * fix table header * fix portfolio integration test * ruff * fix tests * rewrite yfinance call * fix test_draw * test_stocks_helper * bt model * fix comp analysis * fix ftd * fix dd * fix screener Co-authored-by: James Maslek <jmaslek11@gmail.com> Co-authored-by: Colin Delahunty <72827203+colin99d@users.noreply.github.com> Co-authored-by: hjoaquim <h.joaquim@campus.fct.unl.pt>
1394 lines
49 KiB
Python
1394 lines
49 KiB
Python
"""Portfolio Controller"""
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__docformat__ = "numpy"
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import argparse
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import logging
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import os
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from typing import List
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from datetime import date
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import pandas as pd
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from openbb_terminal.custom_prompt_toolkit import NestedCompleter
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from openbb_terminal import feature_flags as obbff
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from openbb_terminal.decorators import log_start_end
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from openbb_terminal.helper_funcs import (
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EXPORT_BOTH_RAW_DATA_AND_FIGURES,
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EXPORT_ONLY_FIGURES_ALLOWED,
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EXPORT_ONLY_RAW_DATA_ALLOWED,
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)
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from openbb_terminal.menu import session
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from openbb_terminal.core.config.paths import MISCELLANEOUS_DIRECTORY
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from openbb_terminal.parent_classes import BaseController
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from openbb_terminal.portfolio.portfolio_model import generate_portfolio
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from openbb_terminal.portfolio import statics
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from openbb_terminal.portfolio import portfolio_view
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from openbb_terminal.portfolio import portfolio_helper
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from openbb_terminal.portfolio import attribution_model
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from openbb_terminal.rich_config import console, MenuText
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from openbb_terminal.common.quantitative_analysis import qa_view
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try:
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from openbb_terminal.portfolio.portfolio_optimization import po_controller
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OPTIMIZATION_TOOLKIT_ENABLED = True
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except ModuleNotFoundError:
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OPTIMIZATION_TOOLKIT_ENABLED = False
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console.print(
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"[yellow]"
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"Portfolio Optimization Toolkit is disabled. "
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"To use the Optimization features please install the toolkit following the "
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"instructions here: https://github.com/OpenBB-finance/OpenBBTerminal/"
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"blob/main/openbb_terminal/README.md#anaconda--python"
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"\n"
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"[/yellow]"
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)
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# pylint: disable=R1710,E1101,C0415,W0212,too-many-function-args,C0302,too-many-instance-attributes
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logger = logging.getLogger(__name__)
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class PortfolioController(BaseController):
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"""Portfolio Controller class"""
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CHOICES_COMMANDS = [
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"load",
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"show",
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"bench",
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"alloc",
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"attrib",
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"perf",
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"yret",
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"mret",
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"dret",
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"distr",
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"holdv",
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"holdp",
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"maxdd",
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"var",
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"es",
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"om",
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"rvol",
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"rsharpe",
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"rsort",
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"rbeta",
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"metric",
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"summary",
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]
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CHOICES_MENUS = [
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"bro",
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"po",
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"pa",
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]
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VALID_DISTRIBUTIONS = ["laplace", "student_t", "logistic", "normal"]
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AGGREGATION_METRICS = ["assets", "sectors", "countries", "regions"]
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VALID_METRICS = [
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"volatility",
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"sharpe",
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"sortino",
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"maxdrawdown",
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"rsquare",
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"skew",
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"kurtosis",
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"gaintopain",
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"trackerr",
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"information",
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"tail",
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"commonsense",
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"jensens",
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"calmar",
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"kelly",
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"payoff",
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"profitfactor",
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]
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PERIODS = ["3y", "5y", "10y", "all"]
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PATH = "/portfolio/"
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CHOICES_GENERATION = True
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def __init__(self, queue: List[str] = None):
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"""Constructor"""
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super().__init__(queue)
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self.file_types = ["xlsx", "csv"]
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self.DEFAULT_HOLDINGS_PATH = portfolio_helper.DEFAULT_HOLDINGS_PATH
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self.DATA_HOLDINGS_FILES = {
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filepath.name: filepath
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for file_type in self.file_types
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for filepath in self.DEFAULT_HOLDINGS_PATH.rglob(f"*.{file_type}")
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}
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self.DATA_HOLDINGS_FILES.update(
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{
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filepath.name: filepath
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for file_type in self.file_types
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for filepath in (
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MISCELLANEOUS_DIRECTORY / "portfolio_examples" / "holdings"
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).rglob(f"*.{file_type}")
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}
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)
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self.portfolio_df = pd.DataFrame(
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columns=[
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"Date",
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"Name",
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"Type",
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"Sector",
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"Industry",
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"Country",
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"Price",
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"Quantity",
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"Fees",
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"Premium",
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"Investment",
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"Side",
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"Currency",
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]
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)
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self.portfolio_name: str = ""
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self.benchmark_name: str = ""
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self.original_benchmark_ticker = ""
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self.risk_free_rate = 0
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self.portlist: List[str] = os.listdir(self.DEFAULT_HOLDINGS_PATH)
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self.portfolio = None
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if session and obbff.USE_PROMPT_TOOLKIT:
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self.update_choices()
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choices: dict = self.choices_default
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self.choices = choices
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self.completer = NestedCompleter.from_nested_dict(choices)
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def update_choices(self):
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self.DEFAULT_HOLDINGS_PATH = portfolio_helper.DEFAULT_HOLDINGS_PATH
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self.DATA_HOLDINGS_FILES.update(
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{
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filepath.name: filepath
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for file_type in self.file_types
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for filepath in self.DEFAULT_HOLDINGS_PATH.rglob(f"*.{file_type}")
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}
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)
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def print_help(self):
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"""Print help"""
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mt = MenuText("portfolio/")
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mt.add_menu("bro")
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mt.add_menu("po")
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mt.add_raw("\n")
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mt.add_cmd("load")
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mt.add_cmd("show")
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mt.add_cmd("bench")
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mt.add_raw("\n")
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mt.add_param("_loaded", self.portfolio_name)
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mt.add_param("_riskfreerate", self.portfolio_name)
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mt.add_param("_benchmark", self.benchmark_name)
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mt.add_raw("\n")
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mt.add_info("_graphs_")
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mt.add_cmd("holdv", self.portfolio_name and self.benchmark_name)
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mt.add_cmd("holdp", self.portfolio_name and self.benchmark_name)
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mt.add_cmd("yret", self.portfolio_name and self.benchmark_name)
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mt.add_cmd("mret", self.portfolio_name and self.benchmark_name)
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mt.add_cmd("dret", self.portfolio_name and self.benchmark_name)
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mt.add_cmd("distr", self.portfolio_name and self.benchmark_name)
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mt.add_cmd("maxdd", self.portfolio_name and self.benchmark_name)
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mt.add_cmd("rvol", self.portfolio_name and self.benchmark_name)
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mt.add_cmd("rsharpe", self.portfolio_name and self.benchmark_name)
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mt.add_cmd("rsort", self.portfolio_name and self.benchmark_name)
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mt.add_cmd("rbeta", self.portfolio_name and self.benchmark_name)
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mt.add_info("_metrics_")
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mt.add_cmd("alloc", self.portfolio_name and self.benchmark_name)
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mt.add_cmd("attrib", self.portfolio_name and self.benchmark_name)
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mt.add_cmd("summary", self.portfolio_name and self.benchmark_name)
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mt.add_cmd("alloc", self.portfolio_name and self.benchmark_name)
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mt.add_cmd("attrib", self.portfolio_name and self.benchmark_name)
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mt.add_cmd("metric", self.portfolio_name and self.benchmark_name)
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mt.add_cmd("perf", self.portfolio_name and self.benchmark_name)
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mt.add_info("_risk_")
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mt.add_cmd("var", self.portfolio_name and self.benchmark_name)
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mt.add_cmd("es", self.portfolio_name and self.benchmark_name)
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mt.add_cmd("os", self.portfolio_name and self.benchmark_name)
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port = bool(self.portfolio_name)
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port_bench = bool(self.portfolio_name) and bool(self.benchmark_name)
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help_text = f"""[menu]
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> bro brokers holdings, \t\t supports: robinhood, ally, degiro, coinbase
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> po portfolio optimization, \t optimize your portfolio weights efficiently[/menu]
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[cmds]
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load load data into the portfolio
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show show existing transactions
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bench define the benchmark
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[/cmds]
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[param]Loaded transactions file:[/param] {self.portfolio_name}
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[param]Risk Free Rate: [/param] {self.risk_free_rate:.2%}
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[param]Benchmark:[/param] {self.benchmark_name}
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[info]Graphs:[/info]{("[unvl]", "[cmds]")[port_bench]}
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holdv holdings of assets (absolute value)
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holdp portfolio holdings of assets (in percentage)
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yret yearly returns
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mret monthly returns
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dret daily returns
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distr distribution of daily returns
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maxdd maximum drawdown
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rvol rolling volatility
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rsharpe rolling sharpe
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rsort rolling sortino
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rbeta rolling beta
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{("[/unvl]", "[/cmds]")[port_bench]}
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[info]Metrics:[/info]{("[unvl]", "[cmds]")[port_bench]}
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summary all portfolio vs benchmark metrics for a certain period of choice
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alloc allocation on an asset, sector, countries or regions basis
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attrib display sector attribution of the portfolio compared to the S&P 500
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metric portfolio vs benchmark metric for all different periods
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perf performance of the portfolio versus benchmark{("[/unvl]", "[/cmds]")[port_bench]}
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[info]Risk Metrics:[/info]{("[unvl]", "[cmds]")[port]}
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var display value at risk
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es display expected shortfall
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om display omega ratio{("[/unvl]", "[/cmds]")[port]}
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"""
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# TODO: Clean up the reports inputs
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# TODO: Edit the allocation to allow the different asset classes
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# [info]Reports:[/info]
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# ar annual report for performance of a given portfolio
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console.print(text=help_text, menu="Portfolio")
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self.update_choices()
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def custom_reset(self):
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"""Class specific component of reset command"""
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objects_to_reload = ["portfolio"]
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if self.portfolio_name:
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objects_to_reload.append(f"load {self.portfolio_name}")
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if self.original_benchmark_ticker:
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objects_to_reload.append(f'bench "{self.original_benchmark_ticker}"')
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return objects_to_reload
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@log_start_end(log=logger)
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def call_bro(self, _):
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"""Process bro command"""
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from openbb_terminal.portfolio.brokers.bro_controller import (
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BrokersController,
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)
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self.queue = self.load_class(BrokersController, self.queue)
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@log_start_end(log=logger)
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def call_po(self, _):
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"""Process po command"""
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if OPTIMIZATION_TOOLKIT_ENABLED:
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if self.portfolio is None:
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tickers = []
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else:
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tickers = self.portfolio.tickers_list
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self.queue = self.load_class(
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po_controller.PortfolioOptimizationController,
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tickers,
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None,
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None,
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self.queue,
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)
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else:
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console.print("[yellow]Portfolio Optimization Toolkit is disabled[/yellow]")
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@log_start_end(log=logger)
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def call_load(self, other_args: List[str]):
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"""Process load command"""
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parser = argparse.ArgumentParser(
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add_help=False,
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formatter_class=argparse.ArgumentDefaultsHelpFormatter,
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prog="load",
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description="Load your portfolio transactions.",
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)
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parser.add_argument(
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"-f",
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"--file",
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type=str,
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dest="file",
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required="-h" not in other_args,
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help="The file to be loaded",
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choices={c: {} for c in self.DATA_HOLDINGS_FILES},
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metavar="FILE",
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)
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parser.add_argument(
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"-n",
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"--name",
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type=str,
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dest="name",
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help="The name that you wish to give to your portfolio",
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)
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parser.add_argument(
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"-r",
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"--rfr",
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type=float,
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default=0,
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dest="risk_free_rate",
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help="Set the risk free rate.",
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)
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if other_args and "-" not in other_args[0][0]:
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other_args.insert(0, "-f")
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ns_parser = self.parse_known_args_and_warn(parser, other_args)
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if ns_parser and ns_parser.file:
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if ns_parser.file in self.DATA_HOLDINGS_FILES:
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file_location = self.DATA_HOLDINGS_FILES[ns_parser.file]
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else:
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file_location = ns_parser.file # type: ignore
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self.portfolio = generate_portfolio(
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transactions_file_path=str(file_location),
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benchmark_symbol="SPY",
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risk_free_rate=ns_parser.risk_free_rate / 100,
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)
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if ns_parser.name:
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self.portfolio_name = ns_parser.name
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else:
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self.portfolio_name = ns_parser.file
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console.print(
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f"\n[bold][param]Portfolio:[/param][/bold] {self.portfolio_name}"
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)
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self.risk_free_rate = ns_parser.risk_free_rate / 100
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console.print(
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f"[bold][param]Risk Free Rate:[/param][/bold] {self.risk_free_rate:.2%}"
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)
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self.benchmark_name = "SPDR S&P 500 ETF Trust (SPY)"
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console.print(
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f"[bold][param]Benchmark:[/param][/bold] {self.benchmark_name}"
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)
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@log_start_end(log=logger)
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def call_show(self, other_args: List[str]):
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"""Process show command"""
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parser = argparse.ArgumentParser(
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add_help=False,
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formatter_class=argparse.ArgumentDefaultsHelpFormatter,
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prog="show",
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description="Show transactions table",
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)
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ns_parser = self.parse_known_args_and_warn(
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parser,
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other_args,
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export_allowed=EXPORT_BOTH_RAW_DATA_AND_FIGURES,
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limit=10,
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)
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if ns_parser and self.portfolio is not None:
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portfolio_view.display_transactions(
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self.portfolio,
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show_index=False,
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limit=ns_parser.limit,
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export=ns_parser.export,
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)
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@log_start_end(log=logger)
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def call_bench(self, other_args: List[str]):
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"""Process bench command"""
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parser = argparse.ArgumentParser(
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add_help=False,
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formatter_class=argparse.ArgumentDefaultsHelpFormatter,
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prog="bench",
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description="Load in a benchmark from a selected list or set your own based on the ticker.",
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)
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parser.add_argument(
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"-b",
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"--benchmark",
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type=str,
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default="SPY",
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dest="benchmark",
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required="-h" not in other_args,
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help="Set the benchmark for the portfolio. By default, this is SPDR S&P 500 ETF Trust (SPY).",
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choices={c: {} for c in statics.BENCHMARK_CHOICES},
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metavar="BENCHMARK",
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)
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parser.add_argument(
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"-s",
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"--full_shares",
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action="store_true",
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default=False,
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dest="full_shares",
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help="Whether to only make a trade with the benchmark when a full share can be bought (no partial shares).",
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)
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if other_args and "-" not in other_args[0][0]:
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other_args.insert(0, "-b")
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ns_parser = self.parse_known_args_and_warn(parser, other_args)
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if ns_parser:
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if self.portfolio is None:
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console.print(
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"[red]Please first load transactions file using 'load'[/red]"
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)
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else:
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self.benchmark_name = statics.BENCHMARK_CHOICES.get(ns_parser.benchmark)
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self.original_benchmark_ticker = ns_parser.benchmark
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self.portfolio.set_benchmark(ns_parser.benchmark, ns_parser.full_shares)
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@log_start_end(log=logger)
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def call_alloc(self, other_args: List[str]):
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"""Process alloc command"""
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parser = argparse.ArgumentParser(
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add_help=False,
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formatter_class=argparse.ArgumentDefaultsHelpFormatter,
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prog="alloc",
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description="""
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|
Show your allocation to each asset or sector compared to the benchmark.
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""",
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)
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parser.add_argument(
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"-a",
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"--agg",
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default="assets",
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choices=self.AGGREGATION_METRICS,
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dest="agg",
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help="The type of allocation aggregation you wish to do",
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metavar="AGG",
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)
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|
parser.add_argument(
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"-t",
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"--tables",
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|
action="store_true",
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default=False,
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dest="tables",
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help="Whether to also include the assets/sectors tables of both the benchmark and the portfolio.",
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|
)
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|
if other_args:
|
|
if other_args and "-" not in other_args[0][0]:
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other_args.insert(0, "-a")
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|
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ns_parser = self.parse_known_args_and_warn(parser, other_args, limit=10)
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|
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if ns_parser and self.portfolio is not None:
|
|
|
|
if check_portfolio_benchmark_defined(
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self.portfolio_name, self.benchmark_name
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|
):
|
|
if ns_parser.agg == "assets":
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|
portfolio_view.display_assets_allocation(
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self.portfolio,
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ns_parser.limit,
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ns_parser.tables,
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|
)
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|
elif ns_parser.agg == "sectors":
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|
portfolio_view.display_sectors_allocation(
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self.portfolio,
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ns_parser.limit,
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ns_parser.tables,
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|
)
|
|
elif ns_parser.agg == "countries":
|
|
portfolio_view.display_countries_allocation(
|
|
self.portfolio,
|
|
ns_parser.limit,
|
|
ns_parser.tables,
|
|
)
|
|
elif ns_parser.agg == "regions":
|
|
portfolio_view.display_regions_allocation(
|
|
self.portfolio,
|
|
ns_parser.limit,
|
|
ns_parser.tables,
|
|
)
|
|
else:
|
|
console.print(
|
|
f"{ns_parser.agg} is not an available option. The options "
|
|
f"are: {', '.join(self.AGGREGATION_METRICS)}"
|
|
)
|
|
|
|
@log_start_end(log=logger)
|
|
def call_attrib(self, other_args: List[str]):
|
|
"""Process attrib command"""
|
|
parser = argparse.ArgumentParser(
|
|
add_help=False,
|
|
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
|
|
prog="attrib",
|
|
description="""
|
|
Displays sector attribution of the portfolio compared to the S&P 500
|
|
""",
|
|
)
|
|
parser.add_argument(
|
|
"-p",
|
|
"--period",
|
|
type=str,
|
|
choices=statics.PERIODS,
|
|
dest="period",
|
|
default="all",
|
|
help="Period in which to calculate attribution",
|
|
)
|
|
parser.add_argument(
|
|
"-t",
|
|
"--type",
|
|
type=str,
|
|
choices=["relative", "absolute"],
|
|
dest="type",
|
|
default="relative",
|
|
help="Select between relative or absolute attribution values",
|
|
)
|
|
parser.add_argument(
|
|
"--raw",
|
|
type=bool,
|
|
dest="raw",
|
|
default=False,
|
|
const=True,
|
|
nargs="?",
|
|
help="View raw attribution values in a table",
|
|
)
|
|
|
|
if other_args:
|
|
if other_args and "-" not in other_args[0][0]:
|
|
other_args.insert(0, "-a")
|
|
|
|
ns_parser = self.parse_known_args_and_warn(parser, other_args, limit=10)
|
|
|
|
if ns_parser and self.portfolio is not None:
|
|
|
|
if check_portfolio_benchmark_defined(
|
|
self.portfolio_name, self.benchmark_name
|
|
):
|
|
if self.benchmark_name != "SPDR S&P 500 ETF Trust (SPY)":
|
|
print(
|
|
"This feature uses S&P 500 as benchmark and will disregard selected benchmark if different."
|
|
)
|
|
# sector contribution
|
|
end_date = date.today()
|
|
# set correct time period
|
|
if ns_parser.period == "all":
|
|
start_date = self.portfolio.inception_date
|
|
else:
|
|
start_date = portfolio_helper.get_start_date_from_period(
|
|
ns_parser.period
|
|
)
|
|
|
|
# calculate benchmark and portfolio contribution values
|
|
bench_result = attribution_model.get_spy_sector_contributions(
|
|
start_date, end_date
|
|
)
|
|
portfolio_result = attribution_model.get_portfolio_sector_contributions(
|
|
start_date, self.portfolio.portfolio_trades
|
|
)
|
|
|
|
# relative results - the proportions of return attribution
|
|
if ns_parser.type == "relative":
|
|
categorization_result = (
|
|
attribution_model.percentage_attrib_categorizer(
|
|
bench_result, portfolio_result
|
|
)
|
|
)
|
|
|
|
portfolio_view.display_attribution_categorization(
|
|
display=categorization_result,
|
|
time_period=ns_parser.period,
|
|
attrib_type="Contributions as % of PF",
|
|
plot_fields=["S&P500 [%]", "Portfolio [%]"],
|
|
show_table=ns_parser.raw,
|
|
)
|
|
|
|
# absolute - the raw values of return attribution
|
|
if ns_parser.type == "absolute":
|
|
categorization_result = attribution_model.raw_attrib_categorizer(
|
|
bench_result, portfolio_result
|
|
)
|
|
|
|
portfolio_view.display_attribution_categorization(
|
|
display=categorization_result,
|
|
time_period=ns_parser.period,
|
|
attrib_type="Raw contributions (Return x PF Weight)",
|
|
plot_fields=["S&P500", "Portfolio"],
|
|
show_table=ns_parser.raw,
|
|
)
|
|
|
|
console.print()
|
|
|
|
@log_start_end(log=logger)
|
|
def call_perf(self, other_args: List[str]):
|
|
"""Process performance command"""
|
|
parser = argparse.ArgumentParser(
|
|
add_help=False,
|
|
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
|
|
prog="performance",
|
|
description="""
|
|
Shows performance of each trade and total performance of the portfolio versus the benchmark.
|
|
""",
|
|
)
|
|
parser.add_argument(
|
|
"-t",
|
|
"--show_trades",
|
|
action="store_true",
|
|
default=False,
|
|
dest="show_trades",
|
|
help="Whether to show performance on all trades in comparison to the benchmark.",
|
|
)
|
|
|
|
ns_parser = self.parse_known_args_and_warn(parser, other_args)
|
|
|
|
if ns_parser and self.portfolio is not None:
|
|
if check_portfolio_benchmark_defined(
|
|
self.portfolio_name, self.benchmark_name
|
|
):
|
|
|
|
portfolio_view.display_performance_vs_benchmark(
|
|
self.portfolio,
|
|
ns_parser.show_trades,
|
|
)
|
|
|
|
@log_start_end(log=logger)
|
|
def call_holdv(self, other_args: List[str]):
|
|
"""Process holdv command"""
|
|
parser = argparse.ArgumentParser(
|
|
add_help=False,
|
|
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
|
|
prog="holdv",
|
|
description="Display holdings of assets (absolute value)",
|
|
)
|
|
parser.add_argument(
|
|
"-u",
|
|
"--unstack",
|
|
action="store_true",
|
|
default=False,
|
|
dest="unstack",
|
|
help="Sum all assets value over time",
|
|
)
|
|
ns_parser = self.parse_known_args_and_warn(
|
|
parser,
|
|
other_args,
|
|
export_allowed=EXPORT_BOTH_RAW_DATA_AND_FIGURES,
|
|
raw=True,
|
|
limit=10,
|
|
)
|
|
if ns_parser:
|
|
if check_portfolio_benchmark_defined(
|
|
self.portfolio_name, self.benchmark_name
|
|
):
|
|
portfolio_view.display_holdings_value(
|
|
self.portfolio,
|
|
ns_parser.unstack,
|
|
ns_parser.raw,
|
|
ns_parser.limit,
|
|
ns_parser.export,
|
|
)
|
|
|
|
@log_start_end(log=logger)
|
|
def call_holdp(self, other_args: List[str]):
|
|
"""Process holdp command"""
|
|
parser = argparse.ArgumentParser(
|
|
add_help=False,
|
|
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
|
|
prog="holdp",
|
|
description="Display holdings of assets (in percentage)",
|
|
)
|
|
parser.add_argument(
|
|
"-u",
|
|
"--unstack",
|
|
action="store_true",
|
|
default=False,
|
|
dest="unstack",
|
|
help="Sum all assets percentage over time",
|
|
)
|
|
ns_parser = self.parse_known_args_and_warn(
|
|
parser,
|
|
other_args,
|
|
export_allowed=EXPORT_BOTH_RAW_DATA_AND_FIGURES,
|
|
raw=True,
|
|
limit=10,
|
|
)
|
|
if ns_parser:
|
|
if check_portfolio_benchmark_defined(
|
|
self.portfolio_name, self.benchmark_name
|
|
):
|
|
portfolio_view.display_holdings_percentage(
|
|
self.portfolio,
|
|
ns_parser.unstack,
|
|
ns_parser.raw,
|
|
ns_parser.limit,
|
|
ns_parser.export,
|
|
)
|
|
|
|
@log_start_end(log=logger)
|
|
def call_var(self, other_args: List[str]):
|
|
"""Process var command"""
|
|
parser = argparse.ArgumentParser(
|
|
add_help=False,
|
|
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
|
|
prog="var",
|
|
description="""
|
|
Provides value at risk (short: VaR) of the selected portfolio.
|
|
""",
|
|
)
|
|
parser.add_argument(
|
|
"-m",
|
|
"--mean",
|
|
action="store_true",
|
|
default=True,
|
|
dest="use_mean",
|
|
help="If one should use the mean of the portfolio return",
|
|
)
|
|
parser.add_argument(
|
|
"-a",
|
|
"--adjusted",
|
|
action="store_true",
|
|
default=False,
|
|
dest="adjusted",
|
|
help="""
|
|
If the VaR should be adjusted for skew and kurtosis (Cornish-Fisher-Expansion)
|
|
""",
|
|
)
|
|
parser.add_argument(
|
|
"-s",
|
|
"--student",
|
|
action="store_true",
|
|
default=False,
|
|
dest="student_t",
|
|
help="""
|
|
If one should use the student-t distribution
|
|
""",
|
|
)
|
|
parser.add_argument(
|
|
"-p",
|
|
"--percentile",
|
|
action="store",
|
|
dest="percentile",
|
|
type=float,
|
|
default=99.9,
|
|
help="""
|
|
Percentile used for VaR calculations, for example input 99.9 equals a 99.9 Percent VaR
|
|
""",
|
|
)
|
|
|
|
ns_parser = self.parse_known_args_and_warn(parser, other_args)
|
|
|
|
if ns_parser and self.portfolio is not None:
|
|
if self.portfolio_name:
|
|
if ns_parser.adjusted and ns_parser.student_t:
|
|
console.print(
|
|
"Select either the adjusted or the student_t parameter.\n"
|
|
)
|
|
else:
|
|
portfolio_view.display_var(
|
|
portfolio_engine=self.portfolio,
|
|
use_mean=ns_parser.use_mean,
|
|
adjusted_var=ns_parser.adjusted,
|
|
student_t=ns_parser.student_t,
|
|
percentile=ns_parser.percentile,
|
|
)
|
|
else:
|
|
console.print(
|
|
"[red]Please first define the portfolio using 'load'[/red]\n"
|
|
)
|
|
|
|
@log_start_end(log=logger)
|
|
def call_es(self, other_args: List[str]):
|
|
"""Process es command"""
|
|
parser = argparse.ArgumentParser(
|
|
add_help=False,
|
|
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
|
|
prog="es",
|
|
description="""
|
|
Provides Expected Shortfall (short: ES) of the selected portfolio.
|
|
""",
|
|
)
|
|
parser.add_argument(
|
|
"-m",
|
|
"--mean",
|
|
action="store_true",
|
|
default=True,
|
|
dest="use_mean",
|
|
help="If one should use the mean of the portfolios return",
|
|
)
|
|
parser.add_argument(
|
|
"-d",
|
|
"--dist",
|
|
dest="distribution",
|
|
type=str,
|
|
choices=self.VALID_DISTRIBUTIONS,
|
|
default="normal",
|
|
help="Distribution used for the calculations",
|
|
metavar="DIST",
|
|
)
|
|
parser.add_argument(
|
|
"-p",
|
|
"--percentile",
|
|
action="store",
|
|
dest="percentile",
|
|
type=float,
|
|
default=99.9,
|
|
help="""
|
|
Percentile used for ES calculations, for example input 99.9 equals a 99.9 Percent Expected Shortfall
|
|
""",
|
|
)
|
|
|
|
ns_parser = self.parse_known_args_and_warn(parser, other_args)
|
|
|
|
if ns_parser:
|
|
if self.portfolio and self.portfolio_name:
|
|
portfolio_view.display_es(
|
|
portfolio_engine=self.portfolio,
|
|
use_mean=ns_parser.use_mean,
|
|
distribution=ns_parser.distribution,
|
|
percentile=ns_parser.percentile,
|
|
)
|
|
else:
|
|
console.print(
|
|
"[red]Please first define the portfolio using 'load'[/red]\n"
|
|
)
|
|
|
|
@log_start_end(log=logger)
|
|
def call_om(self, other_args: List[str]):
|
|
"""Process om command"""
|
|
parser = argparse.ArgumentParser(
|
|
add_help=False,
|
|
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
|
|
prog="om",
|
|
description="""
|
|
Provides omega ratio of the selected portfolio.
|
|
""",
|
|
)
|
|
parser.add_argument(
|
|
"-s",
|
|
"--start",
|
|
action="store",
|
|
dest="start",
|
|
type=float,
|
|
default=0,
|
|
help="""
|
|
Start of the omega ratio threshold
|
|
""",
|
|
)
|
|
parser.add_argument(
|
|
"-e",
|
|
"--end",
|
|
action="store",
|
|
dest="end",
|
|
type=float,
|
|
default=1.5,
|
|
help="""
|
|
End of the omega ratio threshold
|
|
""",
|
|
)
|
|
ns_parser = self.parse_known_args_and_warn(parser, other_args)
|
|
if ns_parser and self.portfolio is not None:
|
|
if self.portfolio_name:
|
|
data = self.portfolio.portfolio_returns[1:]
|
|
qa_view.display_omega(
|
|
data,
|
|
ns_parser.start,
|
|
ns_parser.end,
|
|
)
|
|
else:
|
|
console.print(
|
|
"[red]Please first define the portfolio (via 'load')[/red]\n"
|
|
)
|
|
|
|
@log_start_end(log=logger)
|
|
def call_yret(self, other_args: List[str]):
|
|
"""Process yret command"""
|
|
parser = argparse.ArgumentParser(
|
|
add_help=False,
|
|
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
|
|
prog="yret",
|
|
description="End of the year returns",
|
|
)
|
|
parser.add_argument(
|
|
"-p",
|
|
"--period",
|
|
type=str,
|
|
dest="period",
|
|
default="all",
|
|
choices=self.PERIODS,
|
|
help="Period to select start end of the year returns",
|
|
metavar="PERIOD",
|
|
)
|
|
if other_args and "-" not in other_args[0][0]:
|
|
other_args.insert(0, "-p")
|
|
ns_parser = self.parse_known_args_and_warn(
|
|
parser,
|
|
other_args,
|
|
raw=True,
|
|
export_allowed=EXPORT_BOTH_RAW_DATA_AND_FIGURES,
|
|
)
|
|
|
|
if ns_parser and self.portfolio is not None:
|
|
if check_portfolio_benchmark_defined(
|
|
self.portfolio_name, self.benchmark_name
|
|
):
|
|
portfolio_view.display_yearly_returns(
|
|
self.portfolio,
|
|
ns_parser.period,
|
|
ns_parser.raw,
|
|
ns_parser.export,
|
|
)
|
|
|
|
@log_start_end(log=logger)
|
|
def call_mret(self, other_args: List[str]):
|
|
"""Process mret command"""
|
|
parser = argparse.ArgumentParser(
|
|
add_help=False,
|
|
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
|
|
prog="mret",
|
|
description="Monthly returns",
|
|
)
|
|
parser.add_argument(
|
|
"-p",
|
|
"--period",
|
|
type=str,
|
|
dest="period",
|
|
default="all",
|
|
choices=self.PERIODS,
|
|
help="Period to select start end of the year returns",
|
|
metavar="PERIOD",
|
|
)
|
|
parser.add_argument(
|
|
"-s",
|
|
"--show",
|
|
action="store_true",
|
|
default=False,
|
|
dest="show_vals",
|
|
help="Show monthly returns on heatmap",
|
|
)
|
|
if other_args and "-" not in other_args[0][0]:
|
|
other_args.insert(0, "-p")
|
|
ns_parser = self.parse_known_args_and_warn(
|
|
parser,
|
|
other_args,
|
|
raw=True,
|
|
export_allowed=EXPORT_ONLY_FIGURES_ALLOWED,
|
|
)
|
|
|
|
if ns_parser and self.portfolio is not None:
|
|
if check_portfolio_benchmark_defined(
|
|
self.portfolio_name, self.benchmark_name
|
|
):
|
|
portfolio_view.display_monthly_returns(
|
|
self.portfolio,
|
|
ns_parser.period,
|
|
ns_parser.raw,
|
|
ns_parser.show_vals,
|
|
ns_parser.export,
|
|
)
|
|
|
|
@log_start_end(log=logger)
|
|
def call_dret(self, other_args: List[str]):
|
|
"""Process dret command"""
|
|
parser = argparse.ArgumentParser(
|
|
add_help=False,
|
|
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
|
|
prog="dret",
|
|
description="Daily returns",
|
|
)
|
|
parser.add_argument(
|
|
"-p",
|
|
"--period",
|
|
type=str,
|
|
dest="period",
|
|
default="all",
|
|
choices=self.PERIODS,
|
|
help="Period to select start end of the year returns",
|
|
metavar="PERIOD",
|
|
)
|
|
if other_args and "-" not in other_args[0][0]:
|
|
other_args.insert(0, "-p")
|
|
ns_parser = self.parse_known_args_and_warn(
|
|
parser,
|
|
other_args,
|
|
raw=True,
|
|
limit=10,
|
|
export_allowed=EXPORT_BOTH_RAW_DATA_AND_FIGURES,
|
|
)
|
|
|
|
if ns_parser and self.portfolio is not None:
|
|
if check_portfolio_benchmark_defined(
|
|
self.portfolio_name, self.benchmark_name
|
|
):
|
|
portfolio_view.display_daily_returns(
|
|
self.portfolio,
|
|
ns_parser.period,
|
|
ns_parser.raw,
|
|
ns_parser.limit,
|
|
ns_parser.export,
|
|
)
|
|
|
|
@log_start_end(log=logger)
|
|
def call_maxdd(self, other_args: List[str]):
|
|
"""Process maxdd command"""
|
|
parser = argparse.ArgumentParser(
|
|
add_help=False,
|
|
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
|
|
prog="maxdd",
|
|
description="Show portfolio maximum drawdown",
|
|
)
|
|
ns_parser = self.parse_known_args_and_warn(
|
|
parser, other_args, export_allowed=EXPORT_ONLY_FIGURES_ALLOWED
|
|
)
|
|
if ns_parser and self.portfolio is not None:
|
|
if check_portfolio_benchmark_defined(
|
|
self.portfolio_name, self.benchmark_name
|
|
):
|
|
portfolio_view.display_maximum_drawdown(self.portfolio)
|
|
|
|
@log_start_end(log=logger)
|
|
def call_rvol(self, other_args: List[str]):
|
|
"""Process rolling volatility command"""
|
|
parser = argparse.ArgumentParser(
|
|
add_help=False,
|
|
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
|
|
prog="rvol",
|
|
description="Show rolling volatility portfolio vs benchmark",
|
|
)
|
|
parser.add_argument(
|
|
"-p",
|
|
"--period",
|
|
type=str,
|
|
dest="period",
|
|
default="1y",
|
|
choices=statics.PERIODS,
|
|
help="Period to apply rolling window",
|
|
metavar="PERIOD",
|
|
)
|
|
if other_args and "-" not in other_args[0][0]:
|
|
other_args.insert(0, "-p")
|
|
ns_parser = self.parse_known_args_and_warn(
|
|
parser, other_args, export_allowed=EXPORT_BOTH_RAW_DATA_AND_FIGURES
|
|
)
|
|
if ns_parser and self.portfolio is not None:
|
|
if check_portfolio_benchmark_defined(
|
|
self.portfolio_name, self.benchmark_name
|
|
):
|
|
portfolio_view.display_rolling_volatility(
|
|
self.portfolio,
|
|
window=ns_parser.period,
|
|
export=ns_parser.export,
|
|
)
|
|
|
|
@log_start_end(log=logger)
|
|
def call_rsharpe(self, other_args: List[str]):
|
|
"""Process rolling sharpe command"""
|
|
parser = argparse.ArgumentParser(
|
|
add_help=False,
|
|
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
|
|
prog="rsharpe",
|
|
description="Show rolling sharpe portfolio vs benchmark",
|
|
)
|
|
parser.add_argument(
|
|
"-p",
|
|
"--period",
|
|
type=str,
|
|
dest="period",
|
|
default="1y",
|
|
choices=statics.PERIODS,
|
|
help="Period to apply rolling window",
|
|
metavar="PERIOD",
|
|
)
|
|
parser.add_argument(
|
|
"-r",
|
|
"--rfr",
|
|
type=float,
|
|
dest="risk_free_rate",
|
|
default=self.risk_free_rate,
|
|
help="Set risk free rate for calculations.",
|
|
)
|
|
if other_args and "-" not in other_args[0][0]:
|
|
other_args.insert(0, "-p")
|
|
ns_parser = self.parse_known_args_and_warn(
|
|
parser, other_args, export_allowed=EXPORT_BOTH_RAW_DATA_AND_FIGURES
|
|
)
|
|
if ns_parser and self.portfolio is not None:
|
|
if check_portfolio_benchmark_defined(
|
|
self.portfolio_name, self.benchmark_name
|
|
):
|
|
portfolio_view.display_rolling_sharpe(
|
|
self.portfolio,
|
|
risk_free_rate=ns_parser.risk_free_rate / 100,
|
|
window=ns_parser.period,
|
|
export=ns_parser.export,
|
|
)
|
|
|
|
@log_start_end(log=logger)
|
|
def call_rsort(self, other_args: List[str]):
|
|
"""Process rolling sortino command"""
|
|
parser = argparse.ArgumentParser(
|
|
add_help=False,
|
|
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
|
|
prog="rsort",
|
|
description="Show rolling sortino portfolio vs benchmark",
|
|
)
|
|
parser.add_argument(
|
|
"-p",
|
|
"--period",
|
|
type=str,
|
|
dest="period",
|
|
default="1y",
|
|
choices=statics.PERIODS,
|
|
help="Period to apply rolling window",
|
|
metavar="PERIOD",
|
|
)
|
|
parser.add_argument(
|
|
"-r",
|
|
"--rfr",
|
|
type=float,
|
|
dest="risk_free_rate",
|
|
default=self.risk_free_rate,
|
|
help="Set risk free rate for calculations.",
|
|
)
|
|
if other_args and "-" not in other_args[0][0]:
|
|
other_args.insert(0, "-p")
|
|
ns_parser = self.parse_known_args_and_warn(
|
|
parser, other_args, export_allowed=EXPORT_BOTH_RAW_DATA_AND_FIGURES
|
|
)
|
|
if ns_parser and self.portfolio is not None:
|
|
if check_portfolio_benchmark_defined(
|
|
self.portfolio_name, self.benchmark_name
|
|
):
|
|
portfolio_view.display_rolling_sortino(
|
|
portfolio_engine=self.portfolio,
|
|
risk_free_rate=ns_parser.risk_free_rate / 100,
|
|
window=ns_parser.period,
|
|
export=ns_parser.export,
|
|
)
|
|
|
|
@log_start_end(log=logger)
|
|
def call_rbeta(self, other_args: List[str]):
|
|
"""Process rolling beta command"""
|
|
parser = argparse.ArgumentParser(
|
|
add_help=False,
|
|
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
|
|
prog="rbeta",
|
|
description="Show rolling beta portfolio vs benchmark",
|
|
)
|
|
parser.add_argument(
|
|
"-p",
|
|
"--period",
|
|
type=str,
|
|
dest="period",
|
|
default="1y",
|
|
choices=statics.PERIODS,
|
|
help="Period to apply rolling window",
|
|
metavar="PERIOD",
|
|
)
|
|
if other_args and "-" not in other_args[0][0]:
|
|
other_args.insert(0, "-p")
|
|
ns_parser = self.parse_known_args_and_warn(
|
|
parser, other_args, export_allowed=EXPORT_BOTH_RAW_DATA_AND_FIGURES
|
|
)
|
|
if ns_parser and self.portfolio is not None:
|
|
if check_portfolio_benchmark_defined(
|
|
self.portfolio_name, self.benchmark_name
|
|
):
|
|
portfolio_view.display_rolling_beta(
|
|
self.portfolio,
|
|
window=ns_parser.period,
|
|
export=ns_parser.export,
|
|
)
|
|
|
|
@log_start_end(log=logger)
|
|
def call_metric(self, other_args: List[str]):
|
|
"""Process metric command"""
|
|
parser = argparse.ArgumentParser(
|
|
add_help=False,
|
|
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
|
|
prog="metric",
|
|
description="Display metric of choice for different periods",
|
|
)
|
|
parser.add_argument(
|
|
"-m",
|
|
"--metric",
|
|
type=str,
|
|
dest="metric",
|
|
default="-h" not in other_args,
|
|
choices=self.VALID_METRICS,
|
|
help="Set metric of choice",
|
|
metavar="METRIC",
|
|
)
|
|
parser.add_argument(
|
|
"-r",
|
|
"--rfr",
|
|
type=float,
|
|
dest="risk_free_rate",
|
|
default=self.risk_free_rate,
|
|
help="Set risk free rate for calculations.",
|
|
)
|
|
if other_args and "-" not in other_args[0][0]:
|
|
other_args.insert(0, "-m")
|
|
ns_parser = self.parse_known_args_and_warn(
|
|
parser, other_args, export_allowed=EXPORT_ONLY_RAW_DATA_ALLOWED
|
|
)
|
|
if ns_parser:
|
|
if check_portfolio_benchmark_defined(
|
|
self.portfolio_name, self.benchmark_name
|
|
):
|
|
if ns_parser.metric == "skew":
|
|
portfolio_view.display_skewness(self.portfolio, ns_parser.export)
|
|
elif ns_parser.metric == "kurtosis":
|
|
portfolio_view.display_kurtosis(self.portfolio, ns_parser.export)
|
|
elif ns_parser.metric == "volatility":
|
|
portfolio_view.display_volatility(self.portfolio, ns_parser.export)
|
|
elif ns_parser.metric == "sharpe":
|
|
portfolio_view.display_sharpe_ratio(
|
|
self.portfolio, ns_parser.risk_free_rate / 100, ns_parser.export
|
|
)
|
|
elif ns_parser.metric == "sortino":
|
|
portfolio_view.display_sortino_ratio(
|
|
self.portfolio, ns_parser.risk_free_rate / 100, ns_parser.export
|
|
)
|
|
elif ns_parser.metric == "maxdrawdown":
|
|
portfolio_view.display_maximum_drawdown_ratio(
|
|
self.portfolio, ns_parser.export
|
|
)
|
|
elif ns_parser.metric == "rsquare":
|
|
portfolio_view.display_rsquare(self.portfolio, ns_parser.export)
|
|
elif ns_parser.metric == "gaintopain":
|
|
portfolio_view.display_gaintopain_ratio(
|
|
self.portfolio, ns_parser.export
|
|
)
|
|
elif ns_parser.metric == "trackerr":
|
|
portfolio_view.display_tracking_error(
|
|
self.portfolio, ns_parser.export
|
|
)
|
|
elif ns_parser.metric == "information":
|
|
portfolio_view.display_information_ratio(
|
|
self.portfolio, ns_parser.export
|
|
)
|
|
elif ns_parser.metric == "tail":
|
|
portfolio_view.display_tail_ratio(self.portfolio, ns_parser.export)
|
|
elif ns_parser.metric == "commonsense":
|
|
portfolio_view.display_common_sense_ratio(
|
|
self.portfolio, ns_parser.export
|
|
)
|
|
elif ns_parser.metric == "jensens":
|
|
portfolio_view.display_jensens_alpha(
|
|
self.portfolio, ns_parser.risk_free_rate / 100, ns_parser.export
|
|
)
|
|
elif ns_parser.metric == "calmar":
|
|
portfolio_view.display_calmar_ratio(
|
|
self.portfolio, ns_parser.export
|
|
)
|
|
elif ns_parser.metric == "kelly":
|
|
portfolio_view.display_kelly_criterion(
|
|
self.portfolio, ns_parser.export
|
|
)
|
|
elif ns_parser.metric == "payoff" and self.portfolio is not None:
|
|
portfolio_view.display_payoff_ratio(
|
|
self.portfolio, ns_parser.export
|
|
)
|
|
elif ns_parser.metric == "profitfactor" and self.portfolio is not None:
|
|
portfolio_view.display_profit_factor(
|
|
self.portfolio, ns_parser.export
|
|
)
|
|
|
|
@log_start_end(log=logger)
|
|
def call_distr(self, other_args: List[str]):
|
|
"""Process distr command"""
|
|
parser = argparse.ArgumentParser(
|
|
add_help=False,
|
|
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
|
|
prog="distr",
|
|
description="Compute distribution of daily returns",
|
|
)
|
|
parser.add_argument(
|
|
"-p",
|
|
"--period",
|
|
type=str,
|
|
choices=statics.PERIODS,
|
|
dest="period",
|
|
default="all",
|
|
help="The file to be loaded",
|
|
metavar="PERIOD",
|
|
)
|
|
if other_args and "-" not in other_args[0][0]:
|
|
other_args.insert(0, "-p")
|
|
|
|
ns_parser = self.parse_known_args_and_warn(
|
|
parser,
|
|
other_args,
|
|
raw=True,
|
|
export_allowed=EXPORT_BOTH_RAW_DATA_AND_FIGURES,
|
|
)
|
|
if ns_parser and self.portfolio is not None:
|
|
if check_portfolio_benchmark_defined(
|
|
self.portfolio_name, self.benchmark_name
|
|
):
|
|
portfolio_view.display_distribution_returns(
|
|
self.portfolio,
|
|
ns_parser.period,
|
|
ns_parser.raw,
|
|
ns_parser.export,
|
|
)
|
|
|
|
@log_start_end(log=logger)
|
|
def call_summary(self, other_args: List[str]):
|
|
"""Process summary command"""
|
|
parser = argparse.ArgumentParser(
|
|
add_help=False,
|
|
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
|
|
prog="summary",
|
|
description="Display summary of portfolio vs benchmark",
|
|
)
|
|
parser.add_argument(
|
|
"-p",
|
|
"--period",
|
|
type=str,
|
|
choices=statics.PERIODS,
|
|
dest="period",
|
|
default="all",
|
|
help="The file to be loaded",
|
|
metavar="PERIOD",
|
|
)
|
|
parser.add_argument(
|
|
"-r",
|
|
"--rfr",
|
|
type=float,
|
|
dest="risk_free_rate",
|
|
default=self.risk_free_rate,
|
|
help="Set risk free rate for calculations.",
|
|
)
|
|
if other_args and "-" not in other_args[0][0]:
|
|
other_args.insert(0, "-p")
|
|
|
|
ns_parser = self.parse_known_args_and_warn(
|
|
parser,
|
|
other_args,
|
|
export_allowed=EXPORT_ONLY_RAW_DATA_ALLOWED,
|
|
)
|
|
if ns_parser and self.portfolio is not None:
|
|
if check_portfolio_benchmark_defined(
|
|
self.portfolio_name, self.benchmark_name
|
|
):
|
|
portfolio_view.display_summary(
|
|
self.portfolio,
|
|
ns_parser.period,
|
|
ns_parser.risk_free_rate / 100,
|
|
ns_parser.export,
|
|
)
|
|
|
|
|
|
def check_portfolio_benchmark_defined(portfolio_name: str, benchmark_name: str) -> bool:
|
|
"""Check that portfolio and benchmark have been defined
|
|
|
|
Parameters
|
|
----------
|
|
portfolio_name: str
|
|
Portfolio name, will be empty if not defined
|
|
benchmark_name: str
|
|
Benchmark name, will be empty if not defined
|
|
|
|
Returns
|
|
-------
|
|
bool
|
|
If both portfolio and benchmark have been defined
|
|
"""
|
|
|
|
if not portfolio_name:
|
|
console.print("[red]Please first define the portfolio (via 'load')[/red]\n")
|
|
return False
|
|
|
|
if not benchmark_name:
|
|
console.print("[red]Please first define the benchmark (via 'bench')[/red]\n")
|
|
return False
|
|
|
|
return True
|