Files
OpenBB/openbb_terminal/common/quantitative_analysis/qa_view.py
James Maslek 707ae7e317 Release 2.5.0 (#4355)
* Rename SDK folder

* Fixing all the tests I hope

* Depreciate the sia menu

* Fix routine script

* Update SDK generation scripts

* This needed fixing anyways

* Regenerate SDK files

* Update paths in sdk helpers

* Regenerate the remains of the SDK

* Fix candle not working with symbol via the sdk

* Fix pydocstyle errors

* deps

* Add in Docstrings

* Push to website since I need to upload images

* typos

* Add in Fixed Income Guide

* Tests : fix cassette

* changes to layout and adding more content

* trailmap

* poetry

* updates to requirements files

* add `_try_to_login` to sdk generation, fix `_chart` in `about()` url

* sentiment analysis

* refactor

* changing to base model default

* rounding

* renewing poetry

* fixed poetry

* spacing

* black

* adds selectable models for realized volatility calculations

* fixes line too long

* Add intro guides to Fixed Income

* Fix some missing docstrings

* Fix website not working

* missed a few

* fix /economy/test_yfinance_view tests

* fix etf/test_stockanalysis_model.py

* fix etf/test_stockanalysis_view.py

* fix test_stocks_controller

* deprecating non used function

* update financedatabase to 2.0.4

* Delete SIA from OpenBB Docs and SDK

* Searching was not done properly for short name and index

* changes the default data source for crypto.load

* Fix tests I broke

* Little fixy fix to remove duplicates

* Fix tests

* typo

* adds check for empty dataframe

* Patch Equity Report

* Update so that image links to website

* linting v2

* silly imports

* adding tempfile

* add imap unordered

* reordering imports

* Adding databento as a source (#4293)

* First commit

* Baby steps

* Keys and sdk

* Fix import for api key

* Add SDK endpoints

* Test + api checks

* tests

* roque print of api key

* Changes

* minor

* custom timeout

* improve timeouts

---------

Co-authored-by: hjoaquim <h.joaquim@campus.fct.unl.pt>

* Tests

* Integration test

* frozendict remove

* update spec

* rename sdk faq to troubleshooting

* add hidden import

* add hidden imports

* imports again

* valid url check

* new lines and prompt

* split imports

* more spec

* adds cones to the crypto-ta menu

* Fix tests

* Update code to reflect new changes to FinanceDatabase

* Small bugfix for DCF if you have no ticker loaded

* remove yfinance from news

* add reverse fx choices

* black

* ruff

* Add options greeks to the SDK

* Linting

* Delete rogue file and update test and add fixedincome to en.yml

* fix for options screener

* ruff

* updates tests for options screener

* reqs

* updates more test files

* rewrite for test_github_model

* rewrite test for test_syncretism_view

* removes test_view_available_presets[]

* black

* coverage

* adds option screener preset

* Update directories.py

* len & set

* set all list

* adds unit testing for cones

* ruff

* pylint

* adds options screener endpoint to SDK

* test markers

* Testing draft PR mode

* Update package to v2.0.7

* Remove etf/screener and tests

* Updated

* Merge reqs

* Updated readme

* hook test for pyinstaller

* Little fixy fix

* Remove etf/scr from SDK

* Update tests

* Update hook-whisper.py

* oops lol

* Update sdk

* update

* Etf

* removed old trailmap csv's

* Update fixedincome text

* add greeks to trail

* rouge file

* merge killed it

* fix test

* fix build failure

* catch for error message

* fix for frozendict

* caching search and prompting on hub

* whisper model prompts

* Fix long/short issue and fix transform issue

* separates volatility models from cones function

* Introduce CPI functionality

* improves error handling for volatility models when window length is too small

* ur welcome <3

* additional sanity check for volatility_view

* updates volatility_model test

* black

* Fix linting

* Make cpi a little bit more robust

* Add in missing value

* sdk updates

* update dep files

* Update trail_map_forecasting.csv

* import ordering pylint?

* fix trailing comma

* sorted trailmaps

* remove one test artifact

* rewrite test

* Adds the missing pieces.

* adds clickable URL in keys + Databento

* adds databento images

* adds images for Databento

* update deps

* req files

* swap order in databento

* ruff

* mypy

* lint

* sdk

* makes requested changes

* ruff v2..

* replaces screenshot.

* Removed because it shouldn't have been in this PR.

* ruff v3

* Minor edit, move installation to position 2 instead of last

* util linting changes

* linting for controller

* fix test

* test

* Revert some tests

* Guess not

* see if this sticks

* fixes

* Fix linters.  Add --video if not provided

* Checkout develop tests for keys

* Release time

* Revert papermill and update gh pages action

* Fix shortname (#4356)

* uninstall brotli on conda test

* Fix issue 4316 (#4357)

* Fix issue 4316

* Updating polygon_model + options_controller

* Tests : FRED

* ruff

---------

Co-authored-by: Theodore Aptekarev <aptekarev@gmail.com>
Co-authored-by: Jeroen Bouma <jer.bouma@gmail.com>
Co-authored-by: Danglewood <85772166+deeleeramone@users.noreply.github.com>
Co-authored-by: hjoaquim <h.joaquim@campus.fct.unl.pt>
Co-authored-by: Chavithra PARANA <chavithra@gmail.com>
Co-authored-by: teh_coderer <me@tehcoderer.com>
Co-authored-by: martinb-bb <105685594+martinb-bb@users.noreply.github.com>
Co-authored-by: Diogo Sousa <montezdesousa@gmail.com>
Co-authored-by: northern-64bit <75195383+northern-64bit@users.noreply.github.com>
Co-authored-by: luqazino@gmail.com <luqazino@gmail.com>
Co-authored-by: colin99d <colin99delahunty@gmail.com>
Co-authored-by: montezdesousa <79287829+montezdesousa@users.noreply.github.com>
Co-authored-by: andrewkenreich <andrew.kenreich@gmail.com>
2023-03-01 08:47:12 -05:00

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"""Quantitative Analysis View"""
__docformat__ = "numpy"
# pylint: disable=too-many-lines
import logging
import os
import warnings
from datetime import datetime
from typing import Any, List, Optional
import matplotlib
import matplotlib.dates as mdates
import matplotlib.patches as mpatches
import matplotlib.pyplot as plt
import numpy as np
import pandas as pd
import seaborn as sns
import statsmodels.api as sm
from detecta import detect_cusum
from pandas.plotting import register_matplotlib_converters
from scipy import stats
from statsmodels.graphics.gofplots import qqplot
from openbb_terminal.common.quantitative_analysis import qa_model
from openbb_terminal.config_plot import PLOT_DPI
from openbb_terminal.config_terminal import theme
from openbb_terminal.decorators import log_start_end
from openbb_terminal.helper_funcs import (
export_data,
is_valid_axes_count,
lambda_long_number_format,
plot_autoscale,
print_rich_table,
reindex_dates,
)
from openbb_terminal.rich_config import console
logger = logging.getLogger(__name__)
register_matplotlib_converters()
def lambda_color_red(val: Any) -> str:
"""Adds red to dataframe value"""
if val > 0.05:
return f"[red]{round(val,4)}[/red]"
return round(val, 4)
@log_start_end(log=logger)
def display_summary(
data: pd.DataFrame, export: str = "", sheet_name: Optional[str] = None
) -> None:
"""Prints table showing summary statistics
Parameters
----------
data : pd.DataFrame
DataFrame to get statistics of
export : str
Format to export data
"""
summary = qa_model.get_summary(data)
print_rich_table(
summary,
headers=list(summary.columns),
floatfmt=".3f",
show_index=True,
title="[bold]Summary Statistics[/bold]",
)
export_data(
export,
os.path.dirname(os.path.abspath(__file__)).replace("common", "stocks"),
"summary",
summary,
sheet_name,
)
@log_start_end(log=logger)
def display_hist(
data: pd.DataFrame,
target: str,
symbol: str = "",
bins: int = 15,
external_axes: Optional[List[plt.Axes]] = None,
) -> None:
"""Plots histogram of data
Parameters
----------
data : pd.DataFrame
Dataframe to look at
target : str
Data column to get histogram of the dataframe
symbol : str
Name of dataset
bins : int
Number of bins in histogram
external_axes : Optional[List[plt.Axes]], optional
External axes (1 axis is expected in the list), by default None
Examples
--------
>>> from openbb_terminal.sdk import openbb
>>> df = openbb.stocks.load("AAPL")
>>> openbb.qa.hist(data=df, target="Adj Close")
"""
data = data[target]
# This plot has 1 axis
if external_axes is None:
_, ax = plt.subplots(
figsize=plot_autoscale(),
dpi=PLOT_DPI,
)
elif is_valid_axes_count(external_axes, 1):
(ax,) = external_axes
else:
return
sns.histplot(
data,
color=theme.up_color,
bins=bins,
kde=True,
ax=ax,
stat="proportion",
legend=True,
)
sns.rugplot(data, color=theme.down_color, ax=ax, legend=True)
if isinstance(data.index[0], datetime):
start = data.index[0]
ax.set_title(
f"Histogram of {symbol} {target} from {start.strftime('%Y-%m-%d')}"
)
else:
ax.set_title(f"Histogram of {symbol} {target}")
ax.set_xlabel("Value")
theme.style_primary_axis(ax)
# Manually construct the chart legend
proportion_legend = mpatches.Patch(
color=theme.up_color, label="Univariate distribution"
)
marginal_legend = mpatches.Patch(
color=theme.down_color, label="Marginal distributions"
)
ax.legend(handles=[proportion_legend, marginal_legend])
if external_axes is None:
theme.visualize_output()
@log_start_end(log=logger)
def display_cdf(
data: pd.DataFrame,
target: str,
symbol: str = "",
export: str = "",
sheet_name: Optional[str] = None,
external_axes: Optional[List[plt.Axes]] = None,
):
"""Plots Cumulative Distribution Function
Parameters
----------
data : pd.DataFrame
Dataframe to look at
target : str
Data column
symbol : str
Name of dataset
export : str
Format to export data
external_axes : Optional[List[plt.Axes]], optional
External axes (1 axis is expected in the list), by default None
Examples
--------
>>> from openbb_terminal.sdk import openbb
>>> df = openbb.stocks.load("AAPL")
>>> openbb.qa.cdf(data=df, target="Adj Close")
"""
data = data[target]
start = data.index[0]
cdf = data.value_counts().sort_index().div(len(data)).cumsum()
# This plot has 1 axis
if external_axes is None:
_, ax = plt.subplots(
figsize=plot_autoscale(),
dpi=PLOT_DPI,
)
elif is_valid_axes_count(external_axes, 1):
(ax,) = external_axes
else:
return
cdf.plot(ax=ax)
ax.set_title(
f"Cumulative Distribution Function of {symbol} {target}\nfrom {start.strftime('%Y-%m-%d')}"
)
ax.set_ylabel("Probability")
ax.set_xlabel(target)
minVal = data.values.min()
q25 = np.quantile(data.values, 0.25)
medianVal = np.quantile(data.values, 0.5)
q75 = np.quantile(data.values, 0.75)
labels = [
(minVal, q25),
(0.25, 0.25),
theme.down_color,
(q25, q25),
(0, 0.25),
theme.down_color,
(minVal, medianVal),
(0.5, 0.5),
theme.down_color,
(medianVal, medianVal),
(0, 0.5),
theme.down_color,
(minVal, q75),
(0.75, 0.75),
theme.down_color,
(q75, q75),
(0, 0.75),
theme.down_color,
]
ax.plot(*labels, ls="--")
ax.text(
minVal + (q25 - minVal) / 2,
0.27,
"Q1",
color=theme.down_color,
fontweight="bold",
)
ax.text(
minVal + (medianVal - minVal) / 2,
0.52,
"Median",
color=theme.down_color,
fontweight="bold",
)
ax.text(
minVal + (q75 - minVal) / 2,
0.77,
"Q3",
color=theme.down_color,
fontweight="bold",
)
ax.set_xlim(cdf.index[0], cdf.index[-1])
theme.style_primary_axis(ax)
if external_axes is None:
theme.visualize_output()
export_data(
export,
os.path.dirname(os.path.abspath(__file__)).replace("common", "stocks"),
"cdf",
pd.DataFrame(cdf),
sheet_name,
)
@log_start_end(log=logger)
def display_bw(
data: pd.DataFrame,
target: str,
symbol: str = "",
yearly: bool = True,
external_axes: Optional[List[plt.Axes]] = None,
) -> None:
"""Plots box and whisker plots
Parameters
----------
symbol : str
Name of dataset
data : pd.DataFrame
Dataframe to look at
target : str
Data column to look at
yearly : bool
Flag to indicate yearly accumulation
external_axes : Optional[List[plt.Axes]], optional
External axes (1 axis is expected in the list), by default None
Examples
--------
>>> from openbb_terminal.sdk import openbb
>>> df = openbb.stocks.load("AAPL")
>>> openbb.qa.bw(data=df, target="Adj Close")
"""
data = data[target]
start = data.index[0]
# This plot has 1 axis
if external_axes is None:
_, ax = plt.subplots(
figsize=plot_autoscale(),
dpi=PLOT_DPI,
)
elif is_valid_axes_count(external_axes, 1):
(ax,) = external_axes
else:
return
theme.style_primary_axis(ax)
color = theme.get_colors()[0]
x_data = data.index.year if yearly else data.index.month
box_plot = sns.boxplot(
x=x_data,
y=data,
ax=ax,
zorder=3,
boxprops=dict(edgecolor=color),
flierprops=dict(
linestyle="--",
color=color,
markerfacecolor=theme.up_color,
markeredgecolor=theme.up_color,
),
whiskerprops=dict(color=color),
capprops=dict(color=color),
)
box_plot.set(
xlabel=["Monthly", "Yearly"][yearly],
ylabel=target,
title=f"{['Monthly','Yearly'][yearly]} box plot of {symbol} {target} from {start.strftime('%Y-%m-%d')}",
)
l_months = [
"Jan",
"Feb",
"Mar",
"Apr",
"May",
"Jun",
"Jul",
"Aug",
"Sep",
"Oct",
"Nov",
"Dec",
]
l_ticks = list()
if not yearly:
for val in box_plot.get_xticklabels():
l_ticks.append(l_months[int(val.get_text()) - 1])
box_plot.set_xticklabels(l_ticks)
# remove the scientific notion on the left hand side
ax.ticklabel_format(style="plain", axis="y")
ax.get_yaxis().set_major_formatter(
matplotlib.ticker.FuncFormatter(lambda x, _: lambda_long_number_format(x))
)
theme.style_primary_axis(ax)
if external_axes is None:
theme.visualize_output()
@log_start_end(log=logger)
def display_acf(
data: pd.DataFrame,
target: str,
symbol: str = "",
lags: int = 15,
external_axes: Optional[List[plt.Axes]] = None,
) -> None:
"""Plots Auto and Partial Auto Correlation of returns and change in returns
Parameters
----------
data : pd.DataFrame
Dataframe to look at
target : str
Data column to look at
symbol : str
Name of dataset
lags : int
Max number of lags to look at
external_axes : Optional[List[plt.Axes]], optional
External axes (4 axes are expected in the list), by default None
Examples
--------
>>> from openbb_terminal.sdk import openbb
>>> df = openbb.stocks.load("AAPL")
>>> openbb.qa.acf(data=df, target="Adj Close")
"""
data = data[target]
start = data.index[0]
# This plot has 4 axes
if external_axes is None:
fig, axes = plt.subplots(
nrows=2,
ncols=2,
figsize=plot_autoscale(),
dpi=PLOT_DPI,
)
(ax1, ax2), (ax3, ax4) = axes
elif is_valid_axes_count(external_axes, 4):
(ax1, ax2, ax3, ax4) = external_axes
else:
return
# Diff Auto - correlation function for original time series
sm.graphics.tsa.plot_acf(np.diff(np.diff(data.values)), lags=lags, ax=ax1)
ax1.set_title(f"{symbol} Returns Auto-Correlation", fontsize=9)
# Diff Partial auto - correlation function for original time series
sm.graphics.tsa.plot_pacf(
np.diff(np.diff(data.values)), lags=lags, ax=ax2, method="ywm"
)
ax2.set_title(
f"{symbol} Returns Partial Auto-Correlation",
fontsize=9,
)
# Diff Diff Auto-correlation function for original time series
sm.graphics.tsa.plot_acf(np.diff(np.diff(data.values)), lags=lags, ax=ax3)
ax3.set_title(
f"Change in {symbol} Returns Auto-Correlation",
fontsize=9,
)
# Diff Diff Partial auto-correlation function for original time series
sm.graphics.tsa.plot_pacf(
np.diff(np.diff(data.values)), lags=lags, ax=ax4, method="ywm"
)
ax4.set_title(
f"Change in {symbol} Returns Partial Auto-Correlation",
fontsize=9,
)
fig.suptitle(
f"ACF differentials starting from {start.strftime('%Y-%m-%d')}",
fontsize=15,
x=0.042,
y=0.95,
horizontalalignment="left",
verticalalignment="top",
)
theme.style_primary_axis(ax1)
theme.style_primary_axis(ax2)
theme.style_primary_axis(ax3)
theme.style_primary_axis(ax4)
if external_axes is None:
theme.visualize_output(force_tight_layout=True)
@log_start_end(log=logger)
def display_qqplot(
data: pd.DataFrame,
target: str,
symbol: str = "",
external_axes: Optional[List[plt.Axes]] = None,
) -> None:
"""Plots QQ plot for data against normal quantiles
Parameters
----------
data : pd.DataFrame
Dataframe
target : str
Column in data to look at
symbol : str
Stock ticker
external_axes : Optional[List[plt.Axes]], optional
External axes (1 axis is expected in the list), by default None
Examples
--------
>>> from openbb_terminal.sdk import openbb
>>> df = openbb.stocks.load("AAPL")
>>> openbb.qa.qqplot(data=df, target="Adj Close")
"""
# Statsmodels has a UserWarning for marker kwarg-- which we don't use
warnings.filterwarnings(category=UserWarning, action="ignore")
data = data[target]
# This plot has 1 axis
if external_axes is None:
_, ax = plt.subplots(
figsize=plot_autoscale(),
dpi=PLOT_DPI,
)
elif is_valid_axes_count(external_axes, 1):
(ax,) = external_axes
else:
return
qqplot(
data,
stats.distributions.norm,
fit=True,
line="45",
color=theme.down_color,
ax=ax,
)
ax.get_lines()[1].set_color(theme.up_color)
ax.set_title(f"Q-Q plot for {symbol} {target}")
ax.set_ylabel("Sample quantiles")
ax.set_xlabel("Theoretical quantiles")
theme.style_primary_axis(ax)
if external_axes is None:
theme.visualize_output()
@log_start_end(log=logger)
def display_cusum(
data: pd.DataFrame,
target: str,
threshold: float = 5,
drift: float = 2.1,
external_axes: Optional[List[plt.Axes]] = None,
):
"""Plots Cumulative sum algorithm (CUSUM) to detect abrupt changes in data
Parameters
----------
data : pd.DataFrame
Dataframe
target : str
Column of data to look at
threshold : float
Threshold value
drift : float
Drift parameter
external_axes : Optional[List[plt.Axes]], optional
External axes (2 axes are expected in the list), by default None
Examples
--------
>>> from openbb_terminal.sdk import openbb
>>> df = openbb.stocks.load("AAPL")
>>> openbb.qa.cusum(data=df, target="Adj Close")
"""
target_series = data[target].values
# The code for this plot was adapted from detecta's sources because at the
# time of writing this detect_cusum had a bug related to external axes support.
# see https: // github.com/demotu/detecta/pull/3
tap, tan = 0, 0
ta, tai, taf, _ = detect_cusum(
x=target_series,
threshold=threshold,
drift=drift,
ending=True,
show=False,
)
# Thus some variable names are left unchanged and unreadable...
gp, gn = np.zeros(target_series.size), np.zeros(target_series.size)
for i in range(1, target_series.size):
s = target_series[i] - target_series[i - 1]
gp[i] = gp[i - 1] + s - drift # cumulative sum for + change
gn[i] = gn[i - 1] - s - drift # cumulative sum for - change
if gp[i] < 0:
gp[i], tap = 0, i
if gn[i] < 0:
gn[i], tan = 0, i
if gp[i] > threshold or gn[i] > threshold: # change detected!
ta = np.append(ta, i) # alarm index
tai = np.append(tai, tap if gp[i] > threshold else tan) # start
gp[i], gn[i] = 0, 0 # reset alarm
if external_axes is None:
_, axes = plt.subplots(
2,
1,
sharex=True,
figsize=plot_autoscale(),
dpi=PLOT_DPI,
)
(ax1, ax2) = axes
elif is_valid_axes_count(external_axes, 2):
(ax1, ax2) = external_axes
else:
return
target_series_indexes = range(data[target].size)
ax1.plot(target_series_indexes, target_series)
if len(ta):
ax1.plot(
tai,
target_series[tai],
">",
markerfacecolor=theme.up_color,
markersize=5,
label="Start",
)
ax1.plot(
taf,
target_series[taf],
"<",
markerfacecolor=theme.down_color,
markersize=5,
label="Ending",
)
ax1.plot(
ta,
target_series[ta],
"o",
markerfacecolor=theme.get_colors()[-1],
markeredgecolor=theme.get_colors()[-2],
markeredgewidth=1,
markersize=3,
label="Alarm",
)
ax1.legend()
ax1.set_xlim(-0.01 * target_series.size, target_series.size * 1.01 - 1)
ax1.set_ylabel("Amplitude")
ymin, ymax = (
target_series[np.isfinite(target_series)].min(),
target_series[np.isfinite(target_series)].max(),
)
y_range = ymax - ymin if ymax > ymin else 1
ax1.set_ylim(ymin - 0.1 * y_range, ymax + 0.1 * y_range)
ax1.set_title(
"Time series and detected changes "
+ f"(threshold= {threshold:.3g}, drift= {drift:.3g}): N changes = {len(tai)}",
fontsize=10,
)
theme.style_primary_axis(ax1)
ax2.plot(target_series_indexes, gp, label="+")
ax2.plot(target_series_indexes, gn, label="-")
ax2.set_xlim(-0.01 * target_series.size, target_series.size * 1.01 - 1)
ax2.set_xlabel("Data points")
ax2.set_ylim(-0.01 * threshold, 1.1 * threshold)
ax2.axhline(threshold)
theme.style_primary_axis(ax2)
ax2.set_title(
"Time series of the cumulative sums of positive and negative changes",
fontsize=10,
)
ax2.legend()
if external_axes is None:
theme.visualize_output()
@log_start_end(log=logger)
def display_seasonal(
symbol: str,
data: pd.DataFrame,
target: str,
multiplicative: bool = False,
export: str = "",
sheet_name: Optional[str] = None,
external_axes: Optional[List[plt.Axes]] = None,
) -> None:
"""Plots seasonal decomposition data
Parameters
----------
symbol : str
Name of dataset
data : pd.DataFrame
DataFrame
target : str
Column of data to look at
multiplicative : bool
Boolean to indicate multiplication instead of addition
export : str
Format to export trend and cycle data
external_axes : Optional[List[plt.Axes]], optional
External axes (6 axes are expected in the list), by default None
"""
data = data[target]
result, cycle, trend = qa_model.get_seasonal_decomposition(data, multiplicative)
plot_data = pd.merge(
data,
result.trend,
how="outer",
left_index=True,
right_index=True,
suffixes=("", "_result.trend"),
)
plot_data = pd.merge(
plot_data,
result.seasonal,
how="outer",
left_index=True,
right_index=True,
suffixes=("", "_result.seasonal"),
)
plot_data = pd.merge(
plot_data,
result.resid,
how="outer",
left_index=True,
right_index=True,
suffixes=("", "_result.resid"),
)
plot_data = pd.merge(
plot_data,
cycle,
how="outer",
left_index=True,
right_index=True,
suffixes=("", "_cycle"),
)
plot_data = pd.merge(
plot_data,
trend,
how="outer",
left_index=True,
right_index=True,
suffixes=("", "_trend"),
)
plot_data = reindex_dates(plot_data)
# This plot has 1 axis
if external_axes is None:
fig, axes = plt.subplots(
4,
1,
sharex=True,
figsize=plot_autoscale(),
dpi=PLOT_DPI,
)
(ax1, ax2, ax3, ax4) = axes
elif is_valid_axes_count(external_axes, 4):
(ax1, ax2, ax3, ax4) = external_axes
else:
return
colors = iter(theme.get_colors())
ax1.set_title(f"{symbol} (Time-Series) {target} seasonal decomposition")
ax1.plot(
plot_data.index, plot_data[target].values, color=next(colors), label="Values"
)
ax1.set_xlim([plot_data.index[0], plot_data.index[-1]])
ax1.legend()
# Multiplicative model
ax2.plot(plot_data["trend"], color=theme.down_color, label="Cyclic-Trend")
ax2.plot(
plot_data["trend_cycle"],
color=theme.up_color,
linestyle="--",
label="Cycle component",
)
ax2.legend()
ax3.plot(plot_data["trend_trend"], color=next(colors), label="Trend component")
ax3.plot(plot_data["seasonal"], color=next(colors), label="Seasonal effect")
ax3.legend()
ax4.plot(plot_data["resid"], color=next(colors), label="Residuals")
ax4.legend()
theme.style_primary_axis(ax1)
theme.style_primary_axis(ax2)
theme.style_primary_axis(ax3)
theme.style_primary_axis(
ax4,
data_index=plot_data.index.to_list(),
tick_labels=plot_data["date"].to_list(),
)
if external_axes is None:
fig.tight_layout(pad=theme.tight_layout_padding)
fig.subplots_adjust(
hspace=0.1,
)
theme.visualize_output(force_tight_layout=False)
# From #https: // otexts.com/fpp2/seasonal-strength.html
console.print("Time-Series Level is " + str(round(data.mean(), 2)))
Ft = max(0, 1 - np.var(result.resid)) / np.var(result.trend + result.resid)
console.print(f"Strength of Trend: {Ft:.4f}")
Fs = max(
0,
1 - np.var(result.resid) / np.var(result.seasonal + result.resid),
)
console.print(f"Strength of Seasonality: {Fs:.4f}\n")
export_data(
export,
os.path.dirname(os.path.abspath(__file__)).replace("common", "stocks"),
"summary",
cycle.join(trend),
sheet_name,
)
@log_start_end(log=logger)
def display_normality(
data: pd.DataFrame, target: str, export: str = "", sheet_name: Optional[str] = None
) -> None:
"""Prints table showing normality statistics
Parameters
----------
data : pd.DataFrame
DataFrame
target : str
Column in data to look at
export : str
Format to export data
"""
data = data[target]
normal = qa_model.get_normality(data)
stats1 = normal.copy().T
stats1.iloc[:, 1] = stats1.iloc[:, 1].apply(lambda x: lambda_color_red(x))
print_rich_table(
stats1,
show_index=True,
headers=["Statistic", "p-value"],
floatfmt=".4f",
title="[bold]Normality Statistics[/bold]",
)
export_data(
export,
os.path.dirname(os.path.abspath(__file__)).replace("common", "stocks"),
"normality",
normal,
sheet_name,
)
@log_start_end(log=logger)
def display_unitroot(
data: pd.DataFrame,
target: str,
fuller_reg: str = "c",
kpss_reg: str = "c",
export: str = "",
sheet_name: Optional[str] = None,
):
"""Prints table showing unit root test calculations
Parameters
----------
data : pd.DataFrame
DataFrame
target : str
Column of data to look at
fuller_reg : str
Type of regression of ADF test. Can be ‘c’,’ct’,’ctt’,’nc’ 'c' - Constant and t - trend order
kpss_reg : str
Type of regression for KPSS test. Can be ‘c’,’ct'
export : str
Format for exporting data
"""
data = data[target]
data = qa_model.get_unitroot(data, fuller_reg, kpss_reg)
print_rich_table(
data,
show_index=True,
headers=list(data.columns),
title="[bold]Unit Root Calculation[/bold]",
floatfmt=".4f",
)
export_data(
export,
os.path.dirname(os.path.abspath(__file__)).replace("common", "stocks"),
"unitroot",
data,
sheet_name,
)
@log_start_end(log=logger)
def display_raw(
data: pd.DataFrame,
sortby: str = "",
ascend: bool = False,
limit: int = 20,
export: str = "",
sheet_name: Optional[str] = None,
) -> None:
"""Prints table showing raw stock data
Parameters
----------
data : DataFrame
DataFrame with historical information
sortby : str
The column to sort by
ascend : bool
Whether to sort descending
limit : int
Number of rows to show
export : str
Export data as CSV, JSON, XLSX
"""
df1 = pd.DataFrame(data) if isinstance(data, pd.Series) else data.copy()
if sortby:
try:
sort_col = [x.lower().replace(" ", "") for x in df1.columns].index(
sortby.lower().replace(" ", "")
)
except ValueError:
console.print("[red]The provided column is not a valid option[/red]\n")
return
df1 = df1.sort_values(by=data.columns[sort_col], ascending=ascend)
else:
df1 = df1.sort_index(ascending=ascend)
df1.index = [x.strftime("%Y-%m-%d") for x in df1.index]
print_rich_table(
df1.head(limit),
headers=[x.title() if x != "" else "Date" for x in df1.columns],
title="[bold]Raw Data[/bold]",
show_index=True,
floatfmt=".3f",
)
export_data(
export,
os.path.dirname(os.path.abspath(__file__)),
"raw",
data,
sheet_name,
)
@log_start_end(log=logger)
def display_line(
data: pd.Series,
title: str = "",
log_y: bool = True,
markers_lines: Optional[List[datetime]] = None,
markers_scatter: Optional[List[datetime]] = None,
export: str = "",
sheet_name: Optional[str] = None,
external_axes: Optional[List[plt.Axes]] = None,
) -> None:
"""Display line plot of data
Parameters
----------
data: pd.Series
Data to plot
title: str
Title for plot
log_y: bool
Flag for showing y on log scale
markers_lines: Optional[List[datetime]]
List of dates to highlight using vertical lines
markers_scatter: Optional[List[datetime]]
List of dates to highlight using scatter
sheet_name: str
Optionally specify the name of the sheet the data is exported to.
export: str
Format to export data
external_axes : Optional[List[plt.Axes]], optional
External axes (1 axis is expected in the list), by default None
Examples
--------
>>> from openbb_terminal.sdk import openbb
>>> df = openbb.stocks.load("AAPL")
>>> openbb.qa.line(data=df["Adj Close"])
"""
# This plot has 1 axis
if external_axes is None:
_, ax = plt.subplots(
figsize=plot_autoscale(),
dpi=PLOT_DPI,
)
elif is_valid_axes_count(external_axes, 1):
(ax,) = external_axes
else:
return
if log_y:
ax.semilogy(data.index, data.values)
ax.yaxis.set_major_formatter(matplotlib.ticker.ScalarFormatter())
ax.yaxis.set_major_locator(
matplotlib.ticker.LogLocator(base=100, subs=[1.0, 2.0, 5.0, 10.0])
)
ax.ticklabel_format(style="plain", axis="y")
else:
ax.plot(data.index, data.values)
if markers_lines:
ymin, ymax = ax.get_ylim()
ax.vlines(markers_lines, ymin, ymax, color="#00AAFF")
if markers_scatter:
for n, marker_date in enumerate(markers_scatter):
price_location_idx = data.index.get_loc(marker_date, method="nearest")
# algo to improve text placement of highlight event number
if (
0 < price_location_idx < (len(data) - 1)
and data.iloc[price_location_idx - 1]
> data.iloc[price_location_idx]
and data.iloc[price_location_idx + 1]
> data.iloc[price_location_idx]
):
text_loc = (0, -20)
else:
text_loc = (0, 10)
ax.annotate(
str(n + 1),
(mdates.date2num(marker_date), data.iloc[price_location_idx]),
xytext=text_loc,
textcoords="offset points",
)
ax.scatter(
marker_date,
data.iloc[price_location_idx],
color="#00AAFF",
s=100,
)
data_type = data.name
ax.set_ylabel(data_type)
ax.set_xlim(data.index[0], data.index[-1])
ax.ticklabel_format(style="plain", axis="y")
ax.get_yaxis().set_major_formatter(
matplotlib.ticker.FuncFormatter(lambda x, _: lambda_long_number_format(x))
)
if title:
ax.set_title(title)
theme.style_primary_axis(ax)
if external_axes is None:
theme.visualize_output()
export_data(
export,
os.path.dirname(os.path.abspath(__file__)).replace("common", "stocks"),
"line",
sheet_name,
)
def display_var(
data: pd.DataFrame,
symbol: str = "",
use_mean: bool = False,
adjusted_var: bool = False,
student_t: bool = False,
percentile: float = 99.9,
data_range: int = 0,
portfolio: bool = False,
) -> None:
"""Prints table showing VaR of dataframe.
Parameters
----------
data: pd.Dataframe
Data dataframe
use_mean: bool
if one should use the data mean return
symbol: str
name of the data
adjusted_var: bool
if one should have VaR adjusted for skew and kurtosis (Cornish-Fisher-Expansion)
student_t: bool
If one should use the student-t distribution
percentile: int
var percentile
data_range: int
Number of rows you want to use VaR over
portfolio: bool
If the data is a portfolio
"""
if data_range > 0:
df = qa_model.get_var(
data[-data_range:], use_mean, adjusted_var, student_t, percentile, portfolio
)
else:
df = qa_model.get_var(
data, use_mean, adjusted_var, student_t, percentile, portfolio
)
if adjusted_var:
str_title = "Adjusted "
elif student_t:
str_title = "Student-t "
else:
str_title = ""
if symbol != "":
symbol += " "
print_rich_table(
df,
show_index=True,
headers=list(df.columns),
title=f"[bold]{symbol}{str_title}Value at Risk[/bold]",
floatfmt=".2f",
)
def display_es(
data: pd.DataFrame,
symbol: str = "",
use_mean: bool = False,
distribution: str = "normal",
percentile: float = 99.9,
portfolio: bool = False,
) -> None:
"""Prints table showing expected shortfall.
Parameters
----------
data: pd.DataFrame
Data dataframe
use_mean:
if one should use the data mean return
symbol: str
name of the data
distribution: str
choose distribution to use: logistic, laplace, normal
percentile: int
es percentile
portfolio: bool
If the data is a portfolio
"""
df = qa_model.get_es(data, use_mean, distribution, percentile, portfolio)
if distribution == "laplace":
str_title = "Laplace "
elif distribution == "student_t":
str_title = "Student-t "
elif distribution == "logistic":
str_title = "Logistic "
else:
str_title = ""
if symbol != "":
symbol += " "
print_rich_table(
df,
show_index=True,
headers=list(df.columns),
title=f"[bold]{symbol}{str_title}Expected Shortfall[/bold]",
floatfmt=".2f",
)
def display_sharpe(data: pd.DataFrame, rfr: float = 0, window: float = 252) -> None:
"""Plots Calculated the sharpe ratio
Parameters
----------
data: pd.DataFrame
selected dataframe column
rfr: float
risk free rate
window: float
length of the rolling window
"""
sharpe_ratio = qa_model.get_sharpe(data, rfr, window)
fig, ax = plt.subplots()
ax.plot(sharpe_ratio[int(window - 1) :])
ax.set_title(f"Sharpe Ratio - over a {window} day window")
ax.set_ylabel("Sharpe ratio")
ax.set_xlabel("Date")
fig.legend()
theme.style_primary_axis(ax)
theme.visualize_output()
def display_sortino(
data: pd.DataFrame, target_return: float, window: float, adjusted: bool
) -> None:
"""Plots the sortino ratio
Parameters
----------
data: pd.DataFrame
selected dataframe
target_return: float
target return of the asset
window: float
length of the rolling window
adjusted: bool
adjust the sortino ratio
"""
sortino_ratio = qa_model.get_sortino(data, target_return, window, adjusted)
str_adjusted = "Adjusted " if adjusted else ""
fig, ax = plt.subplots()
ax.plot(sortino_ratio[int(window - 1) :])
ax.set_title(f"{str_adjusted}Sortino Ratio - over a {window} day window")
ax.set_ylabel("Sortino ratio")
ax.set_xlabel("Date")
fig.legend()
theme.style_primary_axis(ax)
theme.visualize_output()
def display_omega(
data: pd.DataFrame, threshold_start: float = 0, threshold_end: float = 1.5
) -> None:
"""Plots the omega ratio
Parameters
----------
data: pd.DataFrame
stock dataframe
threshold_start: float
annualized target return threshold start of plotted threshold range
threshold_end: float
annualized target return threshold end of plotted threshold range
"""
df = qa_model.get_omega(data, threshold_start, threshold_end)
# Plotting
fig, ax = plt.subplots()
ax.plot(df["threshold"], df["omega"])
ax.set_title(f"Omega Curve - over last {len(data)}'s period")
ax.set_ylabel("Omega Ratio")
ax.set_xlabel("Threshold (%)")
fig.legend()
ax.set_ylim(threshold_start, threshold_end)
theme.style_primary_axis(ax)
theme.visualize_output()