Files
OpenBB/openbb_terminal/common/quantitative_analysis/qa_view.py
Colin Delahunty ee34a1f278 Feature/add isort linter (#4114)
* Fixed isort

* Fixed issues

* FIxed linters

---------

Co-authored-by: James Maslek <jmaslek11@gmail.com>
2023-02-04 21:24:47 -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: 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: 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]
if yearly:
x_data = data.index.year
else:
x_data = 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: 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: 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: 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: 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
"""
if isinstance(data, pd.Series):
df1 = pd.DataFrame(data)
else:
df1 = 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: 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)
if adjusted:
str_adjusted = "Adjusted "
else:
str_adjusted = ""
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()