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ReportCharts.py
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# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
import re
import matplotlib
import numpy as np
import pandas as pd
from base64 import b64encode
from datetime import date, datetime, timedelta
from pandas.plotting import register_matplotlib_converters
from clr import AddReference
AddReference("System")
from System import *
register_matplotlib_converters()
matplotlib.use('Agg')
font = {'family': 'DejaVu Sans'}
matplotlib.rc('font',**font)
matplotlib.rc('axes', edgecolor='#d5d5d5')
import matplotlib.pyplot as plt
import matplotlib.ticker as ticker
import matplotlib.colors as mcolors
from matplotlib.dates import DateFormatter
from matplotlib.ticker import MaxNLocator, NullFormatter, ScalarFormatter, FormatStrFormatter
la = matplotlib.font_manager.FontManager()
lu = matplotlib.font_manager.FontProperties(family = "Open Sans Condensed")
class ReportCharts:
def fig_to_base64(self, filename = '', fig = None, dpi = 200):
base64 = 'data:image/png;base64,'
if fig is not None:
fig.savefig(filename, dpi=dpi, bbox_inches='tight')
with open(filename, "rb") as fp:
base64 += b64encode(fp.read()).decode('utf-8').replace('\n', '')
return base64
def GetReturnsPerTrade(self, returns_per_trade = [], live_returns_per_trade = [],
name = "returns-per-trade.png", width = 7, height = 5,
live_color = "#ff9914", backtest_color = "#71c3fc"):
if len(returns_per_trade) == 0:
fig = plt.figure()
fig.set_size_inches(width, height)
left, box_width = .25, .5
bottom, box_height = .25, .5
right = left + box_width
top = bottom + box_height
ax = fig.add_axes([0, 0, 1, 1])
ax.text(0.5 * (left + right), 0.5 * (top + bottom), 'Insufficient Data', color="#d5d5d5",
horizontalalignment='center',
verticalalignment='center',
fontsize=30,
transform=ax.transAxes)
ax.axis('off')
for _, spine in ax.spines.items():
spine.set_visible(False)
base64 = self.fig_to_base64(name, fig)
plt.cla()
plt.clf()
plt.close('all')
return base64
if len(live_returns_per_trade) > 0:
width = 11.5
height = 5
plt.figure()
fig, ax = plt.subplots(1, 2, tight_layout=True)
ax[0].hist(returns_per_trade, bins=75, color=backtest_color)
ax[1].hist(live_returns_per_trade, bins=25, color=live_color)
for i in range(2):
if i == 0:
ax[i].set_ylabel('Backtest', fontweight='demibold')
ax[i].axvline(x=np.median(returns_per_trade), color="red", ls="dashed", label="median", linewidth=0.5)
else:
ax[i].set_ylabel('Live', fontweight='demibold')
ax[i].axvline(x=np.median(live_returns_per_trade), color="red", ls="dashed", label="median",
linewidth=0.5)
ax[i].tick_params(labelsize=8)
ax[i].tick_params(axis='x', color='#d5d5d5')
ax[i].tick_params(axis='y', color='#d5d5d5')
plt.setp(ax[i].spines.values(), color='#d5d5d5')
ax[i].spines['right'].set_visible(False)
ax[i].spines['top'].set_visible(False)
else:
fig = plt.figure()
plt.hist(returns_per_trade, bins=75, color=backtest_color)
plt.xticks(fontsize=8)
plt.yticks(fontsize=8)
plt.gca().spines['right'].set_visible(False)
plt.gca().spines['top'].set_visible(False)
plt.gca().tick_params(axis='x', color='#d5d5d5')
plt.gca().tick_params(axis='y', color='#d5d5d5')
plt.gca().axvline(x=np.median(returns_per_trade), color="red", ls="dashed", label="median", linewidth=0.5)
plt.ylabel('')
# Set the x ticks as percentage to keep consistency
plt.xticks(ticks=plt.xticks()[0], labels=["{:.2f}%".format(tick * 100) for tick in plt.xticks()[0]])
fig.set_size_inches(width, height)
base64 = self.fig_to_base64(name, fig)
plt.cla()
plt.clf()
plt.close('all')
return base64
def GetCumulativeReturns(self, data = None, live_data = None, benchmark_symbol = 'SPY',
name = "cumulative-return.png", width = 11.5, height = 2.5, live_color = "#ff9914",
backtest_color = "#71c3fc", gray = "#b3bcc0"):
'''
data: [ [strategyTime], [strategyPoints], [benchTime], [benchResults] ]
live_data: [ [strategyTime], [strategyPoints], [benchTime], [benchResults] ]
'''
# Initialize lists here instead of method signature to avoid
# unintended behavior when calling this method twice
if data is None:
data = [[],[],[],[]]
if live_data is None:
live_data = [[],[],[],[]]
if len(data[0]) == 0:
fig = plt.figure()
fig.set_size_inches(width, height)
left, box_width = .25, .5
bottom, box_height = .25, .5
right = left + box_width
top = bottom + box_height
ax = fig.add_axes([0, 0, 1, 1])
ax.text(0.5 * (left + right), 0.5 * (top + bottom), 'Insufficient Data', color="#d5d5d5",
horizontalalignment='center',
verticalalignment='center',
fontsize=20,
transform=ax.transAxes)
ax.axis('off')
for _, spine in ax.spines.items():
spine.set_visible(False)
base64 = self.fig_to_base64(name, fig)
plt.cla()
plt.clf()
plt.close('all')
return base64
plt.figure()
ax = plt.gca()
labels = ['Backtest', 'Benchmark']
labels_removed = []
rectangles = []
colors = [backtest_color, gray]
values = [[data[0], data[1]], [data[2], data[3]]]
for i, array in enumerate(values):
if any(array[0]):
ax.plot(array[0], array[1], linewidth=0.5, color=colors[i], drawstyle='steps-post')
else:
# We have nothing for this graph. Wipe any mention of it
labels_removed.append(labels[i])
rectangles.append(plt.Rectangle((0, 0), 1, 1, fc=colors[i]))
# Only get the labels we didn't remove (i.e. labels that have a graph, guaranteed)
labels = [label for label in labels if label not in labels_removed]
# Return if we don't have any valid labels
if not any(labels):
fig = plt.figure()
fig.set_size_inches(width, height)
left, box_width = .25, .5
bottom, box_height = .25, .5
right = left + box_width
top = bottom + box_height
ax = fig.add_axes([0, 0, 1, 1])
ax.text(0.5 * (left + right), 0.5 * (top + bottom), 'Insufficient Data', color="#d5d5d5",
horizontalalignment='center',
verticalalignment='center',
fontsize=20,
transform=ax.transAxes)
ax.axis('off')
for _, spine in ax.spines.items():
spine.set_visible(False)
base64 = self.fig_to_base64(name, fig)
plt.cla()
plt.clf()
plt.close('all')
return base64
live_labels = []
live_labels_removed = []
if len(live_data[0]) > 0:
colors = [live_color, gray]
labels.append('Live')
values = [[live_data[0], live_data[1]], [live_data[2], live_data[3]]]
for i, array in enumerate(values):
if any(array[0]):
ax.plot(array[0], array[1], linewidth=0.5, color=colors[i], drawstyle='steps-post')
rectangles.append(plt.Rectangle((0, 0), 1, 1, fc=colors[i]))
ax.legend(rectangles, labels, handlelength=0.8, handleheight=0.8,
frameon=False, fontsize=8, ncol=len(labels))
fig = ax.get_figure()
plt.xticks(rotation=0, ha='center', fontsize=8)
plt.yticks(fontsize=8)
ax.xaxis.set_major_formatter(DateFormatter("%b %Y"))
ax.yaxis.set_major_formatter(ticker.PercentFormatter())
ax.yaxis.set_major_locator(MaxNLocator(6))
plt.axhline(y=0, color='#d5d5d5', zorder=1)
plt.setp(ax.spines.values(), color='#d5d5d5')
ax.spines['right'].set_visible(False)
ax.spines['top'].set_visible(False)
plt.setp([ax.get_xticklines(), ax.get_yticklines()], color='#d5d5d5')
plt.ylabel("")
plt.xlabel("")
ax.yaxis.grid(True, color="#ececec")
fig.set_size_inches(width, height)
base64 = self.fig_to_base64(name, fig)
plt.cla()
plt.clf()
plt.close('all')
return base64
def GetDailyReturns(self, returns = [[],[]], live_returns = [[],[]],
name = "daily-returns.png", width = 11.5, height = 2.5,
live_color = "#ff9914", backtest_color = "#71c3fc", gray = "#b3bcc0"):
if len(returns[0]) == 0:
fig = plt.figure()
fig.set_size_inches(width, height)
left, box_width = .25, .5
bottom, box_height = .25, .5
right = left + box_width
top = bottom + box_height
ax = fig.add_axes([0, 0, 1, 1])
ax.text(0.5 * (left + right), 0.5 * (top + bottom), 'Insufficient Data', color="#d5d5d5",
horizontalalignment='center',
verticalalignment='center',
fontsize=20,
transform=ax.transAxes)
ax.axis('off')
for _, spine in ax.spines.items():
spine.set_visible(False)
base64 = self.fig_to_base64(name, fig)
plt.cla()
plt.clf()
plt.close('all')
return base64
returns[0] = list(returns[0])
returns[1] = list(returns[1])
live_returns[0] = list(live_returns[0])
live_returns[1] = list(live_returns[1])
plt.figure()
ax = plt.gca()
backtest_series = pd.Series(returns[1], index=returns[0])
live_series = pd.Series(live_returns[1], index=live_returns[0])
backtest_positive = backtest_series[backtest_series > 0]
backtest_negative = backtest_series[backtest_series < 0]
live_positive = live_series[live_series > 0]
live_negative = live_series[live_series < 0]
# Backtest
#ax.bar(returns[0][:min(len(returns[0]),len(returns[1]))], returns[1], color=backtest_color,zorder=2)
ax.bar(backtest_positive.index, backtest_positive.values, color=backtest_color, zorder=2)
ax.bar(backtest_negative.index, backtest_negative.values, color=gray, zorder=2)
# Live
#ax.bar(live_returns[0][:min(len(live_returns[0]),len(live_returns[1]))], live_returns[1], color=live_color,zorder=2)
ax.bar(live_positive.index, live_positive.values, color=live_color, zorder=2)
ax.bar(live_negative.index, live_negative.values, color=gray, zorder=2)
# Need to handle this since we don't use a legend if it is only backtesting
if len(live_returns[0]) > 0:
rectangles = [plt.Rectangle((0, 0), 1, 1, fc=backtest_color), plt.Rectangle((0, 0), 1, 1, fc=live_color)]
ax.legend(rectangles, [label for label in ['Backtest', "Live"]], handlelength=0.8, handleheight=0.8,
frameon=False, fontsize=8)
fig = ax.get_figure()
ax.xaxis_date()
#ax.set_xticks(fontsize = 8)
#ax.set_yticks(fontsize = 8)
ax.set_ylabel("")
ax.set_xlabel("")
ax.yaxis.set_major_formatter(ticker.PercentFormatter())
ax.xaxis.set_major_formatter(DateFormatter("%b %Y"))
plt.axhline(y = 0, color = '#d5d5d5')
plt.setp(ax.spines.values(), color='#d5d5d5')
plt.setp([ax.get_xticklines(), ax.get_yticklines()], color='#d5d5d5')
ax.spines['right'].set_visible(False)
ax.spines['top'].set_visible(False)
ax.set_axisbelow(True)
ax.yaxis.grid(True, color = "#ececec")
fig.set_size_inches(width, height)
base64 = self.fig_to_base64(name, fig)
plt.cla()
plt.clf()
return base64
def GetMonthlyReturns(self, returns = {}, live_returns = {}, width=7, height=5, name='monthly-returns.png'):
'''
Expects monthly returns in dictionary keyed by year containing a list of monthly returns (as percentage values, i.e. 1% is 1.0 in the list).
Example: {'2019': [10.0, 15.25, -20.05, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN]}
'''
months = ['Jan', 'Feb', 'Mar', 'Apr', 'May', 'Jun', 'Jul', 'Aug', 'Sep', 'Oct', 'Nov', 'Dec']
# Populate the list with np.nan so that we can successfully
# convert this dict into a DataFrame
#for k in returns.keys(): while len(returns[k]) != 12:
# returns[k].append(np.nan)
if len(returns) == 0:
print("No monthly returns found")
fig = plt.figure()
fig.set_size_inches(width, height)
left, box_width = .25, .5
bottom, box_height = .25, .5
right = left + box_width
top = bottom + box_height
ax = fig.add_axes([0, 0, 1, 1])
ax.text(0.5 * (left + right), 0.5 * (top + bottom), 'Insufficient Data', color="#d5d5d5",
horizontalalignment='center',
verticalalignment='center',
fontsize=30,
transform=ax.transAxes)
ax.axis('off')
for _, spine in ax.spines.items():
spine.set_visible(False)
base64 = self.fig_to_base64(name, fig)
plt.cla()
plt.clf()
plt.close('all')
return base64
# Make data frame
returns = pd.DataFrame(returns, index = months).transpose()
c = mcolors.ColorConverter().to_rgb
colors = [c('#CC0000'), c('#FF0000'), c('#FF3333'),
c('#FF9933'), c('#FFFF66'), c('#FFFF99'),
c('#B2FF66'), c('#99FF33'),
c('#00FF00'), c('#00CC00')]
abs_cmap = matplotlib.colors.LinearSegmentedColormap.from_list('monthly_returns', colors)
norm = plt.Normalize(-10, 10)
if len(live_returns) > 0:
live_returns = pd.DataFrame(live_returns, index=months).transpose()
fig, ax = plt.subplots(2, 1, gridspec_kw={'height_ratios': [6, 1]})
#ax[0].matshow(returns, aspect='auto', cmap=c_map, interpolation='none', vmin=-10, vmax=10)
#ax[1].matshow(live_returns, aspect='auto', cmap=live_c_map, interpolation='none')
ax[0].matshow(returns, aspect='auto', cmap=abs_cmap, norm=norm, interpolation='none')
ax[1].matshow(live_returns, aspect='auto', cmap=abs_cmap, norm=norm, interpolation='none')
ax[0].xaxis.set_major_locator(ticker.MaxNLocator(min(12, len(returns.columns))))
ax[0].yaxis.set_major_locator(ticker.MaxNLocator(len(returns.index.values)))
ax[0].set_yticklabels([''] + list(returns.index.values))
ax[0].set_xticklabels([''] + [x for x in returns.columns])
ax[0].tick_params(labelsize=8, bottom=True, labelbottom=True, top=False, labeltop=False)
ax[0].set_ylabel('Backtest', rotation='vertical', fontweight='black')
for (j, i), label in np.ndenumerate(returns):
if np.isnan(label):
ax[0].text(i, j, "", ha='center', va='center', fontsize=7)
else:
ax[0].text(i, j, round(label, 1), ha='center', va='center', fontsize=7)
ax[1].xaxis.set_major_locator(ticker.MaxNLocator(min(12, len(live_returns.columns))))
ax[1].yaxis.set_major_locator(ticker.MaxNLocator(len(live_returns.index.values)))
ax[1].set_xticklabels([''] + [x for x in live_returns.columns]) ## will need to be fixed for more than 1 year
ax[1].set_yticklabels([''] + list(live_returns.index.values))
ax[1].tick_params(labelsize=8, bottom=True, labelbottom=True, top=False, labeltop=False)
ax[1].set_ylabel('Live', rotation='vertical', fontweight='black')
for (j, i), label in np.ndenumerate(live_returns):
if np.isnan(label):
ax[1].text(i, j, "", ha='center', va='center', fontsize=7)
else:
ax[1].text(i, j, round(label, 1), ha='center', va='center', fontsize=7)
ax[0].tick_params(axis='x', color='#d5d5d5')
ax[0].tick_params(axis='y', color='#d5d5d5')
ax[1].tick_params(axis='x', color='#d5d5d5')
ax[1].tick_params(axis='y', color='#d5d5d5')
else:
ax = plt.imshow(returns, aspect='auto', cmap=abs_cmap, norm=norm, interpolation='none')
fig = ax.get_figure()
plt.xlabel('')
plt.ylabel('')
plt.gca().tick_params(axis='x', color='#d5d5d5')
plt.gca().tick_params(axis='y', color='#d5d5d5')
plt.yticks(range(len(returns.index.values)), returns.index.values, fontsize=8)
plt.xticks(range(12), ["Jan", "Feb", "Mar", "Apr", "May", "Jun", "Jul", "Aug", "Sep", "Oct", "Nov", "Dec"])
for (j, i), label in np.ndenumerate(returns):
if np.isnan(label):
plt.text(i, j, "", ha='center', va='center', fontsize=7)
else:
plt.text(i, j, str(round(label, 1)), ha='center', va='center', fontsize=7)
fig.set_size_inches(width, height)
base64 = self.fig_to_base64(name, fig)
plt.cla()
plt.clf()
plt.close('all')
return base64
def GetAnnualReturns(self, data = None, live_data = None, name = "annual-returns.png",width = 3.5*2, height = 2.5*2):
live_color = "#ff9914"
backtest_color = "#71c3fc"
if data is None:
data = [[], []]
if live_data is None:
live_data = [[], []]
if len(data[0]) == 0:
fig = plt.figure()
fig.set_size_inches(width, height)
left, box_width = .25, .5
bottom, box_height = .25, .5
right = left + box_width
top = bottom + box_height
ax = fig.add_axes([0, 0, 1, 1])
ax.text(0.5 * (left + right), 0.5 * (top + bottom), 'Insufficient Data', color="#d5d5d5",
horizontalalignment='center',
verticalalignment='center',
fontsize=30,
transform=ax.transAxes)
ax.axis('off')
for _, spine in ax.spines.items():
spine.set_visible(False)
base64 = self.fig_to_base64(name, fig)
plt.cla()
plt.clf()
plt.close('all')
return base64
# Cast to list just in case
time = list(data[0]) + list(live_data[0])
returns = list(data[1]) + list(live_data[1])
plt.figure()
ax = plt.gca()
# Prevent value speculation on the y-axis ticks by
# converting to string before plotting.
ax.barh([str(i) for i in time], returns, color = [backtest_color], zorder=1)
# Add a percentage sign at the end of each x-axis tick
ax.xaxis.set_major_formatter(ticker.PercentFormatter())
fig = ax.get_figure()
plt.xticks(rotation=0, ha='center', fontsize=8)
plt.yticks(fontsize=8)
plt.axvline(x=0, color='#d5d5d5', linewidth=0.5)
vline = plt.axvline(x=np.mean(returns), color="red", ls="dashed", label="mean", linewidth=1)
plt.legend([vline], ["mean"], loc='upper right', frameon=False, fontsize=8)
plt.setp(ax.spines.values(), color='#d5d5d5')
plt.setp([ax.get_xticklines(), ax.get_yticklines()], color='#d5d5d5')
ax.grid(color='#d5d5d5', axis='x', linewidth=1, zorder=0)
ax.set_axisbelow(True)
ax.spines['right'].set_visible(False)
ax.spines['top'].set_visible(False)
plt.xlabel("")
plt.ylabel("")
ax.xaxis.grid(True)
fig.set_size_inches(width, height)
base64 = self.fig_to_base64(name, fig)
plt.cla()
plt.clf()
plt.close('all')
return base64
def GetDrawdown(self, data = [[],[]], live_data = [[],[]], worst = [{}], name = "drawdowns.png",
width = 11.5, height = 2.5, gray = "#b3bcc0"):
if len(data[0]) == 0:
fig = plt.figure()
fig.set_size_inches(width, height)
left, box_width = .25, .5
bottom, box_height = .25, .5
right = left + box_width
top = bottom + box_height
ax = fig.add_axes([0, 0, 1, 1])
ax.text(0.5 * (left + right), 0.5 * (top + bottom), 'Insufficient Data', color="#d5d5d5",
horizontalalignment='center',
verticalalignment='center',
fontsize=20,
transform=ax.transAxes)
ax.axis('off')
for _, spine in ax.spines.items():
spine.set_visible(False)
base64 = self.fig_to_base64(name, fig)
plt.cla()
plt.clf()
plt.close('all')
return base64
time = list(data[0]) + list(live_data[0])
drawdown = list(data[1]) + list(live_data[1])
colors = ["#FFCCCCCC", "#FFE5CCCC", "#FFFFCCCC", "#E5FFCCCC", "#CCFFCCCC"]
labels = ["1st Worst", "2nd Worst", "3rd Worst", "4th Worst", "5th Worst"]
plt.figure()
ax = plt.gca()
ax.xaxis.set_major_formatter(DateFormatter("%b %Y"))
# Backtest
#ax.plot(time, drawdown, color=gray, zorder=2)
ax.fill_between(time, drawdown, 0, color=gray, zorder=3, step='post')
for index, values in enumerate(worst):
start = values['Begin']
end = values['End']
if start == end:
worst_point = start
else:
sub_data = drawdown[time.index(start):time.index(end)]
worst_point = time[drawdown.index(min(sub_data))]
plt.axvspan(start, end, 0, 0.95, color = colors[index], zorder = 1)
plt.axvline(worst_point, 0, 0.95, ls = 'dashed', color = 'black', zorder = 4, linewidth = 0.5)
ax.text(worst_point, min(drawdown) * 0.75, labels[index], rotation = 90, zorder = 4, va='bottom')
# Live
live_time = live_data[0]
live_drawdown = live_data[1]
# No need to draw the live mode stuff since we've already taken care of it.
# We're just after the Live trading dotted plot in case it exists
plt.axvline(live_time[0], 0, 0.95, ls='dotted', color='red', zorder=4) if len(live_time) > 0 else None
plt.text(live_time[0], min(min(drawdown), min(live_drawdown)) * 0.75, "Live Trading", rotation=90, zorder=4, fontsize=7) if len(live_time) > 0 else None
fig = ax.get_figure()
plt.xticks(rotation=0, ha='center', fontsize=8)
plt.yticks(ticks=[i for i in plt.yticks()[0] if i <= 0], labels=['{:.1f}%'.format(i * 100) for i in plt.yticks()[0] if i <= 0], fontsize=8)
plt.ylabel("")
plt.xlabel("")
plt.axhline(y=0, color='#d5d5d5', zorder=1)
plt.setp(ax.spines.values(), color='#d5d5d5')
plt.setp([ax.get_xticklines(), ax.get_yticklines()], color='#d5d5d5')
ax.spines['right'].set_visible(False)
ax.spines['top'].set_visible(False)
ax.yaxis.grid(True, color="#ececec")
fig.set_size_inches(width, height)
base64 = self.fig_to_base64(name, fig)
plt.cla()
plt.clf()
plt.close('all')
return base64
def GetCrisisEventsPlots(self, data = [[],[],[]], name = '', width = 7, height = 5,
backtest_color = "#71c3fc", gray = "#b3bcc0"):
if len(data[0]) == 0:
fig = plt.figure()
fig.set_size_inches(width, height)
base64 = self.fig_to_base64(f'{name}.png', fig)
plt.cla()
plt.clf()
plt.close('all')
return base64
plt.figure()
ax = plt.gca()
fig = ax.get_figure()
ax.xaxis.set_major_formatter(DateFormatter("%Y-%m-%d"))
colors = [backtest_color, gray]
for j, values in enumerate(data[1:]):
ax.plot(data[0][:min(len(data[0]),len(values))], values, color=colors[j], linewidth=0.5, zorder=2, drawstyle='steps-post')
labels = ['Backtest', 'Benchmark']
rectangles = [plt.Rectangle((0, 0), 1, 1, fc=backtest_color), plt.Rectangle((0, 0), 1, 1, fc=gray)]
leg = ax.legend(rectangles, labels, handlelength=0.8, handleheight=0.8,
frameon=False, fontsize=8, ncol=len(labels))
for line in leg.get_lines(): line.set_linewidth(3)
plt.axhline(y=0, color= gray, zorder=1)
plt.setp(ax.spines.values(), color='#d5d5d5')
ax.tick_params(axis='x', labelsize=8, labelrotation=45)
plt.yticks(ticks=plt.yticks()[0], labels=['{0:g}%'.format(i * 100) for i in plt.yticks()[0]], fontsize=8)
plt.setp([ax.get_xticklines(), ax.get_yticklines()], color='#d5d5d5')
ax.spines['right'].set_visible(False)
ax.spines['top'].set_visible(False)
plt.xlabel("")
plt.ylabel("")
ax.yaxis.grid(True, color="#ececec")
fig.set_size_inches(width, height)
base64 = self.fig_to_base64(f'{name}.png', fig)
plt.cla()
plt.clf()
plt.close('all')
return base64
def GetRollingBeta(self, data = [[],[],[],[]], live_data = [[],[],[],[]], name = "rolling-portfolio-beta-to-equity.png",
width = 11.5, height = 2.5):
if len(data[0]) == 0 and len(live_data[0]) == 0:
fig = plt.figure()
fig.set_size_inches(width, height)
left, box_width = .25, .5
bottom, box_height = .25, .5
right = left + box_width
top = bottom + box_height
ax = fig.add_axes([0, 0, 1, 1])
ax.text(0.5 * (left + right), 0.5 * (top + bottom), 'Insufficient Data', color="#d5d5d5",
horizontalalignment='center',
verticalalignment='center',
fontsize=20,
transform=ax.transAxes)
ax.axis('off')
for _, spine in ax.spines.items():
spine.set_visible(False)
base64 = self.fig_to_base64(name, fig)
plt.cla()
plt.clf()
plt.close('all')
return base64
# Data will come in the following format:
# [six month rolling beta time, six month rolling beta, twelve month rolling beta time, twelve month rolling beta]
backtest_six_month_beta_dates, backtest_six_month_beta = (data[0], data[1])
backtest_twelve_month_beta_dates, backtest_twelve_month_beta = (data[2], data[3])
live_six_month_beta_dates, live_six_month_beta = (live_data[0], live_data[1])
live_twelve_month_beta_dates, live_twelve_month_beta = (live_data[2], live_data[3])
labels = []
rectangles = []
if len(backtest_six_month_beta) > 0:
labels += ['6 mo.', '12 mo.']
rectangles += [plt.Rectangle((0, 0), 1, 1, fc="#71c3fc"), plt.Rectangle((0, 0), 1, 1, fc="#1d7dc1")]
if len(live_six_month_beta) > 0:
labels += ['Live 6 mo.', 'Live 12 mo.']
rectangles += [plt.Rectangle((0, 0), 1, 1, fc="#ff9914"), plt.Rectangle((0, 0), 1, 1, fc="#ffd700")]
plt.figure()
ax = plt.gca()
fig = ax.get_figure()
ax.xaxis.set_major_formatter(DateFormatter("%b %Y"))
if len(backtest_six_month_beta_dates) > 0:
# Backtest
ax.plot(backtest_six_month_beta_dates, backtest_six_month_beta, linewidth = 0.5, color = "#71c3fc")
ax.plot(backtest_twelve_month_beta_dates, backtest_twelve_month_beta, linewidth=0.5, color="#1d7dc1")
# Live
if len(live_six_month_beta) > 0:
ax.plot(live_six_month_beta_dates, live_six_month_beta, linewidth=0.5, color="#ff9914")
ax.plot(live_twelve_month_beta_dates, live_twelve_month_beta, linewidth=0.5, color="#ffd700")
leg = ax.legend(rectangles, labels, handlelength=0.8, handleheight=0.8,
frameon=False, fontsize=8, ncol=2)
for line in leg.get_lines(): line.set_linewidth(3)
plt.axhline(y=0, color='#d5d5d5', zorder=1)
plt.setp(ax.spines.values(), color='#d5d5d5')
ax.tick_params(axis='both', labelsize=8, labelrotation=0)
plt.setp([ax.get_xticklines(), ax.get_yticklines()], color='#d5d5d5')
plt.xlabel("")
plt.ylabel("")
ax.set_axisbelow(True)
ax.spines['right'].set_visible(False)
ax.spines['top'].set_visible(False)
ax.yaxis.grid(True, color="#ececec")
fig.set_size_inches(width, height)
base64 = self.fig_to_base64(name, fig)
plt.cla()
plt.clf()
plt.close('all')
return base64
def GetRollingSharpeRatio(self, data = [[],[]], live_data = [[],[]], name = "rolling-sharpe-ratio.png",
width = 11.5, height = 2.5, live_color = "#ff9914", backtest_color = "#71c3fc"):
if len(data[0]) == 0:
fig = plt.figure()
fig.set_size_inches(width, height)
left, box_width = .25, .5
bottom, box_height = .25, .5
right = left + box_width
top = bottom + box_height
ax = fig.add_axes([0, 0, 1, 1])
ax.text(0.5 * (left + right), 0.5 * (top + bottom), 'Insufficient Data', color="#d5d5d5",
horizontalalignment='center',
verticalalignment='center',
fontsize=20,
transform=ax.transAxes)
ax.axis('off')
for _, spine in ax.spines.items():
spine.set_visible(False)
base64 = self.fig_to_base64(name, fig)
plt.cla()
plt.clf()
plt.close('all')
return base64
labels = ['6 mo.']
rectangles = [plt.Rectangle((0, 0), 1, 1, fc=backtest_color)]
plt.figure()
ax = plt.gca()
ax.xaxis.set_major_formatter(DateFormatter("%b %Y"))
backtest_rolling_sharpe_dates, backtest_rolling_sharpe = (data[0], data[1])
live_rolling_sharpe_dates, live_rolling_sharpe = (live_data[0], live_data[1])
# Check after the fact if we have any live values since we might not be far
# enough into live trading to generate the live rolling sharpe graph
if len(live_rolling_sharpe) > 0:
rectangles += [plt.Rectangle((0, 0,), 1, 1, fc=live_color)]
labels += ["Live 6 mo."]
# Backtest
ax.plot(backtest_rolling_sharpe_dates, backtest_rolling_sharpe, color=backtest_color, linewidth=0.5, zorder=2)
# Live
ax.plot(live_rolling_sharpe_dates, live_rolling_sharpe, color=live_color, linewidth=0.5, zorder=2)
leg = ax.legend(rectangles, labels, handlelength=0.8, handleheight=0.8,
frameon=False, fontsize=8)
for line in leg.get_lines(): line.set_linewidth(3)
plt.axhline(y=0, color='#d5d5d5', zorder=1)
plt.setp(ax.spines.values(), color='#d5d5d5')
ax.tick_params(axis='both', labelsize=8, labelrotation=0)
plt.setp([ax.get_xticklines(), ax.get_yticklines()], color='#d5d5d5')
plt.ylabel("")
plt.xlabel("")
ax.set_axisbelow(True)
ax.spines['right'].set_visible(False)
ax.spines['top'].set_visible(False)
ax.yaxis.grid(True, color="#ececec")
fig = ax.get_figure()
fig.set_size_inches(width, height)
base64 = self.fig_to_base64(name, fig)
plt.cla()
plt.clf()
plt.close('all')
return base64
def GetAssetAllocation(self, data = [[],[]], live_data = [[],[]],
name="asset-allocation.png", width = 7, height = 5):
if len(data[0]) == 0:
fig = plt.figure()
fig.set_size_inches(width, height)
left, box_width = .25, .5
bottom, box_height = .25, .5
right = left + box_width
top = bottom + box_height
ax = fig.add_axes([0, 0, 1, 1])
ax.text(0.5 * (left + right), 0.5 * (top + bottom), 'Insufficient Data', color="#d5d5d5",
horizontalalignment='center',
verticalalignment='center',
fontsize=30,
transform=ax.transAxes)
ax.axis('off')
for _, spine in ax.spines.items():
spine.set_visible(False)
base64 = self.fig_to_base64(name, fig)
plt.cla()
plt.clf()
plt.close('all')
return {"Backtest Asset Allocation": base64}
symbols = [data[0], live_data[0]]
data = [data[1], live_data[1]]
colors = ['#fce0bd', '#fcd6a7', '#fbcd92', '#fac37c', '#f8af53', '#f79b31', '#de8b2c', "#dde1e3"]
pies = {}
for i in range(len(data)):
symbols_to_use, to_label = symbols[i], data[i]
# No need to plot if there are no symbols/data -- necessary as we don't want to return a dictionary
# with even a blank plot for live if only using a backtest
if len(symbols_to_use) == 0:
continue
to_label = to_label[:7]
symbols_to_use = symbols_to_use[:7]
if sum(to_label) < 1:
to_label.append(1 - sum(to_label))
symbols_to_use.append('Others')
labels = [f'{symbol}\n' + '{:.2f}%'.format(value * 100) for symbol, value in zip(symbols_to_use, to_label)]
fig = plt.figure()
plt.pie(to_label, colors = colors)
plt.legend(labels, frameon = False, fontsize = 8, loc = 'center left', bbox_to_anchor=(0, 0.5))
plt.axis('equal')
fig.set_size_inches(width, height)
if i == 0:
pies["Backtest Asset Allocation"] = self.fig_to_base64(f"asset-allocation-backtest.png", fig)
else:
pies["Live Asset Allocation"] = self.fig_to_base64(f"asset-allocation-live.png", fig)
plt.cla()
plt.clf()
plt.close('all')
pies["filler"] = ''
return pies
def GetLeverage(self, data = [[],[]], live_data = [[],[]], name = "leverage.png",width = 11.5,
height = 2.5, backtest_color = "#71c3fc", live_color = "#ff9914",):
if len(data[0]) == 0:
fig = plt.figure()
fig.set_size_inches(width, height)
left, box_width = .25, .5
bottom, box_height = .25, .5
right = left + box_width
top = bottom + box_height
ax = fig.add_axes([0, 0, 1, 1])
ax.text(0.5 * (left + right), 0.5 * (top + bottom), 'Insufficient Data', color="#d5d5d5",
horizontalalignment='center',
verticalalignment='center',
fontsize=20,
transform=ax.transAxes)
ax.axis('off')
for _, spine in ax.spines.items():
spine.set_visible(False)
base64 = self.fig_to_base64(name, fig)
plt.cla()
plt.clf()
plt.close('all')
return base64
labels = ['Backtest']
plt.figure()
ax = plt.gca()
fig = ax.get_figure()
# Backtest
ax.fill_between(data[0], 0, data[1], color = backtest_color, alpha = 0.75, step='post')
# Live
if len(live_data[0]) != 0:
labels.append('Live')
ax.fill_between(live_data[0], 0, live_data[1], color=live_color, alpha=0.75, step = 'post')
rectangles = [plt.Rectangle((0, 0), 1, 1, fc=backtest_color), plt.Rectangle((0, 0), 1, 1, fc=live_color)]
ax.legend(rectangles, [label for label in labels], handlelength=0.8, handleheight=0.8,
frameon=False, fontsize=8)
ax.set_xticklabels(ax.get_xticklabels(), rotation=0, ha='center')
ax.tick_params(axis='both', labelsize=8, labelrotation=0)
ax.xaxis.set_major_formatter(DateFormatter("%b %Y"))
plt.axhline(y=0, color='#d5d5d5')
plt.setp(ax.spines.values(), color='#d5d5d5')
plt.setp([ax.get_xticklines(), ax.get_yticklines()], color='#d5d5d5')
plt.ylabel("")
plt.xlabel("")
ax.set_axisbelow(True)
ax.spines['right'].set_visible(False)
ax.spines['top'].set_visible(False)
ax.yaxis.grid(True, color="#ececec")
fig.set_size_inches(width, height)
base64 = self.fig_to_base64(name, fig)
plt.cla()
plt.clf()
plt.close('all')
return base64
def GetExposure(self, time = [], long_securities = [], short_securities = [], long_data = [[]], short_data = [[]],
live_time = [], live_long_securities = [], live_short_securities = [], live_long_data = [[]],
live_short_data = [[]], name = "exposure.png", width = 11.5, height = 2.5):
if len(time) == 0:
fig = plt.figure()
fig.set_size_inches(width, height)
left, box_width = .25, .5
bottom, box_height = .25, .5
right = left + box_width
top = bottom + box_height
ax = fig.add_axes([0, 0, 1, 1])
ax.text(0.5 * (left + right), 0.5 * (top + bottom), 'Insufficient Data', color="#d5d5d5",
horizontalalignment='center',
verticalalignment='center',
fontsize=20,
transform=ax.transAxes)
ax.axis('off')
for _, spine in ax.spines.items():
spine.set_visible(False)
base64 = self.fig_to_base64(name, fig)
plt.cla()
plt.clf()
plt.close('all')
return base64
color_map = {'Equity': "#71c3fc", 'Option':'#A0522D', 'Commodity':'#4B0082',
'Forex':'#0000FF', 'Future':'#6B8E23', 'Cfd':'#FF8C00', 'Crypto':'#BDB76B'}
live_color_map = {'Equity': "#ff9914" , 'Option': '#DAA520', 'Commodity': '#9400D3',
'Forex':'#6495ED', 'Future':'#808000', 'Cfd':'#FFD700', 'Crypto':'#FFDAB9'}
for k, v in list(color_map.items()):
color_map[k + ' - Short'] = '#' + hex(int(v[1:], 16) ^ 0xffffff)[2:].zfill(6)
for k, v in list(live_color_map.items()):
live_color_map[k + ' - Short'] = '#' + hex(int(v[1:], 16) ^ 0xffffff)[2:].zfill(6)
labels = long_securities + short_securities
live_labels = live_long_securities + live_short_securities
ax = plt.gca()
# Create step plot for the stackplot by adding a value
# right before the next data point with the same previous value
time_copy = []
long_data_copy = []
short_data_copy = []
j = 0
for time_idx, longs, shorts in zip(time, long_data, short_data):
long_data_copy.append([])
short_data_copy.append([])
long_len = len(longs)
for i in range(1, long_len + 1):
if i == long_len :
time_copy.append(time[i - 1])
long_data_copy[j].append(longs[i - 1])
short_data_copy[j].append(shorts[i - 1])
else:
time_copy.append(time[i - 1])