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fix analysis bug
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@@ -108,35 +108,35 @@ Graphical Result
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.. image:: ../_static/img/analysis/score_ic.png
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Usage of `analysis_position.cumulative_return`
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----------------------------------------------
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API
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~~~~~~~~~~~~~~~~
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.. automodule:: qlib.contrib.report.analysis_position.cumulative_return
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:members:
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Graphical Result
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~~~~~~~~~~~~~~~~~
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.. note::
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- Axis X: Trading day
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- Axis Y:
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- Above axis Y: `(((Ref($close, -1)/$close - 1) * weight).sum() / weight.sum()).cumsum()`
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- Below axis Y: Daily weight sum
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- In the **sell** graph, `y < 0` stands for profit; in other cases, `y > 0` stands for profit.
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- In the **buy_minus_sell** graph, the **y** value of the **weight** graph at the bottom is `buy_weight + sell_weight`.
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- In each graph, the **red line** in the histogram on the right represents the average.
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.. image:: ../_static/img/analysis/cumulative_return_buy.png
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.. image:: ../_static/img/analysis/cumulative_return_sell.png
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.. image:: ../_static/img/analysis/cumulative_return_buy_minus_sell.png
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.. image:: ../_static/img/analysis/cumulative_return_hold.png
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.. Usage of `analysis_position.cumulative_return`
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.. ----------------------------------------------
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..
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.. API
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.. ~~~~~~~~~~~~~~~~
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..
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.. .. automodule:: qlib.contrib.report.analysis_position.cumulative_return
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.. :members:
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..
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.. Graphical Result
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.. ~~~~~~~~~~~~~~~~~
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..
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.. .. note::
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..
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.. - Axis X: Trading day
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.. - Axis Y:
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.. - Above axis Y: `(((Ref($close, -1)/$close - 1) * weight).sum() / weight.sum()).cumsum()`
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.. - Below axis Y: Daily weight sum
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.. - In the **sell** graph, `y < 0` stands for profit; in other cases, `y > 0` stands for profit.
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.. - In the **buy_minus_sell** graph, the **y** value of the **weight** graph at the bottom is `buy_weight + sell_weight`.
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.. - In each graph, the **red line** in the histogram on the right represents the average.
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..
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.. .. image:: ../_static/img/analysis/cumulative_return_buy.png
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..
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.. .. image:: ../_static/img/analysis/cumulative_return_sell.png
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..
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.. .. image:: ../_static/img/analysis/cumulative_return_buy_minus_sell.png
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..
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.. .. image:: ../_static/img/analysis/cumulative_return_hold.png
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Usage of `analysis_position.risk_analysis`
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@@ -152,7 +152,7 @@ API
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Graphical Result
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~~~~~~~~~~~~~~~~~
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.. note::
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.. note::
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- general graphics
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- `std`
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@@ -178,10 +178,10 @@ Graphical Result
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The `Maximum Drawdown` of `CAR` (cumulative abnormal return) with cost.
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.. image:: ../_static/img/analysis/risk_analysis_bar.png
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.. image:: ../_static/img/analysis/risk_analysis_bar.png
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:align: center
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.. note::
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.. note::
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- annualized_return/max_drawdown/information_ratio/std graphics
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- Axis X: Trading days grouped by month
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@@ -220,42 +220,42 @@ Graphical Result
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.. image:: ../_static/img/analysis/risk_analysis_std.png
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:align: center
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Usage of `analysis_position.rank_label`
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----------------------------------------------
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API
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~~~~~
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.. automodule:: qlib.contrib.report.analysis_position.rank_label
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:members:
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Graphical Result
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~~~~~~~~~~~~~~~~~
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.. note::
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- hold/sell/buy graphics:
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- Axis X: Trading day
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- Axis Y:
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Average `ranking ratio`of `label` for stocks that is held/sold/bought on the trading day.
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In the above example, the `label` is formulated as `Ref($close, -1)/$close - 1`. The `ranking ratio` can be formulated as follows.
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.. math::
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ranking\ ratio = \frac{Ascending\ Ranking\ of\ label}{Number\ of\ Stocks\ in\ the\ Portfolio}
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.. image:: ../_static/img/analysis/rank_label_hold.png
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:align: center
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.. image:: ../_static/img/analysis/rank_label_buy.png
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:align: center
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.. image:: ../_static/img/analysis/rank_label_sell.png
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:align: center
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..
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.. Usage of `analysis_position.rank_label`
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.. ----------------------------------------------
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..
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.. API
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.. ~~~~~
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..
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.. .. automodule:: qlib.contrib.report.analysis_position.rank_label
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.. :members:
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..
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..
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.. Graphical Result
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.. ~~~~~~~~~~~~~~~~~
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..
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.. .. note::
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..
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.. - hold/sell/buy graphics:
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.. - Axis X: Trading day
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.. - Axis Y:
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.. Average `ranking ratio`of `label` for stocks that is held/sold/bought on the trading day.
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..
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.. In the above example, the `label` is formulated as `Ref($close, -1)/$close - 1`. The `ranking ratio` can be formulated as follows.
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.. .. math::
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..
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.. ranking\ ratio = \frac{Ascending\ Ranking\ of\ label}{Number\ of\ Stocks\ in\ the\ Portfolio}
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..
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.. .. image:: ../_static/img/analysis/rank_label_hold.png
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.. :align: center
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..
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.. .. image:: ../_static/img/analysis/rank_label_buy.png
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.. :align: center
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..
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.. .. image:: ../_static/img/analysis/rank_label_sell.png
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.. :align: center
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..
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..
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Usage of `analysis_model.analysis_model_performance`
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-----------------------------------------------------
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