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docs/component/report.rst
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docs/component/report.rst
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.. _report:
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==========================================
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Aanalysis: Evaluation & Results Analysis
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==========================================
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Introduction
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===================
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``Aanalysis`` is designed to show the graphical reports of ``Intraday Trading`` , which helps users to evaluate and analyse investment portfolios visually. There are the following graphics to view:
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- analysis_position
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- report_graph
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- score_ic_graph
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- cumulative_return_graph
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- risk_analysis_graph
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- rank_label_graph
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- analysis_model
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- model_performance_graph
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Graphical Reports
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===================
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Users can run the following code to get all supported reports.
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.. code-block:: python
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>>> import qlib.contrib.report as qcr
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>>> print(qcr.GRAPH_NAME_LISt)
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['analysis_position.report_graph', 'analysis_position.score_ic_graph', 'analysis_position.cumulative_return_graph', 'analysis_position.risk_analysis_graph', 'analysis_position.rank_label_graph', 'analysis_model.model_performance_graph']
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.. note::
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For more details, please refer to the function document: similar to ``help(qcr.analysis_position.report_graph)``
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Usage&Example
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===================
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Usage of `analysis_position.report`
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-----------------------------------
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API
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~~~~~~~~~~~~~~~~
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.. automodule:: qlib.contrib.report.analysis_position.report
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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: Accumulated value
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- The shaded part above: Maximum drawdown corresponding to `cum return`
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- The shaded part below: Maximum drawdown corresponding to `cum ex return wo cost` %
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.. image:: ../_static/img/analysis/report.png
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Usage of `analysis_position.score_ic`
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-------------------------------------
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API
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~~~~~~~~~~~~~~~~
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.. automodule:: qlib.contrib.report.analysis_position.score_ic
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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: `Ref($close, -1)/$close - 1` and `score` IC%
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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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- Cumulative return graphics.
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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.risk_analysis`
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----------------------------------------------
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API
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~~~~~~~~~~~~~~~~
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.. automodule:: qlib.contrib.report.analysis_position.risk_analysis
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:members:
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.. note::
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- annual/mdd/sharpe/std graphics
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- Axis X: Trading days are grouped by month
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- Axis Y: monthly(trading date) value
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Graphical Result
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~~~~~~~~~~~~~~~~~
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.. image:: ../_static/img/analysis/risk_analysis_bar.png
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.. image:: ../_static/img/analysis/risk_analysis_annual.png
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.. image:: ../_static/img/analysis/risk_analysis_mdd.png
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.. image:: ../_static/img/analysis/risk_analysis_sharpe.png
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.. image:: ../_static/img/analysis/risk_analysis_std.png
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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: Percentage of `'Ref($close, -1)/$close - 1'.rank(ascending=False) / (number of lines on the day) * 100` every trading day. (`ascending=False`: The higher the value, the higher the ranking)%
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.. image:: ../_static/img/analysis/rank_label_hold.png
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.. image:: ../_static/img/analysis/rank_label_buy.png
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.. image:: ../_static/img/analysis/rank_label_sell.png
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Usage of `analysis_model.analysis_model_performance`
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-----------------------------------------------------
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API
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~~~~~
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.. automodule:: qlib.contrib.report.analysis_model.analysis_model_performance
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:members:
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Graphical Result
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~~~~~~~~~~~~~~~~~
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.. image:: ../_static/img/analysis/analysis_model_cumulative_return.png
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.. image:: ../_static/img/analysis/analysis_model_long_short.png
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.. image:: ../_static/img/analysis/analysis_model_IC.png
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.. image:: ../_static/img/analysis/analysis_model_monthly_IC.png
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.. image:: ../_static/img/analysis/analysis_model_NDQ.png
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.. image:: ../_static/img/analysis/analysis_model_auto_correlation.png
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