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release-0.5.0 (#1)
* init commit * change the version number * rich the docs&fix cache docs * update index readme * Modify cache class name * Modify sharpe to information_ratio * Modify Group- to Group * add the description of graphical results & fix the backtest docs * fix docs in details * update docs * Update introduction.rst * Update README.md * Update introduction.rst * Update introduction.rst * Update introduction.rst * Update installation.rst * Update installation.rst * Update initialization.rst * Update getdata.rst * Update integration.rst * Update initialization.rst * Update getdata.rst * Update estimator.rst Modify some typos. * Update README.md Modify the typos. * Update initialization.rst * Update data.rst * Update report.rst * Update estimator.rst * Update cumulative_return.py * Update model.rst * Update rank_label.py * Update cumulative_return.py * Update strategy.rst * Update getdata.rst * Update backtest.rst * Update integration.rst * Update getdata.rst * Update introduction.rst * Update introduction.rst * Update README.md * Update report.rst * Update integration.rst Fix typos * Update installation.rst Fix typos * Update getdata.rst * Update initialization.rst Fix typos. * add quick start docs&fix detials * fix estimator docs & fix strategy docs * fix the cahce in data.rst * update documents * Fix Corr && Rsquare * fix data retrival example to csi300 & fix a data bug * fix filter bug * Fix data collector * Modift model args * add the log & fix README.md\quick.rst * add enviroment depend & add intoduction of qlib-server online mode * fix image center fomat & set log_only of docs is True * fix README.md format * update data preparation & readme logo image * get_data support version * Modify analysis names * Modify analysis graph * update report.rst & data.rst * commmit estimator for merge * minimal requirements * Update README.md * Update README.md * Update README.md * Update README.md * Update README.md * Update README.md * Update README.md * Update READEME.md * Update READEME.md * update estimator * Fix doc urls * fix get_data.py docstring * update test_get_data.py * Upate docs * Upate docs * Upate docs Co-authored-by: bxdd <bxddream@gmail.com> Co-authored-by: zhupr <zhu.pengrong@foxmail.com> Co-authored-by: Wendi Li <wendili.academic@qq.com> Co-authored-by: Dingsu Wang <dingsu.wang@gmail.com> Co-authored-by: bxdd <45119470+bxdd@users.noreply.github.com> Co-authored-by: cslwqxx <cslwqxx@users.noreply.github.com>
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@@ -32,10 +32,10 @@ def _get_risk_analysis_data_with_report(
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# analysis["pred_long_short"] = risk_analysis(report_long_short_df["long_short"])
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if not report_normal_df.empty:
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analysis["sub_bench"] = risk_analysis(
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analysis["excess_return_without_cost"] = risk_analysis(
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report_normal_df["return"] - report_normal_df["bench"]
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)
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analysis["sub_cost"] = risk_analysis(
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analysis["excess_return_with_cost"] = risk_analysis(
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report_normal_df["return"]
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- report_normal_df["bench"]
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- report_normal_df["cost"]
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@@ -97,7 +97,7 @@ def _get_monthly_risk_analysis_with_report(report_normal_df: pd.DataFrame) -> pd
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def _get_monthly_analysis_with_feature(
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monthly_df: pd.DataFrame, feature: str = "annual"
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monthly_df: pd.DataFrame, feature: str = "annualized_return"
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) -> pd.DataFrame:
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"""
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@@ -156,7 +156,7 @@ def _get_monthly_risk_analysis_figure(report_normal_df: pd.DataFrame) -> Iterabl
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# report_long_short_df=report_long_short_df,
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)
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for _feature in ["annual", "mdd", "sharpe", "std"]:
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for _feature in ["annualized_return", "max_drawdown", "information_ratio", "std"]:
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_temp_df = _get_monthly_analysis_with_feature(_monthly_df, _feature)
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yield ScatterGraph(
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_temp_df,
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@@ -200,8 +200,8 @@ def risk_analysis_graph(
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# analysis['pred_long'] = risk_analysis(report_long_short_df['long'])
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# analysis['pred_short'] = risk_analysis(report_long_short_df['short'])
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# analysis['pred_long_short'] = risk_analysis(report_long_short_df['long_short'])
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analysis['sub_bench'] = risk_analysis(report_normal_df['return'] - report_normal_df['bench'])
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analysis['sub_cost'] = risk_analysis(report_normal_df['return'] - report_normal_df['bench'] - report_normal_df['cost'])
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analysis['excess_return_without_cost'] = risk_analysis(report_normal_df['return'] - report_normal_df['bench'])
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analysis['excess_return_with_cost'] = risk_analysis(report_normal_df['return'] - report_normal_df['bench'] - report_normal_df['cost'])
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analysis_df = pd.concat(analysis)
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analysis_position.risk_analysis_graph(analysis_df, report_normal_df)
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@@ -213,17 +213,17 @@ def risk_analysis_graph(
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.. code-block:: python
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risk
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sub_bench mean 0.000662
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std 0.004487
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annual 0.166720
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sharpe 2.340526
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mdd -0.080516
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sub_cost mean 0.000577
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std 0.004482
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annual 0.145392
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sharpe 2.043494
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mdd -0.083584
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risk
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excess_return_without_cost mean 0.000692
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std 0.005374
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annualized_return 0.174495
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information_ratio 2.045576
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max_drawdown -0.079103
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excess_return_with_cost mean 0.000499
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std 0.005372
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annualized_return 0.125625
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information_ratio 1.473152
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max_drawdown -0.088263
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:param report_normal_df: **df.index.name** must be **date**, df.columns must contain **return**, **turnover**, **cost**, **bench**
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