"""Plotly figures for the Lab. Colour system (dark surface, validated for CVD separation): * **blue** is always *your strategy's honest result* — the realised equity curve, the out-of-sample fold, the observed Sharpe. * **orange** is always *the thing it is measured against* — buy & hold, the in-sample fold, the null distribution. Holding that mapping across every figure means a reader learns it once. """ from __future__ import annotations from typing import Dict, Optional import numpy as np import pandas as pd import plotly.graph_objects as go SURFACE = "#1a1a19" PAGE = "#0d0d0d" INK = "#ffffff" INK_SECONDARY = "#c3c2b7" INK_MUTED = "#898781" GRID = "#2c2c2a" AXIS = "#383835" SUBJECT = "#3987e5" # categorical slot 1 REFERENCE = "#d95926" # categorical slot 2 NEGATIVE = "#e66767" # negative arm of the diverging pair (drawdowns) FONT = 'system-ui, -apple-system, "Segoe UI", sans-serif' _EMPTY_NOTE = "Run an analysis to populate this chart." def _base_layout(title: str, height: int = 340, **kwargs) -> dict: return dict( title=dict(text=title, font=dict(size=15, color=INK), x=0, xanchor="left", pad=dict(b=8)), paper_bgcolor=PAGE, plot_bgcolor=SURFACE, font=dict(family=FONT, size=12, color=INK_SECONDARY), height=height, margin=dict(l=56, r=24, t=48, b=40), hovermode="x unified", hoverlabel=dict(bgcolor=SURFACE, bordercolor=AXIS, font=dict(color=INK, family=FONT)), xaxis=dict(gridcolor=GRID, linecolor=AXIS, zeroline=False, tickfont=dict(color=INK_MUTED)), yaxis=dict(gridcolor=GRID, linecolor=AXIS, zeroline=False, tickfont=dict(color=INK_MUTED)), legend=dict( orientation="h", yanchor="bottom", y=1.02, xanchor="left", x=0, font=dict(color=INK_SECONDARY, size=11), bgcolor="rgba(0,0,0,0)", ), **kwargs, ) def empty_figure(message: str = _EMPTY_NOTE, height: int = 340) -> go.Figure: fig = go.Figure() fig.update_layout(**_base_layout("", height=height)) fig.update_xaxes(visible=False) fig.update_yaxes(visible=False) fig.add_annotation( text=message, showarrow=False, xref="paper", yref="paper", x=0.5, y=0.5, font=dict(color=INK_MUTED, size=13), ) return fig def equity_chart(report, benchmark_label: str = "Buy & hold") -> go.Figure: """Strategy equity against its benchmark, both indexed to the same start.""" bt = report.backtest strat = bt.equity / bt.equity.iloc[0] * 100.0 bench = bt.benchmark_equity / bt.benchmark_equity.iloc[0] * 100.0 fig = go.Figure() fig.add_trace( go.Scatter( x=bench.index, y=bench.to_numpy(), name=benchmark_label, mode="lines", line=dict(color=REFERENCE, width=2, dash="dash"), hovertemplate=benchmark_label + " %{y:.1f}", ) ) fig.add_trace( go.Scatter( x=strat.index, y=strat.to_numpy(), name=report.strategy.name, mode="lines", line=dict(color=SUBJECT, width=2), hovertemplate=report.strategy.name + " %{y:.1f}", ) ) # Direct-label the two endpoints; the axis and tooltip carry everything else. for series, color, label in ((strat, SUBJECT, report.strategy.name), (bench, REFERENCE, benchmark_label)): fig.add_annotation( x=series.index[-1], y=float(series.iloc[-1]), text=f" {label}: {series.iloc[-1]:.0f}", showarrow=False, xanchor="left", font=dict(color=color, size=11), ) fig.update_layout(**_base_layout("Growth of 100 (net of costs)", height=360)) fig.update_layout(margin=dict(l=56, r=140, t=48, b=40)) return fig def drawdown_chart(report) -> go.Figure: """Underwater plot — how deep, and for how long.""" from .metrics import drawdown_series dd = drawdown_series(report.backtest.equity) * 100.0 fig = go.Figure( go.Scatter( x=dd.index, y=dd.to_numpy(), mode="lines", name="Drawdown", line=dict(color=NEGATIVE, width=2), fill="tozeroy", fillcolor="rgba(230,103,103,0.18)", hovertemplate="Drawdown %{y:.1f}%", ) ) trough = float(dd.min()) fig.add_annotation( x=dd.idxmin(), y=trough, text=f"worst {trough:.1f}%", showarrow=True, arrowhead=0, arrowcolor=AXIS, ay=24, font=dict(color=INK_SECONDARY, size=11), ) fig.update_layout(**_base_layout("Drawdown", height=240, showlegend=False)) fig.update_yaxes(ticksuffix="%") return fig def permutation_chart(report) -> go.Figure: """The headline chart: your Sharpe against Sharpes from shuffled markets.""" perm = report.permutation if perm is None or perm.null.size == 0: return empty_figure("Permutation test was skipped.", height=320) null = perm.null fig = go.Figure() fig.add_trace( go.Histogram( x=null, name="Shuffled markets (no real edge)", nbinsx=44, marker=dict(color="rgba(217,89,38,0.55)", line=dict(color=REFERENCE, width=1)), hovertemplate="Sharpe %{x:.2f}
%{y} shuffles", ) ) top = np.histogram(null, bins=44)[0].max() if null.size else 1 fig.add_trace( go.Scatter( x=[perm.observed, perm.observed], y=[0, top * 1.08], mode="lines", name="Your strategy", line=dict(color=SUBJECT, width=2), hovertemplate="Your Sharpe %{x:.2f}", ) ) fig.add_annotation( x=perm.observed, y=top * 1.08, text=f" your Sharpe {perm.observed:.2f}", showarrow=False, xanchor="left", font=dict(color=SUBJECT, size=11), ) beats = (null >= perm.observed).mean() * 100.0 fig.update_layout( **_base_layout( f"Permutation test — {beats:.0f}% of structure-free markets did this well or better " f"(p = {perm.p_value:.3f})", height=320, ) ) fig.update_layout(hovermode="closest", bargap=0.02) fig.update_xaxes(title=dict(text="Annualised Sharpe ratio", font=dict(color=INK_MUTED, size=11))) # Headroom so the "your Sharpe" label never collides with the plot edge. fig.update_yaxes( title=dict(text="Shuffled markets", font=dict(color=INK_MUTED, size=11)), range=[0, top * 1.28], ) return fig def walkforward_chart(report) -> go.Figure: """In-sample vs out-of-sample Sharpe, fold by fold.""" folds = report.walkforward.get("folds") or [] if not folds: return empty_figure(report.walkforward.get("note") or _EMPTY_NOTE, height=300) labels = [f"Fold {f['fold']}
{f['test_start'][:7]}" for f in folds] fig = go.Figure() fig.add_trace( go.Bar( x=labels, y=[f["is_sharpe"] for f in folds], name="In-sample (tuned)", marker=dict(color=REFERENCE, line=dict(color=SURFACE, width=2)), hovertemplate="In-sample Sharpe %{y:.2f}", ) ) fig.add_trace( go.Bar( x=labels, y=[f["oos_sharpe"] for f in folds], name="Out-of-sample (blind)", marker=dict(color=SUBJECT, line=dict(color=SURFACE, width=2)), hovertemplate="Out-of-sample Sharpe %{y:.2f}", ) ) eff = report.walkforward.get("efficiency", 0.0) fig.update_layout( **_base_layout(f"Walk-forward — {eff:.0%} of the tuned Sharpe survived out of sample", height=300) ) fig.update_layout(barmode="group", bargap=0.35, bargroupgap=0.08, hovermode="x unified") fig.add_hline(y=0, line=dict(color=AXIS, width=1)) return fig def score_chart(verdict: Dict[str, object], significance_label: str = "Beats shuffled markets") -> go.Figure: """The five components behind the Reality Score.""" components = verdict.get("components") or {} if not components: return empty_figure(height=260) pretty = { "significance": significance_label, "selection": "Survives selection bias", "walk_forward": "Holds up walking forward", "overfitting": "Not overfit (PBO)", "robustness": "Survives 3x costs", } keys = list(pretty) values = [float(components.get(k, 0.0)) for k in keys] fig = go.Figure( go.Bar( x=values, y=[pretty[k] for k in keys], orientation="h", marker=dict(color=SUBJECT, line=dict(color=SURFACE, width=2)), text=[f"{v:.0f}" for v in values], textposition="outside", textfont=dict(color=INK_SECONDARY, size=11), hovertemplate="%{y}: %{x:.0f}/100", ) ) fig.update_layout(**_base_layout("Where the score comes from", height=260, showlegend=False)) fig.update_layout(margin=dict(l=190, r=48, t=48, b=32), hovermode="closest") fig.update_xaxes(range=[0, 108], tickvals=[0, 25, 50, 75, 100]) fig.update_yaxes(autorange="reversed") return fig def arena_chart(table: pd.DataFrame) -> go.Figure: """Leaderboard bars. One measure, one colour — the table carries the rest.""" if table is None or table.empty: return empty_figure(height=380) ordered = table.iloc[::-1] fig = go.Figure( go.Bar( x=ordered["Sharpe"].to_numpy(), y=ordered["Strategy"].tolist(), orientation="h", marker=dict(color=SUBJECT, line=dict(color=SURFACE, width=2)), customdata=np.column_stack([ordered["p-value"].to_numpy(), ordered["DSR"].to_numpy()]), hovertemplate="%{y}
Sharpe %{x:.2f}
p = %{customdata[0]:.3f}" "
Deflated Sharpe %{customdata[1]:.2f}", ) ) # Direct-label only what matters: the ones that actually cleared significance. for _, row in ordered.iterrows(): if np.isfinite(row["p-value"]) and row["p-value"] < 0.05: fig.add_annotation( x=row["Sharpe"], y=row["Strategy"], text=" p < 0.05", showarrow=False, xanchor="left" if row["Sharpe"] >= 0 else "right", font=dict(color=INK_SECONDARY, size=10), ) fig.update_layout( **_base_layout( "Strategy arena — Sharpe ratio, ordered by strength of evidence", height=max(300, 42 * len(table)), showlegend=False, ) ) fig.update_layout(margin=dict(l=180, r=96, t=48, b=32), hovermode="closest") fig.add_vline(x=0, line=dict(color=AXIS, width=1)) return fig def cross_permutation_chart(report) -> go.Figure: """Sharpe against books of identical shape holding randomly chosen names.""" perm = report.permutation if perm is None or perm.null.size == 0: return empty_figure("Name-shuffle test was skipped.", height=320) fig = go.Figure() fig.add_trace( go.Histogram( x=perm.null, name="Same book, random names", nbinsx=40, marker=dict(color="rgba(217,89,38,0.55)", line=dict(color=REFERENCE, width=1)), hovertemplate="Sharpe %{x:.2f}
%{y} shuffles", ) ) top = np.histogram(perm.null, bins=40)[0].max() if perm.null.size else 1 fig.add_trace( go.Scatter( x=[perm.observed, perm.observed], y=[0, top * 1.08], mode="lines", name="Your book", line=dict(color=SUBJECT, width=2), hovertemplate="Your Sharpe %{x:.2f}", ) ) fig.add_annotation( x=perm.observed, y=top * 1.08, text=f" your Sharpe {perm.observed:.2f}", showarrow=False, xanchor="left", font=dict(color=SUBJECT, size=11), ) beats = (perm.null >= perm.observed).mean() * 100.0 fig.update_layout( **_base_layout( f"Name-shuffle test — {beats:.0f}% of books with the same shape but random names " f"did this well or better (p = {perm.p_value:.3f})", height=320, ) ) fig.update_layout(hovermode="closest", bargap=0.02) fig.update_xaxes(title=dict(text="Annualised Sharpe ratio", font=dict(color=INK_MUTED, size=11))) fig.update_yaxes( title=dict(text="Shuffled books", font=dict(color=INK_MUTED, size=11)), range=[0, top * 1.28], ) return fig def attribution_chart(attribution: Dict[str, object]) -> go.Figure: """Factor betas. One measure across categories, so one colour.""" if not attribution or not attribution.get("available"): return empty_figure((attribution or {}).get("note", _EMPTY_NOTE), height=280) betas = attribution.get("betas") or {} if not betas: return empty_figure("No factor exposures to show.", height=280) names = list(betas) values = [betas[n] for n in names] fig = go.Figure( go.Bar( x=values, y=[n.replace("_", " ") for n in names], orientation="h", marker=dict(color=SUBJECT, line=dict(color=SURFACE, width=2)), text=[f"{v:+.2f}" for v in values], textposition="outside", textfont=dict(color=INK_SECONDARY, size=11), hovertemplate="%{y} beta %{x:.2f}", ) ) alpha = attribution.get("alpha_annual", 0.0) t_stat = attribution.get("alpha_t_stat", 0.0) fig.update_layout( **_base_layout( f"Style exposure — alpha {alpha:+.1%}/yr (t = {t_stat:.1f}), " f"R² {attribution.get('r_squared', 0):.0%}", height=280, showlegend=False, ) ) fig.update_layout(margin=dict(l=120, r=88, t=48, b=32), hovermode="closest") # Outside labels need room or the widest beta reads as "+0". span = max(abs(min(values)), abs(max(values)), 0.1) fig.update_xaxes(range=[min(0, min(values)) - 0.25 * span, max(0, max(values)) + 0.35 * span]) fig.add_vline(x=0, line=dict(color=AXIS, width=1)) return fig def weights_chart(report) -> go.Figure: """Gross and net exposure over time — is the book actually neutral?""" held = report.backtest.held gross = held.abs().sum(axis=1) net = held.sum(axis=1) fig = go.Figure() fig.add_trace( go.Scatter( x=gross.index, y=gross.to_numpy(), name="Gross", mode="lines", line=dict(color=REFERENCE, width=2, dash="dash"), hovertemplate="Gross %{y:.2f}x", ) ) fig.add_trace( go.Scatter( x=net.index, y=net.to_numpy(), name="Net", mode="lines", line=dict(color=SUBJECT, width=2), hovertemplate="Net %{y:.2f}x", ) ) fig.update_layout(**_base_layout("Book exposure", height=240)) fig.add_hline(y=0, line=dict(color=AXIS, width=1)) return fig def exposure_chart(report) -> go.Figure: """What the strategy was actually holding, over time.""" pos = report.backtest.position fig = go.Figure( go.Scatter( x=pos.index, y=pos.to_numpy(), mode="lines", name="Exposure", line=dict(color=SUBJECT, width=2, shape="hv"), fill="tozeroy", fillcolor="rgba(57,135,229,0.16)", hovertemplate="Exposure %{y:.2f}x", ) ) fig.update_layout(**_base_layout("Position held", height=200, showlegend=False)) fig.add_hline(y=0, line=dict(color=AXIS, width=1)) return fig