| .. _report: |
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| ======================================= |
| Analysis: Evaluation & Results Analysis |
| ======================================= |
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| Introduction |
| ============ |
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| ``Analysis`` is designed to show the graphical reports of ``Intraday Trading`` , which helps users to evaluate and analyse investment portfolios visually. The following are some graphics to view: |
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| - analysis_position |
| - report_graph |
| - score_ic_graph |
| - cumulative_return_graph |
| - risk_analysis_graph |
| - rank_label_graph |
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| - analysis_model |
| - model_performance_graph |
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| All of the accumulated profit metrics(e.g. return, max drawdown) in Qlib are calculated by summation. |
| This avoids the metrics or the plots being skewed exponentially over time. |
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| Graphical Reports |
| ================= |
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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 |
| >> print(qcr.GRAPH_NAME_LIST) |
| ['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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| Usage of `analysis_position.report` |
| ----------------------------------- |
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| API |
| ~~~ |
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| .. automodule:: qlib.contrib.report.analysis_position.report |
| :members: |
| :noindex: |
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| Graphical Result |
| ~~~~~~~~~~~~~~~~ |
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| .. note:: |
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| - Axis X: Trading day |
| - Axis Y: |
| - `cum bench` |
| Cumulative returns series of benchmark |
| - `cum return wo cost` |
| Cumulative returns series of portfolio without cost |
| - `cum return w cost` |
| Cumulative returns series of portfolio with cost |
| - `return wo mdd` |
| Maximum drawdown series of cumulative return without cost |
| - `return w cost mdd`: |
| Maximum drawdown series of cumulative return with cost |
| - `cum ex return wo cost` |
| The `CAR` (cumulative abnormal return) series of the portfolio compared to the benchmark without cost. |
| - `cum ex return w cost` |
| The `CAR` (cumulative abnormal return) series of the portfolio compared to the benchmark with cost. |
| - `turnover` |
| Turnover rate series |
| - `cum ex return wo cost mdd` |
| Drawdown series of `CAR` (cumulative abnormal return) without cost |
| - `cum ex return w cost mdd` |
| Drawdown series of `CAR` (cumulative abnormal return) with cost |
| - The shaded part above: Maximum drawdown corresponding to `cum return wo cost` |
| - 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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| API |
| ~~~ |
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| .. automodule:: qlib.contrib.report.analysis_position.score_ic |
| :members: |
| :noindex: |
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| Graphical Result |
| ~~~~~~~~~~~~~~~~ |
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| .. note:: |
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| - Axis X: Trading day |
| - Axis Y: |
| - `ic` |
| The `Pearson correlation coefficient` series between `label` and `prediction score`. |
| In the above example, the `label` is formulated as `Ref($close, -2)/Ref($close, -1)-1`. Please refer to `Data Feature <data.html#feature>`_ for more details. |
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| - `rank_ic` |
| The `Spearman's rank correlation coefficient` series between `label` and `prediction score`. |
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| .. image:: ../_static/img/analysis/score_ic.png |
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| .. Usage of `analysis_position.cumulative_return` |
| .. ---------------------------------------------- |
| .. |
| .. API |
| .. ~~~~~~~~~~~~~~~~ |
| .. |
| .. .. automodule:: qlib.contrib.report.analysis_position.cumulative_return |
| .. :members: |
| .. |
| .. Graphical Result |
| .. ~~~~~~~~~~~~~~~~~ |
| .. |
| .. .. note:: |
| .. |
| .. - Axis X: Trading day |
| .. - Axis Y: |
| .. - Above axis Y: `(((Ref($close, -1)/$close - 1) * weight).sum() / weight.sum()).cumsum()` |
| .. - Below axis Y: Daily weight sum |
| .. - In the **sell** graph, `y < 0` stands for profit; in other cases, `y > 0` stands for profit. |
| .. - In the **buy_minus_sell** graph, the **y** value of the **weight** graph at the bottom is `buy_weight + sell_weight`. |
| .. - In each graph, the **red line** in the histogram on the right represents the average. |
| .. |
| .. .. image:: ../_static/img/analysis/cumulative_return_buy.png |
| .. |
| .. .. image:: ../_static/img/analysis/cumulative_return_sell.png |
| .. |
| .. .. image:: ../_static/img/analysis/cumulative_return_buy_minus_sell.png |
| .. |
| .. .. image:: ../_static/img/analysis/cumulative_return_hold.png |
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| Usage of `analysis_position.risk_analysis` |
| ------------------------------------------ |
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| API |
| ~~~ |
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| .. automodule:: qlib.contrib.report.analysis_position.risk_analysis |
| :members: |
| :noindex: |
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| Graphical Result |
| ~~~~~~~~~~~~~~~~ |
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| .. note:: |
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| - general graphics |
| - `std` |
| - `excess_return_without_cost` |
| The `Standard Deviation` of `CAR` (cumulative abnormal return) without cost. |
| - `excess_return_with_cost` |
| The `Standard Deviation` of `CAR` (cumulative abnormal return) with cost. |
| - `annualized_return` |
| - `excess_return_without_cost` |
| The `Annualized Rate` of `CAR` (cumulative abnormal return) without cost. |
| - `excess_return_with_cost` |
| The `Annualized Rate` of `CAR` (cumulative abnormal return) with cost. |
| - `information_ratio` |
| - `excess_return_without_cost` |
| The `Information Ratio` without cost. |
| - `excess_return_with_cost` |
| The `Information Ratio` with cost. |
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|
| To know more about `Information Ratio`, please refer to `Information Ratio – IR <https://www.investopedia.com/terms/i/informationratio.asp>`_. |
| - `max_drawdown` |
| - `excess_return_without_cost` |
| The `Maximum Drawdown` of `CAR` (cumulative abnormal return) without cost. |
| - `excess_return_with_cost` |
| The `Maximum Drawdown` of `CAR` (cumulative abnormal return) with cost. |
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| .. image:: ../_static/img/analysis/risk_analysis_bar.png |
| :align: center |
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| .. note:: |
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| - annualized_return/max_drawdown/information_ratio/std graphics |
| - Axis X: Trading days grouped by month |
| - Axis Y: |
| - annualized_return graphics |
| - `excess_return_without_cost_annualized_return` |
| The `Annualized Rate` series of monthly `CAR` (cumulative abnormal return) without cost. |
| - `excess_return_with_cost_annualized_return` |
| The `Annualized Rate` series of monthly `CAR` (cumulative abnormal return) with cost. |
| - max_drawdown graphics |
| - `excess_return_without_cost_max_drawdown` |
| The `Maximum Drawdown` series of monthly `CAR` (cumulative abnormal return) without cost. |
| - `excess_return_with_cost_max_drawdown` |
| The `Maximum Drawdown` series of monthly `CAR` (cumulative abnormal return) with cost. |
| - information_ratio graphics |
| - `excess_return_without_cost_information_ratio` |
| The `Information Ratio` series of monthly `CAR` (cumulative abnormal return) without cost. |
| - `excess_return_with_cost_information_ratio` |
| The `Information Ratio` series of monthly `CAR` (cumulative abnormal return) with cost. |
| - std graphics |
| - `excess_return_without_cost_max_drawdown` |
| The `Standard Deviation` series of monthly `CAR` (cumulative abnormal return) without cost. |
| - `excess_return_with_cost_max_drawdown` |
| The `Standard Deviation` series of monthly `CAR` (cumulative abnormal return) with cost. |
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| .. image:: ../_static/img/analysis/risk_analysis_annualized_return.png |
| :align: center |
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| .. image:: ../_static/img/analysis/risk_analysis_max_drawdown.png |
| :align: center |
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| .. image:: ../_static/img/analysis/risk_analysis_information_ratio.png |
| :align: center |
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| .. image:: ../_static/img/analysis/risk_analysis_std.png |
| :align: center |
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| .. |
| .. Usage of `analysis_position.rank_label` |
| .. --------------------------------------- |
| .. |
| .. API |
| .. ~~~ |
| .. |
| .. .. automodule:: qlib.contrib.report.analysis_position.rank_label |
| .. :members: |
| .. |
| .. |
| .. Graphical Result |
| .. ~~~~~~~~~~~~~~~~ |
| .. |
| .. .. note:: |
| .. |
| .. - hold/sell/buy graphics: |
| .. - Axis X: Trading day |
| .. - Axis Y: |
| .. Average `ranking ratio`of `label` for stocks that is held/sold/bought on the trading day. |
| .. |
| .. In the above example, the `label` is formulated as `Ref($close, -1)/$close - 1`. The `ranking ratio` can be formulated as follows. |
| .. .. math:: |
| .. |
| .. ranking\ ratio = \frac{Ascending\ Ranking\ of\ label}{Number\ of\ Stocks\ in\ the\ Portfolio} |
| .. |
| .. .. image:: ../_static/img/analysis/rank_label_hold.png |
| .. :align: center |
| .. |
| .. .. image:: ../_static/img/analysis/rank_label_buy.png |
| .. :align: center |
| .. |
| .. .. image:: ../_static/img/analysis/rank_label_sell.png |
| .. :align: center |
| .. |
| .. |
| |
| Usage of `analysis_model.analysis_model_performance` |
| ---------------------------------------------------- |
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| API |
| ~~~ |
|
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| .. automodule:: qlib.contrib.report.analysis_model.analysis_model_performance |
| :members: |
| :noindex: |
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| Graphical Results |
| ~~~~~~~~~~~~~~~~~ |
|
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| .. note:: |
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| - cumulative return graphics |
| - `Group1`: |
| The `Cumulative Return` series of stocks group with (`ranking ratio` of label <= 20%) |
| - `Group2`: |
| The `Cumulative Return` series of stocks group with (20% < `ranking ratio` of label <= 40%) |
| - `Group3`: |
| The `Cumulative Return` series of stocks group with (40% < `ranking ratio` of label <= 60%) |
| - `Group4`: |
| The `Cumulative Return` series of stocks group with (60% < `ranking ratio` of label <= 80%) |
| - `Group5`: |
| The `Cumulative Return` series of stocks group with (80% < `ranking ratio` of label) |
| - `long-short`: |
| The Difference series between `Cumulative Return` of `Group1` and of `Group5` |
| - `long-average` |
| The Difference series between `Cumulative Return` of `Group1` and average `Cumulative Return` for all stocks. |
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| The `ranking ratio` can be formulated as follows. |
| .. math:: |
| |
| ranking\ ratio = \frac{Ascending\ Ranking\ of\ label}{Number\ of\ Stocks\ in\ the\ Portfolio} |
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| .. image:: ../_static/img/analysis/analysis_model_cumulative_return.png |
| :align: center |
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| .. note:: |
| - long-short/long-average |
| The distribution of long-short/long-average returns on each trading day |
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| .. image:: ../_static/img/analysis/analysis_model_long_short.png |
| :align: center |
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| .. TODO: ask xiao yang for detial |
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| .. note:: |
| - Information Coefficient |
| - The `Pearson correlation coefficient` series between `labels` and `prediction scores` of stocks in portfolio. |
| - The graphics reports can be used to evaluate the `prediction scores`. |
|
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| .. image:: ../_static/img/analysis/analysis_model_IC.png |
| :align: center |
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| .. note:: |
| - Monthly IC |
| Monthly average of the `Information Coefficient` |
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| .. image:: ../_static/img/analysis/analysis_model_monthly_IC.png |
| :align: center |
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| .. note:: |
| - IC |
| The distribution of the `Information Coefficient` on each trading day. |
| - IC Normal Dist. Q-Q |
| The `Quantile-Quantile Plot` is used for the normal distribution of `Information Coefficient` on each trading day. |
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| .. image:: ../_static/img/analysis/analysis_model_NDQ.png |
| :align: center |
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| .. note:: |
| - Auto Correlation |
| - The `Pearson correlation coefficient` series between the latest `prediction scores` and the `prediction scores` `lag` days ago of stocks in portfolio on each trading day. |
| - The graphics reports can be used to estimate the turnover rate. |
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| .. image:: ../_static/img/analysis/analysis_model_auto_correlation.png |
| :align: center |
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