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:
- analysis_position
- report_graph
- score_ic_graph
- cumulative_return_graph
- risk_analysis_graph
- rank_label_graph
- analysis_model
- model_performance_graph
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.
Users can run the following code to get all supported reports.
>> 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']
Note
For more details, please refer to the function document: similar to help(qcr.analysis_position.report_graph)
.. automodule:: qlib.contrib.report.analysis_position.report :members:
Note
- 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
.. automodule:: qlib.contrib.report.analysis_position.score_ic :members:
Note
- 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 for more details.
- rank_ic
- The Spearman's rank correlation coefficient series between label and prediction score.
.. automodule:: qlib.contrib.report.analysis_position.risk_analysis :members:
Note
- 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.
To know more about Information Ratio, please refer to Information Ratio – IR.
- 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.
Note
- 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.
.. automodule:: qlib.contrib.report.analysis_model.analysis_model_performance :members:
Note
- 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.
- The ranking ratio can be formulated as follows.
ranking\ ratio = \frac{Ascending\ Ranking\ of\ label}{Number\ of\ Stocks\ in\ the\ Portfolio}
Note
- long-short/long-average
- The distribution of long-short/long-average returns on each trading day
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.
Note
- Monthly IC
- Monthly average of the Information Coefficient
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.
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.