chore: import upstream snapshot with attribution
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wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using System.IO;
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using System.Linq;
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using Deedle;
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using Newtonsoft.Json;
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using QuantConnect.Configuration;
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using QuantConnect.Logging;
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using QuantConnect.Packets;
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using QuantConnect.Report.ReportElements;
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using QuantConnect.Orders;
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using System.Text.RegularExpressions;
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namespace QuantConnect.Report
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{
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/// <summary>
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/// Report class
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/// </summary>
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public class Report
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{
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private string _template;
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private readonly List<IReportElement> _elements;
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/// <summary>
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/// File name for statistics
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/// </summary>
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public const string StatisticsFileName = "report-statistics.json";
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/// <summary>
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/// Create beautiful HTML and PDF Reports based on backtest and live data.
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/// </summary>
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/// <param name="name">Name of the strategy</param>
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/// <param name="description">Description of the strategy</param>
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/// <param name="version">Version number of the strategy</param>
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/// <param name="backtest">Backtest result object</param>
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/// <param name="live">Live result object</param>
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/// <param name="pointInTimePortfolioDestination">Point in time portfolio json output base filename</param>
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/// <param name="cssOverride">CSS file that overrides some of the default rules defined in report.css</param>
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/// <param name="htmlCustom">Custom HTML file to replace the default template</param>
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public Report(string name, string description, string version, BacktestResult backtest, LiveResult live, string pointInTimePortfolioDestination = null, string cssOverride = null, string htmlCustom = null)
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{
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_template = htmlCustom ?? File.ReadAllText("template.html");
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var crisisHtmlContent = GetRegexInInput(@"<!--crisis(\r|\n)*((\r|\n|.)*?)crisis-->", _template);
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var parametersHtmlContent = GetRegexInInput(@"<!--parameters(\r|\n)*((\r|\n|.)*?)parameters-->", _template);
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var backtestCurve = new Series<DateTime, double>(ResultsUtil.EquityPoints(backtest));
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var liveCurve = new Series<DateTime, double>(ResultsUtil.EquityPoints(live));
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var backtestOrders = backtest?.Orders?.Values.ToList() ?? new List<Order>();
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var liveOrders = live?.Orders?.Values.ToList() ?? new List<Order>();
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var backtestConfiguration = backtest?.AlgorithmConfiguration;
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var liveConfiguration = live?.AlgorithmConfiguration;
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// Earlier we use constant's value tradingDaysPerYear = 252
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// backtestConfiguration?.TradingDaysPerYear equal liveConfiguration?.TradingDaysPerYear
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var tradingDayPerYear = backtestConfiguration?.TradingDaysPerYear ?? 252;
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Log.Trace($"QuantConnect.Report.Report(): Processing backtesting orders");
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var backtestPortfolioInTime = PortfolioLooper.FromOrders(backtestCurve, backtestOrders, backtestConfiguration).ToList();
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Log.Trace($"QuantConnect.Report.Report(): Processing live orders");
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var livePortfolioInTime = PortfolioLooper.FromOrders(liveCurve, liveOrders, liveConfiguration, liveSeries: true).ToList();
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var destination = pointInTimePortfolioDestination ?? Config.Get("report-destination");
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if (!string.IsNullOrWhiteSpace(destination))
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{
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if (backtestPortfolioInTime.Count != 0)
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{
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var dailyBacktestPortfolioInTime = backtestPortfolioInTime
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.Select(x => new PointInTimePortfolio(x, x.Time.Date).NoEmptyHoldings())
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.GroupBy(x => x.Time.Date)
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.Select(kvp => kvp.Last())
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.OrderBy(x => x.Time)
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.ToList();
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var outputFile = destination.Replace(".html", string.Empty) + "-backtesting-portfolio.json";
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Log.Trace($"Report.Report(): Writing backtest point-in-time portfolios to JSON file: {outputFile}");
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var backtestPortfolioOutput = JsonConvert.SerializeObject(dailyBacktestPortfolioInTime);
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File.WriteAllText(outputFile, backtestPortfolioOutput);
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}
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if (livePortfolioInTime.Count != 0)
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{
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var dailyLivePortfolioInTime = livePortfolioInTime
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.Select(x => new PointInTimePortfolio(x, x.Time.Date).NoEmptyHoldings())
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.GroupBy(x => x.Time.Date)
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.Select(kvp => kvp.Last())
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.OrderBy(x => x.Time)
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.ToList();
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var outputFile = destination.Replace(".html", string.Empty) + "-live-portfolio.json";
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Log.Trace($"Report.Report(): Writing live point-in-time portfolios to JSON file: {outputFile}");
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var livePortfolioOutput = JsonConvert.SerializeObject(dailyLivePortfolioInTime);
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File.WriteAllText(outputFile, livePortfolioOutput);
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}
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}
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_elements = new List<IReportElement>
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{
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//Basics
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new TextReportElement("strategy name", ReportKey.StrategyName, name),
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new TextReportElement("description", ReportKey.StrategyDescription, description),
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new TextReportElement("version", ReportKey.StrategyVersion, version),
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new TextReportElement("stylesheet", ReportKey.Stylesheet, File.ReadAllText("css/report.css") + (cssOverride)),
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new TextReportElement("live marker key", ReportKey.LiveMarker, live == null ? string.Empty : "Live "),
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//KPI's Backtest:
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new RuntimeDaysReportElement("runtime days kpi", ReportKey.BacktestDays, backtest, live),
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new CAGRReportElement("cagr kpi", ReportKey.CAGR, backtest, live),
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new TurnoverReportElement("turnover kpi", ReportKey.Turnover, backtest, live),
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new MaxDrawdownReportElement("max drawdown kpi", ReportKey.MaxDrawdown, backtest, live),
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new MaxDrawdownRecoveryReportElement("max drawdown recovery kpi", ReportKey.MaxDrawdownRecovery, backtest, live),
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new SharpeRatioReportElement("sharpe kpi", ReportKey.SharpeRatio, backtest, live, tradingDayPerYear),
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new SortinoRatioReportElement("sortino kpi", ReportKey.SortinoRatio, backtest, live, tradingDayPerYear),
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new PSRReportElement("psr kpi", ReportKey.PSR, backtest, live, tradingDayPerYear),
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new InformationRatioReportElement("ir kpi", ReportKey.InformationRatio, backtest, live),
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new MarketsReportElement("markets kpi", ReportKey.Markets, backtest, live),
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new TradesPerDayReportElement("trades per day kpi", ReportKey.TradesPerDay, backtest, live),
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new EstimatedCapacityReportElement("estimated algorithm capacity", ReportKey.StrategyCapacity, backtest, live),
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// Generate and insert plots MonthlyReturnsReportElement
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new MonthlyReturnsReportElement("monthly return plot", ReportKey.MonthlyReturns, backtest, live),
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new CumulativeReturnsReportElement("cumulative returns", ReportKey.CumulativeReturns, backtest, live),
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new AnnualReturnsReportElement("annual returns", ReportKey.AnnualReturns, backtest, live),
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new ReturnsPerTradeReportElement("returns per trade", ReportKey.ReturnsPerTrade, backtest, live),
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new AssetAllocationReportElement("asset allocation over time pie chart", ReportKey.AssetAllocation, backtest, live, backtestPortfolioInTime, livePortfolioInTime),
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new DrawdownReportElement("drawdown plot", ReportKey.Drawdown, backtest, live),
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new DailyReturnsReportElement("daily returns plot", ReportKey.DailyReturns, backtest, live),
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new RollingPortfolioBetaReportElement("rolling beta to equities plot", ReportKey.RollingBeta, backtest, live, tradingDayPerYear),
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new RollingSharpeReportElement("rolling sharpe ratio plot", ReportKey.RollingSharpe, backtest, live, tradingDayPerYear),
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new LeverageUtilizationReportElement("leverage plot", ReportKey.LeverageUtilization, backtest, live, backtestPortfolioInTime, livePortfolioInTime),
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new ExposureReportElement("exposure plot", ReportKey.Exposure, backtest, live, backtestPortfolioInTime, livePortfolioInTime)
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};
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// Include Algorithm Parameters
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if (parametersHtmlContent != null)
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{
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_elements.Add(new ParametersReportElement("parameters page", ReportKey.ParametersPageStyle, backtestConfiguration, liveConfiguration, parametersHtmlContent));
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_elements.Add(new ParametersReportElement("parameters", ReportKey.Parameters, backtestConfiguration, liveConfiguration, parametersHtmlContent));
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}
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// Array of Crisis Plots:
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if (crisisHtmlContent != null)
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{
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_elements.Add(new CrisisReportElement("crisis page", ReportKey.CrisisPageStyle, backtest, live, crisisHtmlContent));
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_elements.Add(new CrisisReportElement("crisis plots", ReportKey.CrisisPlots, backtest, live, crisisHtmlContent));
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}
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}
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/// <summary>
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/// Compile the backtest data into a report
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/// </summary>
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/// <returns></returns>
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public void Compile(out string html, out string reportStatistics)
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{
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html = _template;
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var statistics = new Dictionary<string, object>();
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// Render the output and replace the report section
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foreach (var element in _elements)
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{
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Log.Trace($"QuantConnect.Report.Compile(): Rendering {element.Name}...");
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html = html.Replace(element.Key, element.Render());
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if (element is TextReportElement || element is CrisisReportElement || element is ParametersReportElement || (element as ReportElement) == null)
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{
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continue;
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}
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var reportElement = element as ReportElement;
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statistics[reportElement.JsonKey] = reportElement.Result;
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}
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reportStatistics = JsonConvert.SerializeObject(statistics, Formatting.None);
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}
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/// <summary>
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/// Gets the regex pattern in the given input string
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/// </summary>
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/// <param name="pattern">Regex pattern to be find the input string</param>
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/// <param name="input">Input string that may contain the regex pattern</param>
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/// <returns>The regex pattern in the input string if found. Otherwise, null</returns>
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public static string GetRegexInInput(string pattern, string input)
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{
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var regex = new Regex(pattern);
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var match = regex.Match(input);
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var regexWithinInput = match.Success ? match.Groups[2].Value : null;
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return regexWithinInput;
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}
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}
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}
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