/// <summary>
/// Create beautiful HTML and PDF Reports based on backtest and live data.
/// </summary>
/// <param name="name">Name of the strategy</param>
/// <param name="description">Description of the strategy</param>
/// <param name="version">Version number of the strategy</param>
/// <param name="backtest">Backtest result object</param>
/// <param name="live">Live result object</param>
public Report(string name, string description, string version, BacktestResult backtest, LiveResult live)
{
var backtestCurve = new Series <DateTime, double>(ResultsUtil.EquityPoints(backtest));
var liveCurve = new Series <DateTime, double>(ResultsUtil.EquityPoints(live));
var backtestOrders = backtest?.Orders?.Values.ToList() ?? new List <Order>();
var liveOrders = live?.Orders?.Values.ToList() ?? new List <Order>();
Log.Trace($"QuantConnect.Report.Report(): Processing backtesting orders");
var backtestPortfolioInTime = PortfolioLooper.FromOrders(backtestCurve, backtestOrders).ToList();
Log.Trace($"QuantConnect.Report.Report(): Processing live orders");
var livePortfolioInTime = PortfolioLooper.FromOrders(liveCurve, liveOrders, liveSeries: true).ToList();
_elements = new List <IReportElement>
{
//Basics
new TextReportElement("strategy name", ReportKey.StrategyName, name),
new TextReportElement("description", ReportKey.StrategyDescription, description),
new TextReportElement("version", ReportKey.StrategyVersion, version),
new TextReportElement("stylesheet", ReportKey.Stylesheet, File.ReadAllText("css/report.css")),
new TextReportElement("live marker key", ReportKey.LiveMarker, live == null ? string.Empty : "Live "),
//KPI's Backtest:
new DaysLiveReportElement("days live kpi", ReportKey.DaysLive, live),
new CAGRReportElement("cagr kpi", ReportKey.CAGR, backtest, live),
new TurnoverReportElement("turnover kpi", ReportKey.Turnover, backtest, live),
new MaxDrawdownReportElement("max drawdown kpi", ReportKey.MaxDrawdown, backtest, live),
new KellyEstimateReportElement("kelly estimate kpi", ReportKey.KellyEstimate, backtest, live),
new SharpeRatioReportElement("sharpe kpi", ReportKey.SharpeRatio, backtest, live),
new PSRReportElement("psr kpi", ReportKey.PSR, backtest, live),
new InformationRatioReportElement("ir kpi", ReportKey.InformationRatio, backtest, live),
new MarketsReportElement("markets kpi", ReportKey.Markets, backtest, live),
new TradesPerDayReportElement("trades per day kpi", ReportKey.TradesPerDay, backtest, live),
// Generate and insert plots MonthlyReturnsReportElement
new MonthlyReturnsReportElement("monthly return plot", ReportKey.MonthlyReturns, backtest, live),
new CumulativeReturnsReportElement("cumulative returns", ReportKey.CumulativeReturns, backtest, live),
new AnnualReturnsReportElement("annual returns", ReportKey.AnnualReturns, backtest, live),
new ReturnsPerTradeReportElement("returns per trade", ReportKey.ReturnsPerTrade, backtest, live),
new AssetAllocationReportElement("asset allocation over time pie chart", ReportKey.AssetAllocation, backtest, live, backtestPortfolioInTime, livePortfolioInTime),
new DrawdownReportElement("drawdown plot", ReportKey.Drawdown, backtest, live),
//new DailyReturnsReportElement("daily returns plot", ReportKey.DailyReturns, backtest, live),
//new RollingPortfolioBetaReportElement("rolling beta to equities plot", ReportKey.RollingBeta, backtest, live),
//new RollingSharpeReportElement("rolling sharpe ratio plot", ReportKey.RollingSharpe, backtest, live),
//new LeverageUtilizationReportElement("leverage plot", ReportKey.LeverageUtilization, backtest, live, backtestPortfolioInTime, livePortfolioInTime),
//new ExposureReportElement("exposure plot", ReportKey.Exposure, backtest, live, backtestPortfolioInTime, livePortfolioInTime),
// Array of Crisis Plots:
new CrisisReportElement("crisis page", ReportKey.CrisisPageStyle, backtest, live),
new CrisisReportElement("crisis plots", ReportKey.CrisisPlots, backtest, live)
};
}
/// <summary>
/// Normalizes the Series used to calculate the drawdown plots and charts
/// </summary>
/// <param name="backtestResult">Backtest result packet</param>
/// <param name="liveResult">Live result packet</param>
/// <returns></returns>
public static Series <DateTime, double> NormalizeResults(BacktestResult backtestResult, LiveResult liveResult)
{
var backtestPoints = ResultsUtil.EquityPoints(backtestResult);
var livePoints = ResultsUtil.EquityPoints(liveResult);
if (backtestPoints.Count == 0 && livePoints.Count == 0)
{
return(new Series <DateTime, double>(new DateTime[] { }, new double[] { }));
}
var startingEquity = backtestPoints.Count == 0 ? livePoints.First().Value : backtestPoints.First().Value;
var backtestSeries = new Series <DateTime, double>(backtestPoints)
.PercentChange()
.Where(kvp => kvp.Value != 0)
.CumulativeSum();
var liveSeries = new Series <DateTime, double>(livePoints)
.PercentChange()
.CumulativeSum();
// Get the last key of the backtest series if our series is empty to avoid issues with empty frames
var firstLiveKey = liveSeries.IsEmpty ? backtestSeries.LastKey().AddDays(1) : liveSeries.FirstKey();
// Add the final non-overlapping point of the backtest equity curve to the entire live series to keep continuity.
if (!backtestSeries.IsEmpty)
{
var filtered = backtestSeries.Where(kvp => kvp.Key < firstLiveKey);
liveSeries = filtered.IsEmpty ? liveSeries : liveSeries + filtered.LastValue();
}
// Prefer the live values as we don't care about backtest once we've deployed into live.
// All in all, this is a normalized equity curve, though it's been normalized
// so that there are no discontinuous jumps in equity value if we only used equity cash
// to add the last value of the backtest series to the live series.
//
// Pandas equivalent:
//
// ```
// pd.concat([backtestSeries, liveSeries], axis=1).fillna(method='ffill').dropna().diff().add(1).cumprod().mul(startingEquity)
// ```
return(backtestSeries.Merge(liveSeries, UnionBehavior.PreferRight)
.FillMissing(Direction.Forward)
.DropMissing()
.Diff(1)
.SelectValues(x => x + 1)
.CumulativeProduct()
.SelectValues(x => x * startingEquity));
}
/// <summary>
/// Create beautiful HTML and PDF Reports based on backtest and live data.
/// </summary>
/// <param name="name">Name of the strategy</param>
/// <param name="description">Description of the strategy</param>
/// <param name="version">Version number of the strategy</param>
/// <param name="backtest">Backtest result object</param>
/// <param name="live">Live result object</param>
/// <param name="pointInTimePortfolioDestination">Point in time portfolio json output base filename</param>
public Report(string name, string description, string version, BacktestResult backtest, LiveResult live, string pointInTimePortfolioDestination = null)
{
var backtestCurve = new Series <DateTime, double>(ResultsUtil.EquityPoints(backtest));
var liveCurve = new Series <DateTime, double>(ResultsUtil.EquityPoints(live));
var backtestOrders = backtest?.Orders?.Values.ToList() ?? new List <Order>();
var liveOrders = live?.Orders?.Values.ToList() ?? new List <Order>();
Log.Trace($"QuantConnect.Report.Report(): Processing backtesting orders");
var backtestPortfolioInTime = PortfolioLooper.FromOrders(backtestCurve, backtestOrders).ToList();
Log.Trace($"QuantConnect.Report.Report(): Processing live orders");
var livePortfolioInTime = PortfolioLooper.FromOrders(liveCurve, liveOrders, liveSeries: true).ToList();
var destination = pointInTimePortfolioDestination ?? Config.Get("report-destination");
if (!string.IsNullOrWhiteSpace(destination))
{
if (backtestPortfolioInTime.Count != 0)
{
var dailyBacktestPortfolioInTime = backtestPortfolioInTime
.Select(x => new PointInTimePortfolio(x, x.Time.Date).NoEmptyHoldings())
.GroupBy(x => x.Time.Date)
.Select(kvp => kvp.Last())
.OrderBy(x => x.Time)
.ToList();
var outputFile = destination.Replace(".html", string.Empty) + "-backtesting-portfolio.json";
Log.Trace($"Report.Report(): Writing backtest point-in-time portfolios to JSON file: {outputFile}");
var backtestPortfolioOutput = JsonConvert.SerializeObject(dailyBacktestPortfolioInTime);
File.WriteAllText(outputFile, backtestPortfolioOutput);
}
if (livePortfolioInTime.Count != 0)
{
var dailyLivePortfolioInTime = livePortfolioInTime
.Select(x => new PointInTimePortfolio(x, x.Time.Date).NoEmptyHoldings())
.GroupBy(x => x.Time.Date)
.Select(kvp => kvp.Last())
.OrderBy(x => x.Time)
.ToList();
var outputFile = destination.Replace(".html", string.Empty) + "-live-portfolio.json";
Log.Trace($"Report.Report(): Writing live point-in-time portfolios to JSON file: {outputFile}");
var livePortfolioOutput = JsonConvert.SerializeObject(dailyLivePortfolioInTime);
File.WriteAllText(outputFile, livePortfolioOutput);
}
}
_elements = new List <IReportElement>
{
//Basics
new TextReportElement("strategy name", ReportKey.StrategyName, name),
new TextReportElement("description", ReportKey.StrategyDescription, description),
new TextReportElement("version", ReportKey.StrategyVersion, version),
new TextReportElement("stylesheet", ReportKey.Stylesheet, File.ReadAllText("css/report.css")),
new TextReportElement("live marker key", ReportKey.LiveMarker, live == null ? string.Empty : "Live "),
//KPI's Backtest:
new DaysLiveReportElement("days live kpi", ReportKey.DaysLive, live),
new CAGRReportElement("cagr kpi", ReportKey.CAGR, backtest, live),
new TurnoverReportElement("turnover kpi", ReportKey.Turnover, backtest, live),
new MaxDrawdownReportElement("max drawdown kpi", ReportKey.MaxDrawdown, backtest, live),
new KellyEstimateReportElement("kelly estimate kpi", ReportKey.KellyEstimate, backtest, live),
new SharpeRatioReportElement("sharpe kpi", ReportKey.SharpeRatio, backtest, live),
new PSRReportElement("psr kpi", ReportKey.PSR, backtest, live),
new InformationRatioReportElement("ir kpi", ReportKey.InformationRatio, backtest, live),
new MarketsReportElement("markets kpi", ReportKey.Markets, backtest, live),
new TradesPerDayReportElement("trades per day kpi", ReportKey.TradesPerDay, backtest, live),
// Generate and insert plots MonthlyReturnsReportElement
new MonthlyReturnsReportElement("monthly return plot", ReportKey.MonthlyReturns, backtest, live),
new CumulativeReturnsReportElement("cumulative returns", ReportKey.CumulativeReturns, backtest, live),
new AnnualReturnsReportElement("annual returns", ReportKey.AnnualReturns, backtest, live),
new ReturnsPerTradeReportElement("returns per trade", ReportKey.ReturnsPerTrade, backtest, live),
new AssetAllocationReportElement("asset allocation over time pie chart", ReportKey.AssetAllocation, backtest, live, backtestPortfolioInTime, livePortfolioInTime),
new DrawdownReportElement("drawdown plot", ReportKey.Drawdown, backtest, live),
new DailyReturnsReportElement("daily returns plot", ReportKey.DailyReturns, backtest, live),
new RollingPortfolioBetaReportElement("rolling beta to equities plot", ReportKey.RollingBeta, backtest, live),
new RollingSharpeReportElement("rolling sharpe ratio plot", ReportKey.RollingSharpe, backtest, live),
new LeverageUtilizationReportElement("leverage plot", ReportKey.LeverageUtilization, backtest, live, backtestPortfolioInTime, livePortfolioInTime),
new ExposureReportElement("exposure plot", ReportKey.Exposure, backtest, live, backtestPortfolioInTime, livePortfolioInTime),
// Array of Crisis Plots:
new CrisisReportElement("crisis page", ReportKey.CrisisPageStyle, backtest, live),
new CrisisReportElement("crisis plots", ReportKey.CrisisPlots, backtest, live)
};
}
