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Added return_fig boolean parameter to create_full_tear_sheet() and create_simple_tear_sheet() #694

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Added return_fig boolean parameter to create_full_tear_sheet() and create_simple_tear_sheet() #694

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113 changes: 78 additions & 35 deletions pyfolio/tears.py
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Original file line number Diff line number Diff line change
Expand Up @@ -72,16 +72,15 @@ def create_full_tear_sheet(returns,
factor_loadings=None,
pos_in_dollars=True,
header_rows=None,
factor_partitions=FACTOR_PARTITIONS):
factor_partitions=FACTOR_PARTITIONS,
return_fig=False):
"""
Generate a number of tear sheets that are useful
for analyzing a strategy's performance.

- Fetches benchmarks if needed.
- Creates tear sheets for returns, and significant events.
If possible, also creates tear sheets for position analysis
and transaction analysis.

Parameters
----------
returns : pd.Series
Expand Down Expand Up @@ -166,18 +165,20 @@ def create_full_tear_sheet(returns,
dict specifying how factors should be separated in perf attrib
factor returns and risk exposures plots
- See create_perf_attrib_tear_sheet().
return_fig : boolean, optional
If True, returns a dictionary with all the figures that were plotted.
"""

if (unadjusted_returns is None) and (slippage is not None) and\
(transactions is not None):
unadjusted_returns = returns.copy()
returns = txn.adjust_returns_for_slippage(returns, positions,
transactions, slippage)

positions = utils.check_intraday(estimate_intraday, returns,
positions, transactions)

create_returns_tear_sheet(
fig_returns = create_returns_tear_sheet(
returns,
positions=positions,
transactions=transactions,
Expand All @@ -187,45 +188,81 @@ def create_full_tear_sheet(returns,
bootstrap=bootstrap,
turnover_denom=turnover_denom,
header_rows=header_rows,
set_context=set_context)

create_interesting_times_tear_sheet(returns,
benchmark_rets=benchmark_rets,
set_context=set_context)
set_context=set_context,
return_fig=return_fig
)

fig_interesting_times = create_interesting_times_tear_sheet(
returns,
benchmark_rets=benchmark_rets,
set_context=set_context,
return_fig=return_fig
)

fig_position = None
fig_txn = None
fig_round_trip = None
fig_capacity = None
fig_perf_attrib = None

if positions is not None:
create_position_tear_sheet(returns, positions,
hide_positions=hide_positions,
set_context=set_context,
sector_mappings=sector_mappings,
estimate_intraday=False)

fig_position = create_position_tear_sheet(
returns, positions,
hide_positions=hide_positions,
set_context=set_context,
sector_mappings=sector_mappings,
estimate_intraday=False,
return_fig=return_fig
)

if transactions is not None:
create_txn_tear_sheet(returns, positions, transactions,
unadjusted_returns=unadjusted_returns,
estimate_intraday=False,
set_context=set_context)
fig_txn = create_txn_tear_sheet(
returns, positions, transactions,
unadjusted_returns=unadjusted_returns,
estimate_intraday=False,
set_context=set_context,
return_fig=return_fig
)
if round_trips:
create_round_trip_tear_sheet(
fig_round_trip = create_round_trip_tear_sheet(
returns=returns,
positions=positions,
transactions=transactions,
sector_mappings=sector_mappings,
estimate_intraday=False)

estimate_intraday=False,
return_fig=return_fig
)

if market_data is not None:
create_capacity_tear_sheet(returns, positions, transactions,
market_data,
liquidation_daily_vol_limit=0.2,
last_n_days=125,
estimate_intraday=False)

fig_capacity = create_capacity_tear_sheet(
returns, positions, transactions,
market_data,
liquidation_daily_vol_limit=0.2,
last_n_days=125,
estimate_intraday=False,
return_fig=return_fig
)

if factor_returns is not None and factor_loadings is not None:
create_perf_attrib_tear_sheet(returns, positions, factor_returns,
factor_loadings, transactions,
pos_in_dollars=pos_in_dollars,
factor_partitions=factor_partitions)
fig_perf_attrib = create_perf_attrib_tear_sheet(
returns, positions, factor_returns,
factor_loadings, transactions,
pos_in_dollars=pos_in_dollars,
factor_partitions=factor_partitions,
return_fig=return_fig
)

if return_fig:
return {
'returns': fig_returns,
'interesting_times': fig_interesting_times,
'position': fig_position,
'txn': fig_txn,
'round_trip': fig_round_trip,
'capacity': fig_capacity,
'perf_attrib': fig_perf_attrib
}


@plotting.customize
def create_simple_tear_sheet(returns,
Expand All @@ -236,7 +273,8 @@ def create_simple_tear_sheet(returns,
estimate_intraday='infer',
live_start_date=None,
turnover_denom='AGB',
header_rows=None):
header_rows=None,
return_fig=False):
"""
Simpler version of create_full_tear_sheet; generates summary performance
statistics and important plots as a single image.
Expand Down Expand Up @@ -299,6 +337,8 @@ def create_simple_tear_sheet(returns,
Extra rows to display at the top of the perf stats table.
set_context : boolean, optional
If True, set default plotting style context.
return_fig : boolean, optional
If True, returns a dictionary with all the figures that were plotted.
"""

positions = utils.check_intraday(estimate_intraday, returns,
Expand Down Expand Up @@ -404,6 +444,9 @@ def create_simple_tear_sheet(returns,
for ax in fig.axes:
plt.setp(ax.get_xticklabels(), visible=True)

if return_fig:
return fig


@plotting.customize
def create_returns_tear_sheet(returns, positions=None,
Expand Down