Ethan Lee
508 lines
19 KiB
Python
508 lines
19 KiB
Python
# 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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import os
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import json
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from quantconnect.LeanOutputReader import LeanOutputReader
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class LeanReportCreator(object):
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def __init__(self, argv, save_images = True):
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input, self.output, user_data = self.read_input(argv)
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self.user = self.read_user_data(user_data)
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self.hash = self.user.pop('backtestHash', '')
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self.count = 0
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# Read input file and pass it to the LeanOutputReader
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data = dict()
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with open(input, 'r') as fp:
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data = json.load(fp)
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outdir = os.path.dirname(self.output) if save_images else None
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self.reader = LeanOutputReader(data, 200, outdir)
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def read_input(self, args):
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if type(args) is str:
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args = args.split(' ')
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tmp = next((x for x in args if x.strip().startswith('--backtest')), None)
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if tmp is None:
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raise KeyError('Please provide --backtest=file.json argument')
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input = os.path.abspath(tmp[11:])
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if not os.path.isfile(input):
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raise FileNotFoundError(f'Backtest file not found: {input}')
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tmp = next((x for x in args if x.strip().startswith('--user')), None)
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if tmp is None:
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tmp = '--user=user_data.json'
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user = tmp[7:]
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tmp = next((x for x in args if x.strip().startswith('--output')), None)
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if tmp is None:
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tmp = f'--output={input[:-5]}.html'
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output = os.path.abspath(tmp[9:])
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# create output directory
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os.makedirs(os.path.dirname(output), exist_ok = True)
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return input, output, user
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def read_user_data(self, file):
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if os.path.isfile(file):
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with open(file, 'r', encoding = "utf-8") as fp:
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return json.load(fp)
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return {
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"authorName": "QuantConnect User",
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"authorPicture": "AuthorProfile.png",
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"authorBiography": "Put your biography here.",
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"projectName": "Basic Template Algorithm",
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"projectDescription": "Basic Template Algorithm",
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}
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def create(self):
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assets = self.reader.asset_allocation()
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for title, image in assets.items():
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assets[title] = self.get_image_box(title, image)
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crisis = self.reader.crisis_events()
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for title, image in crisis.items():
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crisis[title] = self.get_image_box(title, image)
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chartAssetAllocation = assets.pop("Asset Allocation", str())
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chartAnnualReturns = self.reader.annual_returns()
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chartCumulativeReturns = self.reader.cumulative_return()
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chartMonthlyReturns = self.get_image_box('Monthly Returns', self.reader.monthly_returns())
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chartReturnsHistogram = self.get_image_box('Return Histogram', self.reader.monthly_return_distribution())
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chartDrawdown = self.get_image_box('Drawdown', self.reader.drawdown(), 12)
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chartDailyReturns = self.get_image_box('Daily Returns', self.reader.daily_returns(), 12)
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chartRollingBeta = self.get_image_box('Rolling Portfolio Beta to Equity', self.reader.rolling_beta(), 12)
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chartRollingSP = self.get_image_box('Rolling Sharpe Ratio (6 Months)', self.reader.rolling_sharpe(), 12)
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chartNetHoldings = self.get_image_box('Net Holdings', self.reader.net_holdings(), 12)
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chartLeverage = self.get_image_box('Leverage', self.reader.leverage(), 12)
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tmp = self.reader.statistics()
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keyStatistics = self.get_table('Key Statistics', tmp.get("Key Statistics"))
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keyCharacteristics = self.get_table('Key Characteristics', tmp.get("Key Characteristics"))
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locationPrefix = "https://www.quantconnect.com/terminal"
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downloadButton = '' if len(self.hash) == 0 else f'''
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<div style="position: fixed;bottom: 50px;right: 50px;">
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<a href="https://www.quantconnect.com/terminal/processReports/get/pdf/{self.hash}" target="_blank" class="btn btn-lg btn-default hide-print">
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<i class="fa fa-download"></i>
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</a>
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</div>'''
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html = '''<!DOCTYPE html>
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<html xmlns="http://www.w3.org/1999/xhtml">
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<head>
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<meta charset="utf-8"/>
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<meta http-equiv="Content-Type" content="text/html; charset=utf-8"/>
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<meta property="og:title" content="QuantConnect Backtest Report: ''' + self.user['projectName'] + '''"/>
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<meta property="og:type" content="website"/>
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<meta property="og:site_name" content="QuantConnect.com"/>
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<meta property="og:description" content="''' + self.user['projectDescription'] + '''"/>
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<meta property="og:url" content="https://www.quantconnect.com/terminal/reports/''' + self.hash + '''"/>
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<meta property="og:image" content="''' + chartCumulativeReturns + '''"/>
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<meta property="og:image" content="''' + chartAnnualReturns + '''"/>
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<meta property="og:image" content=''' + self.user['authorPicture'] + '''"/>
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<link rel="stylesheet" href="''' + locationPrefix + '''/css/reports/bootstrap.css">
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<link rel="stylesheet" href="''' + locationPrefix + '''/css/reports/font-awesome.css">
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<link rel="stylesheet" href="''' + locationPrefix + '''/css/reports/pdf.css">
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<link rel="stylesheet" href="https://cdnjs.cloudflare.com/ajax/libs/font-awesome/4.7.0/css/font-awesome.min.css">
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<script src="''' + locationPrefix + '''/js/libraries/jquery.js"></script>
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<script src="''' + locationPrefix + '''/js/libraries/bootstrap.min.js"></script>
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<script src="''' + locationPrefix + '''/js/libraries/jquery.growl.js"></script>
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<link rel="stylesheet" href="''' + locationPrefix + '''/css/libraries/jquery.growl.css">
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<style>
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#table-summary .fa-times {
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color: #d9534f;
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}
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#author-metadata tr > td:first-child,
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#project-metadata tr > td:first-child,
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#key-characteristics tr > td:first-child {
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width: 66%;
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}
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#key-characteristics tr > td:first-child {
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width: 50%;
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}
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#project-metadata tr > td:last-child {
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text-align: center;
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}
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#key-statistics tr > td:last-child {
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text-align: right;
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}
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#key-statistics tr > td,
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#key-characteristics tr > td,
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table.table tr > td {
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vertical-align: middle;
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}
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table.table.align-top tr > td {
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vertical-align: top;
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}
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table.table {
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height: 230px;
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}
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table img {
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width: 100%;
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height: 100%;
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max-height: 225px;
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}
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.col-xs-12 table > tbody > tr > td {
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text-align: center;
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}
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table.table > thead > tr > th {
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border-bottom: none;
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font-weight: bold;
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font-size: 18px;
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padding-top: 15px;
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}
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table.table > tbody > tr > td {
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border-top: none;
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font-size: 18px;
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}
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table#key-characteristics {
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width: calc(100% - 30px);
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}
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table#key-characteristics > tbody > tr {
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border-bottom: 1px solid #cbd1d4;
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}
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table#key-characteristics > tbody > tr:first-child {
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border-top: 1px solid #9c9c9c;
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}
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table#key-characteristics > tbody > tr > td:last-child {
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width: 5%;
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text-align: center;
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position: relative;
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padding: 0;
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font-weight: bold;
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}
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table#key-characteristics > tbody > tr > td > span.markets {
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background: #8f9ca3;
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font-size: 11px;
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color: #fff;
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padding: 8px 14px;
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border-radius: 4px;
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}
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.col-xs-4:nth-child(2) table#key-characteristics > tbody > tr > td:last-child {
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text-align: right;
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}
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table#key-characteristics > tbody > tr > td:first-child {
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border-top: #c3cace;
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}
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table#description-box {
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word-wrap: break-word;
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min-height: 225px;
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}
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table#description-box > thead > tr > th > p{
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color: #f5ae29;
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font-size: 24px;
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}
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table#description-box > thead > tr > th > p > span {
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margin-right: 10px;
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width: 1px;
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height: 24px;
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background: #f5ae29;
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}
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.page {
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width: 1200px;
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height: 1686px;
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}
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.page .content {
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top: 80px;
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left: 110px;
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right: 110px;
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border-top: 1px solid #888888;
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border-bottom: none;
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padding: 0;
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}
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.page .header {
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height: 80px;
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left: 110px;
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right: 110px;
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padding: 0;
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}
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.header .header-left img {
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width: 230px;
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height: auto;
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padding-top: 0;
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margin-top: 25px;
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}
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.header .header-right {
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font-family: Helvetica, Arial, sans-serif;
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font-weight: bold;
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margin-top: 40px;
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line-height: 18px;
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float: right;
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font-size: 18px;
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max-width: 70%;
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text-overflow: ellipsis;
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white-space: nowrap;
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overflow: hidden;
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}
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.container-row {
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height: auto;
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overflow: auto;
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border-bottom: 1px solid #b8b8b8;
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}
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.page:first-of-type .container-row:first-of-type {
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padding: 10px 0;
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}
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.container-row:empty {
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border: none;
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}
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span.checkmark, span.exmark {
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border-radius: 50%;
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position: absolute;
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border: none;
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top: 10px;
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right: 25px;
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}
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span.checkmark {
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background-color: #46bd6a;
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height: 20px;
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width: 20px;
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}
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span.checkmark:after {
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content: "";
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position: absolute;
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left: 7px;
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top: 3px;
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width: 5px;
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height: 10px;
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border: solid #fff;
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border-width: 0 1px 1px 0;
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-webkit-transform: rotate(45deg);
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-ms-transform: rotate(45deg);
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transform: rotate(45deg);
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}
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span.exmark {
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background-color:#bc4143;
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color: white;
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font-size: 12px;
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padding: 3px 5px;
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padding-top: 4px;
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line-height: 1;
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}
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p#strategy-description {
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overflow: hidden;
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max-height: 130px;
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margin-bottom: 0;
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word-break: break-word;
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}
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</style>
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</head>
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<body>''' + downloadButton + '''
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<div class="page">
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<div class="header">
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<div class="header-left">
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<img src="https://cdn.quantconnect.com/web/i/logo.png">
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</div>
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<div class="header-right">Strategy Report Summary: ''' + self.user['projectName'] + '''</div>
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</div>
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<div class="content">
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<h1 class="hidden">Strategy Report</h1>
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<div class="container-row">
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<div class="col-xs-12">
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<table id="description-box" class="table compact no-margin align-top">
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<thead>
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<tr>
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<th>
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<p>
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<span>|</span>Strategy Description
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</p>
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</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td>
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<p id="strategy-description" class="text-justify editable">''' + self.user['projectDescription'] + '''</p>
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</td>
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</tr>
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</tbody>
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</table>
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</div>
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</div>
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<div class="container-row">
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''' + keyCharacteristics + '''
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''' + keyStatistics + '''
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''' + chartMonthlyReturns + '''
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</div>
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<div class="container-row">
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''' + self.get_image_box('Cumulative Returns', chartCumulativeReturns, 12) + '''
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</div>
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<div class="container-row">
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''' + self.get_image_box('Annual Returns', chartAnnualReturns) + '''
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''' + chartReturnsHistogram + '''
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''' + chartAssetAllocation + '''
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</div>
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<div class="container-row">
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''' + chartDrawdown + '''
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</div>
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</div>
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</div>
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<div class="page">
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<div class="header">
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<div class="header-left">
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<img src="https://cdn.quantconnect.com/web/i/logo.png">
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</div>
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<div class="header-right">Strategy Report Summary: ''' + self.user['projectName'] + '''</div>
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</div>
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<div class="content">
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<div class="container-row">''' + chartDailyReturns + '''</div>
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<div class="container-row">''' + chartRollingBeta + '''</div>
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<div class="container-row">''' + chartRollingSP + '''</div>
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<div class="container-row">''' + chartNetHoldings + '''</div>
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<div class="container-row">''' + chartLeverage + '''</div>
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</div>
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</div>
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''' + self.get_pages_from_two_dict(crisis, assets) + '''
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</body>
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</html>'''
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with open(self.output, 'w', encoding = "utf-8") as fp:
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fp.write(html)
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return html
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def clean(self):
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outdir = os.path.dirname(self.output)
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items = os.listdir(outdir)
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for item in items:
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if item.endswith(".png"):
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os.remove(os.path.join(outdir, item))
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def get_table(self, title, dict):
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ret = f'''
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<div class="col-xs-4">
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<table id="key-characteristics" class="table compact">
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<thead><tr>
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<th colspan="2">{title}</th>
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</tr></thead>
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<tbody>'''
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for title, value in dict.items():
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if isinstance(value, list):
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value = ", ".join(value)
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if isinstance(value, bool):
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value = '''<span class="checkmark"></span>''' if value else '''<span class="exmark">✕</span>'''
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if title == 'Markets':
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ret += f'''<tr><td>{title}</td><td><span class="markets">{value}</span></td></tr>'''
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else:
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ret += f'''<tr><td>{title}</td><td>{value}</td></tr>'''
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return ret + '''
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</tbody>
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</table>
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</div>'''
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def get_image_box(self, title, url, col = 4):
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return "" if not url else '''
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<div class="col-xs-''' + str(col) + '''">
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<table class="table compact">
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<thead>
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<tr>
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<th>''' + title + '''</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td style="padding:0;">
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''' + (( '''<img src="''' + url + '''">''' ) if url else "") + '''
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</td>
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</tr>
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</tbody>
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</table>
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</div>'''
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def get_image_from_dict(self, dict, len_dict1, num_empty_block):
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ret = '''<div class="content">'''
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titles = list(dict.keys())
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stop = min(15, len(titles) + num_empty_block)
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index = 0;
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for i in range(0, stop, 3):
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ret += '''<div class="container-row">'''
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for j in range(0, 3):
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if i + j >= stop: continue
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if i + j >= len_dict1 and i + j < len_dict1 + num_empty_block:
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ret += '''<div class="col-xs-4" style="height: 305px;"></div>'''
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else:
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ret += dict.pop(titles[index])
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index += 1
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ret += '''</div>'''
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return ret + '''</div>'''
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def get_pages_from_two_dict(self, dict1, dict2):
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num_empty_block = 0
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if (len(dict1) % 15) % 3 != 0:
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num_empty_block = 3 - (len(dict1) % 15) % 3
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len_og_dict1 = len(dict1)
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dict1.update(dict2)
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ret = ''''''
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while(len(dict1) > 0):
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ret += '''
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<div class="page">
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<div class="header">
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<div class="header-left">
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<img src="https://cdn.quantconnect.com/web/i/logo.png">
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</div>
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<div class="header-right">Strategy Report Summary: ''' + self.user['projectName'] + '''</div>
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</div> ''' + self.get_image_from_dict(dict1, len_og_dict1, num_empty_block) + '''
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</div>'''
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return ret |