QF-Lib Quant Report: full strategy performance analytics

Backend: strategies/quant_report.py
  - equityCurve: daily PnL from trade history
  - monthlyReturns: heatmap matrix (years x months)
  - yearlyReturns: bar chart data with mean
  - monthlyReturnDistribution: histogram bins
  - qqPlot: theoretical vs observed quantiles
  - rollingStats: 6-month rolling return + volatility

API: /api/quant-report/{name}
  Computes full report from any backtest JSON file

Frontend: QuantReport.tsx
  - Strategy Performance chart (equity curve, blue line)
  - Monthly Returns heatmap (blue saturation)
  - Yearly Returns bar chart with mean line
  - Distribution histogram
  - Normal QQ plot with diagonal reference
  - Rolling Statistics (6-month, dual line)
  - QF-Lib header with logo and metadata
  - Access via QF-Lib Report button in detail view
This commit is contained in:
ramseshk
2026-08-06 03:37:25 +00:00
parent 03ebe9e795
commit 0e08543823
5 changed files with 781 additions and 4 deletions
+32 -3
View File
@@ -13,6 +13,7 @@ import { PositionsPanel } from "@/components/positions-panel";
import { OBIDetail } from "@/components/obi-detail";
import OrderBookDepthMap from "@/components/orderbook-depth-map";
import L2Terminal from "@/components/L2Terminal";
import QuantReport from "@/components/QuantReport";
import { useLiveMetrics, usePaperMetrics, fetchHistorical, fetchBacktestDetail, recalcBacktest } from "@/lib/api";
import type { Strategy, BacktestSummary, BacktestFull, Trade, Position, Order } from "@/lib/types";
@@ -28,6 +29,7 @@ export default function Dashboard() {
const [detailOpen, setDetailOpen] = useState(false);
const [l2TerminalOpen, setL2TerminalOpen] = useState(false);
const [quantReportOpen, setQuantReportOpen] = useState(false);
const [detailName, setDetailName] = useState("");
const [detailTab, setDetailTab] = useState<Tab>("live");
const [filter, setFilter] = useState("ALL");
@@ -228,9 +230,17 @@ export default function Dashboard() {
)}
<div>
<h4 className="text-[10px] font-semibold text-muted-foreground uppercase tracking-wider mb-3 pb-2 border-b border-border">
Trade History {detailTrades.length > 0 ? `(${detailTrades.length})` : ""}
</h4>
<div className="flex items-center justify-between mb-3 pb-2 border-b border-border">
<h4 className="text-[10px] font-semibold text-muted-foreground uppercase tracking-wider">
Trade History {detailTrades.length > 0 ? `(${detailTrades.length})` : ""}
</h4>
<button
onClick={() => setQuantReportOpen(true)}
className="text-[9px] px-2 py-0.5 bg-blue-50 text-blue-700 rounded font-mono hover:bg-blue-100 transition-colors"
>
QF-Lib Report
</button>
</div>
{detailTrades.length > 0 ? (
<div className="overflow-x-auto rounded-lg border border-border">
<Table>
@@ -379,6 +389,25 @@ export default function Dashboard() {
<L2Terminal coin="BTC" className="w-full h-full" />
</div>
)}
{/* Fullscreen Quant Report */}
{quantReportOpen && (
<div className="fixed inset-0 z-[200] bg-white overflow-auto">
<div className="sticky top-0 z-[201] bg-white border-b border-gray-200 px-4 py-2 flex justify-between items-center">
<span className="text-xs text-gray-600">QF-Lib Quant Report</span>
<button
onClick={() => setQuantReportOpen(false)}
className="text-xs text-gray-500 hover:text-black font-mono px-3 py-1 border border-gray-300 rounded"
>
Close
</button>
</div>
<QuantReport
strategyName={detailName}
backtestId={btFull ? `${detailName.replace(/\s+/g, "_").toLowerCase()}.json` : "live"}
/>
</div>
)}
</div>
);
}
@@ -0,0 +1,476 @@
"use client";
import { useEffect, useRef, useState } from "react";
// ═══════════ Colors ═══════════
const BLUE = "#1E5AA8";
const BLUE_FILL = "rgba(30,90,168,0.15)";
const GRAY = "#888888";
const BLACK = "#111111";
const GRID = "rgba(0,0,0,0.06)";
const BG = "#FFFFFF";
interface QuantData {
meta: { strategyName: string; strategyId: string; generatedAt: string };
equityCurve: { date: string; value: number }[];
monthlyReturns: { years: number[]; months: string[]; matrix: (number | null)[][] };
yearlyReturns: { year: number; return: number }[];
meanYearlyReturn: number;
monthlyReturnDistribution: { bins: { start: number; end: number; count: number }[]; mean: number };
qqPlot: { points: { theoretical: number; observed: number }[] };
rollingStats: { windowMonths: number; series: { date: string; rollingReturn: number; rollingVolatility: number }[] };
}
interface Props {
strategyName: string;
backtestId: string;
className?: string;
}
export default function QuantReport({ strategyName, backtestId, className = "" }: Props) {
const [data, setData] = useState<QuantData | null>(null);
const [loading, setLoading] = useState(true);
const [error, setError] = useState<string | null>(null);
// Canvas refs
const equityCanvas = useRef<HTMLCanvasElement>(null);
const monthlyCanvas = useRef<HTMLCanvasElement>(null);
const yearlyCanvas = useRef<HTMLCanvasElement>(null);
const distCanvas = useRef<HTMLCanvasElement>(null);
const qqCanvas = useRef<HTMLCanvasElement>(null);
const rollingCanvas = useRef<HTMLCanvasElement>(null);
useEffect(() => {
setLoading(true);
fetch(`/cv/api/quant-report/${backtestId}`)
.then(r => r.json())
.then(d => { setData(d); setLoading(false); })
.catch(e => { setError(e.message); setLoading(false); });
}, [backtestId]);
// ═══════ Equity Curve ═══════
useEffect(() => {
if (!data?.equityCurve?.length) return;
const canvas = equityCanvas.current;
if (!canvas) return;
const ctx = canvas.getContext("2d")!;
const dpr = window.devicePixelRatio || 1;
const W = canvas.clientWidth;
const H = canvas.clientHeight;
canvas.width = W * dpr; canvas.height = H * dpr;
ctx.setTransform(dpr, 0, 0, dpr, 0, 0);
ctx.fillStyle = BG; ctx.fillRect(0, 0, W, H);
const curve = data.equityCurve;
const M = { top: 30, bot: 35, left: 45, right: 15 };
const pW = W - M.left - M.right, pH = H - M.top - M.bot;
const vals = curve.map(c => c.value);
const minV = Math.min(...vals) * 0.95;
const maxV = Math.max(...vals) * 1.05;
const range = maxV - minV || 1;
const toX = (i: number) => M.left + (i / (curve.length - 1)) * pW;
const toY = (v: number) => M.top + pH - ((v - minV) / range) * pH;
// Title
ctx.fillStyle = BLACK; ctx.font = "bold 13px sans-serif";
ctx.textAlign = "left";
ctx.fillText("Strategy Performance", 8, 18);
// Legend
ctx.fillStyle = BLUE; ctx.font = "11px sans-serif";
ctx.fillText(data.meta.strategyName, 8, M.top + pH + 18);
// Grid
ctx.strokeStyle = GRID; ctx.lineWidth = 0.5;
for (let i = 0; i <= 5; i++) {
const y = M.top + (i / 5) * pH;
ctx.beginPath(); ctx.moveTo(M.left, y); ctx.lineTo(M.left + pW, y); ctx.stroke();
}
// Line
ctx.strokeStyle = BLUE; ctx.lineWidth = 1.5;
ctx.beginPath();
for (let i = 0; i < curve.length; i++) {
const x = toX(i), y = toY(curve[i].value);
i === 0 ? ctx.moveTo(x, y) : ctx.lineTo(x, y);
}
ctx.stroke();
// Y axis labels
ctx.fillStyle = GRAY; ctx.font = "9px sans-serif";
ctx.textAlign = "right";
for (let i = 0; i <= 4; i++) {
const v = minV + (i / 4) * range;
ctx.fillText(v.toFixed(1), M.left - 4, toY(v) + 3);
}
// X axis: years
ctx.textAlign = "center";
const years = [...new Set(curve.map(c => c.date.slice(0, 4)))];
for (const yr of years.slice(0, 6)) {
const pts = curve.filter(c => c.date.startsWith(yr));
if (pts.length) {
const idx = curve.indexOf(pts[Math.floor(pts.length / 2)]);
ctx.fillText(yr, toX(idx), M.top + pH + 14);
}
}
}, [data]);
// ═══════ Monthly Returns Heatmap ═══════
useEffect(() => {
if (!data?.monthlyReturns?.matrix?.length) return;
const canvas = monthlyCanvas.current;
if (!canvas) return;
const ctx = canvas.getContext("2d")!;
const dpr = window.devicePixelRatio || 1;
const W = canvas.clientWidth, H = 340;
canvas.width = W * dpr; canvas.height = H * dpr;
ctx.setTransform(dpr, 0, 0, dpr, 0, 0);
ctx.fillStyle = BG; ctx.fillRect(0, 0, W, H);
const mr = data.monthlyReturns;
const M = { top: 25, bot: 5, left: 35, right: 5 };
const nRows = mr.years.length, nCols = 12;
const cellW = (W - M.left - M.right) / nCols;
const cellH = (H - M.top - M.bot) / nRows;
ctx.fillStyle = BLACK; ctx.font = "bold 12px sans-serif";
ctx.textAlign = "left";
ctx.fillText("Monthly Returns", 8, 16);
// Month headers
ctx.font = "9px sans-serif";
ctx.textAlign = "center";
for (let c = 0; c < 12; c++) {
ctx.fillText(mr.months[c].slice(0, 3), M.left + c * cellW + cellW / 2, M.top - 5);
}
// Heatmap cells
const allVals = mr.matrix.flat().filter(v => v !== null) as number[];
const maxAbs = Math.max(Math.abs(Math.max(...allVals)), Math.abs(Math.min(...allVals)), 1);
for (let r = 0; r < nRows; r++) {
// Year label
ctx.fillStyle = BLACK; ctx.font = "10px sans-serif";
ctx.textAlign = "right";
ctx.fillText(String(mr.years[r]), M.left - 4, M.top + r * cellH + cellH * 0.65);
for (let c = 0; c < nCols; c++) {
const v = mr.matrix[r][c];
const x = M.left + c * cellW, y = M.top + r * cellH;
if (v !== null && v !== undefined) {
// Color: blue saturation proportional to value
const alpha = Math.min(1, Math.abs(v) / maxAbs * 0.9 + 0.1);
ctx.fillStyle = `rgba(30,90,168,${alpha})`;
ctx.fillRect(x, y, cellW - 1, cellH - 1);
// Value text
ctx.fillStyle = Math.abs(v) > maxAbs * 0.4 ? "#FFFFFF" : "#111111";
ctx.font = "9px sans-serif";
ctx.textAlign = "center";
ctx.fillText(v.toFixed(1), x + cellW / 2, y + cellH * 0.65);
}
}
}
}, [data]);
// ═══════ Yearly Returns Bar Chart ═══════
useEffect(() => {
if (!data?.yearlyReturns?.length) return;
const canvas = yearlyCanvas.current;
if (!canvas) return;
const ctx = canvas.getContext("2d")!;
const dpr = window.devicePixelRatio || 1;
const W = canvas.clientWidth, H = 340;
canvas.width = W * dpr; canvas.height = H * dpr;
ctx.setTransform(dpr, 0, 0, dpr, 0, 0);
ctx.fillStyle = BG; ctx.fillRect(0, 0, W, H);
const yr = data.yearlyReturns;
const M = { top: 25, bot: 5, left: 8, right: 40 };
const pH = (H - M.top - M.bot) / yr.length;
const minR = Math.min(0, ...yr.map(y => y.return));
const maxR = Math.max(...yr.map(y => y.return));
const range = Math.max(maxR - minR, 1);
const zeroX = M.left + ((-minR) / range) * (W - M.left - M.right);
ctx.fillStyle = BLACK; ctx.font = "bold 12px sans-serif";
ctx.textAlign = "left";
ctx.fillText("Yearly Returns", 8, 16);
// Mean line
ctx.strokeStyle = BLACK; ctx.lineWidth = 0.8;
ctx.setLineDash([3, 3]);
const meanX = M.left + ((data.meanYearlyReturn - minR) / range) * (W - M.left - M.right);
ctx.beginPath(); ctx.moveTo(meanX, M.top); ctx.lineTo(meanX, M.top + yr.length * pH); ctx.stroke();
ctx.setLineDash([]);
ctx.fillStyle = BLACK; ctx.font = "8px sans-serif";
ctx.fillText("Mean", meanX + 2, M.top + 10);
// Bars
for (let i = 0; i < yr.length; i++) {
const y = M.top + i * pH;
const barW = ((yr[i].return - 0) / range) * (W - M.left - M.right) * (yr[i].return >= 0 ? 1 : -1);
const bx = yr[i].return >= 0 ? zeroX : zeroX - Math.abs(barW);
ctx.fillStyle = BLUE;
ctx.fillRect(bx, y + 2, Math.abs(barW), pH - 4);
// Year label
ctx.fillStyle = BLACK; ctx.font = "10px sans-serif";
ctx.textAlign = "left";
ctx.fillText(String(yr[i].year), 8, y + pH * 0.5 + 3);
// Return label
ctx.textAlign = yr[i].return >= 0 ? "left" : "right";
const lx = yr[i].return >= 0 ? bx + Math.abs(barW) + 2 : bx - 2;
ctx.fillText(`${yr[i].return}%`, lx, y + pH * 0.5 + 3);
}
// X axis
ctx.fillStyle = GRAY; ctx.font = "8px sans-serif";
ctx.textAlign = "center";
ctx.fillText("Returns", W / 2, H - 2);
ctx.fillText(`${minR}%`, M.left, H - 2);
ctx.fillText(`${maxR}%`, M.left + (W - M.left - M.right), H - 2);
}, [data]);
// ═══════ Distribution Histogram ═══════
useEffect(() => {
if (!data?.monthlyReturnDistribution?.bins?.length) return;
const canvas = distCanvas.current;
if (!canvas) return;
const ctx = canvas.getContext("2d")!;
const dpr = window.devicePixelRatio || 1;
const W = canvas.clientWidth, H = 280;
canvas.width = W * dpr; canvas.height = H * dpr;
ctx.setTransform(dpr, 0, 0, dpr, 0, 0);
ctx.fillStyle = BG; ctx.fillRect(0, 0, W, H);
const dist = data.monthlyReturnDistribution;
const M = { top: 25, bot: 30, left: 35, right: 10 };
const pW = W - M.left - M.right, pH = H - M.top - M.bot;
const maxCount = Math.max(...dist.bins.map(b => b.count));
ctx.fillStyle = BLACK; ctx.font = "bold 12px sans-serif";
ctx.textAlign = "left";
ctx.fillText("Distribution of Monthly Returns", 8, 16);
// Mean line
const allStarts = dist.bins.map(b => b.start);
const allEnds = dist.bins.map(b => b.end);
const gMin = Math.min(...allStarts), gMax = Math.max(...allEnds);
const gRange = gMax - gMin || 1;
const toX = (v: number) => M.left + ((v - gMin) / gRange) * pW;
const meanLine = toX(dist.mean);
ctx.strokeStyle = BLACK; ctx.lineWidth = 0.8;
ctx.setLineDash([3, 3]);
ctx.beginPath(); ctx.moveTo(meanLine, M.top); ctx.lineTo(meanLine, M.top + pH); ctx.stroke();
ctx.setLineDash([]);
// Bars
for (const bin of dist.bins) {
const x = toX(bin.start);
const w = toX(bin.end) - toX(bin.start);
const h = (bin.count / maxCount) * pH;
ctx.fillStyle = bin.count > 0 ? BLUE : "rgba(30,90,168,0.1)";
ctx.fillRect(x, M.top + pH - h, Math.max(w - 1, 2), h);
}
// Axes
ctx.fillStyle = GRAY; ctx.font = "8px sans-serif";
ctx.textAlign = "center";
ctx.fillText("Returns", M.left + pW / 2, H - 2);
ctx.textAlign = "left";
ctx.fillText("Occurrences", 2, M.top + pH / 2);
for (let i = 0; i <= 4; i++) {
const v = Math.round(i * maxCount / 4);
ctx.fillText(String(v), 2, M.top + pH - (i / 4) * pH + 3);
}
}, [data]);
// ═══════ QQ Plot ═══════
useEffect(() => {
if (!data?.qqPlot?.points?.length) return;
const canvas = qqCanvas.current;
if (!canvas) return;
const ctx = canvas.getContext("2d")!;
const dpr = window.devicePixelRatio || 1;
const W = canvas.clientWidth, H = 280;
canvas.width = W * dpr; canvas.height = H * dpr;
ctx.setTransform(dpr, 0, 0, dpr, 0, 0);
ctx.fillStyle = BG; ctx.fillRect(0, 0, W, H);
const pts = data.qqPlot.points;
const M = { top: 25, bot: 30, left: 40, right: 10 };
const pW = W - M.left - M.right, pH = H - M.top - M.bot;
const tVals = pts.map(p => p.theoretical);
const oVals = pts.map(p => p.observed);
const tMin = -5, tMax = 5, oMin = -5, oMax = 5;
const toX = (t: number) => M.left + ((t - tMin) / (tMax - tMin)) * pW;
const toY = (o: number) => M.top + pH - ((o - oMin) / (oMax - oMin)) * pH;
ctx.fillStyle = BLACK; ctx.font = "bold 12px sans-serif";
ctx.textAlign = "left";
ctx.fillText("Normal Distribution Q-Q", 8, 16);
// Grid
ctx.strokeStyle = GRID; ctx.lineWidth = 0.5;
for (let i = 0; i <= 4; i++) {
const y = M.top + (i / 4) * pH;
ctx.beginPath(); ctx.moveTo(M.left, y); ctx.lineTo(M.left + pW, y); ctx.stroke();
}
// Diagonal line
ctx.strokeStyle = BLACK; ctx.lineWidth = 0.8;
ctx.beginPath(); ctx.moveTo(M.left, M.top + pH); ctx.lineTo(M.left + pW, M.top); ctx.stroke();
// Points
for (const p of pts) {
ctx.fillStyle = BLUE;
ctx.beginPath();
ctx.arc(toX(p.theoretical), toY(p.observed), 2, 0, Math.PI * 2);
ctx.fill();
}
// Axes
ctx.fillStyle = GRAY; ctx.font = "8px sans-serif";
ctx.textAlign = "center";
ctx.fillText("Normal Distribution Quantile", M.left + pW / 2, H - 2);
ctx.textAlign = "left";
ctx.fillText("Observed", M.left + pW + 2, M.top + pH / 2 + 10);
}, [data]);
// ═══════ Rolling Stats ═══════
useEffect(() => {
if (!data?.rollingStats?.series?.length) return;
const canvas = rollingCanvas.current;
if (!canvas) return;
const ctx = canvas.getContext("2d")!;
const dpr = window.devicePixelRatio || 1;
const W = canvas.clientWidth, H = 300;
canvas.width = W * dpr; canvas.height = H * dpr;
ctx.setTransform(dpr, 0, 0, dpr, 0, 0);
ctx.fillStyle = BG; ctx.fillRect(0, 0, W, H);
const rs = data.rollingStats;
const M = { top: 30, bot: 30, left: 45, right: 15 };
const pW = W - M.left - M.right, pH = H - M.top - M.bot;
const allVals = rs.series.map(s => s.rollingReturn).concat(rs.series.map(s => s.rollingVolatility));
const minV = Math.min(...allVals) * 1.1, maxV = Math.max(...allVals) * 1.1;
const range = maxV - minV || 1;
const toX = (i: number) => M.left + (i / (rs.series.length - 1)) * pW;
const toY = (v: number) => M.top + pH - ((v - minV) / range) * pH;
ctx.fillStyle = BLACK; ctx.font = "bold 12px sans-serif";
ctx.textAlign = "left";
ctx.fillText(`Rolling Statistics [${rs.windowMonths} Months]`, 8, 18);
// Legend
ctx.fillStyle = BLUE; ctx.font = "10px sans-serif";
ctx.textAlign = "right";
ctx.fillText("Rolling Return", W - 8, 14);
ctx.fillStyle = GRAY;
ctx.fillText("Rolling Volatility", W - 8, 28);
// Grid
ctx.strokeStyle = GRID; ctx.lineWidth = 0.5;
for (let i = 0; i <= 4; i++) {
const y = M.top + (i / 4) * pH;
ctx.beginPath(); ctx.moveTo(M.left, y); ctx.lineTo(M.left + pW, y); ctx.stroke();
}
// Volatility line (draw first, behind)
ctx.strokeStyle = GRAY; ctx.lineWidth = 1;
ctx.beginPath();
for (let i = 0; i < rs.series.length; i++) {
const x = toX(i), y = toY(rs.series[i].rollingVolatility);
i === 0 ? ctx.moveTo(x, y) : ctx.lineTo(x, y);
}
ctx.stroke();
// Return line
ctx.strokeStyle = BLUE; ctx.lineWidth = 1.5;
ctx.beginPath();
for (let i = 0; i < rs.series.length; i++) {
const x = toX(i), y = toY(rs.series[i].rollingReturn);
i === 0 ? ctx.moveTo(x, y) : ctx.lineTo(x, y);
}
ctx.stroke();
// Y axis
ctx.fillStyle = GRAY; ctx.font = "8px sans-serif"; ctx.textAlign = "right";
for (let i = 0; i <= 3; i++) {
const v = Math.round(minV + (i / 3) * range);
ctx.fillText(`${v}%`, M.left - 4, toY(v) + 3);
}
// X axis: years
ctx.textAlign = "center";
const years = [...new Set(rs.series.map(s => s.date.slice(0, 4)))];
for (const yr of years.slice(0, 8)) {
const pts = rs.series.filter(s => s.date.startsWith(yr));
if (pts.length) {
const idx = rs.series.indexOf(pts[Math.floor(pts.length / 2)]);
ctx.fillText(yr, toX(idx), M.top + pH + 14);
}
}
}, [data]);
if (loading) return <div className="p-8 text-center text-gray-500">Loading quant report...</div>;
if (error) return <div className="p-8 text-center text-red-500">Error: {error}</div>;
if (!data) return null;
return (
<div className={`bg-white text-black p-4 max-w-5xl mx-auto ${className}`}>
{/* Header */}
<div className="flex items-start justify-between mb-2">
<div>
<div className="flex items-center gap-2">
<div className="w-5 h-5 rounded-full bg-blue-700 flex items-center justify-center">
<span className="text-[7px] text-white font-bold">QF</span>
</div>
<span className="text-[10px] text-gray-500">QF-Lib technology</span>
</div>
<p className="text-xs text-gray-400 mt-0.5">Generated with QF-Lib</p>
<h1 className="text-base font-bold mt-1">{data.meta.strategyName}</h1>
<p className="text-[10px] text-gray-400">{new Date(data.meta.generatedAt).toLocaleDateString("en-GB", { day: "numeric", month: "short", year: "numeric" })}</p>
</div>
</div>
<div className="border-t border-gray-200 mb-4" />
{/* Row 1: Equity Curve */}
<div className="mb-4 border border-gray-100 rounded-sm overflow-hidden">
<canvas ref={equityCanvas} className="w-full" style={{ height: 320 }} />
</div>
{/* Row 2: Monthly Returns + Yearly Returns */}
<div className="grid grid-cols-2 gap-4 mb-4">
<div className="border border-gray-100 rounded-sm overflow-hidden">
<canvas ref={monthlyCanvas} className="w-full" style={{ height: 340 }} />
</div>
<div className="border border-gray-100 rounded-sm overflow-hidden">
<canvas ref={yearlyCanvas} className="w-full" style={{ height: 340 }} />
</div>
</div>
{/* Row 3: Distribution + QQ Plot */}
<div className="grid grid-cols-2 gap-4 mb-4">
<div className="border border-gray-100 rounded-sm overflow-hidden">
<canvas ref={distCanvas} className="w-full" style={{ height: 280 }} />
</div>
<div className="border border-gray-100 rounded-sm overflow-hidden">
<canvas ref={qqCanvas} className="w-full" style={{ height: 280 }} />
</div>
</div>
{/* Row 4: Rolling Stats */}
<div className="border border-gray-100 rounded-sm overflow-hidden mb-2">
<canvas ref={rollingCanvas} className="w-full" style={{ height: 300 }} />
</div>
{/* Footer */}
<div className="text-right text-[9px] text-gray-400">Page 1 of 2</div>
</div>
);
}