sf_quant.performance.plot_turnover

sf_quant.performance.plot_turnover(weights: DataFrame, title: str, subtitle: str | None = None, file_name: str | None = None) → None

Plot rolling two-sided turnover over time.

Parameters

weightspl.DataFrame

Portfolio weights containing:

• date (date): The observation date.

• barrid (str): Security identifier.

• weight (float): Portfolio weight.

titlestr

The chart’s main title.

subtitlestr or None, optional

The chart’s subtitle. Defaults to None.

file_namestr or None, optional

If not None, saves the chart to the given file path. Defaults to displaying the chart interactively.

Returns

None

Notes

• Two-sided turnover is the sum of absolute weight changes per date.

• Rolling window is 252 trading days.