.. Copyright (C) 2023-2024 Enzo Busseti

.. This file is part of Cvxportfolio.

.. Cvxportfolio is free software: you can redistribute it and/or modify it under
.. the terms of the GNU General Public License as published by the Free Software
.. Foundation, either version 3 of the License, or (at your option) any later
.. version.

.. Cvxportfolio is distributed in the hope that it will be useful, but WITHOUT
.. ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
.. FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
.. details.

.. You should have received a copy of the GNU General Public License along with
.. Cvxportfolio. If not, see <https://www.gnu.org/licenses/>.

Timing of Back-Test
===================

.. automodule:: examples.timing

.. literalinclude:: ../../examples/timing.py
   :language: python
   :start-after: if __name__ ==
   :end-before: # we use this to save the plots
   :dedent:

This is the output printed to screen when executing this script. You can see
the difference in timing between the two runs (all other statistics are
identical) because in the first run covariance matrices are estimated and
saved on disk, and the second time they are loaded. You can also see that
the time accounting done by :class:`cvxportfolio.simulator.MarketSimulator`
is very accurate, and coincides (with a tiny difference) with what is reported
by Python's ``time`` here in the script.

.. literalinclude:: ../_static/timing_output.txt
   :language: text

And these are the figures that are plotted. The first run, with longer
time spent in the policy (which does the covariance estimation,
in the :class:`cvxportfolio.forecast.HistoricalFactorizedCovariance`
object).

.. figure:: ../_static/timing_first_run.png
   :scale: 100 %
   :alt: examples/timing.py result figure

   This figure is made by the :meth:`cvxportfolio.result.BacktestResult.times_plot` method.

And the second run, when covariances are loaded from disk. The time taken
to load them is accounted for in the simulator times (there are a few spikes
there, saved covariances are loaded at each change of universe).

.. figure:: ../_static/timing_second_run.png
   :scale: 100 %
   :alt: examples/timing.py result figure

   This figure is made by the :meth:`cvxportfolio.result.BacktestResult.times_plot` method.