Heatmaps

The wikipedia page features the Global Industry Classification Standard (GICS) structure of sectors and sub-industries. We will aggregate the data by:

• Sector, for a top-down view
• Sub-industry, for a bottom-up view
• Finally, sector and sub-industry, to pick winners and losers within each sector

We use the .groupby() method and sort by score. We then use the Styler constructor .style.background_gradient() to paint the market by numbers:

groupby_cols = ['score'] + regime_cols
sort_key = ['GICS Sector']
regime_df.groupby(sort_key)[groupby_cols].mean().sort_values(
    by= 'score').style.background_gradient(
    subset= groupby_cols,cmap= 'RdYlGn').format('{:.1g}')

The heatmap covers all regime methodologies in both absolute and relative:

• score: lateral sum of all the methods at the stock level.
• rg: floor/ceiling regime in absolute.
• rrg: floor/ceiling regime in relative...