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DEV: Adjust performance calculations for capital changes

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Refactor PerformancePeriod so that it creates a sub-period every
time a capital change happens within the period
This commit is contained in:
Andrew Liang
2016-05-24 17:23:36 -04:00
parent 1630dc65d6
commit 40f42b43f5
6 changed files with 818 additions and 34 deletions
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tests/test_perf_tracking.py
+110 -9
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@@ -1277,7 +1277,7 @@ class TestPositionPerformance(WithInstanceTmpDir, ZiplineTestCase):
pp.calculate_performance()
self.assertEqual(
pp.period_cash_flow,
pp.cash_flow,
-1 * txn.price * txn.amount,
"capital used should be equal to the opposite of the transaction \
cost of sole txn in test"
@@ -1387,7 +1387,7 @@ single short-sale transaction"""
pp.calculate_performance()
self.assertEqual(
pp.period_cash_flow,
pp.cash_flow,
-1 * txn.price * txn.amount,
"capital used should be equal to the opposite of the transaction\
cost of sole txn in test"
@@ -1443,7 +1443,7 @@ single short-sale transaction"""
pp.calculate_performance()
self.assertEqual(
pp.period_cash_flow,
pp.cash_flow,
0,
"capital used should be zero, there were no transactions in \
performance period"
@@ -1506,7 +1506,7 @@ single short-sale transaction"""
ppTotal.calculate_performance()
self.assertEqual(
ppTotal.period_cash_flow,
ppTotal.cash_flow,
-1 * txn.price * txn.amount,
"capital used should be equal to the opposite of the transaction \
cost of sole txn in test"
@@ -1624,7 +1624,7 @@ cost of sole txn in test"
pp.calculate_performance()
self.assertEqual(
pp.period_cash_flow,
pp.cash_flow,
0,
"there should be no cash flow on a futures txn"
)
@@ -1737,7 +1737,7 @@ single short-sale transaction"""
pp.calculate_performance()
self.assertEqual(
pp.period_cash_flow,
pp.cash_flow,
0,
"there should be no cash flow on a futures txn"
)
@@ -1797,7 +1797,7 @@ single short-sale transaction"""
pp.calculate_performance()
self.assertEqual(
pp.period_cash_flow,
pp.cash_flow,
0,
"capital used should be zero, there were no transactions in \
performance period"
@@ -1869,7 +1869,7 @@ single short-sale transaction"""
ppTotal.calculate_performance()
self.assertEqual(
ppTotal.period_cash_flow,
ppTotal.cash_flow,
0,
"capital used should be equal to the opposite of the transaction \
cost of sole txn in test"
@@ -1986,7 +1986,7 @@ trade after cover"""
cover_txn_cost = cover_txn.price * cover_txn.amount
self.assertEqual(
pp.period_cash_flow,
pp.cash_flow,
-1 * short_txn_cost - cover_txn_cost,
"capital used should be equal to the net transaction costs"
)
@@ -2193,6 +2193,107 @@ shares in position"
self.assertEqual(pp.positions[1].cost_basis, cost_bases[-1])
def test_capital_change_intra_period(self):
self.create_environment_stuff()
# post some trades in the market
trades = factory.create_trade_history(
self.asset1,
[10.0, 11.0, 12.0, 13.0],
[100, 100, 100, 100],
oneday,
self.sim_params,
env=self.env
)
data_portal = create_data_portal_from_trade_history(
self.env,
self.instance_tmpdir,
self.sim_params,
{1: trades})
txn = create_txn(self.asset1, trades[0].dt, 10.0, 100)
pt = perf.PositionTracker(self.env.asset_finder,
self.sim_params.data_frequency)
pp = perf.PerformancePeriod(1000.0, self.env.asset_finder,
self.sim_params.data_frequency,
period_open=self.sim_params.period_start,
period_close=self.sim_params.period_end)
pp.position_tracker = pt
pt.execute_transaction(txn)
pp.handle_execution(txn)
# sync prices and calculate performance before we introduce a capital
# change
pt.sync_last_sale_prices(trades[2].dt, False, data_portal)
pp.calculate_performance()
pp.subdivide_period(1000.0)
pt.sync_last_sale_prices(trades[-1].dt, False, data_portal)
pp.calculate_performance()
self.assertAlmostEqual(pp.returns, 1200/1000 * 2300/2200 - 1)
self.assertAlmostEqual(pp.pnl, 300)
self.assertAlmostEqual(pp.cash_flow, -1000)
def test_capital_change_inter_period(self):
self.create_environment_stuff()
# post some trades in the market
trades = factory.create_trade_history(
self.asset1,
[10.0, 11.0, 12.0, 13.0],
[100, 100, 100, 100],
oneday,
self.sim_params,
env=self.env
)
data_portal = create_data_portal_from_trade_history(
self.env,
self.instance_tmpdir,
self.sim_params,
{1: trades})
txn = create_txn(self.asset1, trades[0].dt, 10.0, 100)
pt = perf.PositionTracker(self.env.asset_finder,
self.sim_params.data_frequency)
pp = perf.PerformancePeriod(1000.0, self.env.asset_finder,
self.sim_params.data_frequency,
period_open=self.sim_params.period_start,
period_close=self.sim_params.period_end)
pp.position_tracker = pt
pt.execute_transaction(txn)
pp.handle_execution(txn)
pt.sync_last_sale_prices(trades[0].dt, False, data_portal)
pp.calculate_performance()
self.assertAlmostEqual(pp.returns, 0)
self.assertAlmostEqual(pp.pnl, 0)
self.assertAlmostEqual(pp.cash_flow, -1000)
pp.rollover()
pt.sync_last_sale_prices(trades[1].dt, False, data_portal)
pp.calculate_performance()
self.assertAlmostEqual(pp.returns, 1100.0/1000.0 - 1)
self.assertAlmostEqual(pp.pnl, 100)
self.assertAlmostEqual(pp.cash_flow, 0)
pp.rollover()
pp.adjust_period_starting_capital(1000)
pt.sync_last_sale_prices(trades[2].dt, False, data_portal)
pp.calculate_performance()
self.assertAlmostEqual(pp.returns, 2200.0/2100.0 - 1)
self.assertAlmostEqual(pp.pnl, 100)
self.assertAlmostEqual(pp.cash_flow, 0)
pp.rollover()
pt.sync_last_sale_prices(trades[3].dt, False, data_portal)
pp.calculate_performance()
self.assertAlmostEqual(pp.returns, 2300.0/2200.0 - 1)
self.assertAlmostEqual(pp.pnl, 100)
self.assertAlmostEqual(pp.cash_flow, 0)
class TestPositionTracker(WithTradingEnvironment,
WithInstanceTmpDir,