From 66e7f48cddc9ad874123e80567f1e19c5492fd06 Mon Sep 17 00:00:00 2001 From: Eddie Hebert Date: Mon, 29 Jul 2013 16:19:50 -0400 Subject: [PATCH] MAINT: Split apart risk metrics classes. Also remove test that compares risk metrics batch to iterative, since the 'iterative' calculations, replaced by the cumulative calculations, will intentionally drift from the results in the risk report due to annualization and other factors. Work towards having separate calculations for the fixed periods versus the cumulative/headline risk metrics. Different sumbodules for each type should help make the calculations type distinct and easier to find. --- tests/risk/test_risk.py | 6 +- .../risk/test_risk_compare_batch_iterative.py | 164 ------------------ tests/test_minute_risk.py | 2 +- zipline/finance/performance.py | 8 +- zipline/finance/risk/risk.py | 46 ++++- 5 files changed, 45 insertions(+), 181 deletions(-) delete mode 100644 tests/risk/test_risk_compare_batch_iterative.py diff --git a/tests/risk/test_risk.py b/tests/risk/test_risk.py index 9d0f3402..0526ac11 100644 --- a/tests/risk/test_risk.py +++ b/tests/risk/test_risk.py @@ -92,9 +92,9 @@ class TestRisk(unittest.TestCase): returns = factory.create_returns_from_list( [1.0, -0.5, 0.8, .17, 1.0, -0.1, -0.45], self.sim_params) #200, 100, 180, 210.6, 421.2, 379.8, 208.494 - metrics = risk.RiskMetricsBatch(returns[0].date, - returns[-1].date, - returns) + metrics = risk.RiskMetricsPeriod(returns[0].date, + returns[-1].date, + returns) self.assertEqual(metrics.max_drawdown, 0.505) def test_benchmark_returns_06(self): diff --git a/tests/risk/test_risk_compare_batch_iterative.py b/tests/risk/test_risk_compare_batch_iterative.py deleted file mode 100644 index 1b6165be..00000000 --- a/tests/risk/test_risk_compare_batch_iterative.py +++ /dev/null @@ -1,164 +0,0 @@ -# -# Copyright 2013 Quantopian, Inc. -# -# Licensed under the Apache License, Version 2.0 (the "License"); -# you may not use this file except in compliance with the License. -# You may obtain a copy of the License at -# -# http://www.apache.org/licenses/LICENSE-2.0 -# -# Unless required by applicable law or agreed to in writing, software -# distributed under the License is distributed on an "AS IS" BASIS, -# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. -# See the License for the specific language governing permissions and -# limitations under the License. - -import numbers -import unittest -import datetime -import pytz - -import numpy as np -import pandas as pd - -import zipline.finance.risk as risk -import zipline.finance.trading as trading -from zipline.finance.trading import SimulationParameters -from zipline.protocol import DailyReturn - -from test_risk import RETURNS - - -class RiskCompareIterativeToBatch(unittest.TestCase): - """ - Assert that RiskMetricsIterative and RiskMetricsBatch - behave in the same way. - """ - - def setUp(self): - self.start_date = datetime.datetime( - year=2006, - month=1, - day=1, - hour=0, - minute=0, - tzinfo=pytz.utc) - self.end_date = datetime.datetime( - year=2006, month=12, day=31, tzinfo=pytz.utc) - - def test_risk_metrics_returns(self): - trading.environment = trading.TradingEnvironment() - # Advance start date to first date in the trading calendar - if trading.environment.is_trading_day(self.start_date): - start_date = self.start_date - else: - start_date = trading.environment.next_trading_day(self.start_date) - - self.all_benchmark_returns = pd.Series({ - x.date: x.returns - for x in trading.environment.benchmark_returns - if x.date >= self.start_date - }) - - start_index = trading.environment.trading_days.searchsorted(start_date) - end_date = trading.environment.trading_days[ - start_index + len(RETURNS)] - - sim_params = SimulationParameters(start_date, end_date) - - risk_metrics_refactor = risk.RiskMetricsIterative(sim_params) - todays_date = start_date - - cur_returns = [] - for i, ret in enumerate(RETURNS): - - todays_return_obj = DailyReturn( - todays_date, - ret - ) - cur_returns.append(todays_return_obj) - - try: - risk_metrics_original = risk.RiskMetricsBatch( - start_date=start_date, - end_date=todays_date, - returns=cur_returns - ) - except Exception as e: - #assert that when original raises exception, same - #exception is raised by risk_metrics_refactor - np.testing.assert_raises( - type(e), - risk_metrics_refactor.update, - todays_date, - self.all_benchmark_returns[todays_return_obj.date] - ) - continue - - risk_metrics_refactor.update( - todays_date, - ret, - self.all_benchmark_returns[todays_return_obj.date]) - - # Move forward day counter to next trading day - todays_date = trading.environment.next_trading_day(todays_date) - - self.assertEqual( - risk_metrics_original.start_date, - risk_metrics_refactor.start_date) - self.assertEqual( - risk_metrics_original.end_date, - risk_metrics_refactor.algorithm_returns.index[-1]) - self.assertEqual( - risk_metrics_original.treasury_period_return, - risk_metrics_refactor.treasury_period_return) - np.testing.assert_allclose( - risk_metrics_original.benchmark_returns, - risk_metrics_refactor.benchmark_returns, - rtol=0.001 - ) - np.testing.assert_allclose( - risk_metrics_original.algorithm_returns, - risk_metrics_refactor.algorithm_returns, - rtol=0.001 - ) - risk_original_dict = risk_metrics_original.to_dict() - risk_refactor_dict = risk_metrics_refactor.to_dict() - self.assertEqual(set(risk_original_dict.keys()), - set(risk_refactor_dict.keys())) - - err_msg_format = """\ -"In update step {iter}: {measure} should be {truth} but is {returned}!""" - - for measure in risk_original_dict.iterkeys(): - if measure == 'max_drawdown': - np.testing.assert_almost_equal( - risk_refactor_dict[measure], - risk_original_dict[measure], - err_msg=err_msg_format.format( - iter=i, - measure=measure, - truth=risk_original_dict[measure], - returned=risk_refactor_dict[measure])) - else: - if isinstance(risk_original_dict[measure], numbers.Real): - np.testing.assert_allclose( - risk_original_dict[measure], - risk_refactor_dict[measure], - rtol=0.001, - err_msg=err_msg_format.format( - iter=i, - measure=measure, - truth=risk_original_dict[measure], - returned=risk_refactor_dict[measure]) - ) - else: - np.testing.assert_equal( - risk_original_dict[measure], - risk_refactor_dict[measure], - err_msg=err_msg_format.format( - iter=i, - measure=measure, - truth=risk_original_dict[measure], - returned=risk_refactor_dict[measure]) - ) diff --git a/tests/test_minute_risk.py b/tests/test_minute_risk.py index 9fa02a43..df568a63 100644 --- a/tests/test_minute_risk.py +++ b/tests/test_minute_risk.py @@ -43,7 +43,7 @@ class TestMinuteRisk(unittest.TestCase): def test_minute_risk(self): - risk_metrics = risk.RiskMetricsIterative(self.sim_params) + risk_metrics = risk.RiskMetricsCumulative(self.sim_params) first_dt = self.sim_params.first_open second_dt = self.sim_params.first_open + datetime.timedelta(minutes=1) diff --git a/zipline/finance/performance.py b/zipline/finance/performance.py index 1026d1d1..669ef091 100644 --- a/zipline/finance/performance.py +++ b/zipline/finance/performance.py @@ -171,17 +171,17 @@ class PerformanceTracker(object): index=trading.environment.trading_days) self.intraday_risk_metrics = None self.cumulative_risk_metrics = \ - risk.RiskMetricsIterative(self.sim_params) + risk.RiskMetricsCumulative(self.sim_params) elif self.emission_rate == 'minute': self.all_benchmark_returns = pd.Series(index=pd.date_range( self.sim_params.first_open, self.sim_params.last_close, freq='Min')) self.intraday_risk_metrics = \ - risk.RiskMetricsIterative(self.sim_params) + risk.RiskMetricsCumulative(self.sim_params) self.cumulative_risk_metrics = \ - risk.RiskMetricsIterative(self.sim_params) + risk.RiskMetricsCumulative(self.sim_params) self.cumulative_risk_metrics.initialize_daily_indices() self.minute_performance = PerformancePeriod( @@ -379,7 +379,7 @@ class PerformanceTracker(object): def handle_intraday_close(self): self.intraday_risk_metrics = \ - risk.RiskMetricsIterative(self.sim_params) + risk.RiskMetricsCumulative(self.sim_params) # increment the day counter before we move markers forward. self.day_count += 1.0 # move the market day markers forward diff --git a/zipline/finance/risk/risk.py b/zipline/finance/risk/risk.py index 0dfec3e1..47a118e2 100644 --- a/zipline/finance/risk/risk.py +++ b/zipline/finance/risk/risk.py @@ -292,7 +292,7 @@ that date doesn't exceed treasury history range." raise Exception(message) -class RiskMetricsBase(object): +class RiskMetricsPeriod(object): def __init__(self, start_date, end_date, returns, benchmark_returns=None): @@ -536,12 +536,10 @@ class RiskMetricsBase(object): return 1.0 - math.exp(max_drawdown) -class RiskMetricsIterative(RiskMetricsBase): - """Iterative version of RiskMetrics. - Should behave exaclty like RiskMetricsBatch. - +class RiskMetricsCumulative(object): + """ :Usage: - Instantiate RiskMetricsIterative once. + Instantiate RiskMetricsCumulative once. Call update() method on each dt to update the metrics. """ @@ -814,9 +812,39 @@ algorithm_returns ({algo_count}) in range {start} : {end} on {dt}" self.benchmark_period_returns[-1], self.beta[-1]) + def calculate_volatility(self, daily_returns): + return np.std(daily_returns, ddof=1) * math.sqrt(self.num_trading_days) -class RiskMetricsBatch(RiskMetricsBase): - pass + def calculate_beta(self): + """ + + .. math:: + + \\beta_a = \\frac{\mathrm{Cov}(r_a,r_p)}{\mathrm{Var}(r_p)} + + http://en.wikipedia.org/wiki/Beta_(finance) + """ + #it doesn't make much sense to calculate beta for less than two days, + #so return none. + if len(self.algorithm_returns) < 2: + return 0.0, 0.0, 0.0, 0.0, [] + + returns_matrix = np.vstack([self.algorithm_returns, + self.benchmark_returns]) + C = np.cov(returns_matrix, ddof=1) + eigen_values = la.eigvals(C) + condition_number = max(eigen_values) / min(eigen_values) + algorithm_covariance = C[0][1] + benchmark_variance = C[1][1] + beta = algorithm_covariance / benchmark_variance + + return ( + beta, + algorithm_covariance, + benchmark_variance, + condition_number, + eigen_values + ) class RiskReport(object): @@ -889,7 +917,7 @@ class RiskReport(object): cur_end = cur_start + relativedelta(months=months_per) - one_day if(cur_end > the_end): break - cur_period_metrics = RiskMetricsBatch( + cur_period_metrics = RiskMetricsPeriod( start_date=cur_start, end_date=cur_end, returns=self.algorithm_returns,