Merge pull request #119 from quantopian/ditch_maxdd

dropping max drawdown, adding pytz to whitelist.

etc/requirements_sci.txt

@@ -7,7 +7,7 @@ numpy>=1.6.1
 pandas==0.8.0
 scipy>=0.10.0
 
-matplotlib==1.1.0
+#matplotlib==1.1.0
 #http://sourceforge.net/projects/matplotlib/files/matplotlib/matplotlib-1.1.0/matplotlib-1.1.0.tar.gz
 
 numexpr==2.0.1

tests/test_finance.py

@@ -66,7 +66,6 @@ class FinanceTestCase(TestCase):
             period_start = datetime(2008, 1, 1, tzinfo = pytz.utc),
             period_end = datetime(2008, 12, 31, tzinfo = pytz.utc),
             capital_base = 100000,
-            max_drawdown = 0.50
         )
         #holidays taken from: http://www.nyse.com/press/1191407641943.html
         new_years   = datetime(2008, 1, 1, tzinfo = pytz.utc)

zipline/finance/performance.py

@@ -41,10 +41,6 @@ Performance Tracking
     |                 | For details look at the comments for               |
     |                 | :py:meth:`zipline.finance.risk.RiskMetrics.to_dict`|
     +-----------------+----------------------------------------------------+
-    | exceeded_max_   | True if the simulation was stopped because single  |
-    | loss            | day losses exceeded the max_drawdown stipulated in |
-    |                 | trading_environment.                               |
-    +-----------------+----------------------------------------------------+
 
 Position Tracking
 =================
@@ -131,7 +127,7 @@ import zipline.finance.risk as risk
 log = logbook.Logger('Performance')
 
 class PerformanceTracker(object):
-    
+
     """
     Tracks the performance of the zipline as it is running in
     the simulator, relays this out to the Deluge broker and then
@@ -163,7 +159,6 @@ class PerformanceTracker(object):
         self.txn_count               = 0
         self.event_count             = 0
         self.last_dict               = None
-        self.exceeded_max_loss       = False
 
         # this performance period will span the entire simulation.
         self.cumulative_performance = PerformancePeriod(
@@ -196,7 +191,7 @@ class PerformanceTracker(object):
         for sid in sid_list:
             self.cumulative_performance.positions[sid] = Position(sid)
             self.todays_performance.positions[sid] = Position(sid)
-    
+
     def transform(self, stream_in):
         """
         Main generator work loop.
@@ -206,15 +201,6 @@ class PerformanceTracker(object):
                 event.perf_message = self.handle_simulation_end()
                 del event['TRANSACTION']
                 yield event
-            elif self.exceeded_max_loss:
-                # in case of max_loss, signal to downstream
-                # generators that we are done.
-                event.dt = "DONE"
-                event.perf_message = self.handle_simulation_end()
-                del event['TRANSACTION']
-                yield event
-                # Cut off the rest of the stream.
-                raise StopIteration()
             else:
                 event.perf_message = self.process_event(event)
                 event.portfolio = self.get_portfolio()
@@ -245,9 +231,6 @@ class PerformanceTracker(object):
 
         message = None
 
-        if self.exceeded_max_loss:
-            return message
-
         assert isinstance(event, zp.ndict)
         self.event_count += 1
 
@@ -296,19 +279,6 @@ class PerformanceTracker(object):
         # browser.
         daily_update = self.to_dict()
 
-        if self.trading_environment.max_drawdown:
-            returns = self.todays_performance.returns
-            max_dd = -1 * self.trading_environment.max_drawdown
-            if returns < max_dd:
-                log.info(str(returns) + " broke through " + str(max_dd))
-                log.info("Exceeded max drawdown.")
-                # mark the perf period with max loss flag,
-                # so it shows up in the update, but don't end the test
-                # here. Let the update go out before stopping
-                self.exceeded_max_loss = True
-                return daily_update
-
-
         #move the market day markers forward
         self.market_open = self.market_open + self.calendar_day
 
@@ -343,14 +313,11 @@ class PerformanceTracker(object):
 
         # the stream will end on the last trading day, but will not trigger
         # an end of day, so we trigger the final market close here.
-        # In the case of max drawdown, we needn't close again.
-        if not self.exceeded_max_loss:
-            self.handle_market_close()
+        self.handle_market_close()
 
         self.risk_report = risk.RiskReport(
             self.returns,
-            self.trading_environment,
-            exceeded_max_loss = self.exceeded_max_loss
+            self.trading_environment
         )
 
         risk_dict = self.risk_report.to_dict()

zipline/finance/risk.py

@@ -332,7 +332,7 @@ class RiskReport():
         self,
         algorithm_returns,
         trading_environment,
-        exceeded_max_loss=False):
+        ):
         """
         algorithm_returns needs to be a list of daily_return objects
         sorted in date ascending order
@@ -340,7 +340,6 @@ class RiskReport():
 
         self.algorithm_returns = algorithm_returns
         self.trading_environment = trading_environment
-        self.exceeded_max_loss = exceeded_max_loss
         self.created = epoch_now()
 
         if len(self.algorithm_returns) == 0:
@@ -375,7 +374,6 @@ class RiskReport():
             'three_month'       : [x.to_dict() for x in self.three_month_periods],
             'six_month'         : [x.to_dict() for x in self.six_month_periods],
             'twelve_month'      : [x.to_dict() for x in self.year_periods],
-            'exceeded_max_loss' : self.exceeded_max_loss,
             'created'           : self.created
         }
 

zipline/finance/trading.py

@@ -49,8 +49,7 @@ class TradingEnvironment(object):
         treasury_curves,
         period_start    = None,
         period_end      = None,
-        capital_base    = None,
-        max_drawdown    = None
+        capital_base    = None
     ):
 
         self.trading_days = []
@@ -61,7 +60,6 @@ class TradingEnvironment(object):
         self.period_end = period_end
         self.capital_base = capital_base
         self.period_trading_days = None
-        self.max_drawdown = max_drawdown
 
         assert self.period_start <= self.period_end, \
             "Period start falls after period end."