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ENH: Add max leverage account guard

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Brian Fink
2015-04-10 15:19:54 -04:00
parent 2f895bddcd
commit 8baf52fe01
19 changed files with 47518 additions and 166768 deletions
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tests/risk/test_minute_risk.py
+3 -2
View File
@@ -47,11 +47,12 @@ class TestMinuteRisk(unittest.TestCase):
first_dt = self.sim_params.first_open
second_dt = self.sim_params.first_open + datetime.timedelta(minutes=1)
account = {'leverage': 0.0}
risk_metrics.update(first_dt, 1.0, 2.0)
risk_metrics.update(first_dt, 1.0, 2.0, account)
self.assertEquals(1, len(risk_metrics.metrics.alpha.valid()))
risk_metrics.update(second_dt, 3.0, 4.0)
risk_metrics.update(second_dt, 3.0, 4.0, account)
self.assertEquals(2, len(risk_metrics.metrics.alpha.valid()))
tests/risk/test_risk_cumulative.py
+2 -1
View File
@@ -56,7 +56,8 @@ class TestRisk(unittest.TestCase):
for dt, returns in answer_key.RETURNS_DATA.iterrows():
self.cumulative_metrics_06.update(dt,
returns['Algorithm Returns'],
returns['Benchmark Returns'])
returns['Benchmark Returns'],
{'leverage': 0.0})
def test_algorithm_volatility_06(self):
algo_vol_answers = answer_key.RISK_CUMULATIVE.volatility