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https://github.com/wassname/catalyst.git
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Merge move of risk module treasury curve methods to module functions.
Intent is to both make the inputs to the treasury curve logic more clear/explicit, as well as reducing the responsibilities of the RiskMetrics classes. Functions to move: - search_day_distance - get_treasury_rate - choose_treasury Also add new function: - select_treasury_duration, split out of choose_treasury
This commit is contained in:
Eddie Hebert
@@ -88,12 +88,6 @@ class RiskCompareIterativeToBatch(unittest.TestCase):
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self.assertEqual(
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risk_metrics_original.end_date,
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risk_metrics_refactor.end_date)
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self.assertEqual(
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risk_metrics_original.treasury_duration,
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risk_metrics_refactor.treasury_duration)
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self.assertEqual(
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risk_metrics_original.treasury_curve,
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risk_metrics_refactor.treasury_curve)
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self.assertEqual(
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risk_metrics_original.treasury_period_return,
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risk_metrics_refactor.treasury_period_return)
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+120
-93
@@ -58,7 +58,6 @@ Risk Report
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import logbook
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import datetime
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import math
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import bisect
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import numpy as np
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import numpy.linalg as la
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from dateutil.relativedelta import relativedelta
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@@ -173,11 +172,120 @@ def alpha(algorithm_period_return, treasury_period_return,
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(treasury_period_return + beta *
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(benchmark_period_returns - treasury_period_return))
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###########################
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# End Risk Metric Section #
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###########################
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def get_treasury_rate(treasury_curves, treasury_duration, day):
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rate = None
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curve = treasury_curves[day]
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# 1month note data begins in 8/2001,
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# so we can use 3month instead.
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idx = TREASURY_DURATIONS.index(treasury_duration)
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for duration in TREASURY_DURATIONS[idx:]:
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rate = curve[duration]
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if rate is not None:
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break
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return rate
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def search_day_distance(end_date, dt):
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tdd = trading.environment.trading_day_distance(dt, end_date)
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if tdd is None:
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return None
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assert tdd >= 0
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return tdd
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def select_treasury_duration(start_date, end_date):
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td = end_date - start_date
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if td.days <= 31:
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treasury_duration = '1month'
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elif td.days <= 93:
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treasury_duration = '3month'
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elif td.days <= 186:
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treasury_duration = '6month'
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elif td.days <= 366:
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treasury_duration = '1year'
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elif td.days <= 365 * 2 + 1:
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treasury_duration = '2year'
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elif td.days <= 365 * 3 + 1:
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treasury_duration = '3year'
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elif td.days <= 365 * 5 + 2:
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treasury_duration = '5year'
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elif td.days <= 365 * 7 + 2:
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treasury_duration = '7year'
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elif td.days <= 365 * 10 + 2:
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treasury_duration = '10year'
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else:
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treasury_duration = '30year'
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return treasury_duration
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def choose_treasury(treasury_curves, start_date, end_date):
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treasury_duration = select_treasury_duration(start_date, end_date)
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end_day = end_date.replace(hour=0, minute=0, second=0)
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search_day = None
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if end_day in treasury_curves:
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rate = get_treasury_rate(treasury_curves,
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treasury_duration,
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end_day)
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if rate is not None:
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search_day = end_day
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if not search_day:
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# in case end date is not a trading day or there is no treasury
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# data, search for the previous day with an interest rate.
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search_days = treasury_curves.index
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# Find rightmost value less than or equal to end_day
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i = search_days.searchsorted(end_day)
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for prev_day in search_days[i - 1::-1]:
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rate = get_treasury_rate(treasury_curves,
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treasury_duration,
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prev_day)
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if rate is not None:
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search_day = prev_day
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search_dist = search_day_distance(end_date, prev_day)
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break
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if search_day:
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if (search_dist is None or search_dist > 1) and \
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search_days[0] <= end_day <= search_days[-1]:
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message = "No rate within 1 trading day of end date = \
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{dt} and term = {term}. Using {search_day}. Check that date doesn't exceed \
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treasury history range."
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message = message.format(dt=end_date,
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term=treasury_duration,
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search_day=search_day)
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log.warn(message)
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if search_day:
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td = end_date - start_date
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return rate * (td.days + 1) / 365
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message = "No rate for end date = {dt} and term = {term}. Check \
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that date doesn't exceed treasury history range."
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message = message.format(
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dt=end_date,
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term=treasury_duration
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)
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raise Exception(message)
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class RiskMetricsBase(object):
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def __init__(self, start_date, end_date, returns):
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self.treasury_curves = trading.environment.treasury_curves
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treasury_curves = trading.environment.treasury_curves
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mask = ((treasury_curves.index >= start_date) &
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(treasury_curves.index <= end_date))
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self.treasury_curves = treasury_curves[mask]
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self.start_date = start_date
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self.end_date = end_date
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@@ -208,7 +316,11 @@ class RiskMetricsBase(object):
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self.benchmark_returns)
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self.algorithm_volatility = self.calculate_volatility(
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self.algorithm_returns)
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self.treasury_period_return = self.choose_treasury()
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self.treasury_period_return = choose_treasury(
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self.treasury_curves,
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self.start_date,
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self.end_date
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)
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self.sharpe = self.calculate_sharpe()
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self.sortino = self.calculate_sortino()
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self.information = self.calculate_information()
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@@ -396,95 +508,6 @@ class RiskMetricsBase(object):
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return 1.0 - math.exp(max_drawdown)
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def choose_treasury(self):
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td = self.end_date - self.start_date
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if td.days <= 31:
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self.treasury_duration = '1month'
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elif td.days <= 93:
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self.treasury_duration = '3month'
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elif td.days <= 186:
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self.treasury_duration = '6month'
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elif td.days <= 366:
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self.treasury_duration = '1year'
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elif td.days <= 365 * 2 + 1:
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self.treasury_duration = '2year'
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elif td.days <= 365 * 3 + 1:
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self.treasury_duration = '3year'
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elif td.days <= 365 * 5 + 2:
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self.treasury_duration = '5year'
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elif td.days <= 365 * 7 + 2:
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self.treasury_duration = '7year'
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elif td.days <= 365 * 10 + 2:
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self.treasury_duration = '10year'
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else:
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self.treasury_duration = '30year'
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end_day = self.end_date.replace(hour=0, minute=0, second=0)
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search_day = None
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if end_day in self.treasury_curves:
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rate = self.get_treasury_rate(end_day)
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if rate is not None:
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search_day = end_day
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if not search_day:
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# in case end date is not a trading day or there is no treasury
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# data, search for the previous day with an interest rate.
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search_days = self.treasury_curves.keys()
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# Find rightmost value less than or equal to end_day
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i = bisect.bisect_right(search_days, end_day)
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for prev_day in search_days[i - 1::-1]:
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rate = self.get_treasury_rate(prev_day)
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if rate is not None:
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search_day = prev_day
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search_dist = self.search_day_distance(prev_day)
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break
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if search_day:
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if (search_dist is None or search_dist > 1) and \
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search_days[0] <= end_day <= search_days[-1]:
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message = "No rate within 1 trading day of end date = \
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{dt} and term = {term}. Using {search_day}. Check that date doesn't exceed \
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treasury history range."
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message = message.format(dt=self.end_date,
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term=self.treasury_duration,
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search_day=search_day)
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log.warn(message)
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if search_day:
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self.treasury_curve = self.treasury_curves[search_day]
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return rate * (td.days + 1) / 365
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message = "No rate for end date = {dt} and term = {term}. Check \
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that date doesn't exceed treasury history range."
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message = message.format(
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dt=self.end_date,
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term=self.treasury_duration
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)
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raise Exception(message)
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def search_day_distance(self, dt):
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tdd = trading.environment.trading_day_distance(dt, self.end_date)
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if tdd is None:
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return None
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assert tdd >= 0
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return tdd
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def get_treasury_rate(self, day):
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rate = None
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curve = self.treasury_curves[day]
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# 1month note data begins in 8/2001,
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# so we can use 3month instead.
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idx = TREASURY_DURATIONS.index(self.treasury_duration)
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for duration in TREASURY_DURATIONS[idx:]:
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rate = curve[duration]
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if rate is not None:
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break
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return rate
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class RiskMetricsIterative(RiskMetricsBase):
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"""Iterative version of RiskMetrics.
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@@ -556,7 +579,11 @@ algorithm_returns ({algo_count}) in range {start} : {end}"
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self.calculate_volatility(self.benchmark_returns))
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self.algorithm_volatility.append(
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self.calculate_volatility(self.algorithm_returns))
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self.treasury_period_return = self.choose_treasury()
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self.treasury_period_return = choose_treasury(
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self.treasury_curves,
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self.start_date,
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self.end_date
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)
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self.excess_returns.append(
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self.algorithm_period_returns[-1] - self.treasury_period_return)
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self.beta.append(self.calculate_beta()[0])
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