# # Copyright 2016 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 datetime import calendar import pandas as pd import numpy as np import pytz from itertools import chain from six import itervalues import zipline.finance.risk as risk from zipline.utils import factory from zipline.finance.trading import SimulationParameters from zipline.testing.fixtures import WithTradingEnvironment, ZiplineTestCase from . import answer_key from . answer_key import AnswerKey ANSWER_KEY = AnswerKey() RETURNS = ANSWER_KEY.RETURNS class TestRisk(WithTradingEnvironment, ZiplineTestCase): def init_instance_fixtures(self): super(TestRisk, self).init_instance_fixtures() start_session = pd.Timestamp("2006-01-01", tz='UTC') end_session = self.trading_calendar.minute_to_session_label( pd.Timestamp("2006-12-31", tz='UTC'), direction="previous" ) self.sim_params = SimulationParameters( start_session=start_session, end_session=end_session, trading_calendar=self.trading_calendar, ) self.algo_returns_06 = factory.create_returns_from_list( RETURNS, self.sim_params ) self.benchmark_returns_06 = \ answer_key.RETURNS_DATA['Benchmark Returns'] self.metrics_06 = risk.RiskReport( self.algo_returns_06, self.sim_params, benchmark_returns=self.benchmark_returns_06, trading_calendar=self.trading_calendar, treasury_curves=self.env.treasury_curves, ) self.sim_params08 = SimulationParameters( start_session=pd.Timestamp("2008-01-01", tz='UTC'), end_session=pd.Timestamp("2008-12-31", tz='UTC'), trading_calendar=self.trading_calendar, ) def test_factory(self): returns = [0.1] * 100 r_objects = factory.create_returns_from_list(returns, self.sim_params) self.assertTrue(r_objects.index[-1] <= datetime.datetime( year=2006, month=12, day=31, tzinfo=pytz.utc)) def test_drawdown(self): 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.RiskMetricsPeriod( returns.index[0], returns.index[-1], returns, trading_calendar=self.trading_calendar, benchmark_returns=self.env.benchmark_returns, treasury_curves=self.env.treasury_curves, ) self.assertEqual(metrics.max_drawdown, 0.505) def test_benchmark_returns_06(self): np.testing.assert_almost_equal( [x.benchmark_period_returns for x in self.metrics_06.month_periods], ANSWER_KEY.BENCHMARK_PERIOD_RETURNS['Monthly']) np.testing.assert_almost_equal( [x.benchmark_period_returns for x in self.metrics_06.three_month_periods], ANSWER_KEY.BENCHMARK_PERIOD_RETURNS['3-Month']) np.testing.assert_almost_equal( [x.benchmark_period_returns for x in self.metrics_06.six_month_periods], ANSWER_KEY.BENCHMARK_PERIOD_RETURNS['6-month']) np.testing.assert_almost_equal( [x.benchmark_period_returns for x in self.metrics_06.year_periods], ANSWER_KEY.BENCHMARK_PERIOD_RETURNS['year']) def test_trading_days_06(self): returns = factory.create_returns_from_range(self.sim_params) metrics = risk.RiskReport(returns, self.sim_params, trading_calendar=self.trading_calendar, treasury_curves=self.env.treasury_curves, benchmark_returns=self.env.benchmark_returns) self.assertEqual([x.num_trading_days for x in metrics.year_periods], [251]) self.assertEqual([x.num_trading_days for x in metrics.month_periods], [20, 19, 23, 19, 22, 22, 20, 23, 20, 22, 21, 20]) def test_benchmark_volatility_06(self): np.testing.assert_almost_equal( [x.benchmark_volatility for x in self.metrics_06.month_periods], ANSWER_KEY.BENCHMARK_PERIOD_VOLATILITY['Monthly']) np.testing.assert_almost_equal( [x.benchmark_volatility for x in self.metrics_06.three_month_periods], ANSWER_KEY.BENCHMARK_PERIOD_VOLATILITY['3-Month']) np.testing.assert_almost_equal( [x.benchmark_volatility for x in self.metrics_06.six_month_periods], ANSWER_KEY.BENCHMARK_PERIOD_VOLATILITY['6-month']) np.testing.assert_almost_equal( [x.benchmark_volatility for x in self.metrics_06.year_periods], ANSWER_KEY.BENCHMARK_PERIOD_VOLATILITY['year']) def test_algorithm_returns_06(self): np.testing.assert_almost_equal( [x.algorithm_period_returns for x in self.metrics_06.month_periods], ANSWER_KEY.ALGORITHM_PERIOD_RETURNS['Monthly']) np.testing.assert_almost_equal( [x.algorithm_period_returns for x in self.metrics_06.three_month_periods], ANSWER_KEY.ALGORITHM_PERIOD_RETURNS['3-Month']) np.testing.assert_almost_equal( [x.algorithm_period_returns for x in self.metrics_06.six_month_periods], ANSWER_KEY.ALGORITHM_PERIOD_RETURNS['6-month']) np.testing.assert_almost_equal( [x.algorithm_period_returns for x in self.metrics_06.year_periods], ANSWER_KEY.ALGORITHM_PERIOD_RETURNS['year']) def test_algorithm_volatility_06(self): np.testing.assert_almost_equal( [x.algorithm_volatility for x in self.metrics_06.month_periods], ANSWER_KEY.ALGORITHM_PERIOD_VOLATILITY['Monthly']) np.testing.assert_almost_equal( [x.algorithm_volatility for x in self.metrics_06.three_month_periods], ANSWER_KEY.ALGORITHM_PERIOD_VOLATILITY['3-Month']) np.testing.assert_almost_equal( [x.algorithm_volatility for x in self.metrics_06.six_month_periods], ANSWER_KEY.ALGORITHM_PERIOD_VOLATILITY['6-month']) np.testing.assert_almost_equal( [x.algorithm_volatility for x in self.metrics_06.year_periods], ANSWER_KEY.ALGORITHM_PERIOD_VOLATILITY['year']) def test_algorithm_sharpe_06(self): np.testing.assert_almost_equal( [x.sharpe for x in self.metrics_06.month_periods], ANSWER_KEY.ALGORITHM_PERIOD_SHARPE['Monthly']) np.testing.assert_almost_equal( [x.sharpe for x in self.metrics_06.three_month_periods], ANSWER_KEY.ALGORITHM_PERIOD_SHARPE['3-Month']) np.testing.assert_almost_equal( [x.sharpe for x in self.metrics_06.six_month_periods], ANSWER_KEY.ALGORITHM_PERIOD_SHARPE['6-month']) np.testing.assert_almost_equal( [x.sharpe for x in self.metrics_06.year_periods], ANSWER_KEY.ALGORITHM_PERIOD_SHARPE['year']) def test_algorithm_downside_risk_06(self): np.testing.assert_almost_equal( [x.downside_risk for x in self.metrics_06.month_periods], ANSWER_KEY.ALGORITHM_PERIOD_DOWNSIDE_RISK['Monthly'], decimal=4) np.testing.assert_almost_equal( [x.downside_risk for x in self.metrics_06.three_month_periods], ANSWER_KEY.ALGORITHM_PERIOD_DOWNSIDE_RISK['3-Month'], decimal=4) np.testing.assert_almost_equal( [x.downside_risk for x in self.metrics_06.six_month_periods], ANSWER_KEY.ALGORITHM_PERIOD_DOWNSIDE_RISK['6-month'], decimal=4) np.testing.assert_almost_equal( [x.downside_risk for x in self.metrics_06.year_periods], ANSWER_KEY.ALGORITHM_PERIOD_DOWNSIDE_RISK['year'], decimal=4) def test_algorithm_sortino_06(self): np.testing.assert_almost_equal( [x.sortino for x in self.metrics_06.month_periods], ANSWER_KEY.ALGORITHM_PERIOD_SORTINO['Monthly'], decimal=3) np.testing.assert_almost_equal( [x.sortino for x in self.metrics_06.three_month_periods], ANSWER_KEY.ALGORITHM_PERIOD_SORTINO['3-Month'], decimal=3) np.testing.assert_almost_equal( [x.sortino for x in self.metrics_06.six_month_periods], ANSWER_KEY.ALGORITHM_PERIOD_SORTINO['6-month'], decimal=3) np.testing.assert_almost_equal( [x.sortino for x in self.metrics_06.year_periods], ANSWER_KEY.ALGORITHM_PERIOD_SORTINO['year'], decimal=3) def test_algorithm_information_06(self): self.assertEqual([round(x.information, 3) for x in self.metrics_06.month_periods], [0.131, -0.11, -0.067, 0.136, 0.301, -0.387, 0.107, -0.032, -0.058, 0.069, 0.095, -0.123]) self.assertEqual([round(x.information, 3) for x in self.metrics_06.three_month_periods], [-0.013, -0.009, 0.111, -0.014, -0.017, -0.108, 0.011, -0.004, 0.032, 0.011]) self.assertEqual([round(x.information, 3) for x in self.metrics_06.six_month_periods], [-0.013, -0.014, -0.003, -0.002, -0.011, -0.041, 0.011]) self.assertEqual([round(x.information, 3) for x in self.metrics_06.year_periods], [-0.001]) def test_algorithm_beta_06(self): np.testing.assert_almost_equal( [x.beta for x in self.metrics_06.month_periods], ANSWER_KEY.ALGORITHM_PERIOD_BETA['Monthly']) np.testing.assert_almost_equal( [x.beta for x in self.metrics_06.three_month_periods], ANSWER_KEY.ALGORITHM_PERIOD_BETA['3-Month']) np.testing.assert_almost_equal( [x.beta for x in self.metrics_06.six_month_periods], ANSWER_KEY.ALGORITHM_PERIOD_BETA['6-month']) np.testing.assert_almost_equal( [x.beta for x in self.metrics_06.year_periods], ANSWER_KEY.ALGORITHM_PERIOD_BETA['year']) def test_algorithm_alpha_06(self): np.testing.assert_almost_equal( [x.alpha for x in self.metrics_06.month_periods], ANSWER_KEY.ALGORITHM_PERIOD_ALPHA['Monthly']) np.testing.assert_almost_equal( [x.alpha for x in self.metrics_06.three_month_periods], ANSWER_KEY.ALGORITHM_PERIOD_ALPHA['3-Month']) np.testing.assert_almost_equal( [x.alpha for x in self.metrics_06.six_month_periods], ANSWER_KEY.ALGORITHM_PERIOD_ALPHA['6-month']) np.testing.assert_almost_equal( [x.alpha for x in self.metrics_06.year_periods], ANSWER_KEY.ALGORITHM_PERIOD_ALPHA['year']) # FIXME: Covariance is not matching excel precisely enough to run the test. # Month 4 seems to be the problem. Variance is disabled # just to avoid distraction - it is much closer than covariance # and can probably pass with 6 significant digits instead of 7. # re-enable variance, alpha, and beta tests once this is resolved def test_algorithm_covariance_06(self): np.testing.assert_almost_equal( [x.algorithm_covariance for x in self.metrics_06.month_periods], ANSWER_KEY.ALGORITHM_PERIOD_COVARIANCE['Monthly']) np.testing.assert_almost_equal( [x.algorithm_covariance for x in self.metrics_06.three_month_periods], ANSWER_KEY.ALGORITHM_PERIOD_COVARIANCE['3-Month']) np.testing.assert_almost_equal( [x.algorithm_covariance for x in self.metrics_06.six_month_periods], ANSWER_KEY.ALGORITHM_PERIOD_COVARIANCE['6-month']) np.testing.assert_almost_equal( [x.algorithm_covariance for x in self.metrics_06.year_periods], ANSWER_KEY.ALGORITHM_PERIOD_COVARIANCE['year']) def test_benchmark_variance_06(self): np.testing.assert_almost_equal( [x.benchmark_variance for x in self.metrics_06.month_periods], ANSWER_KEY.ALGORITHM_PERIOD_BENCHMARK_VARIANCE['Monthly']) np.testing.assert_almost_equal( [x.benchmark_variance for x in self.metrics_06.three_month_periods], ANSWER_KEY.ALGORITHM_PERIOD_BENCHMARK_VARIANCE['3-Month']) np.testing.assert_almost_equal( [x.benchmark_variance for x in self.metrics_06.six_month_periods], ANSWER_KEY.ALGORITHM_PERIOD_BENCHMARK_VARIANCE['6-month']) np.testing.assert_almost_equal( [x.benchmark_variance for x in self.metrics_06.year_periods], ANSWER_KEY.ALGORITHM_PERIOD_BENCHMARK_VARIANCE['year']) def test_benchmark_returns_08(self): returns = factory.create_returns_from_range(self.sim_params08) metrics = risk.RiskReport(returns, self.sim_params08, trading_calendar=self.trading_calendar, treasury_curves=self.env.treasury_curves, benchmark_returns=self.env.benchmark_returns) self.assertEqual([round(x.benchmark_period_returns, 3) for x in metrics.month_periods], [-0.061, -0.035, -0.006, 0.048, 0.011, -0.086, -0.01, 0.012, -0.091, -0.169, -0.075, 0.008]) self.assertEqual([round(x.benchmark_period_returns, 3) for x in metrics.three_month_periods], [-0.099, 0.005, 0.052, -0.032, -0.085, -0.084, -0.089, -0.236, -0.301, -0.226]) self.assertEqual([round(x.benchmark_period_returns, 3) for x in metrics.six_month_periods], [-0.128, -0.081, -0.036, -0.118, -0.301, -0.36, -0.294]) self.assertEqual([round(x.benchmark_period_returns, 3) for x in metrics.year_periods], [-0.385]) def test_trading_days_08(self): returns = factory.create_returns_from_range(self.sim_params08) metrics = risk.RiskReport(returns, self.sim_params08, trading_calendar=self.trading_calendar, treasury_curves=self.env.treasury_curves, benchmark_returns=self.env.benchmark_returns) self.assertEqual([x.num_trading_days for x in metrics.year_periods], [253]) self.assertEqual([x.num_trading_days for x in metrics.month_periods], [21, 20, 20, 22, 21, 21, 22, 21, 21, 23, 19, 22]) def test_benchmark_volatility_08(self): returns = factory.create_returns_from_range(self.sim_params08) metrics = risk.RiskReport(returns, self.sim_params08, trading_calendar=self.trading_calendar, treasury_curves=self.env.treasury_curves, benchmark_returns=self.env.benchmark_returns) self.assertEqual([round(x.benchmark_volatility, 3) for x in metrics.month_periods], [0.07, 0.058, 0.082, 0.054, 0.041, 0.057, 0.068, 0.06, 0.157, 0.244, 0.195, 0.145]) self.assertEqual([round(x.benchmark_volatility, 3) for x in metrics.three_month_periods], [0.12, 0.113, 0.105, 0.09, 0.098, 0.107, 0.179, 0.293, 0.344, 0.34]) self.assertEqual([round(x.benchmark_volatility, 3) for x in metrics.six_month_periods], [0.15, 0.149, 0.15, 0.2, 0.308, 0.36, 0.383]) # TODO: ugly, but I can't get the rounded float to match. # maybe we need a different test that checks the # difference between the numbers self.assertEqual([round(x.benchmark_volatility, 3) for x in metrics.year_periods], [0.411]) def test_treasury_returns_06(self): returns = factory.create_returns_from_range(self.sim_params) metrics = risk.RiskReport(returns, self.sim_params, trading_calendar=self.trading_calendar, treasury_curves=self.env.treasury_curves, benchmark_returns=self.env.benchmark_returns) self.assertEqual([round(x.treasury_period_return, 4) for x in metrics.month_periods], [0.0037, 0.0034, 0.0039, 0.0038, 0.0040, 0.0037, 0.0043, 0.0043, 0.0038, 0.0044, 0.0043, 0.004]) self.assertEqual([round(x.treasury_period_return, 4) for x in metrics.three_month_periods], [0.0114, 0.0116, 0.0122, 0.0125, 0.0129, 0.0127, 0.0123, 0.0128, 0.0125, 0.0127]) self.assertEqual([round(x.treasury_period_return, 4) for x in metrics.six_month_periods], [0.0260, 0.0257, 0.0258, 0.0252, 0.0259, 0.0256, 0.0257]) self.assertEqual([round(x.treasury_period_return, 4) for x in metrics.year_periods], [0.0500]) def test_benchmarkrange(self): start_session = self.trading_calendar.minute_to_session_label( pd.Timestamp("2008-01-01", tz='UTC') ) end_session = self.trading_calendar.minute_to_session_label( pd.Timestamp("2010-01-01", tz='UTC'), direction="previous" ) sim_params = SimulationParameters( start_session=start_session, end_session=end_session, trading_calendar=self.trading_calendar, ) returns = factory.create_returns_from_range(sim_params) metrics = risk.RiskReport(returns, self.sim_params, trading_calendar=self.trading_calendar, treasury_curves=self.env.treasury_curves, benchmark_returns=self.env.benchmark_returns) self.check_metrics(metrics, 24, start_session) # self.check_year_range( # datetime.datetime( # year=2008, month=1, day=1, tzinfo=pytz.utc), # 2) def test_partial_month(self): start_session = self.trading_calendar.minute_to_session_label( pd.Timestamp("1991-01-01", tz='UTC') ) # 1992 and 1996 were leap years total_days = 365 * 5 + 2 end_session = start_session + datetime.timedelta(days=total_days) sim_params90s = SimulationParameters( start_session=start_session, end_session=end_session, trading_calendar=self.trading_calendar, ) returns = factory.create_returns_from_range(sim_params90s) returns = returns[:-10] # truncate the returns series to end mid-month metrics = risk.RiskReport(returns, sim_params90s, trading_calendar=self.trading_calendar, treasury_curves=self.env.treasury_curves, benchmark_returns=self.env.benchmark_returns) total_months = 60 self.check_metrics(metrics, total_months, start_session) def check_metrics(self, metrics, total_months, start_date): """ confirm that the right number of riskmetrics were calculated for each window length. """ self.assert_range_length( metrics.month_periods, total_months, 1, start_date ) self.assert_range_length( metrics.three_month_periods, total_months, 3, start_date ) self.assert_range_length( metrics.six_month_periods, total_months, 6, start_date ) self.assert_range_length( metrics.year_periods, total_months, 12, start_date ) def assert_last_day(self, period_end): # 30 days has september, april, june and november if period_end.month in [9, 4, 6, 11]: self.assertEqual(period_end.day, 30) # all the rest have 31, except for february elif(period_end.month != 2): self.assertEqual(period_end.day, 31) else: if calendar.isleap(period_end.year): self.assertEqual(period_end.day, 29) else: self.assertEqual(period_end.day, 28) def assert_month(self, start_month, actual_end_month): if start_month == 1: expected_end_month = 12 else: expected_end_month = start_month - 1 self.assertEqual(expected_end_month, actual_end_month) def assert_range_length(self, col, total_months, period_length, start_date): if (period_length > total_months): self.assertEqual(len(col), 0) else: self.assertEqual( len(col), total_months - (period_length - 1), "mismatch for total months - \ expected:{total_months}/actual:{actual}, \ period:{period_length}, start:{start_date}, \ calculated end:{end}".format(total_months=total_months, period_length=period_length, start_date=start_date, end=col[-1]._end_session, actual=len(col)) ) self.assert_month(start_date.month, col[-1]._end_session.month) self.assert_last_day(col[-1]._end_session) def test_sparse_benchmark(self): benchmark_returns = self.benchmark_returns_06.copy() # Set every other day to nan. benchmark_returns.iloc[::2] = np.nan report = risk.RiskReport( self.algo_returns_06, self.sim_params, benchmark_returns=benchmark_returns, trading_calendar=self.trading_calendar, treasury_curves=self.env.treasury_curves, ) for risk_period in chain.from_iterable(itervalues(report.to_dict())): self.assertIsNone(risk_period['beta'])