# # Copyright 2014 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 hashlib import os import numpy as np import pandas as pd import pytz import xlrd import requests from six.moves import map def col_letter_to_index(col_letter): # Only supports single letter, # but answer key doesn't need multi-letter, yet. index = 0 for i, char in enumerate(reversed(col_letter)): index += ((ord(char) - 65) + 1) * pow(26, i) return index DIR = os.path.dirname(os.path.realpath(__file__)) ANSWER_KEY_CHECKSUMS_PATH = os.path.join(DIR, 'risk-answer-key-checksums') ANSWER_KEY_CHECKSUMS = open(ANSWER_KEY_CHECKSUMS_PATH, 'r').read().splitlines() ANSWER_KEY_FILENAME = 'risk-answer-key.xlsx' ANSWER_KEY_PATH = os.path.join(DIR, ANSWER_KEY_FILENAME) ANSWER_KEY_BUCKET_NAME = 'zipline-test_data' ANSWER_KEY_DL_TEMPLATE = """ https://s3.amazonaws.com/zipline-test-data/risk/{md5}/risk-answer-key.xlsx """.strip() LATEST_ANSWER_KEY_URL = ANSWER_KEY_DL_TEMPLATE.format( md5=ANSWER_KEY_CHECKSUMS[-1]) def answer_key_signature(): with open(ANSWER_KEY_PATH, 'rb') as f: md5 = hashlib.md5() buf = f.read(1024) md5.update(buf) while buf != b"": buf = f.read(1024) md5.update(buf) return md5.hexdigest() def ensure_latest_answer_key(): """ Get the latest answer key from a publically available location. Logic for determining what and when to download is as such: - If there is no local spreadsheet file, then get the lastest answer key, as defined by the last row in the checksum file. - If there is a local spreadsheet file: -- If the spreadsheet's checksum is in the checksum file: --- If the spreadsheet's checksum does not match the latest, then grab the the latest checksum and replace the local checksum file. --- If the spreadsheet's checksum matches the latest, then skip download, and use the local spreadsheet as a cached copy. -- If the spreadsheet's checksum is not in the checksum file, then leave the local file alone, assuming that the local xls's md5 is not in the list due to local modifications during development. It is possible that md5's could collide, if that is ever case, we should then find an alternative naming scheme. The spreadsheet answer sheet is not kept in SCM, as every edit would increase the repo size by the file size, since it is treated as a binary. """ answer_key_dl_checksum = None local_answer_key_exists = os.path.exists(ANSWER_KEY_PATH) if local_answer_key_exists: local_hash = answer_key_signature() if local_hash in ANSWER_KEY_CHECKSUMS: # Assume previously downloaded version. # Check for latest. if local_hash != ANSWER_KEY_CHECKSUMS[-1]: # More recent checksum, download answer_key_dl_checksum = ANSWER_KEY_CHECKSUMS[-1] else: # Assume local copy that is being developed on answer_key_dl_checksum = None else: answer_key_dl_checksum = ANSWER_KEY_CHECKSUMS[-1] if answer_key_dl_checksum: res = requests.get( ANSWER_KEY_DL_TEMPLATE.format(md5=answer_key_dl_checksum)) with open(ANSWER_KEY_PATH, 'wb') as f: f.write(res.content) # Get latest answer key on load. ensure_latest_answer_key() class DataIndex(object): """ Coordinates for the spreadsheet, using the values as seen in the notebook. The python-excel libraries use 0 index, while the spreadsheet in a GUI uses a 1 index. """ def __init__(self, sheet_name, col, row_start, row_end, value_type='float'): self.sheet_name = sheet_name self.col = col self.row_start = row_start self.row_end = row_end self.value_type = value_type @property def col_index(self): return col_letter_to_index(self.col) - 1 @property def row_start_index(self): return self.row_start - 1 @property def row_end_index(self): return self.row_end - 1 def __str__(self): return "'{sheet_name}'!{col}{row_start}:{col}{row_end}".format( sheet_name=self.sheet_name, col=self.col, row_start=self.row_start, row_end=self.row_end ) class AnswerKey(object): INDEXES = { 'RETURNS': DataIndex('Sim Period', 'D', 4, 255), 'BENCHMARK': { 'Dates': DataIndex('s_p', 'A', 4, 254, value_type='date'), 'Returns': DataIndex('s_p', 'H', 4, 254) }, # Below matches the inconsistent capitalization in spreadsheet 'BENCHMARK_PERIOD_RETURNS': { 'Monthly': DataIndex('s_p', 'R', 8, 19), '3-Month': DataIndex('s_p', 'S', 10, 19), '6-month': DataIndex('s_p', 'T', 13, 19), 'year': DataIndex('s_p', 'U', 19, 19), }, 'BENCHMARK_PERIOD_VOLATILITY': { 'Monthly': DataIndex('s_p', 'V', 8, 19), '3-Month': DataIndex('s_p', 'W', 10, 19), '6-month': DataIndex('s_p', 'X', 13, 19), 'year': DataIndex('s_p', 'Y', 19, 19), }, 'ALGORITHM_PERIOD_RETURNS': { 'Monthly': DataIndex('Sim Period', 'Z', 23, 34), '3-Month': DataIndex('Sim Period', 'AA', 25, 34), '6-month': DataIndex('Sim Period', 'AB', 28, 34), 'year': DataIndex('Sim Period', 'AC', 34, 34), }, 'ALGORITHM_PERIOD_VOLATILITY': { 'Monthly': DataIndex('Sim Period', 'AH', 23, 34), '3-Month': DataIndex('Sim Period', 'AI', 25, 34), '6-month': DataIndex('Sim Period', 'AJ', 28, 34), 'year': DataIndex('Sim Period', 'AK', 34, 34), }, 'ALGORITHM_PERIOD_SHARPE': { 'Monthly': DataIndex('Sim Period', 'AL', 23, 34), '3-Month': DataIndex('Sim Period', 'AM', 25, 34), '6-month': DataIndex('Sim Period', 'AN', 28, 34), 'year': DataIndex('Sim Period', 'AO', 34, 34), }, 'ALGORITHM_PERIOD_BETA': { 'Monthly': DataIndex('Sim Period', 'AP', 23, 34), '3-Month': DataIndex('Sim Period', 'AQ', 25, 34), '6-month': DataIndex('Sim Period', 'AR', 28, 34), 'year': DataIndex('Sim Period', 'AS', 34, 34), }, 'ALGORITHM_PERIOD_ALPHA': { 'Monthly': DataIndex('Sim Period', 'AT', 23, 34), '3-Month': DataIndex('Sim Period', 'AU', 25, 34), '6-month': DataIndex('Sim Period', 'AV', 28, 34), 'year': DataIndex('Sim Period', 'AW', 34, 34), }, 'ALGORITHM_PERIOD_BENCHMARK_VARIANCE': { 'Monthly': DataIndex('Sim Period', 'BJ', 23, 34), '3-Month': DataIndex('Sim Period', 'BK', 25, 34), '6-month': DataIndex('Sim Period', 'BL', 28, 34), 'year': DataIndex('Sim Period', 'BM', 34, 34), }, 'ALGORITHM_PERIOD_COVARIANCE': { 'Monthly': DataIndex('Sim Period', 'BF', 23, 34), '3-Month': DataIndex('Sim Period', 'BG', 25, 34), '6-month': DataIndex('Sim Period', 'BH', 28, 34), 'year': DataIndex('Sim Period', 'BI', 34, 34), }, 'ALGORITHM_PERIOD_DOWNSIDE_RISK': { 'Monthly': DataIndex('Sim Period', 'BN', 23, 34), '3-Month': DataIndex('Sim Period', 'BO', 25, 34), '6-month': DataIndex('Sim Period', 'BP', 28, 34), 'year': DataIndex('Sim Period', 'BQ', 34, 34), }, 'ALGORITHM_PERIOD_SORTINO': { 'Monthly': DataIndex('Sim Period', 'BR', 23, 34), '3-Month': DataIndex('Sim Period', 'BS', 25, 34), '6-month': DataIndex('Sim Period', 'BT', 28, 34), 'year': DataIndex('Sim Period', 'BU', 34, 34), }, 'ALGORITHM_RETURN_VALUES': DataIndex( 'Sim Cumulative', 'D', 4, 254), 'ALGORITHM_CUMULATIVE_VOLATILITY': DataIndex( 'Sim Cumulative', 'P', 4, 254), 'ALGORITHM_CUMULATIVE_SHARPE': DataIndex( 'Sim Cumulative', 'R', 4, 254), 'CUMULATIVE_DOWNSIDE_RISK': DataIndex( 'Sim Cumulative', 'U', 4, 254), 'CUMULATIVE_SORTINO': DataIndex( 'Sim Cumulative', 'V', 4, 254), 'CUMULATIVE_INFORMATION': DataIndex( 'Sim Cumulative', 'AA', 4, 254), 'CUMULATIVE_BETA': DataIndex( 'Sim Cumulative', 'AD', 4, 254), 'CUMULATIVE_ALPHA': DataIndex( 'Sim Cumulative', 'AE', 4, 254), 'CUMULATIVE_MAX_DRAWDOWN': DataIndex( 'Sim Cumulative', 'AH', 4, 254), } def __init__(self): self.workbook = xlrd.open_workbook(ANSWER_KEY_PATH) self.sheets = {} self.sheets['Sim Period'] = self.workbook.sheet_by_name('Sim Period') self.sheets['Sim Cumulative'] = self.workbook.sheet_by_name( 'Sim Cumulative') self.sheets['s_p'] = self.workbook.sheet_by_name('s_p') for name, index in self.INDEXES.items(): if isinstance(index, dict): subvalues = {} for subkey, subindex in index.items(): subvalues[subkey] = self.get_values(subindex) setattr(self, name, subvalues) else: setattr(self, name, self.get_values(index)) def parse_date_value(self, value): return xlrd.xldate_as_tuple(value, 0) def parse_float_value(self, value): return value if value != '' else np.nan def get_raw_values(self, data_index): return self.sheets[data_index.sheet_name].col_values( data_index.col_index, data_index.row_start_index, data_index.row_end_index + 1) @property def value_type_to_value_func(self): return { 'float': self.parse_float_value, 'date': self.parse_date_value, } def get_values(self, data_index): value_parser = self.value_type_to_value_func[data_index.value_type] return [value for value in map(value_parser, self.get_raw_values(data_index))] ANSWER_KEY = AnswerKey() BENCHMARK_DATES = ANSWER_KEY.BENCHMARK['Dates'] BENCHMARK_RETURNS = ANSWER_KEY.BENCHMARK['Returns'] DATES = [datetime.datetime(*x, tzinfo=pytz.UTC) for x in BENCHMARK_DATES] BENCHMARK = pd.Series(dict(zip(DATES, BENCHMARK_RETURNS))) ALGORITHM_RETURNS = pd.Series( dict(zip(DATES, ANSWER_KEY.ALGORITHM_RETURN_VALUES))) RETURNS_DATA = pd.DataFrame({'Benchmark Returns': BENCHMARK, 'Algorithm Returns': ALGORITHM_RETURNS}) RISK_CUMULATIVE = pd.DataFrame({ 'volatility': pd.Series(dict(zip( DATES, ANSWER_KEY.ALGORITHM_CUMULATIVE_VOLATILITY))), 'sharpe': pd.Series(dict(zip( DATES, ANSWER_KEY.ALGORITHM_CUMULATIVE_SHARPE))), 'downside_risk': pd.Series(dict(zip( DATES, ANSWER_KEY.CUMULATIVE_DOWNSIDE_RISK))), 'sortino': pd.Series(dict(zip( DATES, ANSWER_KEY.CUMULATIVE_SORTINO))), 'information': pd.Series(dict(zip( DATES, ANSWER_KEY.CUMULATIVE_INFORMATION))), 'alpha': pd.Series(dict(zip( DATES, ANSWER_KEY.CUMULATIVE_ALPHA))), 'beta': pd.Series(dict(zip( DATES, ANSWER_KEY.CUMULATIVE_BETA))), 'max_drawdown': pd.Series(dict(zip( DATES, ANSWER_KEY.CUMULATIVE_MAX_DRAWDOWN))), })