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https://github.com/wassname/catalyst.git
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Eddie Hebert
d31303b86c
- Create different benchmark containers in performance depending on emission rate. - Add a minute close method which updates algorithm and benchmark returns, and calculates the risk metrics depending on those methods. - Provide fake 0.0 values for annualized metrics like sharpe, sortino, and information, until we figure out how they should be treated in the context of minutely calculation. *NOTE* This does not fully work without the changes to the simulation loop by @fawce
58 lines
1.6 KiB
Python
58 lines
1.6 KiB
Python
#
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# Copyright 2013 Quantopian, Inc.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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import unittest
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import datetime
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import pytz
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from zipline.finance.trading import SimulationParameters
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from zipline.finance import risk
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class TestMinuteRisk(unittest.TestCase):
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def setUp(self):
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start_date = datetime.datetime(
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year=2006,
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month=1,
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day=3,
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hour=0,
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minute=0,
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tzinfo=pytz.utc)
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end_date = datetime.datetime(
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year=2006, month=1, day=3, tzinfo=pytz.utc)
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self.sim_params = SimulationParameters(
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period_start=start_date,
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period_end=end_date
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)
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self.sim_params.emission_rate = 'minute'
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def test_minute_risk(self):
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risk_metrics = risk.RiskMetricsIterative(self.sim_params)
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first_dt = self.sim_params.first_open
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second_dt = self.sim_params.first_open + datetime.timedelta(minutes=1)
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risk_metrics.update(first_dt, 1.0, 2.0)
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self.assertEquals(1, len(risk_metrics.alpha))
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risk_metrics.update(second_dt, 3.0, 4.0)
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self.assertEquals(2, len(risk_metrics.alpha))
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