mirror of
https://github.com/wassname/catalyst.git
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Eddie Hebert
5579e54c6f
The risk tests originally were based on a spread sheet, with the results of returns etc copy and pasted into the `test_risk` module. Include the spreadsheet and read the values directly using a Python Excel spreadsheet library.
89 lines
2.6 KiB
Python
89 lines
2.6 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 os
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import numpy as np
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import xlrd
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def col_letter_to_index(col_letter):
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# Only supports single letter,
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# but answer key doesn't need multi-letter, yet.
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return ord(col_letter) - 65
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DIR = os.path.dirname(os.path.realpath(__file__))
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ANSWER_KEY_PATH = os.path.join(DIR, 'risk-answer-key.xls')
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class DataIndex(object):
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"""
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Coordinates for the spreadsheet, using the values as seen in the notebook.
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The python-excel libraries use 0 index, while the spreadsheet in a GUI
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uses a 1 index.
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"""
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def __init__(self, sheet_name, col, row_start, row_end):
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self.sheet_name = sheet_name
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self.col = col
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self.row_start = row_start
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self.row_end = row_end
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@property
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def col_index(self):
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return col_letter_to_index(self.col)
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@property
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def row_start_index(self):
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return self.row_start - 1
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@property
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def row_end_index(self):
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return self.row_end - 1
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class AnswerKey(object):
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RETURNS = DataIndex('Sim', 'D', 4, 255)
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# Below matches the inconsistent capitalization in spreadsheet
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BENCHMARK_PERIOD_RETURNS = {
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'Monthly': DataIndex('s_p', 'P', 8, 19),
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'3-Month': DataIndex('s_p', 'Q', 10, 19),
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'6-month': DataIndex('s_p', 'R', 13, 19),
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'year': DataIndex('s_p', 'S', 19, 19),
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}
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BENCHMARK_PERIOD_VOLATILITY = {
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'Monthly': DataIndex('s_p', 'T', 8, 19),
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'3-Month': DataIndex('s_p', 'U', 10, 19),
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'6-month': DataIndex('s_p', 'V', 13, 19),
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'year': DataIndex('s_p', 'W', 19, 19),
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}
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def __init__(self):
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self.workbook = xlrd.open_workbook(ANSWER_KEY_PATH)
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self.sheets = {}
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self.sheets['Sim'] = self.workbook.sheet_by_name('Sim')
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self.sheets['s_p'] = self.workbook.sheet_by_name('s_p')
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def get_values(self, data_index, decimal=4):
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return [np.round(x, decimal) for x in
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self.sheets[data_index.sheet_name].col_values(
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data_index.col_index,
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data_index.row_start_index,
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data_index.row_end_index + 1)]
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