mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-29 20:15:35 +08:00
Eddie Hebert
808 lines
30 KiB
Python
808 lines
30 KiB
Python
#
|
|
# Copyright 2012 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 unittest
|
|
import datetime
|
|
import calendar
|
|
import pytz
|
|
import zipline.finance.risk as risk
|
|
from zipline.utils import factory
|
|
|
|
from zipline.finance.trading import TradingEnvironment
|
|
|
|
|
|
class Risk(unittest.TestCase):
|
|
|
|
def setUp(self):
|
|
|
|
start_date = datetime.datetime(
|
|
year=2006,
|
|
month=1,
|
|
day=1,
|
|
hour=0,
|
|
minute=0,
|
|
tzinfo=pytz.utc)
|
|
end_date = datetime.datetime(
|
|
year=2006, month=12, day=31, tzinfo=pytz.utc)
|
|
|
|
self.benchmark_returns, self.treasury_curves = \
|
|
factory.load_market_data()
|
|
|
|
self.trading_env = TradingEnvironment(
|
|
self.benchmark_returns,
|
|
self.treasury_curves,
|
|
period_start=start_date,
|
|
period_end=end_date
|
|
)
|
|
|
|
self.onesec = datetime.timedelta(seconds=1)
|
|
self.oneday = datetime.timedelta(days=1)
|
|
self.tradingday = datetime.timedelta(hours=6, minutes=30)
|
|
self.dt = datetime.datetime.utcnow()
|
|
|
|
self.algo_returns_06 = factory.create_returns_from_list(
|
|
RETURNS,
|
|
self.trading_env
|
|
)
|
|
|
|
self.metrics_06 = risk.RiskReport(
|
|
self.algo_returns_06,
|
|
self.trading_env
|
|
)
|
|
|
|
start_08 = datetime.datetime(
|
|
year=2008,
|
|
month=1,
|
|
day=1,
|
|
hour=0,
|
|
minute=0,
|
|
tzinfo=pytz.utc)
|
|
|
|
end_08 = datetime.datetime(
|
|
year=2008,
|
|
month=12,
|
|
day=31,
|
|
tzinfo=pytz.utc
|
|
)
|
|
self.trading_env08 = TradingEnvironment(
|
|
self.benchmark_returns,
|
|
self.treasury_curves,
|
|
period_start=start_08,
|
|
period_end=end_08
|
|
)
|
|
|
|
def tearDown(self):
|
|
return
|
|
|
|
def test_factory(self):
|
|
returns = [0.1] * 100
|
|
r_objects = factory.create_returns_from_list(returns, self.trading_env)
|
|
self.assertTrue(r_objects[-1].date <=
|
|
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.trading_env)
|
|
#200, 100, 180, 210.6, 421.2, 379.8, 208.494
|
|
metrics = risk.RiskMetrics(returns[0].date,
|
|
returns[-1].date,
|
|
returns,
|
|
self.trading_env)
|
|
self.assertEqual(metrics.max_drawdown, 0.505)
|
|
|
|
def test_benchmark_returns_06(self):
|
|
returns = factory.create_returns_from_range(self.trading_env)
|
|
metrics = risk.RiskReport(returns, self.trading_env)
|
|
self.assertEqual([round(x.benchmark_period_returns, 4)
|
|
for x in metrics.month_periods],
|
|
[0.0255,
|
|
0.0005,
|
|
0.0111,
|
|
0.0122,
|
|
-0.0309,
|
|
0.0001,
|
|
0.0051,
|
|
0.0213,
|
|
0.0246,
|
|
0.0315,
|
|
0.0165,
|
|
0.0126])
|
|
self.assertEqual([round(x.benchmark_period_returns, 4)
|
|
for x in metrics.three_month_periods],
|
|
[0.0373,
|
|
0.0239,
|
|
-0.0083,
|
|
-0.0191,
|
|
-0.0259,
|
|
0.0266,
|
|
0.0517,
|
|
0.0793,
|
|
0.0743,
|
|
0.0617])
|
|
self.assertEqual([round(x.benchmark_period_returns, 4)
|
|
for x in metrics.six_month_periods],
|
|
[0.0176,
|
|
-0.0027,
|
|
0.0181,
|
|
0.0316,
|
|
0.0514,
|
|
0.1028,
|
|
0.1166])
|
|
self.assertEqual([round(x.benchmark_period_returns, 4)
|
|
for x in metrics.year_periods],
|
|
[0.1362])
|
|
|
|
def test_trading_days_06(self):
|
|
returns = factory.create_returns_from_range(self.trading_env)
|
|
metrics = risk.RiskReport(returns, self.trading_env)
|
|
self.assertEqual([x.trading_days for x in metrics.year_periods],
|
|
[251])
|
|
self.assertEqual([x.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):
|
|
returns = factory.create_returns_from_range(self.trading_env)
|
|
metrics = risk.RiskReport(returns, self.trading_env)
|
|
self.assertEqual([round(x.benchmark_volatility, 3)
|
|
for x in metrics.month_periods],
|
|
[0.031,
|
|
0.026,
|
|
0.024,
|
|
0.025,
|
|
0.037,
|
|
0.047,
|
|
0.039,
|
|
0.022,
|
|
0.023,
|
|
0.021,
|
|
0.025,
|
|
0.019])
|
|
|
|
self.assertEqual([round(x.benchmark_volatility, 3)
|
|
for x in metrics.three_month_periods],
|
|
[0.047,
|
|
0.042,
|
|
0.050,
|
|
0.064,
|
|
0.070,
|
|
0.064,
|
|
0.049,
|
|
0.037,
|
|
0.039,
|
|
0.037])
|
|
|
|
self.assertEqual([round(x.benchmark_volatility, 3)
|
|
for x in metrics.six_month_periods],
|
|
[0.079,
|
|
0.082,
|
|
0.081,
|
|
0.081,
|
|
0.08,
|
|
0.074,
|
|
0.061])
|
|
|
|
self.assertEqual([round(x.benchmark_volatility, 3)
|
|
for x in metrics.year_periods],
|
|
[0.100])
|
|
|
|
def test_algorithm_returns_06(self):
|
|
self.assertEqual([round(x.algorithm_period_returns, 3)
|
|
for x in self.metrics_06.month_periods],
|
|
[0.101,
|
|
-0.062,
|
|
-0.041,
|
|
0.092,
|
|
0.135,
|
|
-0.25,
|
|
0.076,
|
|
-0.003,
|
|
-0.024,
|
|
0.072,
|
|
0.063,
|
|
-0.071])
|
|
|
|
self.assertEqual([round(x.algorithm_period_returns, 3)
|
|
for x in self.metrics_06.three_month_periods],
|
|
[-0.009,
|
|
-0.017,
|
|
0.188,
|
|
-0.071,
|
|
-0.085,
|
|
-0.196,
|
|
0.047,
|
|
0.043,
|
|
0.112,
|
|
0.058])
|
|
|
|
self.assertEqual([round(x.algorithm_period_returns, 3)
|
|
for x in self.metrics_06.six_month_periods],
|
|
[-0.08,
|
|
-0.101,
|
|
-0.044,
|
|
-0.027,
|
|
-0.045,
|
|
-0.106,
|
|
0.108])
|
|
|
|
self.assertEqual([round(x.algorithm_period_returns, 3)
|
|
for x in self.metrics_06.year_periods],
|
|
[0.02])
|
|
|
|
def test_algorithm_volatility_06(self):
|
|
self.assertEqual([round(x.algorithm_volatility, 3)
|
|
for x in self.metrics_06.month_periods],
|
|
[0.137,
|
|
0.12,
|
|
0.13,
|
|
0.142,
|
|
0.128,
|
|
0.14,
|
|
0.141,
|
|
0.118,
|
|
0.143,
|
|
0.144,
|
|
0.117,
|
|
0.135])
|
|
|
|
self.assertEqual([round(x.algorithm_volatility, 3)
|
|
for x in self.metrics_06.three_month_periods],
|
|
[0.222,
|
|
0.224,
|
|
0.229,
|
|
0.243,
|
|
0.243,
|
|
0.235,
|
|
0.23,
|
|
0.231,
|
|
0.231,
|
|
0.227])
|
|
|
|
self.assertEqual([round(x.algorithm_volatility, 3)
|
|
for x in self.metrics_06.six_month_periods],
|
|
[0.328,
|
|
0.329,
|
|
0.329,
|
|
0.333,
|
|
0.334,
|
|
0.329,
|
|
0.321])
|
|
|
|
self.assertEqual([round(x.algorithm_volatility, 3)
|
|
for x in self.metrics_06.year_periods],
|
|
[0.458])
|
|
|
|
def test_algorithm_sharpe_06(self):
|
|
self.assertEqual([round(x.sharpe, 3)
|
|
for x in self.metrics_06.month_periods],
|
|
[0.711,
|
|
-0.541,
|
|
-0.348,
|
|
0.625,
|
|
1.017,
|
|
-1.809,
|
|
0.508,
|
|
-0.062,
|
|
-0.193,
|
|
0.467,
|
|
0.502,
|
|
-0.557])
|
|
|
|
self.assertEqual([round(x.sharpe, 3)
|
|
for x in self.metrics_06.three_month_periods],
|
|
[-0.094,
|
|
-0.129,
|
|
0.769,
|
|
-0.342,
|
|
-0.402,
|
|
-0.888,
|
|
0.153,
|
|
0.131,
|
|
0.432,
|
|
0.2])
|
|
|
|
self.assertEqual([round(x.sharpe, 3)
|
|
for x in self.metrics_06.six_month_periods],
|
|
[-0.322,
|
|
-0.383,
|
|
-0.213,
|
|
-0.156,
|
|
-0.213,
|
|
-0.398,
|
|
0.257])
|
|
|
|
self.assertEqual([round(x.sharpe, 3)
|
|
for x in self.metrics_06.year_periods],
|
|
[-0.066])
|
|
|
|
def dtest_algorithm_beta_06(self):
|
|
self.assertEqual([round(x.beta, 3)
|
|
for x in self.metrics_06.month_periods],
|
|
[0.553,
|
|
0.583,
|
|
-2.168,
|
|
-0.548,
|
|
1.463,
|
|
-0.322,
|
|
-1.38,
|
|
1.473,
|
|
-1.315,
|
|
-0.7,
|
|
0.352,
|
|
-2.002])
|
|
|
|
self.assertEqual([round(x.beta, 3)
|
|
for x in self.metrics_06.three_month_periods],
|
|
[-0.075,
|
|
-0.637,
|
|
0.124,
|
|
0.186,
|
|
-0.204,
|
|
-0.497,
|
|
-0.867,
|
|
-0.173,
|
|
-0.499,
|
|
-0.563])
|
|
|
|
self.assertEqual([round(x.beta, 3)
|
|
for x in self.metrics_06.six_month_periods],
|
|
[-0.075,
|
|
-0.637,
|
|
0.124,
|
|
0.186,
|
|
-0.204,
|
|
-0.497,
|
|
-0.867,
|
|
-0.173,
|
|
-0.499,
|
|
-0.563])
|
|
self.assertEqual([round(x.beta, 3)
|
|
for x in self.metrics_06.year_periods], [-0.219])
|
|
|
|
def dtest_algorithm_alpha_06(self):
|
|
self.assertEqual([round(x.alpha, 3)
|
|
for x in self.metrics_06.month_periods],
|
|
[0.085,
|
|
-0.063,
|
|
-0.03,
|
|
0.093,
|
|
0.182,
|
|
-0.255,
|
|
0.073,
|
|
-0.032,
|
|
0,
|
|
0.086,
|
|
0.054,
|
|
-0.058])
|
|
|
|
self.assertEqual([round(x.alpha, 3)
|
|
for x in self.metrics_06.three_month_periods],
|
|
[-0.051,
|
|
-0.021,
|
|
0.179,
|
|
-0.077,
|
|
-0.106,
|
|
-0.202,
|
|
0.069,
|
|
0.042,
|
|
0.13,
|
|
0.073])
|
|
|
|
self.assertEqual([round(x.alpha, 3)
|
|
for x in self.metrics_06.six_month_periods],
|
|
[-0.105,
|
|
-0.135,
|
|
-0.072,
|
|
-0.051,
|
|
-0.066,
|
|
-0.094,
|
|
0.152])
|
|
self.assertEqual([round(x.alpha, 3)
|
|
for x in self.metrics_06.year_periods],
|
|
[-0.011])
|
|
|
|
# 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 dtest_algorithm_covariance_06(self):
|
|
metric = self.metrics_06.month_periods[3]
|
|
print repr(metric)
|
|
print "----"
|
|
self.assertEqual([round(x.algorithm_covariance, 7)
|
|
for x in self.metrics_06.month_periods],
|
|
[0.0000289,
|
|
0.0000222,
|
|
-0.0000554,
|
|
-0.0000192,
|
|
0.0000954,
|
|
-0.0000333,
|
|
-0.0001111,
|
|
0.0000322,
|
|
-0.0000349,
|
|
-0.0000143,
|
|
0.0000108,
|
|
-0.0000386])
|
|
|
|
self.assertEqual([round(x.algorithm_covariance, 7)
|
|
for x in self.metrics_06.three_month_periods],
|
|
[-0.0000026,
|
|
-0.0000189,
|
|
0.0000049,
|
|
0.0000121,
|
|
-0.0000158,
|
|
-0.000031,
|
|
-0.0000336,
|
|
-0.0000036,
|
|
-0.0000119,
|
|
-0.0000122])
|
|
|
|
self.assertEqual([round(x.algorithm_covariance, 7)
|
|
for x in self.metrics_06.six_month_periods],
|
|
[0.000005,
|
|
-0.0000172,
|
|
-0.0000142,
|
|
-0.0000102,
|
|
-0.0000089,
|
|
-0.0000207,
|
|
-0.0000229])
|
|
|
|
self.assertEqual([round(x.algorithm_covariance, 7)
|
|
for x in self.metrics_06.year_periods],
|
|
[-8.75273E-06])
|
|
|
|
def dtest_benchmark_variance_06(self):
|
|
self.assertEqual([round(x.benchmark_variance, 7)
|
|
for x in self.metrics_06.month_periods],
|
|
[0.0000496,
|
|
0.000036,
|
|
0.0000244,
|
|
0.0000332,
|
|
0.0000623,
|
|
0.0000989,
|
|
0.0000765,
|
|
0.0000209,
|
|
0.0000252,
|
|
0.0000194,
|
|
0.0000292,
|
|
0.0000183])
|
|
|
|
self.assertEqual([round(x.benchmark_variance, 7)
|
|
for x in self.metrics_06.three_month_periods],
|
|
[0.0000351,
|
|
0.0000298,
|
|
0.0000395,
|
|
0.0000648,
|
|
0.0000773,
|
|
0.0000625,
|
|
0.0000387,
|
|
0.0000211,
|
|
0.0000238,
|
|
0.0000217])
|
|
|
|
self.assertEqual([round(x.benchmark_variance, 7)
|
|
for x in self.metrics_06.six_month_periods],
|
|
[0.0000499,
|
|
0.0000538,
|
|
0.0000508,
|
|
0.0000517,
|
|
0.0000492,
|
|
0.0000432,
|
|
0.00003])
|
|
|
|
self.assertEqual([round(x.benchmark_variance, 7)
|
|
for x in self.metrics_06.year_periods],
|
|
[0.0000399])
|
|
|
|
def test_benchmark_returns_08(self):
|
|
returns = factory.create_returns_from_range(self.trading_env08)
|
|
metrics = risk.RiskReport(returns, self.trading_env08)
|
|
|
|
monthly = [round(x.benchmark_period_returns, 3)
|
|
for x in metrics.month_periods]
|
|
|
|
self.assertEqual(monthly,
|
|
[-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,
|
|
-0.360,
|
|
-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.trading_env08)
|
|
metrics = risk.RiskReport(returns, self.trading_env08)
|
|
self.assertEqual([x.trading_days for x in metrics.year_periods],
|
|
[253])
|
|
|
|
self.assertEqual([x.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.trading_env08)
|
|
metrics = risk.RiskReport(returns, self.trading_env08)
|
|
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],
|
|
[0.120,
|
|
0.113,
|
|
0.105,
|
|
0.09,
|
|
0.098,
|
|
0.107,
|
|
0.179,
|
|
0.293,
|
|
0.344,
|
|
0.340])
|
|
|
|
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],
|
|
[0.41099999999999998])
|
|
|
|
def test_treasury_returns_06(self):
|
|
returns = factory.create_returns_from_range(self.trading_env)
|
|
metrics = risk.RiskReport(returns, self.trading_env)
|
|
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,
|
|
0.0041])
|
|
|
|
self.assertEqual([round(x.treasury_period_return, 4)
|
|
for x in metrics.three_month_periods],
|
|
[0.0114,
|
|
0.0118,
|
|
0.0122,
|
|
0.0125,
|
|
0.0129,
|
|
0.0127,
|
|
0.0123,
|
|
0.0128,
|
|
0.0125,
|
|
0.0128])
|
|
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,
|
|
0.0258])
|
|
|
|
self.assertEqual([round(x.treasury_period_return, 4)
|
|
for x in metrics.year_periods],
|
|
[0.0500])
|
|
|
|
def test_benchmarkrange(self):
|
|
self.check_year_range(datetime.datetime(year=2008, month=1, day=1),
|
|
2)
|
|
|
|
def test_partial_month(self):
|
|
|
|
start = datetime.datetime(
|
|
year=1991,
|
|
month=1,
|
|
day=1,
|
|
hour=0,
|
|
minute=0,
|
|
tzinfo=pytz.utc)
|
|
|
|
#1992 and 1996 were leap years
|
|
total_days = 365 * 5 + 2
|
|
end = start + datetime.timedelta(days=total_days)
|
|
trading_env90s = TradingEnvironment(
|
|
self.benchmark_returns,
|
|
self.treasury_curves,
|
|
period_start=start,
|
|
period_end=end
|
|
)
|
|
|
|
returns = factory.create_returns(total_days, trading_env90s)
|
|
returns = returns[:-10] # truncate the returns series to end mid-month
|
|
metrics = risk.RiskReport(returns, trading_env90s)
|
|
total_months = 60
|
|
self.check_metrics(metrics, total_months, start)
|
|
|
|
def check_year_range(self, start_date, years):
|
|
if(start_date.month <= 2):
|
|
ld = calendar.leapdays(start_date.year, start_date.year + years)
|
|
else:
|
|
# because we may catch the leap of the last year,
|
|
# and i think this func is [start,end)
|
|
ld = calendar.leapdays(start_date.year,
|
|
start_date.year + years + 1)
|
|
returns = factory.create_returns(365 * years + ld, self.trading_env08)
|
|
metrics = risk.RiskReport(returns, self.trading_env)
|
|
total_months = years * 12
|
|
self.check_metrics(metrics, total_months, start_date)
|
|
|
|
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_date,
|
|
actual=len(col)
|
|
))
|
|
self.assert_month(start_date.month, col[-1].end_date.month)
|
|
self.assert_last_day(col[-1].end_date)
|
|
|
|
RETURNS = [
|
|
0.0093, -0.0193, 0.0351, 0.0396, 0.0338, -0.0211, 0.0389,
|
|
0.0326, -0.0137, -0.0411, -0.0032, 0.0149, 0.0133, 0.0348,
|
|
0.042, -0.0455, 0.0262, -0.0461, 0.0021, -0.0273, -0.0429,
|
|
0.0427, -0.0104, 0.0346, -0.0311, 0.0003, 0.0211, 0.0248,
|
|
-0.0215, 0.004, 0.0267, 0.0029, -0.0369, 0.0057, 0.0298,
|
|
-0.0179, -0.0361, -0.0401, -0.0123, -0.005, 0.0203, -0.041,
|
|
0.0011, 0.0118, 0.0103, -0.0184, -0.0437, 0.0411, -0.0242,
|
|
-0.0054, -0.0039, -0.0273, -0.0075, 0.0064, -0.0376, 0.0424,
|
|
0.0399, 0.019, 0.0236, -0.0284, -0.0341, 0.0266, 0.05,
|
|
0.0069, -0.0442, -0.016, 0.0173, 0.0348, -0.0404, -0.0068,
|
|
-0.0376, 0.0356, 0.0043, -0.0481, -0.0134, 0.0257, 0.0442,
|
|
0.0234, 0.0394, 0.0376, -0.0147, -0.0098, 0.0474, -0.0102,
|
|
0.0138, 0.0286, 0.0347, 0.0279, -0.0067, 0.0462, -0.0432,
|
|
0.0247, 0.0174, -0.0305, -0.0317, -0.0068, 0.0264, -0.0257,
|
|
-0.0328, 0.0092, 0.0288, -0.002, 0.0288, 0.028, -0.0093,
|
|
0.0178, -0.0365, -0.0086, -0.0133, -0.0309, 0.0473, -0.0149,
|
|
0.0378, -0.0316, -0.0292, -0.0453, -0.0451, 0.0093, 0.0397,
|
|
-0.0361, -0.0168, -0.0494, -0.0143, -0.0405, -0.0349, 0.0069,
|
|
0.0378, -0.0233, -0.0492, 0.018, -0.0386, 0.0339, 0.0119,
|
|
0.0454, 0.0118, -0.011, -0.0254, 0.0266, -0.0366, -0.0211,
|
|
0.0399, 0.0307, 0.035, -0.0402, 0.0304, -0.0031, 0.0256,
|
|
0.0134, -0.0019, -0.0235, -0.0058, -0.0117, 0.0051, -0.0451,
|
|
-0.0466, -0.0124, 0.0283, -0.0499, 0.0318, -0.0028, 0.0203,
|
|
0.005, 0.0085, 0.0048, 0.0277, 0.0159, -0.0149, 0.035,
|
|
0.0404, -0.01, 0.0377, 0.0302, 0.0046, -0.0328, -0.0469,
|
|
0.0071, -0.0382, -0.0214, 0.0429, 0.0145, -0.0279, -0.0172,
|
|
0.0423, 0.041, -0.0183, 0.0137, -0.0412, -0.0348, 0.0302,
|
|
0.0248, 0.0051, -0.0298, -0.0103, -0.0333, -0.0399, 0.0485,
|
|
-0.0166, 0.0384, 0.0259, -0.0163, 0.0357, 0.0308, -0.0386,
|
|
0.0481, -0.0446, -0.0282, -0.0037, 0.0202, 0.0216, 0.0113,
|
|
0.0194, 0.0392, 0.0016, 0.0268, -0.0155, -0.027, 0.02,
|
|
0.0216, -0.0009, 0.022, 0., 0.041, 0.0133, -0.0382,
|
|
0.0495, -0.0221, -0.0329, -0.0033, -0.0089, -0.0129, -0.0252,
|
|
0.048, -0.0307, -0.0357, 0.0033, -0.0412, -0.0407, 0.0455,
|
|
0.0159, -0.0051, -0.0274, -0.0213, 0.0361, 0.0051, -0.0378,
|
|
0.0084, 0.0066, -0.0103, -0.0037, 0.0478, -0.0278
|
|
]
|