mirror of
https://github.com/wassname/catalyst.git
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Eddie Hebert
66e7f48cdd
Also remove test that compares risk metrics batch to iterative, since the 'iterative' calculations, replaced by the cumulative calculations, will intentionally drift from the results in the risk report due to annualization and other factors. Work towards having separate calculations for the fixed periods versus the cumulative/headline risk metrics. Different sumbodules for each type should help make the calculations type distinct and easier to find.
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.RiskMetricsCumulative(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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