mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-15 11:22:18 +08:00
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.
812 lines
29 KiB
Python
812 lines
29 KiB
Python
#
|
|
# Copyright 2013 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 numpy as np
|
|
import pytz
|
|
import zipline.finance.risk as risk
|
|
from zipline.utils import factory
|
|
|
|
from zipline.finance.trading import SimulationParameters
|
|
|
|
from . answer_key import AnswerKey
|
|
|
|
ANSWER_KEY = AnswerKey()
|
|
|
|
RETURNS = ANSWER_KEY.get_values(AnswerKey.RETURNS)
|
|
|
|
|
|
class TestRisk(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.sim_params = SimulationParameters(
|
|
period_start=start_date,
|
|
period_end=end_date
|
|
)
|
|
|
|
self.algo_returns_06 = factory.create_returns_from_list(
|
|
RETURNS,
|
|
self.sim_params
|
|
)
|
|
|
|
self.metrics_06 = risk.RiskReport(
|
|
self.algo_returns_06,
|
|
self.sim_params
|
|
)
|
|
|
|
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.sim_params08 = SimulationParameters(
|
|
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.sim_params)
|
|
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.sim_params)
|
|
#200, 100, 180, 210.6, 421.2, 379.8, 208.494
|
|
metrics = risk.RiskMetricsBatch(returns[0].date,
|
|
returns[-1].date,
|
|
returns)
|
|
self.assertEqual(metrics.max_drawdown, 0.505)
|
|
|
|
def test_benchmark_returns_06(self):
|
|
returns = factory.create_returns_from_range(self.sim_params)
|
|
metrics = risk.RiskReport(returns, self.sim_params)
|
|
answer_key_month_periods = ANSWER_KEY.get_values(
|
|
AnswerKey.BENCHMARK_PERIOD_RETURNS['Monthly'])
|
|
self.assertEqual([round(x.benchmark_period_returns, 4)
|
|
for x in metrics.month_periods],
|
|
answer_key_month_periods)
|
|
answer_key_three_month_periods = ANSWER_KEY.get_values(
|
|
AnswerKey.BENCHMARK_PERIOD_RETURNS['3-Month'])
|
|
self.assertEqual([round(x.benchmark_period_returns, 4)
|
|
for x in metrics.three_month_periods],
|
|
answer_key_three_month_periods)
|
|
answer_key_six_month_periods = ANSWER_KEY.get_values(
|
|
AnswerKey.BENCHMARK_PERIOD_RETURNS['6-month'])
|
|
self.assertEqual([round(x.benchmark_period_returns, 4)
|
|
for x in metrics.six_month_periods],
|
|
answer_key_six_month_periods)
|
|
answer_key_year_periods = ANSWER_KEY.get_values(
|
|
AnswerKey.BENCHMARK_PERIOD_RETURNS['year'])
|
|
self.assertEqual([round(x.benchmark_period_returns, 4)
|
|
for x in metrics.year_periods],
|
|
answer_key_year_periods)
|
|
|
|
def test_trading_days_06(self):
|
|
returns = factory.create_returns_from_range(self.sim_params)
|
|
metrics = risk.RiskReport(returns, self.sim_params)
|
|
self.assertEqual([x.num_trading_days for x in metrics.year_periods],
|
|
[251])
|
|
self.assertEqual([x.num_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.sim_params)
|
|
metrics = risk.RiskReport(returns, self.sim_params)
|
|
answer_key_month_periods = ANSWER_KEY.get_values(
|
|
AnswerKey.BENCHMARK_PERIOD_VOLATILITY['Monthly'],
|
|
decimal=3)
|
|
self.assertEqual([np.round(x.benchmark_volatility, 3)
|
|
for x in metrics.month_periods],
|
|
answer_key_month_periods)
|
|
|
|
answer_key_three_month_periods = ANSWER_KEY.get_values(
|
|
AnswerKey.BENCHMARK_PERIOD_VOLATILITY['3-Month'],
|
|
decimal=3)
|
|
self.assertEqual([np.round(x.benchmark_volatility, 3)
|
|
for x in metrics.three_month_periods],
|
|
answer_key_three_month_periods)
|
|
|
|
answer_key_six_month_periods = ANSWER_KEY.get_values(
|
|
AnswerKey.BENCHMARK_PERIOD_VOLATILITY['6-month'],
|
|
decimal=3)
|
|
self.assertEqual([np.round(x.benchmark_volatility, 3)
|
|
for x in metrics.six_month_periods],
|
|
answer_key_six_month_periods)
|
|
|
|
answer_key_year_periods = ANSWER_KEY.get_values(
|
|
AnswerKey.BENCHMARK_PERIOD_VOLATILITY['year'],
|
|
decimal=3)
|
|
self.assertEqual([np.round(x.benchmark_volatility, 3)
|
|
for x in metrics.year_periods],
|
|
answer_key_year_periods)
|
|
|
|
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 test_algorithm_sortino_06(self):
|
|
self.assertEqual([round(x.sortino, 3)
|
|
for x in self.metrics_06.month_periods],
|
|
[4.491,
|
|
-2.842,
|
|
-2.052,
|
|
3.898,
|
|
7.023,
|
|
-8.532,
|
|
3.079,
|
|
-0.354,
|
|
-1.125,
|
|
3.009,
|
|
3.277,
|
|
-3.122])
|
|
self.assertEqual([round(x.sortino, 3)
|
|
for x in self.metrics_06.three_month_periods],
|
|
[-0.769,
|
|
-1.043,
|
|
6.677,
|
|
-2.77,
|
|
-3.209,
|
|
-6.769,
|
|
1.253,
|
|
1.085,
|
|
3.659,
|
|
1.674])
|
|
self.assertEqual([round(x.sortino, 3)
|
|
for x in self.metrics_06.six_month_periods],
|
|
[-2.728,
|
|
-3.258,
|
|
-1.84,
|
|
-1.366,
|
|
-1.845,
|
|
-3.415,
|
|
2.238])
|
|
self.assertEqual([round(x.sortino, 3)
|
|
for x in self.metrics_06.year_periods],
|
|
[-0.524])
|
|
|
|
def test_algorithm_information_06(self):
|
|
self.assertEqual([round(x.information, 3)
|
|
for x in self.metrics_06.month_periods],
|
|
[0.131,
|
|
-0.11,
|
|
-0.067,
|
|
0.136,
|
|
0.301,
|
|
-0.387,
|
|
0.107,
|
|
-0.032,
|
|
-0.058,
|
|
0.069,
|
|
0.095,
|
|
-0.123])
|
|
self.assertEqual([round(x.information, 3)
|
|
for x in self.metrics_06.three_month_periods],
|
|
[-0.013,
|
|
-0.009,
|
|
0.111,
|
|
-0.014,
|
|
-0.017,
|
|
-0.108,
|
|
0.011,
|
|
-0.004,
|
|
0.032,
|
|
0.011])
|
|
self.assertEqual([round(x.information, 3)
|
|
for x in self.metrics_06.six_month_periods],
|
|
[-0.013,
|
|
-0.014,
|
|
-0.003,
|
|
-0.002,
|
|
-0.011,
|
|
-0.041,
|
|
0.011])
|
|
self.assertEqual([round(x.information, 3)
|
|
for x in self.metrics_06.year_periods],
|
|
[-0.001])
|
|
|
|
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.sim_params08)
|
|
metrics = risk.RiskReport(returns, self.sim_params08)
|
|
|
|
self.assertEqual([round(x.benchmark_period_returns, 3)
|
|
for x in metrics.month_periods],
|
|
[-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,
|
|
-0.36,
|
|
-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.sim_params08)
|
|
metrics = risk.RiskReport(returns, self.sim_params08)
|
|
self.assertEqual([x.num_trading_days for x in metrics.year_periods],
|
|
[253])
|
|
|
|
self.assertEqual([x.num_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.sim_params08)
|
|
metrics = risk.RiskReport(returns, self.sim_params08)
|
|
|
|
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],
|
|
[0.12,
|
|
0.113,
|
|
0.105,
|
|
0.09,
|
|
0.098,
|
|
0.107,
|
|
0.179,
|
|
0.293,
|
|
0.344,
|
|
0.34])
|
|
|
|
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],
|
|
[0.411])
|
|
|
|
def test_treasury_returns_06(self):
|
|
returns = factory.create_returns_from_range(self.sim_params)
|
|
metrics = risk.RiskReport(returns, self.sim_params)
|
|
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,
|
|
0.004])
|
|
|
|
self.assertEqual([round(x.treasury_period_return, 4)
|
|
for x in metrics.three_month_periods],
|
|
[0.0114,
|
|
0.0116,
|
|
0.0122,
|
|
0.0125,
|
|
0.0129,
|
|
0.0127,
|
|
0.0123,
|
|
0.0128,
|
|
0.0125,
|
|
0.0127])
|
|
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,
|
|
0.0257])
|
|
|
|
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, tzinfo=pytz.utc),
|
|
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)
|
|
sim_params90s = SimulationParameters(
|
|
period_start=start,
|
|
period_end=end
|
|
)
|
|
|
|
returns = factory.create_returns_from_range(sim_params90s)
|
|
returns = returns[:-10] # truncate the returns series to end mid-month
|
|
metrics = risk.RiskReport(returns, sim_params90s)
|
|
total_months = 60
|
|
self.check_metrics(metrics, total_months, start)
|
|
|
|
def check_year_range(self, start_date, years):
|
|
sim_params = SimulationParameters(
|
|
period_start=start_date,
|
|
period_end=start_date.replace(year=(start_date.year + years))
|
|
)
|
|
returns = factory.create_returns_from_range(sim_params)
|
|
metrics = risk.RiskReport(returns, self.sim_params)
|
|
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)
|