catalyst/tests/modelling/test_engine.py

"""
Tests for SimpleFFCEngine
"""
from __future__ import division
from unittest import TestCase
from itertools import product

from numpy import (
    full,
    nan,
    zeros,
)
from numpy.testing import assert_array_equal
from pandas import (
    DataFrame,
    date_range,
    Int64Index,
    MultiIndex,
    rolling_mean,
    Series,
    Timestamp,
)
from pandas.util.testing import assert_frame_equal
from testfixtures import TempDirectory

from zipline.data.equities import USEquityPricing
from zipline.data.ffc.synthetic import (
    ConstantLoader,
    MultiColumnLoader,
    NullAdjustmentReader,
    SyntheticDailyBarWriter,
)
from zipline.data.ffc.frame import (
    DataFrameFFCLoader,
    MULTIPLY,
)
from zipline.data.ffc.loaders.us_equity_pricing import (
    BcolzDailyBarReader,
    USEquityPricingLoader,
)
from zipline.finance.trading import TradingEnvironment
from zipline.modelling.engine import SimpleFFCEngine
from zipline.modelling.factor import CustomFactor
from zipline.modelling.factor.technical import (
    MaxDrawdown,
    SimpleMovingAverage,
)
from zipline.utils.memoize import lazyval
from zipline.utils.test_utils import (
    make_rotating_asset_info,
    make_simple_asset_info,
    product_upper_triangle,
    check_arrays,
)


class RollingSumDifference(CustomFactor):
    window_length = 3
    inputs = [USEquityPricing.open, USEquityPricing.close]

    def compute(self, today, assets, out, open, close):
        out[:] = (open - close).sum(axis=0)


def assert_product(case, index, *levels):
    """Assert that a MultiIndex contains the product of `*levels`."""
    case.assertIsInstance(index, MultiIndex, "%s is not a MultiIndex" % index)
    case.assertEqual(set(index), set(product(*levels)))


class ConstantInputTestCase(TestCase):

    def setUp(self):
        self.constants = {
            # Every day, assume every stock starts at 2, goes down to 1,
            # goes up to 4, and finishes at 3.
            USEquityPricing.low: 1,
            USEquityPricing.open: 2,
            USEquityPricing.close: 3,
            USEquityPricing.high: 4,
        }
        self.assets = [1, 2, 3]
        self.dates = date_range('2014-01-01', '2014-02-01', freq='D', tz='UTC')
        self.loader = ConstantLoader(
            constants=self.constants,
            dates=self.dates,
            assets=self.assets,
        )

        self.asset_info = make_simple_asset_info(
            self.assets,
            start_date=self.dates[0],
            end_date=self.dates[-1],
        )
        environment = TradingEnvironment()
        environment.write_data(equities_df=self.asset_info)
        self.asset_finder = environment.asset_finder

    def test_bad_dates(self):
        loader = self.loader
        engine = SimpleFFCEngine(loader, self.dates, self.asset_finder)

        msg = "start_date must be before end_date .*"
        with self.assertRaisesRegexp(ValueError, msg):
            engine.factor_matrix({}, self.dates[2], self.dates[1])
        with self.assertRaisesRegexp(ValueError, msg):
            engine.factor_matrix({}, self.dates[2], self.dates[2])

    def test_single_factor(self):
        loader = self.loader
        finder = self.asset_finder
        assets = self.assets
        engine = SimpleFFCEngine(loader, self.dates, self.asset_finder)
        result_shape = (num_dates, num_assets) = (5, len(assets))
        dates = self.dates[10:10 + num_dates]

        factor = RollingSumDifference()

        result = engine.factor_matrix({'f': factor}, dates[0], dates[-1])
        self.assertEqual(set(result.columns), {'f'})
        assert_product(self, result.index, dates, finder.retrieve_all(assets))

        assert_array_equal(
            result['f'].unstack().values,
            full(result_shape, -factor.window_length),
        )

    def test_multiple_rolling_factors(self):

        loader = self.loader
        finder = self.asset_finder
        assets = self.assets
        engine = SimpleFFCEngine(loader, self.dates, self.asset_finder)
        shape = num_dates, num_assets = (5, len(assets))
        dates = self.dates[10:10 + num_dates]

        short_factor = RollingSumDifference(window_length=3)
        long_factor = RollingSumDifference(window_length=5)
        high_factor = RollingSumDifference(
            window_length=3,
            inputs=[USEquityPricing.open, USEquityPricing.high],
        )

        results = engine.factor_matrix(
            {'short': short_factor, 'long': long_factor, 'high': high_factor},
            dates[0],
            dates[-1],
        )
        self.assertEqual(set(results.columns), {'short', 'high', 'long'})
        assert_product(self, results.index, dates, finder.retrieve_all(assets))

        # row-wise sum over an array whose values are all (1 - 2)
        assert_array_equal(
            results['short'].unstack().values,
            full(shape, -short_factor.window_length),
        )
        assert_array_equal(
            results['long'].unstack().values,
            full(shape, -long_factor.window_length),
        )
        # row-wise sum over an array whose values are all (1 - 3)
        assert_array_equal(
            results['high'].unstack().values,
            full(shape, -2 * high_factor.window_length),
        )

    def test_numeric_factor(self):
        constants = self.constants
        loader = self.loader
        engine = SimpleFFCEngine(loader, self.dates, self.asset_finder)
        num_dates = 5
        dates = self.dates[10:10 + num_dates]
        high, low = USEquityPricing.high, USEquityPricing.low
        open, close = USEquityPricing.open, USEquityPricing.close

        high_minus_low = RollingSumDifference(inputs=[high, low])
        open_minus_close = RollingSumDifference(inputs=[open, close])
        avg = (high_minus_low + open_minus_close) / 2

        results = engine.factor_matrix(
            {
                'high_low': high_minus_low,
                'open_close': open_minus_close,
                'avg': avg,
            },
            dates[0],
            dates[-1],
        )

        high_low_result = results['high_low'].unstack()
        expected_high_low = 3.0 * (constants[high] - constants[low])
        assert_frame_equal(
            high_low_result,
            DataFrame(expected_high_low, index=dates, columns=self.assets),
        )

        open_close_result = results['open_close'].unstack()
        expected_open_close = 3.0 * (constants[open] - constants[close])
        assert_frame_equal(
            open_close_result,
            DataFrame(expected_open_close, index=dates, columns=self.assets),
        )

        avg_result = results['avg'].unstack()
        expected_avg = (expected_high_low + expected_open_close) / 2.0
        assert_frame_equal(
            avg_result,
            DataFrame(expected_avg, index=dates, columns=self.assets),
        )


class FrameInputTestCase(TestCase):

    @classmethod
    def setUpClass(cls):
        cls.env = TradingEnvironment()
        day = cls.env.trading_day

        cls.assets = Int64Index([1, 2, 3])
        cls.dates = date_range(
            '2015-01-01',
            '2015-01-31',
            freq=day,
            tz='UTC',
        )

        asset_info = make_simple_asset_info(
            cls.assets,
            start_date=cls.dates[0],
            end_date=cls.dates[-1],
        )
        cls.env.write_data(equities_df=asset_info)
        cls.asset_finder = cls.env.asset_finder

    @classmethod
    def tearDownClass(cls):
        del cls.env
        del cls.asset_finder

    @lazyval
    def base_mask(self):
        return self.make_frame(True)

    def make_frame(self, data):
        return DataFrame(data, columns=self.assets, index=self.dates)

    def test_compute_with_adjustments(self):
        dates, assets = self.dates, self.assets
        low, high = USEquityPricing.low, USEquityPricing.high
        apply_idxs = [3, 10, 16]

        def apply_date(idx, offset=0):
            return dates[apply_idxs[idx] + offset]

        adjustments = DataFrame.from_records(
            [
                dict(
                    kind=MULTIPLY,
                    sid=assets[1],
                    value=2.0,
                    start_date=None,
                    end_date=apply_date(0, offset=-1),
                    apply_date=apply_date(0),
                ),
                dict(
                    kind=MULTIPLY,
                    sid=assets[1],
                    value=3.0,
                    start_date=None,
                    end_date=apply_date(1, offset=-1),
                    apply_date=apply_date(1),
                ),
                dict(
                    kind=MULTIPLY,
                    sid=assets[1],
                    value=5.0,
                    start_date=None,
                    end_date=apply_date(2, offset=-1),
                    apply_date=apply_date(2),
                ),
            ]
        )
        low_base = DataFrame(self.make_frame(30.0))
        low_loader = DataFrameFFCLoader(low, low_base.copy(), adjustments=None)

        # Pre-apply inverse of adjustments to the baseline.
        high_base = DataFrame(self.make_frame(30.0))
        high_base.iloc[:apply_idxs[0], 1] /= 2.0
        high_base.iloc[:apply_idxs[1], 1] /= 3.0
        high_base.iloc[:apply_idxs[2], 1] /= 5.0

        high_loader = DataFrameFFCLoader(high, high_base, adjustments)
        loader = MultiColumnLoader({low: low_loader, high: high_loader})

        engine = SimpleFFCEngine(loader, self.dates, self.asset_finder)

        for window_length in range(1, 4):
            low_mavg = SimpleMovingAverage(
                inputs=[USEquityPricing.low],
                window_length=window_length,
            )
            high_mavg = SimpleMovingAverage(
                inputs=[USEquityPricing.high],
                window_length=window_length,
            )
            bounds = product_upper_triangle(range(window_length, len(dates)))
            for start, stop in bounds:
                results = engine.factor_matrix(
                    {'low': low_mavg, 'high': high_mavg},
                    dates[start],
                    dates[stop],
                )
                self.assertEqual(set(results.columns), {'low', 'high'})
                iloc_bounds = slice(start, stop + 1)  # +1 to include end date

                low_results = results.unstack()['low']
                assert_frame_equal(low_results, low_base.iloc[iloc_bounds])

                high_results = results.unstack()['high']
                assert_frame_equal(high_results, high_base.iloc[iloc_bounds])


class SyntheticBcolzTestCase(TestCase):

    @classmethod
    def setUpClass(cls):
        cls.first_asset_start = Timestamp('2015-04-01', tz='UTC')
        cls.env = TradingEnvironment()
        cls.trading_day = day = cls.env.trading_day
        cls.calendar = date_range('2015', '2015-08', tz='UTC', freq=day)

        cls.asset_info = make_rotating_asset_info(
            num_assets=6,
            first_start=cls.first_asset_start,
            frequency=day,
            periods_between_starts=4,
            asset_lifetime=8,
        )
        cls.last_asset_end = cls.asset_info['end_date'].max()
        cls.all_assets = cls.asset_info.index

        cls.env.write_data(equities_df=cls.asset_info)
        cls.finder = cls.env.asset_finder

        cls.temp_dir = TempDirectory()
        cls.temp_dir.create()

        try:
            cls.writer = SyntheticDailyBarWriter(
                asset_info=cls.asset_info[['start_date', 'end_date']],
                calendar=cls.calendar,
            )
            table = cls.writer.write(
                cls.temp_dir.getpath('testdata.bcolz'),
                cls.calendar,
                cls.all_assets,
            )

            cls.ffc_loader = USEquityPricingLoader(
                BcolzDailyBarReader(table),
                NullAdjustmentReader(),
            )
        except:
            cls.temp_dir.cleanup()
            raise

    @classmethod
    def tearDownClass(cls):
        del cls.env
        cls.temp_dir.cleanup()

    def write_nans(self, df):
        """
        Write nans to the locations in data corresponding to the (date, asset)
        pairs for which we wouldn't have data for `asset` on `date` in a
        backtest.

        Parameters
        ----------
        df : pd.DataFrame
            A DataFrame with a DatetimeIndex as index and an object index of
            Assets as columns.

        This means that we write nans for dates after an asset's end_date and
        **on or before** an asset's start_date.  The assymetry here is because
        of the fact that, on the morning of an asset's first date, we haven't
        yet seen any trades for that asset, so we wouldn't be able to show any
        useful data to the user.
        """
        # Mask out with nans all the dates on which each asset didn't exist
        index = df.index
        min_, max_ = index[[0, -1]]
        for asset in df.columns:
            if asset.start_date >= min_:
                start = index.get_loc(asset.start_date, method='bfill')
                df.loc[:start + 1, asset] = nan  # +1 to overwrite start_date
            if asset.end_date <= max_:
                end = index.get_loc(asset.end_date)
                df.ix[end + 1:, asset] = nan  # +1 to *not* overwrite end_date

    def test_SMA(self):
        engine = SimpleFFCEngine(
            self.ffc_loader,
            self.env.trading_days,
            self.finder,
        )
        window_length = 5
        assets = self.all_assets
        dates = date_range(
            self.first_asset_start + self.trading_day,
            self.last_asset_end,
            freq=self.trading_day,
        )
        dates_to_test = dates[window_length:]

        SMA = SimpleMovingAverage(
            inputs=(USEquityPricing.close,),
            window_length=window_length,
        )

        results = engine.factor_matrix(
            {'sma': SMA},
            dates_to_test[0],
            dates_to_test[-1],
        )

        # Shift back the raw inputs by a trading day because we expect our
        # computed results to be computed using values anchored on the
        # **previous** day's data.
        expected_raw = rolling_mean(
            self.writer.expected_values_2d(
                dates - self.trading_day, assets, 'close',
            ),
            window_length,
            min_periods=1,
        )

        expected = DataFrame(
            # Truncate off the extra rows needed to compute the SMAs.
            expected_raw[window_length:],
            index=dates_to_test,  # dates_to_test is dates[window_length:]
            columns=self.finder.retrieve_all(assets),
        )
        self.write_nans(expected)
        result = results['sma'].unstack()
        assert_frame_equal(result, expected)

    def test_drawdown(self):
        # The monotonically-increasing data produced by SyntheticDailyBarWriter
        # exercises two pathological cases for MaxDrawdown.  The actual
        # computed results are pretty much useless (everything is either NaN)
        # or zero, but verifying we correctly handle those corner cases is
        # valuable.
        engine = SimpleFFCEngine(
            self.ffc_loader,
            self.env.trading_days,
            self.finder,
        )
        window_length = 5
        assets = self.all_assets
        dates = date_range(
            self.first_asset_start + self.trading_day,
            self.last_asset_end,
            freq=self.trading_day,
        )
        dates_to_test = dates[window_length:]

        drawdown = MaxDrawdown(
            inputs=(USEquityPricing.close,),
            window_length=window_length,
        )

        results = engine.factor_matrix(
            {'drawdown': drawdown},
            dates_to_test[0],
            dates_to_test[-1],
        )

        # We expect NaNs when the asset was undefined, otherwise 0 everywhere,
        # since the input is always increasing.
        expected = DataFrame(
            data=zeros((len(dates_to_test), len(assets)), dtype=float),
            index=dates_to_test,
            columns=self.finder.retrieve_all(assets),
        )
        self.write_nans(expected)
        result = results['drawdown'].unstack()

        assert_frame_equal(expected, result)


class MultiColumnLoaderTestCase(TestCase):
    def setUp(self):
        self.assets = [1, 2, 3]
        self.dates = date_range('2014-01', '2014-03', freq='D', tz='UTC')

        asset_info = make_simple_asset_info(
            self.assets,
            start_date=self.dates[0],
            end_date=self.dates[-1],
        )
        env = TradingEnvironment()
        env.write_data(equities_df=asset_info)
        self.asset_finder = env.asset_finder

    def test_engine_with_multicolumn_loader(self):
        open_ = USEquityPricing.open
        close = USEquityPricing.close
        volume = USEquityPricing.volume

        # Test for thirty days up to the second to last day that we think all
        # the assets existed.  If we test the last day of our calendar, no
        # assets will be in our output, because their end dates are all
        dates_to_test = self.dates[-32:-2]

        constants = {open_: 1, close: 2, volume: 3}
        loader = ConstantLoader(
            constants=constants,
            dates=self.dates,
            assets=self.assets,
        )
        engine = SimpleFFCEngine(loader, self.dates, self.asset_finder)

        sumdiff = RollingSumDifference()

        result = engine.factor_matrix(
            {
                'sumdiff': sumdiff,
                'open': open_.latest,
                'close': close.latest,
                'volume': volume.latest,
            },
            dates_to_test[0],
            dates_to_test[-1]
        )
        self.assertIsNotNone(result)
        self.assertEqual(
            {'sumdiff', 'open', 'close', 'volume'},
            set(result.columns)
        )

        result_index = self.assets * len(dates_to_test)
        result_shape = (len(result_index),)
        check_arrays(
            result['sumdiff'],
            Series(index=result_index, data=full(result_shape, -3)),
        )

        for name, const in [('open', 1), ('close', 2), ('volume', 3)]:
            check_arrays(
                result[name],
                Series(index=result_index, data=full(result_shape, const)),
            )