mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-29 00:53:42 +08:00
Eddie Hebert
d5697cdf0a
We were only incrementing the risk report by one day, and never checking to see if that day we incremented into was a trading day or not. We now increment by day until we are on a trading day. With an assist from @twiecki on: Adapted test_risk_compare_batch_iterative to work with fixed iterative risk class.
598 lines
16 KiB
Python
598 lines
16 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 copy
|
|
import random
|
|
import datetime
|
|
import pytz
|
|
|
|
import zipline.utils.factory as factory
|
|
import zipline.finance.performance as perf
|
|
from zipline.utils.protocol_utils import ndict
|
|
|
|
from zipline.finance.trading import TradingEnvironment
|
|
|
|
|
|
class PerformanceTestCase(unittest.TestCase):
|
|
|
|
def setUp(self):
|
|
self.benchmark_returns, self.treasury_curves = \
|
|
factory.load_market_data()
|
|
|
|
for n in range(100):
|
|
|
|
random_index = random.randint(
|
|
0,
|
|
len(self.treasury_curves)
|
|
)
|
|
|
|
self.dt = self.treasury_curves.keys()[random_index]
|
|
self.end_dt = self.dt + datetime.timedelta(days=365)
|
|
|
|
now = datetime.datetime.utcnow().replace(tzinfo=pytz.utc)
|
|
|
|
if self.end_dt <= now:
|
|
break
|
|
|
|
assert self.end_dt <= now, """
|
|
failed to find a date suitable daterange after 100 attempts. please double
|
|
check treasury and benchmark data in findb, and re-run the test."""
|
|
|
|
self.trading_environment = TradingEnvironment(
|
|
self.benchmark_returns,
|
|
self.treasury_curves,
|
|
period_start=self.dt,
|
|
period_end=self.end_dt
|
|
)
|
|
|
|
self.onesec = datetime.timedelta(seconds=1)
|
|
self.oneday = datetime.timedelta(days=1)
|
|
self.tradingday = datetime.timedelta(hours=6, minutes=30)
|
|
|
|
self.dt = self.trading_environment.trading_days[random_index]
|
|
|
|
def tearDown(self):
|
|
pass
|
|
|
|
def test_long_position(self):
|
|
"""
|
|
verify that the performance period calculates properly for a
|
|
single buy transaction
|
|
"""
|
|
#post some trades in the market
|
|
trades = factory.create_trade_history(
|
|
1,
|
|
[10, 10, 10, 11],
|
|
[100, 100, 100, 100],
|
|
self.onesec,
|
|
self.trading_environment
|
|
)
|
|
|
|
txn = factory.create_txn(1, 10.0, 100, self.dt + self.onesec)
|
|
pp = perf.PerformancePeriod({}, 0.0, 1000.0)
|
|
|
|
pp.execute_transaction(txn)
|
|
for trade in trades:
|
|
pp.update_last_sale(trade)
|
|
|
|
pp.calculate_performance()
|
|
|
|
self.assertEqual(
|
|
pp.period_capital_used,
|
|
-1 * txn.price * txn.amount,
|
|
"capital used should be equal to the opposite of the transaction \
|
|
cost of sole txn in test"
|
|
)
|
|
|
|
self.assertEqual(
|
|
len(pp.positions),
|
|
1,
|
|
"should be just one position")
|
|
|
|
self.assertEqual(
|
|
pp.positions[1].sid,
|
|
txn.sid,
|
|
"position should be in security with id 1")
|
|
|
|
self.assertEqual(
|
|
pp.positions[1].amount,
|
|
txn.amount,
|
|
"should have a position of {sharecount} shares".format(
|
|
sharecount=txn.amount
|
|
)
|
|
)
|
|
|
|
self.assertEqual(
|
|
pp.positions[1].cost_basis,
|
|
txn.price,
|
|
"should have a cost basis of 10"
|
|
)
|
|
|
|
self.assertEqual(
|
|
pp.positions[1].last_sale_price,
|
|
trades[-1]['price'],
|
|
"last sale should be same as last trade. \
|
|
expected {exp} actual {act}".format(
|
|
exp=trades[-1]['price'],
|
|
act=pp.positions[1].last_sale_price)
|
|
)
|
|
|
|
self.assertEqual(
|
|
pp.ending_value,
|
|
1100,
|
|
"ending value should be price of last trade times number of \
|
|
shares in position"
|
|
)
|
|
|
|
self.assertEqual(pp.pnl, 100, "gain of 1 on 100 shares should be 100")
|
|
|
|
def test_short_position(self):
|
|
"""verify that the performance period calculates properly for a \
|
|
single short-sale transaction"""
|
|
trades = factory.create_trade_history(
|
|
1,
|
|
[10, 10, 10, 11, 10, 9],
|
|
[100, 100, 100, 100, 100, 100],
|
|
self.onesec,
|
|
self.trading_environment
|
|
)
|
|
|
|
trades_1 = trades[:-2]
|
|
|
|
txn = factory.create_txn(1, 10.0, -100, self.dt + self.onesec)
|
|
pp = perf.PerformancePeriod({}, 0.0, 1000.0)
|
|
|
|
pp.execute_transaction(txn)
|
|
for trade in trades_1:
|
|
pp.update_last_sale(trade)
|
|
|
|
pp.calculate_performance()
|
|
|
|
self.assertEqual(
|
|
pp.period_capital_used,
|
|
-1 * txn.price * txn.amount,
|
|
"capital used should be equal to the opposite of the transaction\
|
|
cost of sole txn in test"
|
|
)
|
|
|
|
self.assertEqual(
|
|
len(pp.positions),
|
|
1,
|
|
"should be just one position")
|
|
|
|
self.assertEqual(
|
|
pp.positions[1].sid,
|
|
txn.sid,
|
|
"position should be in security from the transaction"
|
|
)
|
|
|
|
self.assertEqual(
|
|
pp.positions[1].amount,
|
|
-100,
|
|
"should have a position of -100 shares"
|
|
)
|
|
|
|
self.assertEqual(
|
|
pp.positions[1].cost_basis,
|
|
txn.price,
|
|
"should have a cost basis of 10"
|
|
)
|
|
|
|
self.assertEqual(
|
|
pp.positions[1].last_sale_price,
|
|
trades_1[-1]['price'],
|
|
"last sale should be price of last trade"
|
|
)
|
|
|
|
self.assertEqual(
|
|
pp.ending_value,
|
|
-1100,
|
|
"ending value should be price of last trade times number of \
|
|
shares in position"
|
|
)
|
|
|
|
self.assertEqual(pp.pnl, -100, "gain of 1 on 100 shares should be 100")
|
|
|
|
# simulate additional trades, and ensure that the position value
|
|
# reflects the new price
|
|
trades_2 = trades[-2:]
|
|
|
|
#simulate a rollover to a new period
|
|
pp2 = perf.PerformancePeriod(
|
|
pp.positions,
|
|
pp.ending_value,
|
|
pp.ending_cash
|
|
)
|
|
|
|
for trade in trades_2:
|
|
pp2.update_last_sale(trade)
|
|
|
|
pp2.calculate_performance()
|
|
|
|
self.assertEqual(
|
|
pp2.period_capital_used,
|
|
0,
|
|
"capital used should be zero, there were no transactions in \
|
|
performance period"
|
|
)
|
|
|
|
self.assertEqual(
|
|
len(pp2.positions),
|
|
1,
|
|
"should be just one position"
|
|
)
|
|
|
|
self.assertEqual(
|
|
pp2.positions[1].sid,
|
|
txn.sid,
|
|
"position should be in security from the transaction"
|
|
)
|
|
|
|
self.assertEqual(
|
|
pp2.positions[1].amount,
|
|
-100,
|
|
"should have a position of -100 shares"
|
|
)
|
|
|
|
self.assertEqual(
|
|
pp2.positions[1].cost_basis,
|
|
txn.price,
|
|
"should have a cost basis of 10"
|
|
)
|
|
|
|
self.assertEqual(
|
|
pp2.positions[1].last_sale_price,
|
|
trades_2[-1].price,
|
|
"last sale should be price of last trade"
|
|
)
|
|
|
|
self.assertEqual(
|
|
pp2.ending_value,
|
|
-900,
|
|
"ending value should be price of last trade times number of \
|
|
shares in position")
|
|
|
|
self.assertEqual(
|
|
pp2.pnl,
|
|
200,
|
|
"drop of 2 on -100 shares should be 200"
|
|
)
|
|
|
|
#now run a performance period encompassing the entire trade sample.
|
|
ppTotal = perf.PerformancePeriod({}, 0.0, 1000.0)
|
|
|
|
for trade in trades_1:
|
|
ppTotal.update_last_sale(trade)
|
|
|
|
ppTotal.execute_transaction(txn)
|
|
|
|
for trade in trades_2:
|
|
ppTotal.update_last_sale(trade)
|
|
|
|
ppTotal.calculate_performance()
|
|
|
|
self.assertEqual(
|
|
ppTotal.period_capital_used,
|
|
-1 * txn.price * txn.amount,
|
|
"capital used should be equal to the opposite of the transaction \
|
|
cost of sole txn in test"
|
|
)
|
|
|
|
self.assertEqual(
|
|
len(ppTotal.positions),
|
|
1,
|
|
"should be just one position"
|
|
)
|
|
self.assertEqual(
|
|
ppTotal.positions[1].sid,
|
|
txn.sid,
|
|
"position should be in security from the transaction"
|
|
)
|
|
|
|
self.assertEqual(
|
|
ppTotal.positions[1].amount,
|
|
-100,
|
|
"should have a position of -100 shares"
|
|
)
|
|
|
|
self.assertEqual(
|
|
ppTotal.positions[1].cost_basis,
|
|
txn.price,
|
|
"should have a cost basis of 10"
|
|
)
|
|
|
|
self.assertEqual(
|
|
ppTotal.positions[1].last_sale_price,
|
|
trades_2[-1].price,
|
|
"last sale should be price of last trade"
|
|
)
|
|
|
|
self.assertEqual(
|
|
ppTotal.ending_value,
|
|
-900,
|
|
"ending value should be price of last trade times number of \
|
|
shares in position")
|
|
|
|
self.assertEqual(
|
|
ppTotal.pnl,
|
|
100,
|
|
"drop of 1 on -100 shares should be 100"
|
|
)
|
|
|
|
def test_covering_short(self):
|
|
"""verify performance where short is bought and covered, and shares \
|
|
trade after cover"""
|
|
|
|
trades = factory.create_trade_history(
|
|
1,
|
|
[10, 10, 10, 11, 9, 8, 7, 8, 9, 10],
|
|
[100, 100, 100, 100, 100, 100, 100, 100, 100, 100],
|
|
self.onesec,
|
|
self.trading_environment
|
|
)
|
|
|
|
short_txn = factory.create_txn(
|
|
1,
|
|
10.0,
|
|
-100,
|
|
self.dt + self.onesec
|
|
)
|
|
|
|
cover_txn = factory.create_txn(1, 7.0, 100, self.dt + self.onesec * 6)
|
|
pp = perf.PerformancePeriod({}, 0.0, 1000.0)
|
|
|
|
pp.execute_transaction(short_txn)
|
|
pp.execute_transaction(cover_txn)
|
|
|
|
for trade in trades:
|
|
pp.update_last_sale(trade)
|
|
|
|
pp.calculate_performance()
|
|
|
|
short_txn_cost = short_txn.price * short_txn.amount
|
|
cover_txn_cost = cover_txn.price * cover_txn.amount
|
|
|
|
self.assertEqual(
|
|
pp.period_capital_used,
|
|
-1 * short_txn_cost - cover_txn_cost,
|
|
"capital used should be equal to the net transaction costs"
|
|
)
|
|
|
|
self.assertEqual(
|
|
len(pp.positions),
|
|
1,
|
|
"should be just one position"
|
|
)
|
|
|
|
self.assertEqual(
|
|
pp.positions[1].sid,
|
|
short_txn.sid,
|
|
"position should be in security from the transaction"
|
|
)
|
|
|
|
self.assertEqual(
|
|
pp.positions[1].amount,
|
|
0,
|
|
"should have a position of -100 shares"
|
|
)
|
|
|
|
self.assertEqual(
|
|
pp.positions[1].cost_basis,
|
|
0,
|
|
"a covered position should have a cost basis of 0"
|
|
)
|
|
|
|
self.assertEqual(
|
|
pp.positions[1].last_sale_price,
|
|
trades[-1].price,
|
|
"last sale should be price of last trade"
|
|
)
|
|
|
|
self.assertEqual(
|
|
pp.ending_value,
|
|
0,
|
|
"ending value should be price of last trade times number of \
|
|
shares in position"
|
|
)
|
|
|
|
self.assertEqual(
|
|
pp.pnl,
|
|
300,
|
|
"gain of 1 on 100 shares should be 300"
|
|
)
|
|
|
|
def test_cost_basis_calc(self):
|
|
trades = factory.create_trade_history(
|
|
1,
|
|
[10, 11, 11, 12],
|
|
[100, 100, 100, 100],
|
|
self.onesec,
|
|
self.trading_environment
|
|
)
|
|
|
|
transactions = factory.create_txn_history(
|
|
1,
|
|
[10, 11, 11, 12],
|
|
[100, 100, 100, 100],
|
|
self.onesec,
|
|
self.trading_environment
|
|
)
|
|
|
|
pp = perf.PerformancePeriod({}, 0.0, 1000.0)
|
|
|
|
for txn in transactions:
|
|
pp.execute_transaction(txn)
|
|
|
|
for trade in trades:
|
|
pp.update_last_sale(trade)
|
|
|
|
pp.calculate_performance()
|
|
|
|
self.assertEqual(
|
|
pp.positions[1].last_sale_price,
|
|
trades[-1].price,
|
|
"should have a last sale of 12, got {val}".format(
|
|
val=pp.positions[1].last_sale_price)
|
|
)
|
|
|
|
self.assertEqual(
|
|
pp.positions[1].cost_basis,
|
|
11,
|
|
"should have a cost basis of 11"
|
|
)
|
|
|
|
self.assertEqual(
|
|
pp.pnl,
|
|
400
|
|
)
|
|
|
|
saleTxn = factory.create_txn(
|
|
1,
|
|
10.0,
|
|
-100,
|
|
self.dt + self.onesec * 4)
|
|
|
|
down_tick = factory.create_trade(
|
|
1,
|
|
10.0,
|
|
100,
|
|
trades[-1].dt + self.onesec)
|
|
|
|
pp2 = perf.PerformancePeriod(
|
|
copy.deepcopy(pp.positions),
|
|
pp.ending_value,
|
|
pp.ending_cash
|
|
)
|
|
|
|
pp2.execute_transaction(saleTxn)
|
|
pp2.update_last_sale(down_tick)
|
|
|
|
pp2.calculate_performance()
|
|
self.assertEqual(
|
|
pp2.positions[1].last_sale_price,
|
|
10,
|
|
"should have a last sale of 10, was {val}".format(
|
|
val=pp2.positions[1].last_sale_price)
|
|
)
|
|
|
|
self.assertEqual(
|
|
round(pp2.positions[1].cost_basis, 2),
|
|
11.33,
|
|
"should have a cost basis of 11.33"
|
|
)
|
|
|
|
#print "second period pnl is {pnl}".format(pnl=pp2.pnl)
|
|
self.assertEqual(pp2.pnl, -800, "this period goes from +400 to -400")
|
|
|
|
pp3 = perf.PerformancePeriod({}, 0.0, 1000.0)
|
|
|
|
transactions.append(saleTxn)
|
|
for txn in transactions:
|
|
pp3.execute_transaction(txn)
|
|
|
|
trades.append(down_tick)
|
|
for trade in trades:
|
|
pp3.update_last_sale(trade)
|
|
|
|
pp3.calculate_performance()
|
|
self.assertEqual(
|
|
pp3.positions[1].last_sale_price,
|
|
10,
|
|
"should have a last sale of 10"
|
|
)
|
|
|
|
self.assertEqual(
|
|
round(pp3.positions[1].cost_basis, 2),
|
|
11.33,
|
|
"should have a cost basis of 11.33"
|
|
)
|
|
|
|
self.assertEqual(
|
|
pp3.pnl,
|
|
-400,
|
|
"should be -400 for all trades and transactions in period"
|
|
)
|
|
|
|
def test_tracker(self):
|
|
|
|
trade_count = 100
|
|
sid = 133
|
|
price = 10.1
|
|
price_list = [price] * trade_count
|
|
volume = [100] * trade_count
|
|
trade_time_increment = datetime.timedelta(days=1)
|
|
trade_history = factory.create_trade_history(
|
|
sid,
|
|
price_list,
|
|
volume,
|
|
trade_time_increment,
|
|
self.trading_environment
|
|
)
|
|
|
|
sid2 = 134
|
|
price2 = 12.12
|
|
price2_list = [price2] * trade_count
|
|
trade_history2 = factory.create_trade_history(
|
|
sid2,
|
|
price2_list,
|
|
volume,
|
|
trade_time_increment,
|
|
self.trading_environment
|
|
)
|
|
|
|
trade_history.extend(trade_history2)
|
|
|
|
self.trading_environment.period_start = trade_history[0].dt
|
|
self.trading_environment.period_end = trade_history[-1].dt
|
|
self.trading_environment.capital_base = 1000.0
|
|
self.trading_environment.frame_index = [
|
|
'sid',
|
|
'volume',
|
|
'dt',
|
|
'price',
|
|
'changed']
|
|
perf_tracker = perf.PerformanceTracker(
|
|
self.trading_environment
|
|
)
|
|
|
|
for event in trade_history:
|
|
#create a transaction for all but
|
|
#first trade in each sid, to simulate None transaction
|
|
if(event.dt != self.trading_environment.period_start):
|
|
txn = ndict({
|
|
'sid': event.sid,
|
|
'amount': -25,
|
|
'dt': event.dt,
|
|
'price': 10.0,
|
|
'commission': 0.50
|
|
})
|
|
else:
|
|
txn = None
|
|
event['TRANSACTION'] = txn
|
|
perf_tracker.process_event(event)
|
|
|
|
#we skip two trades, to test case of None transaction
|
|
txn_count = len(trade_history) - 2
|
|
self.assertEqual(perf_tracker.txn_count, txn_count)
|
|
|
|
cumulative_pos = perf_tracker.cumulative_performance.positions[sid]
|
|
expected_size = txn_count / 2 * -25
|
|
self.assertEqual(cumulative_pos.amount, expected_size)
|
|
|
|
self.assertEqual(perf_tracker.period_end.
|
|
replace(hour=0, minute=0, second=0),
|
|
perf_tracker.cumulative_risk_metrics.end_date)
|