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catalyst/tests/risk/test_risk.py
T
Eddie Hebert 66e7f48cdd MAINT: Split apart risk metrics classes. 
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.
2013-08-06 17:21:34 -04:00

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#
# 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.RiskMetricsPeriod(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):
answer_key_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_RETURNS['Monthly'],
decimal=3)
self.assertEqual([np.round(x.algorithm_period_returns, 3)
for x in self.metrics_06.month_periods],
answer_key_month_periods)
answer_key_three_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_RETURNS['3-Month'],
decimal=3)
self.assertEqual([np.round(x.algorithm_period_returns, 3)
for x in self.metrics_06.three_month_periods],
answer_key_three_month_periods)
answer_key_six_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_RETURNS['6-month'],
decimal=3)
self.assertEqual([np.round(x.algorithm_period_returns, 3)
for x in self.metrics_06.six_month_periods],
answer_key_six_month_periods)
answer_key_year_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_RETURNS['year'],
decimal=3)
self.assertEqual([np.round(x.algorithm_period_returns, 3)
for x in self.metrics_06.year_periods],
answer_key_year_periods)
def test_algorithm_volatility_06(self):
answer_key_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_VOLATILITY['Monthly'],
decimal=3)
self.assertEqual([np.round(x.algorithm_volatility, 3)
for x in self.metrics_06.month_periods],
answer_key_month_periods)
answer_key_three_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_VOLATILITY['3-Month'],
decimal=3)
self.assertEqual([np.round(x.algorithm_volatility, 3)
for x in self.metrics_06.three_month_periods],
answer_key_three_month_periods)
answer_key_six_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_VOLATILITY['6-month'],
decimal=3)
self.assertEqual([np.round(x.algorithm_volatility, 3)
for x in self.metrics_06.six_month_periods],
answer_key_six_month_periods)
answer_key_year_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_VOLATILITY['year'],
decimal=3)
self.assertEqual([np.round(x.algorithm_volatility, 3)
for x in self.metrics_06.year_periods],
answer_key_year_periods)
def test_algorithm_sharpe_06_monthly(self):
answer_key_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_SHARPE['Monthly'],
decimal=3)
self.assertEqual([np.round(x.sharpe, 3)
for x in self.metrics_06.month_periods],
answer_key_month_periods)
def test_algorithm_sharpe_06_three_month(self):
answer_key_three_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_SHARPE['3-Month'],
decimal=3)
self.assertEqual([np.round(x.sharpe, 3)
for x in self.metrics_06.three_month_periods],
answer_key_three_month_periods)
def test_algorithm_sharpe_06_six_month(self):
answer_key_six_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_SHARPE['6-month'],
decimal=3)
results_six_month_periods = [
np.round(x.sharpe, 3)
for x in self.metrics_06.six_month_periods]
self.assertEqual(results_six_month_periods,
answer_key_six_month_periods)
def test_algorithm_sharpe_06_year(self):
answer_key_year_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_SHARPE['year'],
decimal=3)
self.assertEqual([np.round(x.sharpe, 3)
for x in self.metrics_06.year_periods],
answer_key_year_periods)
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 test_algorithm_beta_06(self):
answer_key_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_BETA['Monthly'],
decimal=7)
self.assertEqual([np.round(x.beta, 7)
for x in self.metrics_06.month_periods],
answer_key_month_periods)
answer_key_three_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_BETA['3-Month'],
decimal=7)
self.assertEqual([np.round(x.beta, 7)
for x in self.metrics_06.three_month_periods],
answer_key_three_month_periods)
answer_key_six_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_BETA['6-month'],
decimal=7)
results_six_month_periods = [
np.round(x.beta, 7)
for x in self.metrics_06.six_month_periods]
self.assertEqual(results_six_month_periods,
answer_key_six_month_periods)
answer_key_year_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_BETA['year'],
decimal=7)
self.assertEqual([np.round(x.beta, 7)
for x in self.metrics_06.year_periods],
answer_key_year_periods)
def test_algorithm_alpha_06(self):
answer_key_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_ALPHA['Monthly'],
decimal=7)
self.assertEqual([np.round(x.alpha, 7)
for x in self.metrics_06.month_periods],
answer_key_month_periods)
answer_key_three_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_ALPHA['3-Month'],
decimal=7)
self.assertEqual([np.round(x.alpha, 7)
for x in self.metrics_06.three_month_periods],
answer_key_three_month_periods)
answer_key_six_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_ALPHA['6-month'],
decimal=7)
results_six_month_periods = [
np.round(x.alpha, 7)
for x in self.metrics_06.six_month_periods]
self.assertEqual(results_six_month_periods,
answer_key_six_month_periods)
answer_key_year_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_ALPHA['year'],
decimal=7)
self.assertEqual([np.round(x.alpha, 7)
for x in self.metrics_06.year_periods],
answer_key_year_periods)
# 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 test_algorithm_covariance_06(self):
answer_key_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_COVARIANCE['Monthly'],
decimal=7)
self.assertEqual([np.round(x.algorithm_covariance, 7)
for x in self.metrics_06.month_periods],
answer_key_month_periods)
answer_key_three_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_COVARIANCE['3-Month'],
decimal=7)
self.assertEqual([np.round(x.algorithm_covariance, 7)
for x in self.metrics_06.three_month_periods],
answer_key_three_month_periods)
answer_key_six_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_COVARIANCE['6-month'],
decimal=7)
results_six_month_periods = [
np.round(x.algorithm_covariance, 7)
for x in self.metrics_06.six_month_periods]
self.assertEqual(results_six_month_periods,
answer_key_six_month_periods)
answer_key_year_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_COVARIANCE['year'],
decimal=7)
self.assertEqual([np.round(x.algorithm_covariance, 7)
for x in self.metrics_06.year_periods],
answer_key_year_periods)
def test_benchmark_variance_06(self):
answer_key_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_BENCHMARK_VARIANCE['Monthly'],
decimal=7)
self.assertEqual([np.round(x.benchmark_variance, 7)
for x in self.metrics_06.month_periods],
answer_key_month_periods)
answer_key_three_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_BENCHMARK_VARIANCE['3-Month'],
decimal=7)
self.assertEqual([np.round(x.benchmark_variance, 7)
for x in self.metrics_06.three_month_periods],
answer_key_three_month_periods)
answer_key_six_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_BENCHMARK_VARIANCE['6-month'],
decimal=7)
results_six_month_periods = [
np.round(x.benchmark_variance, 7)
for x in self.metrics_06.six_month_periods]
self.assertEqual(results_six_month_periods,
answer_key_six_month_periods)
answer_key_year_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_BENCHMARK_VARIANCE['year'],
decimal=7)
self.assertEqual([np.round(x.benchmark_variance, 7)
for x in self.metrics_06.year_periods],
answer_key_year_periods)
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)
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