mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-28 17:00:51 +08:00
Stephen Diehl
357 lines
19 KiB
Python
357 lines
19 KiB
Python
import unittest
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import copy
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import datetime
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import calendar
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import pytz
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import zipline.finance.risk as risk
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from zipline.utils import factory
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from zipline.finance.trading import TradingEnvironment
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class Risk(unittest.TestCase):
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def setUp(self):
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#qutil.configure_logging()
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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=1,
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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(year=2006, month=12, day=31, tzinfo=pytz.utc)
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self.benchmark_returns, self.treasury_curves = \
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factory.load_market_data()
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self.trading_env = TradingEnvironment(
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self.benchmark_returns,
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self.treasury_curves,
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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.onesec = datetime.timedelta(seconds=1)
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self.oneday = datetime.timedelta(days=1)
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self.tradingday = datetime.timedelta(hours=6, minutes=30)
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self.dt = datetime.datetime.utcnow()
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self.algo_returns_06 = factory.create_returns_from_list(
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RETURNS,
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self.trading_env
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)
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self.metrics_06 = risk.RiskReport(
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self.algo_returns_06,
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self.trading_env
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)
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start_08 = datetime.datetime(
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year=2008,
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month=1,
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day=1,
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hour=0,
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minute=0,
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tzinfo=pytz.utc)
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end_08 = datetime.datetime(
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year=2008,
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month=12,
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day=31,
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tzinfo=pytz.utc
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)
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self.trading_env08 = TradingEnvironment(
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self.benchmark_returns,
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self.treasury_curves,
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period_start = start_08,
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period_end = end_08
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)
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def tearDown(self):
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return
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def test_factory(self):
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returns = [0.1] * 100
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r_objects = factory.create_returns_from_list(returns, self.trading_env)
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self.assertTrue(r_objects[-1].date <= datetime.datetime(year=2006, month=12, day=31, tzinfo=pytz.utc))
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def test_drawdown(self):
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returns = factory.create_returns_from_list([1.0,-0.5,0.8,.17,1.0,-0.1,-0.45], self.trading_env)
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#200, 100, 180, 210.6, 421.2, 379.8, 208.494
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metrics = risk.RiskMetrics(returns[0].date, returns[-1].date, returns, self.trading_env)
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self.assertEqual(metrics.max_drawdown, 0.505)
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def test_benchmark_returns_06(self):
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returns = factory.create_returns_from_range(self.trading_env)
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metrics = risk.RiskReport(returns, self.trading_env)
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self.assertEqual([round(x.benchmark_period_returns, 4) for x in metrics.month_periods],
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[0.0255,0.0005,0.0111,0.0122,-0.0309,0.0001,0.0051,0.0213,0.0246,0.0315,0.0165,0.0126])
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self.assertEqual([round(x.benchmark_period_returns, 4) for x in metrics.three_month_periods],
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[0.0373,0.0239,-0.0083,-0.0191,-0.0259,0.0266,0.0517,0.0793,0.0743,0.0617])
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self.assertEqual([round(x.benchmark_period_returns, 4) for x in metrics.six_month_periods],
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[0.0176,-0.0027,0.0181,0.0316,0.0514,0.1028,0.1166])
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self.assertEqual([round(x.benchmark_period_returns,4) for x in metrics.year_periods],[0.1362])
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def test_trading_days_06(self):
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returns = factory.create_returns_from_range(self.trading_env)
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metrics = risk.RiskReport(returns, self.trading_env)
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self.assertEqual([x.trading_days for x in metrics.year_periods],[251])
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self.assertEqual([x.trading_days for x in metrics.month_periods],[20,19,23,19,22,22,20,23,20,22,21,20])
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def test_benchmark_volatility_06(self):
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returns = factory.create_returns_from_range(self.trading_env)
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metrics = risk.RiskReport(returns, self.trading_env)
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self.assertEqual([round(x.benchmark_volatility, 3) for x in metrics.month_periods],
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[0.031,0.026,0.024,0.025,0.037,0.047,0.039,0.022,0.023,0.021,0.025,0.019])
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self.assertEqual([round(x.benchmark_volatility, 3) for x in metrics.three_month_periods],
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[0.047,0.042,0.050,0.064,0.070,0.064,0.049,0.037,0.039,0.037])
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self.assertEqual([round(x.benchmark_volatility, 3) for x in metrics.six_month_periods],
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[0.079,0.082,0.081,0.081,0.08,0.074,0.061])
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self.assertEqual([round(x.benchmark_volatility, 3) for x in metrics.year_periods],[0.100])
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def test_algorithm_returns_06(self):
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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])
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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])
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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])
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self.assertEqual([round(x.algorithm_period_returns, 3) for x in self.metrics_06.year_periods],[0.02])
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def test_algorithm_volatility_06(self):
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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])
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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])
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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])
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self.assertEqual([round(x.algorithm_volatility, 3) for x in self.metrics_06.year_periods],[0.458])
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def test_algorithm_sharpe_06(self):
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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])
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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])
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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])
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self.assertEqual([round(x.sharpe, 3) for x in self.metrics_06.year_periods],[-0.066])
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def dtest_algorithm_beta_06(self):
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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])
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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])
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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])
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self.assertEqual([round(x.beta, 3) for x in self.metrics_06.year_periods],[-0.219])
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def dtest_algorithm_alpha_06(self):
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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])
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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])
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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])
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self.assertEqual([round(x.alpha, 3) for x in self.metrics_06.year_periods],[-0.011])
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#FIXME: Covariance is not matching excel precisely enough to run the test. Month 4 seems to be the problem. Variance is disabled
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#just to avoid distraction - it is much closer than covariance and can probably pass with 6 significant digits instead of 7.
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#re-enable variance, alpha, and beta tests once this is resolved
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def dtest_algorithm_covariance_06(self):
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metric = self.metrics_06.month_periods[3]
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print repr(metric)
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print "----"
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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])
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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])
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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])
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self.assertEqual([round(x.algorithm_covariance, 7) for x in self.metrics_06.year_periods],[-8.75273E-06])
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def dtest_benchmark_variance_06(self):
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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])
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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])
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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])
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self.assertEqual([round(x.benchmark_variance, 7) for x in self.metrics_06.year_periods],[0.0000399])
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def test_benchmark_returns_08(self):
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returns = factory.create_returns_from_range(self.trading_env08)
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metrics = risk.RiskReport(returns, self.trading_env08)
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monthly = [round(x.benchmark_period_returns, 3) for x in metrics.month_periods]
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self.assertEqual( monthly,
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[-0.061,-0.035,-0.006,0.048,0.011,-0.086,-0.01,0.012,-0.091,-0.169,-0.075,0.008])
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self.assertEqual([round(x.benchmark_period_returns, 3) for x in metrics.three_month_periods],
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[-0.099,0.005,0.052,-0.032,-0.085,-0.084,-0.089,-0.236,-0.301,-0.226])
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self.assertEqual([round(x.benchmark_period_returns, 3) for x in metrics.six_month_periods],
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[-0.128,-0.081,-0.036,-0.118,-0.301,-0.360,-0.294])
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self.assertEqual([round(x.benchmark_period_returns,3) for x in metrics.year_periods],[-0.385])
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def test_trading_days_08(self):
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returns = factory.create_returns_from_range(self.trading_env08)
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metrics = risk.RiskReport(returns, self.trading_env08)
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self.assertEqual([x.trading_days for x in metrics.year_periods],[253])
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self.assertEqual([x.trading_days for x in metrics.month_periods],[21,20,20,22,21,21,22,21,21,23,19,22])
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def test_benchmark_volatility_08(self):
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returns = factory.create_returns_from_range(self.trading_env08)
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metrics = risk.RiskReport(returns, self.trading_env08)
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self.assertEqual([round(x.benchmark_volatility, 3) for x in metrics.month_periods],
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[0.07,0.058,0.082,0.054,0.041,0.057,0.068,0.06,0.157,0.244,0.195,0.145])
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self.assertEqual([round(x.benchmark_volatility, 3) for x in metrics.three_month_periods],
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[0.120,0.113,0.105,0.09,0.098,0.107,0.179,0.293,0.344,0.340])
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self.assertEqual([round(x.benchmark_volatility, 3) for x in metrics.six_month_periods],
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[0.15,0.149,0.15,0.2,0.308,0.36,0.383])
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#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
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self.assertEqual([round(x.benchmark_volatility, 3) for x in metrics.year_periods],[0.41099999999999998])
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def test_treasury_returns_06(self):
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returns = factory.create_returns_from_range(self.trading_env)
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metrics = risk.RiskReport(returns, self.trading_env)
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self.assertEqual([round(x.treasury_period_return, 4) for x in metrics.month_periods],
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[0.0037,0.0034,0.0039,0.0038,0.0040,0.0037,0.0043,0.0043,0.0038,0.0044,0.0043,0.0041])
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self.assertEqual([round(x.treasury_period_return, 4) for x in metrics.three_month_periods],
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[0.0114,0.0118,0.0122,0.0125,0.0129,0.0127,0.0123,0.0128,0.0125,0.0128])
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self.assertEqual([round(x.treasury_period_return, 4) for x in metrics.six_month_periods],
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[0.0260,0.0257,0.0258,0.0252,0.0259,0.0256,0.0258])
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self.assertEqual([round(x.treasury_period_return, 4) for x in metrics.year_periods],
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[0.0500])
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def test_benchmarkrange(self):
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self.check_year_range(datetime.datetime(year=2008,month=1,day=1), 2)
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def test_partial_month(self):
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start = datetime.datetime(
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year=1991,
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month=1,
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day=1,
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hour=0,
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minute=0,
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tzinfo=pytz.utc)
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#1992 and 1996 were leap years
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total_days = 365 * 5 + 2
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end = start + datetime.timedelta(days = total_days)
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trading_env90s = TradingEnvironment(
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self.benchmark_returns,
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self.treasury_curves,
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period_start = start,
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period_end = end
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)
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returns = factory.create_returns(total_days, trading_env90s)
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returns = returns[:-10] #truncate the returns series to end mid-month
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metrics = risk.RiskReport(returns, trading_env90s)
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total_months = 60
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self.check_metrics(metrics, total_months, start)
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def check_year_range(self, start_date, years):
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if(start_date.month <= 2):
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ld = calendar.leapdays(start_date.year, start_date.year + years)
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else:
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#because we may catch the leap of the last year, and i think this func is [start,end)
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ld = calendar.leapdays(start_date.year, start_date.year + years + 1)
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returns = factory.create_returns(365 * years + ld, self.trading_env08)
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metrics = risk.RiskReport(returns, self.trading_env)
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total_months = years * 12
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self.check_metrics(metrics, total_months, start_date)
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def check_metrics(self, metrics, total_months, start_date):
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"""
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confirm that the right number of riskmetrics were calculated for each
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window length.
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"""
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self.assert_range_length(
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metrics.month_periods,
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total_months,
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1,
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start_date
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)
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self.assert_range_length(
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metrics.three_month_periods,
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total_months,
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3,
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start_date
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)
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self.assert_range_length(
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metrics.six_month_periods,
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total_months,
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6,
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start_date
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)
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self.assert_range_length(
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metrics.year_periods,
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total_months,
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12,
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start_date
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)
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def assert_last_day(self, period_end):
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#30 days has september, april, june and november
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if(period_end.month in [9,4,6,11]):
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self.assertEqual(period_end.day, 30)
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#all the rest have 31, except for february
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elif(period_end.month != 2):
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self.assertEqual(period_end.day, 31)
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else:
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if calendar.isleap(period_end.year):
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self.assertEqual(period_end.day, 29)
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else:
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self.assertEqual(period_end.day, 28)
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def assert_month(self, start_month, actual_end_month):
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if start_month == 1:
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expected_end_month = 12
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else:
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expected_end_month = start_month - 1
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self.assertEqual(expected_end_month, actual_end_month)
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def assert_range_length(self, col, total_months, period_length, start_date):
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if(period_length > total_months):
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self.assertEqual(len(col), 0)
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else:
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self.assertEqual(
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len(col),
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total_months - (period_length - 1),
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"mismatch for total months - expected:{total_months}/actual:{actual}, period:{period_length}, start:{start_date}, calculated end:{end}".format(
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total_months=total_months,
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period_length=period_length,
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start_date=start_date,
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end=col[-1].end_date,
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actual=len(col)
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))
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self.assert_month(start_date.month, col[-1].end_date.month)
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self.assert_last_day(col[-1].end_date)
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RETURNS = [
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0.0093, -0.0193, 0.0351, 0.0396, 0.0338, -0.0211, 0.0389,
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0.0326, -0.0137, -0.0411, -0.0032, 0.0149, 0.0133, 0.0348,
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0.042 , -0.0455, 0.0262, -0.0461, 0.0021, -0.0273, -0.0429,
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0.0427, -0.0104, 0.0346, -0.0311, 0.0003, 0.0211, 0.0248,
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-0.0215, 0.004 , 0.0267, 0.0029, -0.0369, 0.0057, 0.0298,
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-0.0179, -0.0361, -0.0401, -0.0123, -0.005 , 0.0203, -0.041 ,
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0.0011, 0.0118, 0.0103, -0.0184, -0.0437, 0.0411, -0.0242,
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-0.0054, -0.0039, -0.0273, -0.0075, 0.0064, -0.0376, 0.0424,
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0.0399, 0.019 , 0.0236, -0.0284, -0.0341, 0.0266, 0.05 ,
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0.0069, -0.0442, -0.016 , 0.0173, 0.0348, -0.0404, -0.0068,
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|
-0.0376, 0.0356, 0.0043, -0.0481, -0.0134, 0.0257, 0.0442,
|
|
0.0234, 0.0394, 0.0376, -0.0147, -0.0098, 0.0474, -0.0102,
|
|
0.0138, 0.0286, 0.0347, 0.0279, -0.0067, 0.0462, -0.0432,
|
|
0.0247, 0.0174, -0.0305, -0.0317, -0.0068, 0.0264, -0.0257,
|
|
-0.0328, 0.0092, 0.0288, -0.002 , 0.0288, 0.028 , -0.0093,
|
|
0.0178, -0.0365, -0.0086, -0.0133, -0.0309, 0.0473, -0.0149,
|
|
0.0378, -0.0316, -0.0292, -0.0453, -0.0451, 0.0093, 0.0397,
|
|
-0.0361, -0.0168, -0.0494, -0.0143, -0.0405, -0.0349, 0.0069,
|
|
0.0378, -0.0233, -0.0492, 0.018 , -0.0386, 0.0339, 0.0119,
|
|
0.0454, 0.0118, -0.011 , -0.0254, 0.0266, -0.0366, -0.0211,
|
|
0.0399, 0.0307, 0.035 , -0.0402, 0.0304, -0.0031, 0.0256,
|
|
0.0134, -0.0019, -0.0235, -0.0058, -0.0117, 0.0051, -0.0451,
|
|
-0.0466, -0.0124, 0.0283, -0.0499, 0.0318, -0.0028, 0.0203,
|
|
0.005 , 0.0085, 0.0048, 0.0277, 0.0159, -0.0149, 0.035 ,
|
|
0.0404, -0.01 , 0.0377, 0.0302, 0.0046, -0.0328, -0.0469,
|
|
0.0071, -0.0382, -0.0214, 0.0429, 0.0145, -0.0279, -0.0172,
|
|
0.0423, 0.041 , -0.0183, 0.0137, -0.0412, -0.0348, 0.0302,
|
|
0.0248, 0.0051, -0.0298, -0.0103, -0.0333, -0.0399, 0.0485,
|
|
-0.0166, 0.0384, 0.0259, -0.0163, 0.0357, 0.0308, -0.0386,
|
|
0.0481, -0.0446, -0.0282, -0.0037, 0.0202, 0.0216, 0.0113,
|
|
0.0194, 0.0392, 0.0016, 0.0268, -0.0155, -0.027 , 0.02 ,
|
|
0.0216, -0.0009, 0.022 , 0. , 0.041 , 0.0133, -0.0382,
|
|
0.0495, -0.0221, -0.0329, -0.0033, -0.0089, -0.0129, -0.0252,
|
|
0.048 , -0.0307, -0.0357, 0.0033, -0.0412, -0.0407, 0.0455,
|
|
0.0159, -0.0051, -0.0274, -0.0213, 0.0361, 0.0051, -0.0378,
|
|
0.0084, 0.0066, -0.0103, -0.0037, 0.0478, -0.0278
|
|
]
|