# # 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 numbers import unittest import datetime import pytz import numpy as np import pandas as pd import zipline.finance.risk as risk import zipline.finance.trading as trading from zipline.finance.trading import SimulationParameters from zipline.protocol import DailyReturn from test_risk import RETURNS class RiskCompareIterativeToBatch(unittest.TestCase): """ Assert that RiskMetricsIterative and RiskMetricsBatch behave in the same way. """ def setUp(self): self.start_date = datetime.datetime( year=2006, month=1, day=1, hour=0, minute=0, tzinfo=pytz.utc) self.end_date = datetime.datetime( year=2006, month=12, day=31, tzinfo=pytz.utc) def test_risk_metrics_returns(self): trading.environment = trading.TradingEnvironment() # Advance start date to first date in the trading calendar if trading.environment.is_trading_day(self.start_date): start_date = self.start_date else: start_date = trading.environment.next_trading_day(self.start_date) self.all_benchmark_returns = pd.Series({ x.date: x.returns for x in trading.environment.benchmark_returns if x.date >= self.start_date }) start_index = trading.environment.trading_days.searchsorted(start_date) end_date = trading.environment.trading_days[ start_index + len(RETURNS)] sim_params = SimulationParameters(start_date, end_date) risk_metrics_refactor = risk.RiskMetricsIterative(sim_params) todays_date = start_date cur_returns = [] for i, ret in enumerate(RETURNS): todays_return_obj = DailyReturn( todays_date, ret ) cur_returns.append(todays_return_obj) try: risk_metrics_original = risk.RiskMetricsBatch( start_date=start_date, end_date=todays_date, returns=cur_returns ) except Exception as e: #assert that when original raises exception, same #exception is raised by risk_metrics_refactor np.testing.assert_raises( type(e), risk_metrics_refactor.update, todays_date, self.all_benchmark_returns[todays_return_obj.date] ) continue risk_metrics_refactor.update( todays_date, ret, self.all_benchmark_returns[todays_return_obj.date]) # Move forward day counter to next trading day todays_date = trading.environment.next_trading_day(todays_date) self.assertEqual( risk_metrics_original.start_date, risk_metrics_refactor.start_date) self.assertEqual( risk_metrics_original.end_date, risk_metrics_refactor.algorithm_returns.index[-1]) self.assertEqual( risk_metrics_original.treasury_period_return, risk_metrics_refactor.treasury_period_return) np.testing.assert_allclose( risk_metrics_original.benchmark_returns, risk_metrics_refactor.benchmark_returns, rtol=0.001 ) np.testing.assert_allclose( risk_metrics_original.algorithm_returns, risk_metrics_refactor.algorithm_returns, rtol=0.001 ) risk_original_dict = risk_metrics_original.to_dict() risk_refactor_dict = risk_metrics_refactor.to_dict() self.assertEqual(set(risk_original_dict.keys()), set(risk_refactor_dict.keys())) err_msg_format = """\ "In update step {iter}: {measure} should be {truth} but is {returned}!""" for measure in risk_original_dict.iterkeys(): if measure == 'max_drawdown': np.testing.assert_almost_equal( risk_refactor_dict[measure], risk_original_dict[measure], err_msg=err_msg_format.format( iter=i, measure=measure, truth=risk_original_dict[measure], returned=risk_refactor_dict[measure])) else: if isinstance(risk_original_dict[measure], numbers.Real): np.testing.assert_allclose( risk_original_dict[measure], risk_refactor_dict[measure], rtol=0.001, err_msg=err_msg_format.format( iter=i, measure=measure, truth=risk_original_dict[measure], returned=risk_refactor_dict[measure]) ) else: np.testing.assert_equal( risk_original_dict[measure], risk_refactor_dict[measure], err_msg=err_msg_format.format( iter=i, measure=measure, truth=risk_original_dict[measure], returned=risk_refactor_dict[measure]) )