tests.risk.TestRisk

Complexity

Total Complexity

101

Size/Duplication

Total Lines	605
Duplicated Lines	0 %

31 Methods

Rating	Name	Duplication	Size	Complexity
A	test_factory()	0	6	1
B	test_algorithm_alpha_06()	0	13	5
B	test_benchmark_volatility_06()	0	18	5
A	test_sparse_benchmark()	0	13	2
A	assert_month()	0	7	2
A	assert_last_day()	0	12	4
B	test_benchmark_returns_06()	0	18	5
B	test_algorithm_sharpe_06()	0	13	5
B	test_algorithm_returns_06()	0	17	5
B	test_benchmark_variance_06()	0	17	5
B	test_treasury_returns_06()	0	43	5
B	test_algorithm_sortino_06()	0	20	5
A	setUpClass()	0	3	1
A	test_trading_days_06()	0	7	3
A	check_year_range()	0	10	1
B	check_metrics()	0	31	1
A	test_trading_days_08()	0	8	3
A	assert_range_length()	0	19	2
A	setUp()	0	51	1
B	test_algorithm_beta_06()	0	13	5
B	test_benchmark_returns_08()	0	45	5
B	test_partial_month()	0	24	1
B	test_benchmark_volatility_08()	0	47	5
A	test_drawdown()	0	12	1
A	tearDown()	0	2	1
A	test_benchmarkrange()	0	5	1
B	test_algorithm_downside_risk_06()	0	17	5
B	test_algorithm_volatility_06()	0	17	5
B	test_algorithm_information_06()	0	39	5
B	test_algorithm_covariance_06()	0	16	5
A	tearDownClass()	0	3	1

#
# 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

from itertools import chain
from six import itervalues

import zipline.finance.risk as risk
from zipline.utils import factory

from zipline.finance.trading import SimulationParameters, TradingEnvironment

from . import answer_key
from . answer_key import AnswerKey

ANSWER_KEY = AnswerKey()

RETURNS = ANSWER_KEY.RETURNS


class TestRisk(unittest.TestCase):

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

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

    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,
            env=self.env,
        )

        self.algo_returns_06 = factory.create_returns_from_list(
            RETURNS,
            self.sim_params
        )

        self.benchmark_returns_06 = \
            answer_key.RETURNS_DATA['Benchmark Returns']

        self.metrics_06 = risk.RiskReport(
            self.algo_returns_06,
            self.sim_params,
            benchmark_returns=self.benchmark_returns_06,
            env=self.env,
        )

        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,
            env=self.env,
        )

    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.index[-1] <=
                        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.index[0],
            returns.index[-1],
            returns,
            env=self.env,
            benchmark_returns=self.env.benchmark_returns,
            )
        self.assertEqual(metrics.max_drawdown, 0.505)

    def test_benchmark_returns_06(self):

This code seems to be duplicated in your project.

        np.testing.assert_almost_equal(
            [x.benchmark_period_returns
             for x in self.metrics_06.month_periods],
            ANSWER_KEY.BENCHMARK_PERIOD_RETURNS['Monthly'])
        np.testing.assert_almost_equal(
            [x.benchmark_period_returns
             for x in self.metrics_06.three_month_periods],
            ANSWER_KEY.BENCHMARK_PERIOD_RETURNS['3-Month'])
        np.testing.assert_almost_equal(
            [x.benchmark_period_returns
             for x in self.metrics_06.six_month_periods],
            ANSWER_KEY.BENCHMARK_PERIOD_RETURNS['6-month'])
        np.testing.assert_almost_equal(
            [x.benchmark_period_returns
             for x in self.metrics_06.year_periods],
            ANSWER_KEY.BENCHMARK_PERIOD_RETURNS['year'])

    def test_trading_days_06(self):

This code seems to be duplicated in your project.

        returns = factory.create_returns_from_range(self.sim_params)
        metrics = risk.RiskReport(returns, self.sim_params, env=self.env)
        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):

This code seems to be duplicated in your project.

        np.testing.assert_almost_equal(
            [x.benchmark_volatility
             for x in self.metrics_06.month_periods],
            ANSWER_KEY.BENCHMARK_PERIOD_VOLATILITY['Monthly'])
        np.testing.assert_almost_equal(
            [x.benchmark_volatility
             for x in self.metrics_06.three_month_periods],
            ANSWER_KEY.BENCHMARK_PERIOD_VOLATILITY['3-Month'])
        np.testing.assert_almost_equal(
            [x.benchmark_volatility
             for x in self.metrics_06.six_month_periods],
            ANSWER_KEY.BENCHMARK_PERIOD_VOLATILITY['6-month'])
        np.testing.assert_almost_equal(
            [x.benchmark_volatility
             for x in self.metrics_06.year_periods],
            ANSWER_KEY.BENCHMARK_PERIOD_VOLATILITY['year'])

    def test_algorithm_returns_06(self):

This code seems to be duplicated in your project.

        np.testing.assert_almost_equal(
            [x.algorithm_period_returns
             for x in self.metrics_06.month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_RETURNS['Monthly'])
        np.testing.assert_almost_equal(
            [x.algorithm_period_returns
             for x in self.metrics_06.three_month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_RETURNS['3-Month'])
        np.testing.assert_almost_equal(
            [x.algorithm_period_returns
             for x in self.metrics_06.six_month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_RETURNS['6-month'])
        np.testing.assert_almost_equal(
            [x.algorithm_period_returns
             for x in self.metrics_06.year_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_RETURNS['year'])

    def test_algorithm_volatility_06(self):

This code seems to be duplicated in your project.

        np.testing.assert_almost_equal(
            [x.algorithm_volatility
             for x in self.metrics_06.month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_VOLATILITY['Monthly'])
        np.testing.assert_almost_equal(
            [x.algorithm_volatility
             for x in self.metrics_06.three_month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_VOLATILITY['3-Month'])
        np.testing.assert_almost_equal(
            [x.algorithm_volatility
             for x in self.metrics_06.six_month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_VOLATILITY['6-month'])
        np.testing.assert_almost_equal(
            [x.algorithm_volatility
             for x in self.metrics_06.year_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_VOLATILITY['year'])

    def test_algorithm_sharpe_06(self):

This code seems to be duplicated in your project.

        np.testing.assert_almost_equal(
            [x.sharpe for x in self.metrics_06.month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_SHARPE['Monthly'])
        np.testing.assert_almost_equal(
            [x.sharpe for x in self.metrics_06.three_month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_SHARPE['3-Month'])
        np.testing.assert_almost_equal(
            [x.sharpe for x in self.metrics_06.six_month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_SHARPE['6-month'])
        np.testing.assert_almost_equal(
            [x.sharpe for x in self.metrics_06.year_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_SHARPE['year'])

    def test_algorithm_downside_risk_06(self):

This code seems to be duplicated in your project.

        np.testing.assert_almost_equal(
            [x.downside_risk for x in self.metrics_06.month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_DOWNSIDE_RISK['Monthly'],
            decimal=4)
        np.testing.assert_almost_equal(
            [x.downside_risk for x in self.metrics_06.three_month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_DOWNSIDE_RISK['3-Month'],
            decimal=4)
        np.testing.assert_almost_equal(
            [x.downside_risk for x in self.metrics_06.six_month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_DOWNSIDE_RISK['6-month'],
            decimal=4)
        np.testing.assert_almost_equal(
            [x.downside_risk for x in self.metrics_06.year_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_DOWNSIDE_RISK['year'],
            decimal=4)

    def test_algorithm_sortino_06(self):

This code seems to be duplicated in your project.

        np.testing.assert_almost_equal(
            [x.sortino for x in self.metrics_06.month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_SORTINO['Monthly'],
            decimal=3)

        np.testing.assert_almost_equal(
            [x.sortino for x in self.metrics_06.three_month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_SORTINO['3-Month'],
            decimal=3)

        np.testing.assert_almost_equal(
            [x.sortino for x in self.metrics_06.six_month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_SORTINO['6-month'],
            decimal=3)

        np.testing.assert_almost_equal(
            [x.sortino for x in self.metrics_06.year_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_SORTINO['year'],
            decimal=3)

    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):

This code seems to be duplicated in your project.

        np.testing.assert_almost_equal(
            [x.beta for x in self.metrics_06.month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_BETA['Monthly'])
        np.testing.assert_almost_equal(
            [x.beta for x in self.metrics_06.three_month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_BETA['3-Month'])
        np.testing.assert_almost_equal(
            [x.beta for x in self.metrics_06.six_month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_BETA['6-month'])
        np.testing.assert_almost_equal(
            [x.beta for x in self.metrics_06.year_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_BETA['year'])

    def test_algorithm_alpha_06(self):

This code seems to be duplicated in your project.

        np.testing.assert_almost_equal(
            [x.alpha for x in self.metrics_06.month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_ALPHA['Monthly'])
        np.testing.assert_almost_equal(
            [x.alpha for x in self.metrics_06.three_month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_ALPHA['3-Month'])
        np.testing.assert_almost_equal(
            [x.alpha for x in self.metrics_06.six_month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_ALPHA['6-month'])
        np.testing.assert_almost_equal(
            [x.alpha for x in self.metrics_06.year_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_ALPHA['year'])

    # 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):

This code seems to be duplicated in your project.

        np.testing.assert_almost_equal(
            [x.algorithm_covariance for x in self.metrics_06.month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_COVARIANCE['Monthly'])
        np.testing.assert_almost_equal(
            [x.algorithm_covariance
             for x in self.metrics_06.three_month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_COVARIANCE['3-Month'])
        np.testing.assert_almost_equal(
            [x.algorithm_covariance
             for x in self.metrics_06.six_month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_COVARIANCE['6-month'])
        np.testing.assert_almost_equal(
            [x.algorithm_covariance
             for x in self.metrics_06.year_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_COVARIANCE['year'])

    def test_benchmark_variance_06(self):

This code seems to be duplicated in your project.

        np.testing.assert_almost_equal(
            [x.benchmark_variance
             for x in self.metrics_06.month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_BENCHMARK_VARIANCE['Monthly'])
        np.testing.assert_almost_equal(
            [x.benchmark_variance
             for x in self.metrics_06.three_month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_BENCHMARK_VARIANCE['3-Month'])
        np.testing.assert_almost_equal(
            [x.benchmark_variance
             for x in self.metrics_06.six_month_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_BENCHMARK_VARIANCE['6-month'])
        np.testing.assert_almost_equal(
            [x.benchmark_variance
             for x in self.metrics_06.year_periods],
            ANSWER_KEY.ALGORITHM_PERIOD_BENCHMARK_VARIANCE['year'])

    def test_benchmark_returns_08(self):
        returns = factory.create_returns_from_range(self.sim_params08)
        metrics = risk.RiskReport(returns, self.sim_params08, env=self.env)

        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):

This code seems to be duplicated in your project.

        returns = factory.create_returns_from_range(self.sim_params08)
        metrics = risk.RiskReport(returns, self.sim_params08, env=self.env)
        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):

This code seems to be duplicated in your project.

        returns = factory.create_returns_from_range(self.sim_params08)
        metrics = risk.RiskReport(returns, self.sim_params08, env=self.env)

        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):

This code seems to be duplicated in your project.

        returns = factory.create_returns_from_range(self.sim_params)
        metrics = risk.RiskReport(returns, self.sim_params, env=self.env)
        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,
            env=self.env,
        )

        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, env=self.env)
        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)),
            env=self.env,
        )
        returns = factory.create_returns_from_range(sim_params)
        metrics = risk.RiskReport(returns, self.sim_params, env=self.env)
        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)

    def test_sparse_benchmark(self):
        benchmark_returns = self.benchmark_returns_06.copy()
        # Set every other day to nan.
        benchmark_returns.iloc[::2] = np.nan

        report = risk.RiskReport(
            self.algo_returns_06,
            self.sim_params,
            benchmark_returns=benchmark_returns,
            env=self.env,
        )
        for risk_period in chain.from_iterable(itervalues(report.to_dict())):
            self.assertIsNone(risk_period['beta'])