/tests/test_risk_compare_batch_iterative.py
Python | 131 lines | 92 code | 18 blank | 21 comment | 4 complexity | 54ab47f4153c70d4b2e918a4131f38ae MD5 | raw file
Possible License(s): Apache-2.0
- #
- # 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 pytz
- import numpy as np
- import zipline.finance.risk as risk
- import zipline.finance.trading as trading
- 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)
- self.oneday = datetime.timedelta(days=1)
- def test_risk_metrics_returns(self):
- risk_metrics_refactor = risk.RiskMetricsIterative(self.start_date)
- todays_date = self.start_date
- cur_returns = []
- for i, ret in enumerate(RETURNS):
- todays_return_obj = DailyReturn(
- todays_date,
- ret
- )
- cur_returns.append(todays_return_obj)
- # Move forward day counter to next trading day
- todays_date += self.oneday
- while not trading.environment.is_trading_day(todays_date):
- todays_date += self.oneday
- try:
- risk_metrics_original = risk.RiskMetricsBatch(
- start_date=self.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, ret)
- continue
- risk_metrics_refactor.update(todays_date, ret)
- self.assertEqual(
- risk_metrics_original.start_date,
- risk_metrics_refactor.start_date)
- self.assertEqual(
- risk_metrics_original.end_date,
- risk_metrics_refactor.end_date)
- self.assertEqual(
- risk_metrics_original.treasury_duration,
- risk_metrics_refactor.treasury_duration)
- self.assertEqual(
- risk_metrics_original.treasury_curve,
- risk_metrics_refactor.treasury_curve)
- self.assertEqual(
- risk_metrics_original.treasury_period_return,
- risk_metrics_refactor.treasury_period_return)
- self.assertEqual(
- risk_metrics_original.benchmark_returns,
- risk_metrics_refactor.benchmark_returns)
- self.assertEqual(
- risk_metrics_original.algorithm_returns,
- risk_metrics_refactor.algorithm_returns)
- 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:
- np.testing.assert_equal(
- risk_original_dict[measure],
- risk_refactor_dict[measure],
- err_msg_format.format(
- iter=i,
- measure=measure,
- truth=risk_original_dict[measure],
- returned=risk_refactor_dict[measure])
- )