def sortino_ratio(algorithm_returns, algorithm_period_return, mar):
"""
http://en.wikipedia.org/wiki/Sortino_ratio
Args:
algorithm_returns (np.array-like):
Returns from algorithm lifetime.
algorithm_period_return (float):
Algorithm return percentage from latest period.
mar (float): Minimum acceptable return.
Returns:
float. The Sortino ratio.
"""
if len(algorithm_returns) == 0:
return 0.0
rets = algorithm_returns
downside = (rets[rets < mar] - mar)**2
dr = np.sqrt(downside.sum() / len(rets))
if zp_math.tolerant_equals(dr, 0):
return 0.0
return (algorithm_period_return - mar) / dr
def sharpe_ratio(algorithm_volatility, annualized_return, treasury_return):
"""
http://en.wikipedia.org/wiki/Sharpe_ratio
Args:
algorithm_volatility (float): Algorithm volatility.
algorithm_return (float): Algorithm return percentage.
treasury_return (float): Treasury return percentage.
Returns:
float. The Sharpe ratio.
"""
if zp_math.tolerant_equals(algorithm_volatility, 0):
return np.nan
return (
(annualized_return - treasury_return)
# The square of the annualization factor is in the volatility,
# because the volatility is also annualized,
# i.e. the sqrt(annual factor) is in the volatility's numerator.
# So to have the the correct annualization factor for the
# Sharpe value's numerator, which should be the sqrt(annual factor).
# The square of the sqrt of the annual factor, i.e. the annual factor
# itself, is needed in the numerator to factor out the division by
# its square root.
/ algorithm_volatility)
def information_ratio(algo_volatility, algorithm_return, benchmark_return):
"""
http://en.wikipedia.org/wiki/Information_ratio
Args:
algorithm_returns (np.array-like):
All returns during algorithm lifetime.
benchmark_returns (np.array-like):
All benchmark returns during algo lifetime.
Returns:
float. Information ratio.
"""
if zp_math.tolerant_equals(algo_volatility, 0):
return np.nan
return (
(algorithm_return - benchmark_return)
# The square of the annualization factor is in the volatility,
# because the volatility is also annualized,
# i.e. the sqrt(annual factor) is in the volatility's numerator.
# So to have the the correct annualization factor for the
# Sharpe value's numerator, which should be the sqrt(annual factor).
# The square of the sqrt of the annual factor, i.e. the annual factor
# itself, is needed in the numerator to factor out the division by
# its square root.
/ algo_volatility)
def sharpe_ratio(algorithm_volatility, annualized_return, treasury_return):
"""
http://en.wikipedia.org/wiki/Sharpe_ratio
Args:
algorithm_volatility (float): Algorithm volatility.
algorithm_return (float): Algorithm return percentage.
treasury_return (float): Treasury return percentage.
Returns:
float. The Sharpe ratio.
"""
if zp_math.tolerant_equals(algorithm_volatility, 0):
return np.nan
return (
(annualized_return - treasury_return)
# The square of the annualization factor is in the volatility,
# because the volatility is also annualized,
# i.e. the sqrt(annual factor) is in the volatility's numerator.
# So to have the the correct annualization factor for the
# Sharpe value's numerator, which should be the sqrt(annual factor).
# The square of the sqrt of the annual factor, i.e. the annual factor
# itself, is needed in the numerator to factor out the division by
# its square root.
/ algorithm_volatility)
def process_trade(self, trade_event):
if trade_event.type != zp.DATASOURCE_TYPE.TRADE:
return
if zp_math.tolerant_equals(trade_event.volume, 0):
# there are zero volume trade_events bc some stocks trade
# less frequently than once per minute.
return
if 'contract' in trade_event.__dict__:
sid = (trade_event.sid, trade_event.contract)
else:
sid = trade_event.sid
if sid in self.open_orders:
orders = self.open_orders[sid]
orders = sorted(orders, key=lambda o: o.dt)
# Only use orders for the current day or before
current_orders = filter(lambda o: o.dt <= trade_event.dt, orders)
else:
return
for order, txn in self.transact(trade_event, current_orders):
if txn.type == zp.DATASOURCE_TYPE.COMMISSION:
yield txn, order
continue
if 'contract' in order.__dict__:
self.futures_handle_leverage(txn, order)
else:
self.handle_leverage(txn, order)
transaction_cost = txn.amount * txn.price
self.portfolio.cash -= transaction_cost
self.portfolio.positions_value += transaction_cost
self.portfolio.portfolio_value = self.portfolio.cash + self.portfolio.positions_value
# if txn.amount == 0:
# raise alephnull.errors.TransactionWithNoAmount(txn=txn)
if math.copysign(1, txn.amount) != order.direction:
raise alephnull.errors.TransactionWithWrongDirection(
txn=txn, order=order)
if abs(txn.amount) > abs(self.orders[txn.order_id].amount):
raise alephnull.errors.TransactionVolumeExceedsOrder(
txn=txn, order=order)
order.filled += txn.amount
# mark the date of the order to match the transaction
# that is filling it.
order.dt = txn.dt
yield txn, order
# update the open orders for the trade_event's sid
self.open_orders[sid] = \
[order for order
in self.open_orders[sid]
if order.open]
def information_ratio(algo_volatility, algorithm_return, benchmark_return):
"""
http://en.wikipedia.org/wiki/Information_ratio
Args:
algorithm_returns (np.array-like):
All returns during algorithm lifetime.
benchmark_returns (np.array-like):
All benchmark returns during algo lifetime.
Returns:
float. Information ratio.
"""
if zp_math.tolerant_equals(algo_volatility, 0):
return np.nan
return (
(algorithm_return - benchmark_return)
# The square of the annualization factor is in the volatility,
# because the volatility is also annualized,
# i.e. the sqrt(annual factor) is in the volatility's numerator.
# So to have the the correct annualization factor for the
# Sharpe value's numerator, which should be the sqrt(annual factor).
# The square of the sqrt of the annual factor, i.e. the annual factor
# itself, is needed in the numerator to factor out the division by
# its square root.
/ algo_volatility)
def information_ratio(algorithm_returns, benchmark_returns):
"""
http://en.wikipedia.org/wiki/Information_ratio
Args:
algorithm_returns (np.array-like):
All returns during algorithm lifetime.
benchmark_returns (np.array-like):
All benchmark returns during algo lifetime.
Returns:
float. Information ratio.
"""
relative_returns = algorithm_returns - benchmark_returns
relative_deviation = relative_returns.std(ddof=1)
if (
zp_math.tolerant_equals(relative_deviation, 0)
or
np.isnan(relative_deviation)
):
return 0.0
return np.mean(relative_returns) / relative_deviation
def sortino_ratio(algorithm_returns, algorithm_period_return, mar):
"""
http://en.wikipedia.org/wiki/Sortino_ratio
Args:
algorithm_returns (np.array-like):
Returns from algorithm lifetime.
algorithm_period_return (float):
Algorithm return percentage from latest period.
mar (float): Minimum acceptable return.
Returns:
float. The Sortino ratio.
"""
if len(algorithm_returns) == 0:
return 0.0
rets = algorithm_returns
downside = (rets[rets < mar] - mar) ** 2
dr = np.sqrt(downside.sum() / len(rets))
if zp_math.tolerant_equals(dr, 0):
return 0.0
return (algorithm_period_return - mar) / dr
def transact_stub(slippage, commission, event, open_orders):
"""
This is intended to be wrapped in a partial, so that the
slippage and commission models can be enclosed.
"""
for order, transaction in slippage(event, open_orders):
if (transaction
and not zp_math.tolerant_equals(transaction.amount, 0)):
direction = math.copysign(1, transaction.amount)
per_share, total_commission = commission.calculate(transaction)
transaction.price = transaction.price + (per_share * direction)
transaction.commission = total_commission
yield order, transaction
def get_stddev(self):
# Sample standard deviation is undefined for a single event or
# no events.
if len(self) <= 1:
return None
else:
average = self.sum / len(self)
s_squared = (self.sum_sqr - self.sum * average) \
/ (len(self) - 1)
if zp_math.tolerant_equals(0, s_squared):
return 0.0
stddev = sqrt(s_squared)
return stddev
def get_stddev(self):
# Sample standard deviation is undefined for a single event or
# no events.
if len(self) <= 1:
return None
else:
average = self.sum / len(self)
s_squared = (self.sum_sqr - self.sum * average) \
/ (len(self) - 1)
if zp_math.tolerant_equals(0, s_squared):
return 0.0
stddev = sqrt(s_squared)
return stddev
def sharpe_ratio(algorithm_volatility, algorithm_return, treasury_return):
"""
http://en.wikipedia.org/wiki/Sharpe_ratio
Args:
algorithm_volatility (float): Algorithm volatility.
algorithm_return (float): Algorithm return percentage.
treasury_return (float): Treasury return percentage.
Returns:
float. The Sharpe ratio.
"""
if zp_math.tolerant_equals(algorithm_volatility, 0):
return 0.0
return (algorithm_return - treasury_return) / algorithm_volatility
def transact_stub(slippage, commission, event, open_orders):
"""
This is intended to be wrapped in a partial, so that the
slippage and commission models can be enclosed.
"""
for order, transaction in slippage(event, open_orders):
if (
transaction
and not
zp_math.tolerant_equals(transaction.amount, 0)
):
direction = math.copysign(1, transaction.amount)
per_share, total_commission = commission.calculate(transaction)
transaction.price = transaction.price + (per_share * direction)
transaction.commission = total_commission
yield order, transaction
def sharpe_ratio(algorithm_volatility, algorithm_return, treasury_return):
"""
http://en.wikipedia.org/wiki/Sharpe_ratio
Args:
algorithm_volatility (float): Algorithm volatility.
algorithm_return (float): Algorithm return percentage.
treasury_return (float): Treasury return percentage.
Returns:
float. The Sharpe ratio.
"""
if zp_math.tolerant_equals(algorithm_volatility, 0):
return 0.0
return (algorithm_return - treasury_return) / algorithm_volatility
def sortino_ratio(annualized_algorithm_return, treasury_return, downside_risk):
"""
http://en.wikipedia.org/wiki/Sortino_ratio
Args:
algorithm_returns (np.array-like):
Returns from algorithm lifetime.
algorithm_period_return (float):
Algorithm return percentage from latest period.
mar (float): Minimum acceptable return.
Returns:
float. The Sortino ratio.
"""
if np.isnan(downside_risk) or zp_math.tolerant_equals(downside_risk, 0):
return 0.0
return (annualized_algorithm_return - treasury_return) / downside_risk
def sortino_ratio(annualized_algorithm_return, treasury_return, downside_risk):
"""
http://en.wikipedia.org/wiki/Sortino_ratio
Args:
algorithm_returns (np.array-like):
Returns from algorithm lifetime.
algorithm_period_return (float):
Algorithm return percentage from latest period.
mar (float): Minimum acceptable return.
Returns:
float. The Sortino ratio.
"""
if np.isnan(downside_risk) or zp_math.tolerant_equals(downside_risk, 0):
return 0.0
return (annualized_algorithm_return - treasury_return) / downside_risk
def simulate(self, event, current_orders):
self._volume_for_bar = 0
for order in current_orders:
open_amount = order.amount - order.filled
if zp_math.tolerant_equals(open_amount, 0):
continue
order.check_triggers(event)
if not order.triggered:
continue
txn = self.process_order(event, order)
if txn:
self._volume_for_bar += abs(txn.amount)
yield order, txn
def simulate(self, event, current_orders):
self._volume_for_bar = 0
for order in current_orders:
open_amount = order.amount - order.filled
if zp_math.tolerant_equals(open_amount, 0):
continue
order.check_triggers(event)
if not order.triggered:
continue
txn = self.process_order(event, order)
if txn:
self._volume_for_bar += abs(txn.amount)
yield order, txn
def information_ratio(algorithm_returns, benchmark_returns):
"""
http://en.wikipedia.org/wiki/Information_ratio
Args:
algorithm_returns (np.array-like):
All returns during algorithm lifetime.
benchmark_returns (np.array-like):
All benchmark returns during algo lifetime.
Returns:
float. Information ratio.
"""
relative_returns = algorithm_returns - benchmark_returns
relative_deviation = relative_returns.std(ddof=1)
if (zp_math.tolerant_equals(relative_deviation, 0)
or np.isnan(relative_deviation)):
return 0.0
return np.mean(relative_returns) / relative_deviation
def process_trade(self, trade_event):
if trade_event.type != zp.DATASOURCE_TYPE.TRADE:
return
if zp_math.tolerant_equals(trade_event.volume, 0):
# there are zero volume trade_events bc some stocks trade
# less frequently than once per minute.
return
if 'contract' in trade_event.__dict__:
sid = (trade_event.sid, trade_event.contract)
else:
sid = trade_event.sid
if sid in self.open_orders:
orders = self.open_orders[sid]
orders = sorted(orders, key=lambda o: o.dt)
# Only use orders for the current day or before
current_orders = filter(
lambda o: o.dt <= trade_event.dt,
orders)
else:
return
for order, txn in self.transact(trade_event, current_orders):
if txn.type == zp.DATASOURCE_TYPE.COMMISSION:
yield txn, order
continue
if 'contract' in order.__dict__:
self.futures_handle_leverage(txn, order)
else:
self.handle_leverage(txn, order)
transaction_cost = txn.amount * txn.price
self.portfolio.cash -= transaction_cost
self.portfolio.positions_value += transaction_cost
self.portfolio.portfolio_value = self.portfolio.cash + self.portfolio.positions_value
# if txn.amount == 0:
# raise alephnull.errors.TransactionWithNoAmount(txn=txn)
if math.copysign(1, txn.amount) != order.direction:
raise alephnull.errors.TransactionWithWrongDirection(
txn=txn, order=order)
if abs(txn.amount) > abs(self.orders[txn.order_id].amount):
raise alephnull.errors.TransactionVolumeExceedsOrder(
txn=txn, order=order)
order.filled += txn.amount
# mark the date of the order to match the transaction
# that is filling it.
order.dt = txn.dt
yield txn, order
# update the open orders for the trade_event's sid
self.open_orders[sid] = \
[order for order
in self.open_orders[sid]
if order.open]
def round_for_minimum_price_variation(x, is_buy, diff=(0.0095 - .005)):
# relies on rounding half away from zero, unlike numpy's bankers' rounding
rounded = round(x - (diff if is_buy else -diff), 2)
if zp_math.tolerant_equals(rounded, 0.0):
return 0.0
return rounded
def round_for_minimum_price_variation(x, is_buy, diff=(0.0095 - .005)):
# relies on rounding half away from zero, unlike numpy's bankers' rounding
rounded = round(x - (diff if is_buy else -diff), 2)
if zp_math.tolerant_equals(rounded, 0.0):
return 0.0
return rounded
