def test_es_return_sample():
df = get_data()
mu = expected_returns.mean_historical_return(df)
S = risk_models.sample_cov(df)
# Generate a 1y sample of daily data
np.random.seed(0)
mu_daily = (1 + mu)**(1 / 252) - 1
S_daily = S / 252
sample_rets = pd.DataFrame(np.random.multivariate_normal(
mu_daily, S_daily, 300),
columns=mu.index)
es = EfficientSemivariance(mu, sample_rets)
w = es.efficient_return(0.2)
assert isinstance(w, dict)
assert set(w.keys()) == set(es.tickers)
np.testing.assert_almost_equal(es.weights.sum(), 1)
assert all([i >= -1e-5 for i in w.values()])
np.testing.assert_allclose(
es.portfolio_performance(),
(0.20, 0.10050247458629837, 1.7910016727029479),
rtol=1e-4,
atol=1e-4,
)
# Cover verbose param case
np.testing.assert_equal(es.portfolio_performance(verbose=True),
es.portfolio_performance())
def test_efficient_semivariance_vs_heuristic_weekly():
benchmark = 0
_, historic_returns = setup_efficient_semivariance(data_only=True)
weekly_returns = historic_returns.resample("W").sum()
mean_weekly_returns = weekly_returns.mean(axis=0)
es = EfficientSemivariance(mean_weekly_returns,
weekly_returns,
frequency=52)
es.efficient_return(0.20 / 52)
mu_es, semi_deviation, _ = es.portfolio_performance()
pairwise_semivariance = risk_models.semicovariance(weekly_returns,
returns_data=True,
benchmark=0,
frequency=1)
ef = EfficientFrontier(mean_weekly_returns, pairwise_semivariance)
ef.efficient_return(0.20 / 52)
mu_ef, _, _ = ef.portfolio_performance()
portfolio_returns = historic_returns @ ef.weights
drops = np.fmin(portfolio_returns - benchmark, 0)
T = weekly_returns.shape[0]
semivariance = np.sum(np.square(drops)) / T * 52
semi_deviation_ef = np.sqrt(semivariance)
assert semi_deviation < semi_deviation_ef
assert mu_es / semi_deviation > mu_ef / semi_deviation_ef
def test_efficient_return_short():
es = EfficientSemivariance(*setup_efficient_semivariance(data_only=True),
weight_bounds=(None, None))
w = es.efficient_return(0.25)
assert isinstance(w, dict)
assert set(w.keys()) == set(es.tickers)
np.testing.assert_almost_equal(es.weights.sum(), 1)
np.testing.assert_allclose(
es.portfolio_performance(),
(0.25, 0.09073654273906914, 2.534811096726317),
rtol=1e-4,
atol=1e-4,
)
sortino = es.portfolio_performance()[2]
ef_long_only = setup_efficient_semivariance()
ef_long_only.efficient_return(0.25)
long_only_sortino = ef_long_only.portfolio_performance()[2]
assert sortino > long_only_sortino
def test_max_quadratic_utility_market_neutral():
es = EfficientSemivariance(*setup_efficient_semivariance(data_only=True),
weight_bounds=(-1, 1),
solver="ECOS")
es.max_quadratic_utility(market_neutral=True)
np.testing.assert_almost_equal(es.weights.sum(), 0)
np.testing.assert_allclose(
es.portfolio_performance(),
(3.106826930927578, 0.9789014670659041, 3.153358161960706),
rtol=1e-4,
atol=1e-4,
)
def test_max_quadratic_utility_with_shorts():
es = EfficientSemivariance(*setup_efficient_semivariance(data_only=True),
weight_bounds=(-1, 1))
es.max_quadratic_utility()
np.testing.assert_almost_equal(es.weights.sum(), 1)
np.testing.assert_allclose(
es.portfolio_performance(),
(3.2806086360944846, 1.0219729896939227, 3.190503730505662),
rtol=1e-4,
atol=1e-4,
)
def test_es_example_weekly():
df = get_data()
df = df.resample("W").first()
mu = expected_returns.mean_historical_return(df, frequency=52)
historical_rets = expected_returns.returns_from_prices(df).dropna()
es = EfficientSemivariance(mu, historical_rets, frequency=52)
es.efficient_return(0.2)
np.testing.assert_allclose(
es.portfolio_performance(),
(0.2000000562544616, 0.07667633475531543, 2.3475307841574087),
rtol=1e-4,
atol=1e-4,
)
def test_es_example():
df = get_data()
mu = expected_returns.mean_historical_return(df)
historical_rets = expected_returns.returns_from_prices(df).dropna()
es = EfficientSemivariance(mu, historical_rets)
w = es.efficient_return(0.2)
assert isinstance(w, dict)
assert set(w.keys()) == set(es.tickers)
np.testing.assert_almost_equal(es.weights.sum(), 1)
assert all([i >= -1e-5 for i in w.values()])
np.testing.assert_allclose(
es.portfolio_performance(),
(0.20, 0.08558991313395496, 2.1030523036993265),
rtol=1e-4,
atol=1e-4,
)
# Cover verbose param case
np.testing.assert_equal(es.portfolio_performance(verbose=True),
es.portfolio_performance())
def test_es_example_monthly():
df = get_data()
df = df.resample("M").first()
mu = expected_returns.mean_historical_return(df, frequency=12)
historical_rets = expected_returns.returns_from_prices(df).dropna()
es = EfficientSemivariance(mu, historical_rets, frequency=12)
es.efficient_return(0.3)
np.testing.assert_allclose(
es.portfolio_performance(),
(0.3, 0.04746519522734184, 5.899059271933824),
rtol=1e-4,
atol=1e-4,
)
def test_efficient_risk_market_neutral():
es = EfficientSemivariance(*setup_efficient_semivariance(data_only=True),
weight_bounds=(-1, 1))
w = es.efficient_risk(0.21, market_neutral=True)
assert isinstance(w, dict)
assert set(w.keys()) == set(es.tickers)
np.testing.assert_almost_equal(es.weights.sum(), 0)
assert (es.weights < 1).all() and (es.weights > -1).all()
np.testing.assert_allclose(
es.portfolio_performance(),
(0.9257112257221027, 0.21, 4.312873624163129),
rtol=1e-4,
atol=1e-4,
)