def test_trim_outliers(self):
perf = DailyPerformance.from_moonshot_csv("backtest.csv")
zscores = get_zscores(perf.returns)
self.assertDictEqual(
zscores.to_dict(orient="list"), {
'strategy-1':
[-0.5148664345304096, 1.152522272022025, -0.6376558374916148],
'strategy-2':
[1.1544487988426575, -0.5981044889340401, -0.5563443099086175]
})
self.assertDictEqual(
perf.returns.to_dict(orient="list"), {
'strategy-1': [-0.002257125, -0.000375271, -0.002395708],
'strategy-2': [0.00278717, -0.005031677, -0.004845368]
})
perf = DailyPerformance.from_moonshot_csv("backtest.csv",
trim_outliers=1.154)
self.assertDictEqual(
perf.returns.to_dict(orient="list"), {
'strategy-1': [-0.002257125, -0.000375271, -0.002395708],
'strategy-2': [0.0, -0.005031677, -0.004845368]
})
def test_riskfree(self):
perf = DailyPerformance.from_pnl_csv("pnl.csv")
self.assertDictEqual(perf.sharpe.to_dict(), {
'strategy-a': 13.439089525191742,
'strategy-b': 10.255814111748151
})
perf = DailyPerformance.from_pnl_csv("pnl.csv", riskfree=0.02 / 252)
self.assertDictEqual(perf.sharpe.to_dict(), {
'strategy-a': 13.439089525191742,
'strategy-b': 10.255814111748151
})
def test_benchmark(self):
backtest_results = deepcopy(BACKTEST_RESULTS)
backtest_results["strategy-1"].update({
('Benchmark', '2018-12-03'): None,
('Benchmark', '2018-12-04'): None,
('Benchmark', '2018-12-05'): None
})
backtest_results["strategy-2"].update({
('Benchmark', '2018-12-03'):
100.10,
('Benchmark', '2018-12-04'):
102.34,
('Benchmark', '2018-12-05'):
102.08
})
backtest_results = pd.DataFrame.from_dict(backtest_results)
backtest_results.index.set_names(["Field", "Date"], inplace=True)
backtest_results.to_csv("backtest.csv")
perf = DailyPerformance.from_moonshot_csv("backtest.csv")
self.assertListEqual(perf.benchmark_returns.tolist(),
[0.0, 0.02237762237762242, -0.002540551104162625])
def test_rolling_sharpe_window(self):
perf = DailyPerformance.from_moonshot_csv("backtest.csv")
self.assertDictEqual(
perf.rolling_sharpe.fillna(-1).to_dict(orient="list"), {
'strategy-1': [-1.0, -1.0, -1.0],
'strategy-2': [-1.0, -1.0, -1.0]
})
perf = DailyPerformance.from_moonshot_csv("backtest.csv",
rolling_sharpe_window=2)
self.assertDictEqual(
perf.rolling_sharpe.fillna(-1).to_dict(orient="list"), {
'strategy-1': [-1.0, -22.205756137004837, -21.77149197579271],
'strategy-2': [-1.0, -4.55699466016689, -841.576244567701]
})
def test_compound(self):
perf = DailyPerformance.from_moonshot_csv("backtest.csv")
self.assertDictEqual(
perf.cum_returns.to_dict(orient="list"), {
'strategy-1':
[0.997742875, 0.9973684510335559, 0.9949790474564671],
'strategy-2':
[1.00278717, 0.9977414688608159, 0.9929070442753247]
})
perf = DailyPerformance.from_moonshot_csv("backtest.csv",
compound=False)
self.assertDictEqual(
perf.cum_returns.to_dict(orient="list"), {
'strategy-1': [0.997742875, 0.997367604, 0.994971896],
'strategy-2': [1.00278717, 0.997755493, 0.992910125]
})
def test_override_how_to_aggregate(self):
self.maxDiff = None
perf = DailyPerformance.from_pnl_csv(
"pnl.csv", how_to_aggregate={"TotalHoldings": "mean"})
self.assertListEqual(
list(perf.returns.index.strftime("%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertDictEqual(
perf.returns.to_dict(orient="list"), {
'strategy-a': [0.0, 0.00121226, 0.00400769],
'strategy-b': [0.0, 0.0008293, 0.01063083]
})
self.assertListEqual(
list(perf.abs_exposures.index.strftime("%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertDictEqual(perf.abs_exposures.to_dict(orient="list"), {
'strategy-a': [0.01, 0.0, 0.0],
'strategy-b': [0.0, 0.0, 0.0]
})
self.assertListEqual(
list(perf.net_exposures.index.strftime("%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertDictEqual(perf.net_exposures.to_dict(orient="list"), {
'strategy-a': [-0.01, 0.0, 0.0],
'strategy-b': [0.0, 0.0, 0.0]
})
self.assertListEqual(
list(perf.turnover.index.strftime("%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertDictEqual(
perf.turnover.to_dict(orient="list"), {
'strategy-a': [3.47e-18, 0.0, 0.0],
'strategy-b': [3.47e-18, 0.01, 0.02]
})
self.assertListEqual(
list(perf.total_holdings.index.strftime("%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertDictEqual(perf.total_holdings.to_dict(orient="list"), {
'strategy-a': [25.5, 25.0, 25.0],
'strategy-b': [15.0, 20.0, 22.0]
})
def test_from_pnl_csv_agg_perf(self):
perf = DailyPerformance.from_pnl_csv("pnl.csv")
agg_perf = AggregateDailyPerformance(perf)
self.assertListEqual(
list(agg_perf.returns.index.strftime("%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertListEqual(agg_perf.returns.tolist(),
[0.0, 0.00204156, 0.014638520000000002])
self.assertListEqual(
list(agg_perf.abs_exposures.index.strftime("%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertListEqual(agg_perf.abs_exposures.tolist(), [0.01, 0.0, 0.0])
self.assertListEqual(
list(agg_perf.net_exposures.index.strftime("%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertListEqual(agg_perf.net_exposures.tolist(),
[-0.01, 0.0, 0.0])
self.assertListEqual(
list(agg_perf.turnover.index.strftime("%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertListEqual(agg_perf.turnover.tolist(),
[6.94e-18, 0.01, 0.02])
self.assertListEqual(
list(agg_perf.total_holdings.index.strftime("%Y-%m-%d %H:%M:%S")),
[
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertListEqual(agg_perf.total_holdings.tolist(),
[41.0, 45.0, 47.0])
self.assertListEqual(
list(agg_perf.pnl.index.strftime("%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertListEqual(agg_perf.pnl.tolist(),
[0.0, 1233.8229000000001, 8997.4175])
self.assertListEqual(
list(
agg_perf.commission_amounts.index.strftime(
"%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertListEqual(agg_perf.commission_amounts.tolist(),
[0.0, 123.6406, 77.7825])
self.assertListEqual(
list(
agg_perf.cum_commission_amounts.index.strftime(
"%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertListEqual(agg_perf.cum_commission_amounts.tolist(),
[0.0, 123.6406, 201.4231])
self.assertListEqual(
list(agg_perf.cum_pnl.index.strftime("%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertListEqual(agg_perf.cum_pnl.tolist(),
[0.0, 1233.8229000000001, 10231.240399999999])
self.assertListEqual(
list(agg_perf.commissions.index.strftime("%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertListEqual(agg_perf.commissions.tolist(),
[0.0, 0.000204606, 0.0001266])
self.assertEqual(agg_perf.cagr, 19.581032951701545)
self.assertEqual(agg_perf.sharpe, 11.132759642908027)
self.assertListEqual(
list(agg_perf.cum_returns.index.strftime("%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertListEqual(agg_perf.cum_returns.tolist(),
[1.0, 1.00204156, 1.0167099654168914])
self.assertListEqual(
list(agg_perf.drawdowns.index.strftime("%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertListEqual(agg_perf.drawdowns.tolist(), [0.0, 0.0, 0.0])
self.assertEqual(agg_perf.max_drawdown, 0.0)
def test_from_pnl_csv(self):
self.maxDiff = None
perf = DailyPerformance.from_pnl_csv("pnl.csv")
self.assertListEqual(
list(perf.returns.index.strftime("%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertDictEqual(
perf.returns.to_dict(orient="list"), {
'strategy-a': [0.0, 0.00121226, 0.00400769],
'strategy-b': [0.0, 0.0008293, 0.01063083]
})
self.assertListEqual(
list(perf.abs_exposures.index.strftime("%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertDictEqual(perf.abs_exposures.to_dict(orient="list"), {
'strategy-a': [0.01, 0.0, 0.0],
'strategy-b': [0.0, 0.0, 0.0]
})
self.assertListEqual(
list(perf.net_exposures.index.strftime("%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertDictEqual(perf.net_exposures.to_dict(orient="list"), {
'strategy-a': [-0.01, 0.0, 0.0],
'strategy-b': [0.0, 0.0, 0.0]
})
self.assertListEqual(
list(perf.turnover.index.strftime("%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertDictEqual(
perf.turnover.to_dict(orient="list"), {
'strategy-a': [3.47e-18, 0.0, 0.0],
'strategy-b': [3.47e-18, 0.01, 0.02]
})
self.assertListEqual(
list(perf.total_holdings.index.strftime("%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertDictEqual(perf.total_holdings.to_dict(orient="list"), {
'strategy-a': [26.0, 25.0, 25.0],
'strategy-b': [15.0, 20.0, 22.0]
})
self.assertListEqual(
list(perf.pnl.index.strftime("%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertDictEqual(
perf.pnl.to_dict(orient="list"), {
'strategy-a': [0.0, 732.6318, 2463.289],
'strategy-b': [0.0, 501.1911, 6534.1285]
})
self.assertListEqual(
list(perf.commission_amounts.index.strftime("%Y-%m-%d %H:%M:%S")),
[
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertDictEqual(
perf.commission_amounts.to_dict(orient="list"), {
'strategy-a': [0.0, 15.3382, 43.691],
'strategy-b': [0.0, 108.3024, 34.0915]
})
self.assertListEqual(
list(
perf.cum_commission_amounts.index.strftime(
"%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertDictEqual(
perf.cum_commission_amounts.to_dict(orient="list"), {
'strategy-a': [0.0, 15.3382, 59.0292],
'strategy-b': [0.0, 108.3024, 142.3939]
})
self.assertListEqual(
list(perf.cum_pnl.index.strftime("%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertDictEqual(
perf.cum_pnl.to_dict(orient="list"), {
'strategy-a': [0.0, 732.6318, 3195.9208000000003],
'strategy-b': [0.0, 501.1911, 7035.3196]
})
self.assertListEqual(
list(perf.commissions.index.strftime("%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertDictEqual(
perf.commissions.to_dict(orient="list"), {
'strategy-a': [0.0, 2.54e-05, 7.11e-05],
'strategy-b': [0.0, 0.000179206, 5.55e-05]
})
self.assertDictEqual(perf.cagr.to_dict(), {
'strategy-a': 1.5884135772875698,
'strategy-b': 7.013847123487736
})
self.assertDictEqual(perf.sharpe.to_dict(), {
'strategy-a': 13.439089525191742,
'strategy-b': 10.255814111748151
})
self.assertListEqual(
list(perf.cum_returns.index.strftime("%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertDictEqual(
perf.cum_returns.to_dict(orient="list"), {
'strategy-a': [1.0, 1.00121226, 1.0052248083622792],
'strategy-b': [1.0, 1.0008293, 1.011468946147319]
})
self.assertListEqual(
list(perf.drawdowns.index.strftime("%Y-%m-%d %H:%M:%S")), [
'2019-01-21 00:00:00', '2019-01-22 00:00:00',
'2019-01-23 00:00:00'
])
self.assertDictEqual(perf.drawdowns.to_dict(orient="list"), {
'strategy-a': [0.0, 0.0, 0.0],
'strategy-b': [0.0, 0.0, 0.0]
})
self.assertDictEqual(perf.max_drawdown.to_dict(), {
'strategy-a': 0.0,
'strategy-b': 0.0
})
def test_from_moonshot_csv_agg_perf(self):
perf = DailyPerformance.from_moonshot_csv("backtest.csv")
agg_perf = AggregateDailyPerformance(perf)
self.assertListEqual(list(agg_perf.returns.index.strftime("%Y-%m-%d")),
['2018-12-03', '2018-12-04', '2018-12-05'])
self.assertListEqual(
agg_perf.returns.tolist(),
[0.0005300449999999998, -0.005406948, -0.007241076])
self.assertListEqual(
list(agg_perf.abs_exposures.index.strftime("%Y-%m-%d")),
['2018-12-03', '2018-12-04', '2018-12-05'])
self.assertListEqual(agg_perf.abs_exposures.tolist(),
[0.666666666, 0.666666666, 0.666666666])
self.assertListEqual(
list(agg_perf.net_exposures.index.strftime("%Y-%m-%d")),
['2018-12-03', '2018-12-04', '2018-12-05'])
self.assertListEqual(agg_perf.net_exposures.tolist(),
[0.303030303, 0.393939394, 0.242424242])
self.assertListEqual(
list(agg_perf.turnover.index.strftime("%Y-%m-%d")),
['2018-12-03', '2018-12-04', '2018-12-05'])
self.assertListEqual(agg_perf.turnover.tolist(),
[0.04906204900000001, 0.090909091, 0.151515152])
self.assertListEqual(
list(agg_perf.total_holdings.index.strftime("%Y-%m-%d")),
['2018-12-03', '2018-12-04', '2018-12-05'])
self.assertListEqual(agg_perf.total_holdings.tolist(),
[47.0, 47.0, 47.0])
self.assertListEqual(
list(agg_perf.commissions.index.strftime("%Y-%m-%d")),
['2018-12-03', '2018-12-04', '2018-12-05'])
self.assertListEqual(agg_perf.commissions.tolist(),
[0.0001, 0.0001, 0.0001])
self.assertListEqual(
list(agg_perf.cum_commissions.index.strftime("%Y-%m-%d")),
['2018-12-03', '2018-12-04', '2018-12-05'])
self.assertListEqual(agg_perf.cum_commissions.tolist(),
[1.0001, 1.0002, 1.0003])
self.assertListEqual(
list(agg_perf.slippages.index.strftime("%Y-%m-%d")),
['2018-12-03', '2018-12-04', '2018-12-05'])
self.assertListEqual(agg_perf.slippages.tolist(),
[0.0001, 0.0001, 0.0031])
self.assertListEqual(
list(agg_perf.cum_slippages.index.strftime("%Y-%m-%d")),
['2018-12-03', '2018-12-04', '2018-12-05'])
self.assertListEqual(agg_perf.cum_slippages.tolist(),
[1.0001, 1.0002, 1.0033])
self.assertEqual(agg_perf.cagr, -0.8912867832023363)
self.assertEqual(agg_perf.sharpe, -15.785645344093775)
self.assertListEqual(
list(agg_perf.cum_returns.index.strftime("%Y-%m-%d")),
['2018-12-03', '2018-12-04', '2018-12-05'])
self.assertListEqual(
agg_perf.cum_returns.tolist(),
[1.000530045, 0.9951202310742474, 0.9879144898519012])
self.assertListEqual(
list(agg_perf.drawdowns.index.strftime("%Y-%m-%d")),
['2018-12-03', '2018-12-04', '2018-12-05'])
self.assertListEqual(
agg_perf.drawdowns.tolist(),
[0.0, -0.005406947999999967, -0.012608871878603933])
self.assertEqual(agg_perf.max_drawdown, -0.012608871878603933)
def test_from_moonshot_csv(self):
perf = DailyPerformance.from_moonshot_csv("backtest.csv")
self.assertListEqual(list(perf.returns.index.strftime("%Y-%m-%d")),
['2018-12-03', '2018-12-04', '2018-12-05'])
self.assertDictEqual(
perf.returns.to_dict(orient="list"), {
'strategy-1': [-0.002257125, -0.000375271, -0.002395708],
'strategy-2': [0.00278717, -0.005031677, -0.004845368]
})
self.assertListEqual(
list(perf.abs_exposures.index.strftime("%Y-%m-%d")),
['2018-12-03', '2018-12-04', '2018-12-05'])
self.assertDictEqual(
perf.abs_exposures.to_dict(orient="list"), {
'strategy-1': [0.333333333, 0.333333333, 0.333333333],
'strategy-2': [0.333333333, 0.333333333, 0.333333333]
})
self.assertListEqual(
list(perf.net_exposures.index.strftime("%Y-%m-%d")),
['2018-12-03', '2018-12-04', '2018-12-05'])
self.assertDictEqual(
perf.net_exposures.to_dict(orient="list"), {
'strategy-1': [-0.03030303, 0.060606061, -0.090909091],
'strategy-2': [0.333333333, 0.333333333, 0.333333333]
})
self.assertListEqual(list(perf.turnover.index.strftime("%Y-%m-%d")),
['2018-12-03', '2018-12-04', '2018-12-05'])
self.assertDictEqual(
perf.turnover.to_dict(orient="list"), {
'strategy-1': [0.049062049, 0.090909091, 0.151515152],
'strategy-2': [3.47e-18, 0.0, 0.0]
})
self.assertListEqual(
list(perf.total_holdings.index.strftime("%Y-%m-%d")),
['2018-12-03', '2018-12-04', '2018-12-05'])
self.assertDictEqual(perf.total_holdings.to_dict(orient="list"), {
'strategy-1': [22.0, 22.0, 22.0],
'strategy-2': [25.0, 25.0, 25.0]
})
self.assertListEqual(list(perf.commissions.index.strftime("%Y-%m-%d")),
['2018-12-03', '2018-12-04', '2018-12-05'])
self.assertDictEqual(perf.commissions.to_dict(orient="list"), {
'strategy-1': [0.0001, 0.0001, 0.0001],
'strategy-2': [0.0, 0.0, 0.0]
})
self.assertListEqual(
list(perf.cum_commissions.index.strftime("%Y-%m-%d")),
['2018-12-03', '2018-12-04', '2018-12-05'])
self.assertDictEqual(perf.cum_commissions.to_dict(orient="list"), {
'strategy-1': [1.0001, 1.0002, 1.0003],
'strategy-2': [1.0, 1.0, 1.0]
})
self.assertListEqual(list(perf.slippages.index.strftime("%Y-%m-%d")),
['2018-12-03', '2018-12-04', '2018-12-05'])
self.assertDictEqual(
perf.slippages.to_dict(orient="list"), {
'strategy-1': [0.0001, 0.0001, 0.0001],
'strategy-2': [0.0, 0.0, 0.003]
})
self.assertListEqual(
list(perf.cum_slippages.index.strftime("%Y-%m-%d")),
['2018-12-03', '2018-12-04', '2018-12-05'])
self.assertDictEqual(
perf.cum_slippages.to_dict(orient="list"), {
'strategy-1': [1.0001, 1.0002, 1.0003],
'strategy-2': [1.0, 1.0, 1.003]
})
self.assertDictEqual(perf.cagr.to_dict(), {
'strategy-1': -0.6009354029100387,
'strategy-2': -0.7272165531290371
})
self.assertDictEqual(perf.sharpe.to_dict(), {
'strategy-1': -23.574049805803934,
'strategy-2': -8.409034049060317
})
self.assertListEqual(list(perf.cum_returns.index.strftime("%Y-%m-%d")),
['2018-12-03', '2018-12-04', '2018-12-05'])
self.assertDictEqual(
perf.cum_returns.to_dict(orient="list"), {
'strategy-1':
[0.997742875, 0.9973684510335559, 0.9949790474564671],
'strategy-2':
[1.00278717, 0.9977414688608159, 0.9929070442753247]
})
self.assertListEqual(list(perf.drawdowns.index.strftime("%Y-%m-%d")),
['2018-12-03', '2018-12-04', '2018-12-05'])
self.assertDictEqual(
perf.drawdowns.to_dict(orient="list"), {
'strategy-1':
[0.0, -0.00037527100000001035, -0.0027700799602632387],
'strategy-2':
[0.0, -0.005031676999999957, -0.009852664673277833]
})
self.assertDictEqual(
perf.max_drawdown.to_dict(), {
'strategy-1': -0.0027700799602632387,
'strategy-2': -0.009852664673277833
})