def portfolio_returns_test():
(ret, positions, pnl, grossMktVal) = portfolio.portfolio_returns(prices, [1, -0.4], 1)
assert_almost_equals(ret.iloc[-1], -0.0022, places=4)
assert_almost_equals(positions.iloc[-1]['EWA'], 19.2250, places=4)
assert_almost_equals(pnl.iloc[-1], -0.0666, places=4)
assert_almost_equals(grossMktVal.iloc[-1], 29.4055, places=4)
def bollinger_mean_revert(x, y, model=None):
if model is None:
model = bollinger_mean_revert_fit(x, y)
lookback = model['lookback']
hedge_lookback = model['hedge_lookback']
entry_z_score = model['entry_z_score']
exit_z_score = model['exit_z_score']
static_hedges = model.get('static_hedges') or False
# Setup mean reversion portfolio to use for tradable zScore
strategy = rolling_hedge_mean_revert_strategy
(prices, weights, units) = strategy(x, y, lookback, hedge_lookback)
port = portfolio.portfolio_price(prices, weights)
# Ok, now let's look at the half-life of this portfolio, this needs to be low (under 30)
# TODO: Test this? Throw it out if it doesn't meet standard?
halflife = mr.halflife(port)
cadf = sms.adfuller(port, maxlag=1, regression='c')[0]
hurst = mr.hurst_exponent(port.pct_change().fillna(0))[0]
# Collect zScore and theoretical results in the form of a sharpe ratio
zScore = util.rolling_z_score(port, lookback)
rets = portfolio.portfolio_returns(prices, weights, -zScore)['returns']
theoretical_sharpe = returns.annual_sharpe(rets)
# Collect units of this portfolio according to bollinger band strategy (buying and selling
# against the given zScore)
units = bollinger_band_units(zScore, entryZScore=entry_z_score, exitZScore=exit_z_score)
# Random experiment - static weights. Basically, force hedge weights to be static for the duration
# of any particular trade.
if static_hedges == True:
unit_changes = units != units.shift().fillna(0)
weights[~unit_changes] = np.nan
weights['x'][0] = 0
weights['y'][0] = 0
weights = weights.fillna(method='ffill')
# Finally, collect the results
results = {
'lookback': lookback,
'hedge_lookback': hedge_lookback,
'static_hedges': static_hedges,
'halflife': halflife,
'cadf': cadf,
'hurst': hurst,
'theoretical_sharpe': theoretical_sharpe,
'prices': prices,
'weights': weights,
'units': units
}
port_rets = portfolio.portfolio_returns(prices, weights, units)
results.update(port_rets)
rets = port_rets['returns']
results.update(
returns.report(rets))
results.update(
report(units))
return results
def portfolio_returns_test():
results = portfolio.portfolio_returns(prices, [1, -0.4], 1)
assert_almost_equals(results['returns'].iloc[-1], -0.0022, places=4)
assert_almost_equals(results['positions'].iloc[-1]['EWA'], 19.2250, places=4)
assert_almost_equals(results['pnl'].iloc[-1], -0.0666, places=4)
assert_almost_equals(results['grossMktVal'].iloc[-1], 29.4055, places=4)
