TST: Update to empyrical, increase test coverage

ENH: Resolve rebase conflict by using updated example_data.tar TST: Increase test coverage for risk portion of zipline
volconst · Aug 23, 2016 · f57fe0a · f57fe0a
1 parent 57d1bb8
commit f57fe0a
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diff --git a/conda/qrisk/bld.bat → conda/empyrical/bld.bat b/conda/qrisk/bld.bat → conda/empyrical/bld.bat
@@ -1,4 +1,4 @@
-"%PYTHON%" setup.py install
+"%PYTHON%" setup.py install 
 if errorlevel 1 exit 1
 
 :: Add more build steps here, if they are necessary.

diff --git a/conda/qrisk/build.sh → conda/empyrical/build.sh b/conda/qrisk/build.sh → conda/empyrical/build.sh
@@ -1,6 +1,6 @@
 #!/bin/bash
 
-$PYTHON setup.py install
+$PYTHON setup.py install 
 
 # Add more build steps here, if they are necessary.
 

diff --git a/conda/empyrical/meta.yaml b/conda/empyrical/meta.yaml
@@ -0,0 +1,33 @@
+package:
+  name: empyrical
+  version: "0.1.9"
+
+source:
+  fn: empyrical-0.1.9.tar.gz
+  url: https://pypi.python.org/packages/15/6b/de1d277d4342d2cecc8134f4935248853f32299cdd9b01728b0ec420c350/empyrical-0.1.9.tar.gz
+  md5: 2c8b928cae192fc9cb8b7104608eec56
+
+requirements:
+  build:
+    - python
+    - setuptools
+    - numpy x.x
+    - pandas >=0.16.1
+    - scipy >=0.15.1
+    - bottleneck >=1.0.0
+
+  run:
+    - python
+    - numpy x.x
+    - pandas >=0.16.1
+    - scipy >=0.15.1
+    - bottleneck >=1.0.0
+
+about:
+  home: https://github.com/quantopian/empyrical
+  license: Apache Software License
+  summary: 'empyrical is a Python library with performance and risk statistics\ncommonly used in quantitative finance'
+
+# See
+# http://docs.continuum.io/conda/build.html for
+# more information about meta.yaml
diff --git a/conda/qrisk/meta.yaml b/conda/qrisk/meta.yaml
diff --git a/etc/requirements.txt b/etc/requirements.txt
@@ -64,4 +64,4 @@ intervaltree==2.1.0
 cachetools==1.1.5
 
 # For financial risk calculations
-qrisk==0.1.4
+empyrical>=0.1.9
diff --git a/tests/resources/example_data/expected_perf/0-16-1/buy_and_hold b/tests/resources/example_data/expected_perf/0-16-1/buy_and_hold
diff --git a/tests/resources/example_data/expected_perf/0-16-1/buyapple b/tests/resources/example_data/expected_perf/0-16-1/buyapple
diff --git a/tests/resources/example_data/expected_perf/0-16-1/dual_ema_talib b/tests/resources/example_data/expected_perf/0-16-1/dual_ema_talib
diff --git a/tests/resources/example_data/expected_perf/0-16-1/dual_moving_average b/tests/resources/example_data/expected_perf/0-16-1/dual_moving_average
diff --git a/tests/resources/example_data/expected_perf/0-16-1/momentum_pipeline b/tests/resources/example_data/expected_perf/0-16-1/momentum_pipeline
diff --git a/tests/resources/example_data/expected_perf/0-16-1/olmar b/tests/resources/example_data/expected_perf/0-16-1/olmar
diff --git a/tests/resources/example_data/expected_perf/0-17-1/buy_and_hold b/tests/resources/example_data/expected_perf/0-17-1/buy_and_hold
diff --git a/tests/resources/example_data/expected_perf/0-17-1/buyapple b/tests/resources/example_data/expected_perf/0-17-1/buyapple
diff --git a/tests/resources/example_data/expected_perf/0-17-1/dual_ema_talib b/tests/resources/example_data/expected_perf/0-17-1/dual_ema_talib
diff --git a/tests/resources/example_data/expected_perf/0-17-1/dual_moving_average b/tests/resources/example_data/expected_perf/0-17-1/dual_moving_average
diff --git a/tests/resources/example_data/expected_perf/0-17-1/momentum_pipeline b/tests/resources/example_data/expected_perf/0-17-1/momentum_pipeline
diff --git a/tests/resources/example_data/expected_perf/0-17-1/olmar b/tests/resources/example_data/expected_perf/0-17-1/olmar
diff --git a/tests/resources/example_data/new_perf/0-16-1/buy_and_hold b/tests/resources/example_data/new_perf/0-16-1/buy_and_hold
diff --git a/tests/resources/example_data/new_perf/0-16-1/buyapple b/tests/resources/example_data/new_perf/0-16-1/buyapple
diff --git a/tests/resources/example_data/new_perf/0-16-1/dual_ema_talib b/tests/resources/example_data/new_perf/0-16-1/dual_ema_talib
diff --git a/tests/resources/example_data/new_perf/0-16-1/dual_moving_average b/tests/resources/example_data/new_perf/0-16-1/dual_moving_average
diff --git a/tests/resources/example_data/new_perf/0-16-1/momentum_pipeline b/tests/resources/example_data/new_perf/0-16-1/momentum_pipeline
diff --git a/tests/resources/example_data/new_perf/0-16-1/olmar b/tests/resources/example_data/new_perf/0-16-1/olmar
diff --git a/tests/resources/example_data/new_perf/0-17-1/buy_and_hold b/tests/resources/example_data/new_perf/0-17-1/buy_and_hold
diff --git a/tests/resources/example_data/new_perf/0-17-1/buyapple b/tests/resources/example_data/new_perf/0-17-1/buyapple
diff --git a/tests/resources/example_data/new_perf/0-17-1/dual_ema_talib b/tests/resources/example_data/new_perf/0-17-1/dual_ema_talib
diff --git a/tests/resources/example_data/new_perf/0-17-1/dual_moving_average b/tests/resources/example_data/new_perf/0-17-1/dual_moving_average
diff --git a/tests/resources/example_data/new_perf/0-17-1/momentum_pipeline b/tests/resources/example_data/new_perf/0-17-1/momentum_pipeline
diff --git a/tests/resources/example_data/new_perf/0-17-1/olmar b/tests/resources/example_data/new_perf/0-17-1/olmar
diff --git a/tests/resources/example_data/root/data/test/2016-05-25T02;31;01.173926/adjustments.sqlite b/tests/resources/example_data/root/data/test/2016-05-25T02;31;01.173926/adjustments.sqlite
diff --git a/tests/resources/example_data/root/data/test/2016-05-25T02;31;01.173926/assets-3.sqlite b/tests/resources/example_data/root/data/test/2016-05-25T02;31;01.173926/assets-3.sqlite
diff --git a/...ces/example_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/__attrs__ b/...ces/example_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/__attrs__
diff --git a/.../example_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/__rootdirs__ b/.../example_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/__rootdirs__
@@ -0,0 +1 @@
+{"names": ["open", "high", "low", "close", "volume", "day", "id"]}
diff --git a/...ample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/close/__attrs__ b/...ample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/close/__attrs__
@@ -0,0 +1 @@
+{}
diff --git a/...le_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/close/data/__0.blp b/...le_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/close/data/__0.blp
diff --git a/...mple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/close/meta/sizes b/...mple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/close/meta/sizes
@@ -0,0 +1 @@
+{"nbytes": 98584, "shape": [24646], "cbytes": 131072}
diff --git a/...le_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/close/meta/storage b/...le_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/close/meta/storage
@@ -0,0 +1 @@
+{"chunklen": 32768, "dtype": "uint32", "expectedlen": 24646, "dflt": 0, "cparams": {"shuffle": true, "clevel": 5}}
diff --git a/...example_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/day/__attrs__ b/...example_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/day/__attrs__
@@ -0,0 +1 @@
+{}
diff --git a/...mple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/day/data/__0.blp b/...mple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/day/data/__0.blp
diff --git a/...xample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/day/meta/sizes b/...xample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/day/meta/sizes
@@ -0,0 +1 @@
+{"nbytes": 98584, "shape": [24646], "cbytes": 131072}
diff --git a/...mple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/day/meta/storage b/...mple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/day/meta/storage
@@ -0,0 +1 @@
+{"chunklen": 32768, "dtype": "uint32", "expectedlen": 24646, "dflt": 0, "cparams": {"shuffle": true, "clevel": 5}}
diff --git a/...xample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/high/__attrs__ b/...xample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/high/__attrs__
@@ -0,0 +1 @@
+{}
diff --git a/...ple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/high/data/__0.blp b/...ple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/high/data/__0.blp
diff --git a/...ample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/high/meta/sizes b/...ample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/high/meta/sizes
@@ -0,0 +1 @@
+{"nbytes": 98584, "shape": [24646], "cbytes": 131072}
diff --git a/...ple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/high/meta/storage b/...ple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/high/meta/storage
@@ -0,0 +1 @@
+{"chunklen": 32768, "dtype": "uint32", "expectedlen": 24646, "dflt": 0, "cparams": {"shuffle": true, "clevel": 5}}
diff --git a/.../example_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/id/__attrs__ b/.../example_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/id/__attrs__
@@ -0,0 +1 @@
+{}
diff --git a/...ample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/id/data/__0.blp b/...ample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/id/data/__0.blp
diff --git a/...example_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/id/meta/sizes b/...example_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/id/meta/sizes
@@ -0,0 +1 @@
+{"nbytes": 98584, "shape": [24646], "cbytes": 131072}
diff --git a/...ample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/id/meta/storage b/...ample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/id/meta/storage
@@ -0,0 +1 @@
+{"chunklen": 32768, "dtype": "uint32", "expectedlen": 24646, "dflt": 0, "cparams": {"shuffle": true, "clevel": 5}}
diff --git a/...example_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/low/__attrs__ b/...example_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/low/__attrs__
@@ -0,0 +1 @@
+{}
diff --git a/...mple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/low/data/__0.blp b/...mple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/low/data/__0.blp
diff --git a/...xample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/low/meta/sizes b/...xample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/low/meta/sizes
@@ -0,0 +1 @@
+{"nbytes": 98584, "shape": [24646], "cbytes": 131072}
diff --git a/...mple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/low/meta/storage b/...mple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/low/meta/storage
@@ -0,0 +1 @@
+{"chunklen": 32768, "dtype": "uint32", "expectedlen": 24646, "dflt": 0, "cparams": {"shuffle": true, "clevel": 5}}
diff --git a/...xample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/open/__attrs__ b/...xample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/open/__attrs__
@@ -0,0 +1 @@
+{}
diff --git a/...ple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/open/data/__0.blp b/...ple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/open/data/__0.blp
diff --git a/...ample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/open/meta/sizes b/...ample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/open/meta/sizes
@@ -0,0 +1 @@
+{"nbytes": 98584, "shape": [24646], "cbytes": 131072}
diff --git a/...ple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/open/meta/storage b/...ple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/open/meta/storage
@@ -0,0 +1 @@
+{"chunklen": 32768, "dtype": "uint32", "expectedlen": 24646, "dflt": 0, "cparams": {"shuffle": true, "clevel": 5}}
diff --git a/...mple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/volume/__attrs__ b/...mple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/volume/__attrs__
@@ -0,0 +1 @@
+{}
diff --git a/...e_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/volume/data/__0.blp b/...e_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/volume/data/__0.blp
diff --git a/...ple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/volume/meta/sizes b/...ple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/volume/meta/sizes
@@ -0,0 +1 @@
+{"nbytes": 98584, "shape": [24646], "cbytes": 131072}
diff --git a/...e_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/volume/meta/storage b/...e_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/volume/meta/storage
@@ -0,0 +1 @@
+{"chunklen": 32768, "dtype": "uint32", "expectedlen": 24646, "dflt": 0, "cparams": {"shuffle": true, "clevel": 5}}
diff --git a/...xample_data/root/data/test/2016-05-25T02;31;01.173926/minute_equities.bcolz/metadata.json b/...xample_data/root/data/test/2016-05-25T02;31;01.173926/minute_equities.bcolz/metadata.json
diff --git a/tests/resources/example_data/root/extension.py b/tests/resources/example_data/root/extension.py
diff --git a/tests/risk/test_risk_cumulative.py b/tests/risk/test_risk_cumulative.py
@@ -17,15 +17,11 @@
 import pandas as pd
 import zipline.finance.risk as risk
 from zipline.utils import factory
-import pandas as pd
 
 from zipline.testing.fixtures import WithTradingEnvironment, ZiplineTestCase
 
 from zipline.finance.trading import SimulationParameters
 
-from . import answer_key
-ANSWER_KEY = answer_key.ANSWER_KEY
-
 RETURNS_BASE = 0.01
 RETURNS = [RETURNS_BASE] * 251
 
@@ -38,16 +34,10 @@ class TestRisk(WithTradingEnvironment, ZiplineTestCase):
 
     def init_instance_fixtures(self):
         super(TestRisk, self).init_instance_fixtures()
-<<<<<<< 30f5a8fcfa4a194f05d58f50cf0a2b06dd8085cc
-
 
         start_session = pd.Timestamp("2006-01-01", tz='UTC')
         end_session = pd.Timestamp("2006-12-29", tz='UTC')
 
-=======
-        start_date = pd.Timestamp('2006-01-01', tz=pytz.utc)
-        end_date = pd.Timestamp('2006-12-29', tz=pytz.utc)
->>>>>>> ENH: Change datetime.datetime to pd.Timestamp in tests
         self.sim_params = SimulationParameters(
             start_session=start_session,
             end_session=end_session,
@@ -150,3 +140,7 @@ def test_max_drawdown(self):
             all(isinstance(x, float)
                 for x in self.cumulative_metrics.max_drawdowns),
             True)
+
+    def test_representation(self):
+        assert all([metric in self.cumulative_metrics.__repr__() for metric in
+                   self.cumulative_metrics.METRIC_NAMES])
Original file line number	Diff line number	Diff line change
		@@ -0,0 +1 @@
		{"names": ["open", "high", "low", "close", "volume", "day", "id"]}
Original file line number	Diff line number	Diff line change
		@@ -0,0 +1 @@
		{"nbytes": 98584, "shape": [24646], "cbytes": 131072}
Original file line number	Diff line number	Diff line change
		@@ -0,0 +1 @@
		{"chunklen": 32768, "dtype": "uint32", "expectedlen": 24646, "dflt": 0, "cparams": {"shuffle": true, "clevel": 5}}