Merge pull request #11 from ricequant/develop

Develop

.github/workflows/release.yml

@@ -0,0 +1,34 @@
+name: Publish Python 🐍 distributions 📦 to PyPI and TestPyPI
+
+on:
+  release:
+    types:
+      - published #  upload build tar when publish
+
+jobs:
+  build-n-publish:
+    name: Build and publish Python 🐍 distributions 📦 to PyPI and TestPyPI
+    runs-on: ubuntu-latest
+    steps:
+      - uses: actions/checkout@master
+      - name: Set up Python 3.7
+        uses: actions/setup-python@v1
+        with:
+          python-version: 3.7
+      - name: Install pypa/build
+        run: >-
+          python -m
+          pip install
+          build
+          --user
+      - name: Build a source tarball
+        run: >-
+          python -m
+          build
+          --sdist
+          --outdir dist/
+      - name: Publish distribution 📦 to PyPI
+        if: startsWith(github.ref, 'refs/tags/')
+        uses: pypa/gh-action-pypi-publish@master
+        with:
+          password: ${{ secrets.PYPI_API_TOKEN }}

rqrisk/risk.py

@@ -201,6 +201,10 @@ def param_var(self, alpha):
 
     @indicator_property(min_period_count=1)
     def win_rate(self):
+        return len(self._portfolio[self._portfolio > 0]) / self.period_count
+
+    @indicator_property(min_period_count=1)
+    def excess_win_rate(self):
         return len(self._portfolio[self._portfolio > self._benchmark]) / self.period_count
 
     def all(self):

setup.cfg

@@ -5,7 +5,7 @@
 
 [metadata]
 name = rqrisk
-version = 1.0.2
+version = 1.0.3
 
 [versioneer]
 VCS = git

test.py

@@ -242,3 +242,23 @@ def test_natural_daily():
     assert_almost_equal(r.information_ratio, 97.92626812366308)
     assert_almost_equal(r.sharpe, -0.23942084288518412)
 
+
+def test_win_rate():
+    """ 测试胜率 """
+    def _assert(returns, benchmark, desired_win_rate):
+        assert_almost_equal(_r(returns, benchmark, 0).win_rate, desired_win_rate)
+
+    _assert(volatile_returns, volatile_benchmark, 0.6666666666666666)
+    _assert(positive_returns, volatile_benchmark, 1)
+    _assert(negative_returns, volatile_benchmark, 0)
+
+
+def test_excess_win_rate():
+    """ 测试超额胜率 """
+    def _assert(returns, benchmark, desired_win_rate):
+        assert_almost_equal(_r(returns, benchmark, 0).excess_win_rate, desired_win_rate)
+
+    _assert(volatile_returns, volatile_benchmark, 0.4444444444444444)
+    _assert(positive_returns, zero_benchmark, 1)
+    _assert(negative_returns, zero_benchmark, 0)
+