Merge pull request #6 from ricequant/develop

Develop
ricequant · Jul 5, 2022 · 1a49edf · 1a49edf
2 parents dcbec6c + c6dbfcb
commit 1a49edf
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Showing 5 changed files with 22 additions and 5 deletions.
diff --git a/rqrisk/__init__.py b/rqrisk/__init__.py
@@ -1,10 +1,11 @@
 from .risk import Risk
-from .utils import DAILY, WEEKLY, MONTHLY, YEARLY
+from .utils import DAILY, WEEKLY, MONTHLY, YEARLY, NATURAL_DAILY
 
 __all__ = [
     "Risk",
     "DAILY",
     "WEEKLY",
     "MONTHLY",
-    "YEARLY"
+    "YEARLY",
+    "NATURAL_DAILY"
 ]
diff --git a/rqrisk/risk.py b/rqrisk/risk.py
@@ -124,6 +124,8 @@ def information_ratio(self):
         # residual_return / residual_risk
         residual_returns = self._portfolio - self.beta * self._benchmark
         annual_residual_std = residual_returns.std(ddof=1) * np.sqrt(self._annual_factor)
+        if not annual_residual_std:
+            return np.nan
         return (self.annual_return - self.beta * self.benchmark_annual_return) / annual_residual_std
 
     @indicator_property(min_period_count=2)

diff --git a/rqrisk/utils.py b/rqrisk/utils.py
@@ -50,16 +50,19 @@ def __get__(self, instance, owner):
 MONTHS_PER_YEAR = 12
 WEEKS_PER_YEAR = 52
 APPROX_BDAYS_PER_YEAR = 252
+DAYS_PER_YEAR = 365
 
 DAILY = 'daily'
 WEEKLY = 'weekly'
 MONTHLY = 'monthly'
 YEARLY = 'yearly'
+NATURAL_DAILY = "natural_daily"
 
 ANNUALIZATION_FACTORS = {
     DAILY: APPROX_BDAYS_PER_YEAR,
     WEEKLY: WEEKS_PER_YEAR,
-    MONTHLY: MONTHS_PER_YEAR
+    MONTHLY: MONTHS_PER_YEAR,
+    NATURAL_DAILY: DAYS_PER_YEAR
 }
 
 

diff --git a/setup.cfg b/setup.cfg
@@ -5,7 +5,7 @@
 
 [metadata]
 name = rqrisk
-version = 1.0.0
+version = 1.0.1
 
 [versioneer]
 VCS = git

diff --git a/test.py b/test.py
@@ -6,7 +6,7 @@
 import numpy as np
 
 import rqrisk
-from rqrisk import DAILY, WEEKLY, MONTHLY
+from rqrisk import DAILY, WEEKLY, MONTHLY, NATURAL_DAILY
 
 
 # Simple benchmark, no drawdown
@@ -231,3 +231,14 @@ def _assert(returns, benchmark, desired_max_dd, desired_excess_max_dd):
 
     _assert(volatile_returns, zero_benchmark, 0.10899999999999994, 0.10899999999999994)
     _assert(volatile_returns, volatile_benchmark, 0.10899999999999994, 0.20000000000000007)
+
+
+def test_natural_daily():
+    """ 测试自然日 """
+    r = _r(volatile_returns, volatile_benchmark, 0, NATURAL_DAILY)
+    assert_almost_equal(r.annual_return, -0.41377394067925255)
+    assert_almost_equal(r.benchmark_annual_return, 92.86171734511149)
+    assert_almost_equal(r.alpha, 62.31947511024051)
+    assert_almost_equal(r.information_ratio, 97.92626812366308)
+    assert_almost_equal(r.sharpe, -0.23942084288518412)
+