增加自然日测试案例

ricequant · Jun 28, 2022 · 728e2c5 · 728e2c5
1 parent 458eb59
commit 728e2c5
Show file tree

Hide file tree

Showing 2 changed files with 15 additions and 3 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/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)
+