From b2a4d73c59e4c9c07a15530fa0683f47f6801cd3 Mon Sep 17 00:00:00 2001 From: Gourav Kumar Date: Wed, 16 Mar 2022 00:35:36 +0530 Subject: [PATCH 1/2] Added tests for max_drawdown --- tests/test_fincal2.py | 41 ++++++++++++++++++++++++++++++++++++----- 1 file changed, 36 insertions(+), 5 deletions(-) diff --git a/tests/test_fincal2.py b/tests/test_fincal2.py index 4447792..5548e26 100644 --- a/tests/test_fincal2.py +++ b/tests/test_fincal2.py @@ -1,12 +1,13 @@ import datetime import math import random +from unittest import skip import pytest from dateutil.relativedelta import relativedelta from fincal.core import AllFrequencies, Frequency from fincal.exceptions import DateNotFoundError -from fincal.fincal import TimeSeries, create_date_series +from fincal.fincal import MaxDrawdown, TimeSeries, create_date_series from fincal.utils import FincalOptions @@ -77,7 +78,9 @@ def create_test_timeseries( start_date = datetime.datetime(2017, 1, 1) timedelta_dict = { - frequency.freq_type: int(frequency.value * num * (7 / 5 if frequency == "D" and skip_weekends else 1)) + frequency.freq_type: int( + frequency.value * num * (7 / 5 if frequency == AllFrequencies.D and skip_weekends else 1) + ) } end_date = start_date + relativedelta(**timedelta_dict) dates = create_date_series(start_date, end_date, frequency.symbol, skip_weekends=skip_weekends) @@ -88,7 +91,7 @@ def create_test_timeseries( class TestReturns: def test_returns_calc(self): - ts = create_test_timeseries() + ts = create_test_timeseries(AllFrequencies.D, skip_weekends=True) returns = ts.calculate_returns( "2020-01-01", annual_compounded_returns=False, return_period_unit="years", return_period_value=1 ) @@ -120,7 +123,7 @@ class TestReturns: ts.calculate_returns("2020-04-04", return_period_unit="months", return_period_value=3, prior_match="exact") def test_date_formats(self): - ts = create_test_timeseries() + ts = create_test_timeseries(AllFrequencies.D, skip_weekends=True) FincalOptions.date_format = "%d-%m-%Y" with pytest.raises(ValueError): ts.calculate_returns( @@ -147,7 +150,7 @@ class TestReturns: def test_limits(self): FincalOptions.date_format = "%Y-%m-%d" - ts = create_test_timeseries() + ts = create_test_timeseries(AllFrequencies.D) with pytest.raises(DateNotFoundError): ts.calculate_returns("2020-11-25", return_period_unit="days", return_period_value=90, closest_max_days=10) @@ -177,3 +180,31 @@ class TestVolatility: annualize_volatility=False, ) assert round(sd, 6) == 0.020547 + + +class TestDrawdown: + def test_daily_ts(self): + ts = create_test_timeseries(AllFrequencies.D, skip_weekends=True) + mdd = ts.max_drawdown() + assert isinstance(mdd, dict) + assert len(mdd) == 3 + assert all(i in mdd for i in ["start_date", "end_date", "drawdown"]) + expeced_response = { + "start_date": datetime.datetime(2017, 6, 6, 0, 0), + "end_date": datetime.datetime(2017, 7, 31, 0, 0), + "drawdown": -0.028293686030751997, + } + assert mdd == expeced_response + + def test_weekly_ts(self): + ts = create_test_timeseries(AllFrequencies.W, mu=1, sigma=0.5) + mdd = ts.max_drawdown() + assert isinstance(mdd, dict) + assert len(mdd) == 3 + assert all(i in mdd for i in ["start_date", "end_date", "drawdown"]) + expeced_response = { + "start_date": datetime.datetime(2019, 2, 17, 0, 0), + "end_date": datetime.datetime(2019, 11, 17, 0, 0), + "drawdown": -0.2584760499552089, + } + assert mdd == expeced_response From 1a5518e62a03b67ddee69e39b16bf1bfd60635f0 Mon Sep 17 00:00:00 2001 From: Gourav Kumar Date: Wed, 16 Mar 2022 00:36:10 +0530 Subject: [PATCH 2/2] Documentation for max_drawdown Added other type hints for variables --- fincal/fincal.py | 44 ++++++++++++++++++++++++++++++-------------- 1 file changed, 30 insertions(+), 14 deletions(-) diff --git a/fincal/fincal.py b/fincal/fincal.py index da830e6..ee7bf11 100644 --- a/fincal/fincal.py +++ b/fincal/fincal.py @@ -3,7 +3,7 @@ from __future__ import annotations import datetime import math import statistics -from typing import Iterable, List, Literal, Mapping, Union +from typing import Iterable, List, Literal, Mapping, TypedDict, Union from dateutil.relativedelta import relativedelta @@ -16,6 +16,12 @@ from .utils import ( ) +class MaxDrawdown(TypedDict): + start_date: datetime.datetime + end_date: datetime.datetime + drawdown: float + + @date_parser(0, 1) def create_date_series( start_date: Union[str, datetime.datetime], @@ -115,11 +121,11 @@ class TimeSeries(TimeSeriesCore): super().__init__(data, frequency, date_format) - def info(self): + def info(self) -> str: """Summary info about the TimeSeries object""" - total_dates = len(self.data.keys()) - res_string = "First date: {}\nLast date: {}\nNumber of rows: {}" + total_dates: int = len(self.data.keys()) + res_string: str = "First date: {}\nLast date: {}\nNumber of rows: {}" return res_string.format(self.start_date, self.end_date, total_dates) def ffill(self, inplace: bool = False, limit: int = None) -> Union[TimeSeries, None]: @@ -138,7 +144,7 @@ class TimeSeries(TimeSeriesCore): Returns a TimeSeries object if inplace is False, otherwise None """ - eomonth = True if self.frequency.days >= AllFrequencies.M.days else False + eomonth: bool = True if self.frequency.days >= AllFrequencies.M.days else False dates_to_fill = create_date_series(self.start_date, self.end_date, self.frequency.symbol, eomonth) new_ts = dict() @@ -171,7 +177,7 @@ class TimeSeries(TimeSeriesCore): Returns a TimeSeries object if inplace is False, otherwise None """ - eomonth = True if self.frequency.days >= AllFrequencies.M.days else False + eomonth: bool = True if self.frequency.days >= AllFrequencies.M.days else False dates_to_fill = create_date_series(self.start_date, self.end_date, self.frequency.symbol, eomonth) dates_to_fill.append(self.end_date) @@ -517,21 +523,31 @@ class TimeSeries(TimeSeriesCore): rr = self.calculate_rolling_returns(**kwargs) return statistics.mean(rr.values) - def max_drawdown(self): - max_val_dict = {} + def max_drawdown(self) -> MaxDrawdown: + """Calculates the maximum fall the stock has taken between any two points. - prev_val = 0 - prev_date = list(self.data)[0] + Returns + ------- + MaxDrawdown + Returns the start_date, end_date, and the drawdown value in decimal. + """ + + drawdowns: dict = dict() + + prev_val: float = 0 + prev_date: datetime.datetime = list(self.data)[0] for dt, val in self.data.items(): if val > prev_val: - max_val_dict[dt] = (dt, val, 0) + drawdowns[dt] = (dt, val, 0) prev_date, prev_val = dt, val else: - max_val_dict[dt] = (prev_date, prev_val, val / prev_val - 1) + drawdowns[dt] = (prev_date, prev_val, val / prev_val - 1) - max_drawdown = min(max_val_dict.items(), key=lambda x: x[1][2]) - max_drawdown = dict(start_date=max_drawdown[1][0], end_date=max_drawdown[0], drawdown=max_drawdown[1][2]) + max_drawdown = min(drawdowns.items(), key=lambda x: x[1][2]) + max_drawdown: MaxDrawdown = dict( + start_date=max_drawdown[1][0], end_date=max_drawdown[0], drawdown=max_drawdown[1][2] + ) return max_drawdown