ENH Add beta_fragility_heuristic and gpd_risk_estimates functions #42

jeyoor · 2017-02-23T01:44:27Z

Hi,

I thought it'd be interesting to add some risk metrics to empyrical for use in zipline/pyfolio.

Here's the papers I used.

Beta Fragility: https://www.imf.org/external/pubs/ft/wp/2012/wp12216.pdf
GPD Risk Estimates: https://link.springer.com/article/10.1007/s10614-006-9025-7

I wasn't sure about whether or not docstrings and tests are required for subroutines. (I'm missing some docstrings and tests for subroutines of gpd_risk_estimates.)

If the above are required, please feel free to ping me back and I'll work on adding them.

Thanks!

Jeyan

python 2 and 3

twiecki · 2017-02-27T10:01:29Z

Thanks @jeyoor, this looks great. I'll try to take a look next week (traveling).

twiecki · 2017-12-21T10:09:13Z

Sorry @jeyoor, I completely dropped the ball on this. This looks great, if you solve the merge conflicts we can go ahead and merge this.

…y_and_gpd_risk_estimates Conflicts: empyrical/__init__.py empyrical/stats.py empyrical/tests/test_stats.py

jeyoor · 2018-01-22T10:52:25Z

Hi @twiecki,

No worries; schedule pressure can be tough.

I solved the merge conflicts, but tests are currently failing.
I am planning to look into this some more when I have some time.

Tests run fine on quantopian:master so it must be something I added or changed, but it isn't clear to me right now exactly what's causing the tests to fail...

I'll keep you posted on the status.

Thanks!

- old tests work - new tests still failing

- fixes TypeError: cannot concatenate a non-NDFrame object - also, switch the functions from SIMPLE_STAT_FUNCS to FACTOR_STAT_FUNCS

jeyoor · 2018-01-22T11:33:53Z

Hi @twiecki,

I think everything passes now.

I wasn't sure if the new functions should be in SIMPLE_STAT_FUNCS or FACTOR_STAT_FUNCS, but they seemed to fit best in FACTOR_STAT_FUNCS so I moved them there.

I look forward to your feedback.

Thanks!

twiecki · 2018-01-22T12:17:08Z

empyrical/__init__.py.orig

@@ -0,0 +1,71 @@
+#


This file shouldn't show up.

twiecki · 2018-01-22T12:17:38Z

empyrical/stats.py.orig

@@ -0,0 +1,1616 @@
+#


this file neither

twiecki · 2018-01-22T12:18:46Z

Thanks for picking this back up! Looks like the merge wasn't quite successful yet. If everything fails, you could from a clean master you cherry-pick your commits, or recreate those functions.

jeyoor · 2018-01-22T15:13:59Z

Doh! Looks like I accidentally added some merge backup files.
EDIT: found and fixed another missed merge file.

How does it look now?
Went into the "Files Changed" tab and the diff looks cleaner...

jeyoor · 2018-01-29T18:08:16Z

Hi @twiecki,

How are the diffs looking after the most recent update?

Thanks!

twiecki · 2018-01-29T19:08:39Z

empyrical/stats.py

+    The magnitude of the negative value indicates the size of
+    the potential loss.
+
+    seealso::


I would put this under Notes (with --- underlining) at the bottom.

twiecki · 2018-01-29T19:08:55Z

empyrical/stats.py

@@ -993,6 +995,325 @@ def cagr(returns, period=DAILY, annualization=None):
    return ending_value ** (1. / no_years) - 1


+def beta_fragility_heuristic(returns, factor_returns):
+    """
+    Estimate fragility to drops in beta.


these line-breaks are a bit odd.

twiecki · 2018-01-29T19:09:03Z

empyrical/stats.py

+    """
+    Estimate fragility to drops in beta
+
+    seealso::


twiecki · 2018-01-29T19:10:03Z

empyrical/stats.py

+        var_estimate - an estimate for the VaR for the given percentile
+        es_estimate - an estimate for the ES for the given percentile
+    """
+    result = np.array([0.0, 0.0, 0.0, 0.0, 0.0])


np.ones() or np.empty().

gusgordon · 2019-08-22T19:28:32Z

Closing this as it's old. Feel free to reopen if this is still relevant.

jeyoor · 2019-09-10T02:14:38Z

@gusgordon ,
Thank you for the reminder on this!
I'm a bit slammed at the moment, but once I get some free time I plan to update the branch per the comments and ping you back.
Thanks again!
Jey

jeyoor · 2019-09-29T20:12:26Z

Moved to new pull request here #118

jeyoor added 6 commits February 22, 2017 20:42

ENH Add beta_fragility_heuristic and gpd_risk_estimates functions

cf05451

Fix formatting according to PEP8/flake8

95367b8

Fix PEP8 warning W503 line break before binary operator

05eb8bf

Use numpy.around for consistency between

4e6187e

python 2 and 3

Fix length of zero lists returned from gpd_risk_estimates

500205b

Clarify variable names, fix thresholds, use proper list lengths

6f532ff

Merge remote-tracking branch 'upstream/master' into add_beta_fragilit…

d0898d9

…y_and_gpd_risk_estimates Conflicts: empyrical/__init__.py empyrical/stats.py empyrical/tests/test_stats.py

jeyoor added 3 commits January 22, 2018 05:56

Fix broken merge

460a698

- old tests work - new tests still failing

Have tests assume input is aligned

ab2d943

- fixes TypeError: cannot concatenate a non-NDFrame object - also, switch the functions from SIMPLE_STAT_FUNCS to FACTOR_STAT_FUNCS

Fix formatting to prevent flake8 errors

e6c31c3

twiecki reviewed Jan 22, 2018

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@@ -0,0 +1,71 @@

#

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This file shouldn't show up.

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this file neither

remove merge backup files

bc29c2f

remove one more merge backup file

be4d00d

twiecki reviewed Jan 29, 2018

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empyrical/stats.py

"""

Estimate fragility to drops in beta

seealso::

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same.

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gusgordon closed this Aug 22, 2019

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ENH Add beta_fragility_heuristic and gpd_risk_estimates functions #42

ENH Add beta_fragility_heuristic and gpd_risk_estimates functions #42

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ENH Add beta_fragility_heuristic and gpd_risk_estimates functions #42

ENH Add beta_fragility_heuristic and gpd_risk_estimates functions #42

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