modify logic of annulization

ricequant · Nov 12, 2018 · 39995e3 · 39995e3
1 parent 0a34912
commit 39995e3
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Showing 16 changed files with 6 additions and 5 deletions.
diff --git a/rqalpha/mod/rqalpha_mod_sys_analyser/mod.py b/rqalpha/mod/rqalpha_mod_sys_analyser/mod.py
@@ -195,7 +195,7 @@ def tear_down(self, code, exception=None):
             data_proxy.get_risk_free_rate(
                 self._env.config.base.start_date, self._env.config.base.end_date
             ),
-            (self._env.config.base.end_date - self._env.config.base.start_date).days + 1
+            self._env.data_proxy.count_trading_dates(self._env.config.base.start_date, self._env.config.base.end_date)
         )
         summary.update({
             'alpha': self._safe_convert(risk.alpha, 3),

diff --git a/rqalpha/model/portfolio.py b/rqalpha/model/portfolio.py
@@ -158,9 +158,10 @@ def annualized_returns(self):
         """
         if self.unit_net_value <= 0:
             return -1
-        current_date = Environment.get_instance().trading_dt.date()
-        start_date = Environment.get_instance().config.base.start_date
-        return self.unit_net_value ** (DAYS_CNT.TRADING_DAYS_A_YEAR / float((current_date - start_date).days + 1)) - 1
+
+        env = Environment.get_instance()
+        date_count = float(env.data_proxy.count_trading_dates(env.config.base.start_date, env.trading_dt.date()))
+        return self.unit_net_value ** (DAYS_CNT.TRADING_DAYS_A_YEAR / date_count) - 1
 
     @property
     def total_value(self):

diff --git a/rqalpha/utils/risk.py b/rqalpha/utils/risk.py
@@ -60,7 +60,7 @@ def __init__(self, daily_returns, benchmark_daily_returns, risk_free_rate, days,
         self._return = np.expm1(np.log1p(self._portfolio).sum())
         self._annual_return = (1 + self._return) ** (252 / days) - 1
         self._benchmark_return = np.expm1(np.log1p(self._benchmark).sum())
-        self._benchmark_annual_return = (1 + self._benchmark_return) ** (365 / days) - 1
+        self._benchmark_annual_return = (1 + self._benchmark_return) ** (252 / days) - 1
         self._max_drawdown = None
         self._volatility = None
         self._annual_volatility = None

diff --git a/tests/outs/test_f_buy_and_hold.pkl b/tests/outs/test_f_buy_and_hold.pkl
diff --git a/tests/outs/test_f_macd.pkl b/tests/outs/test_f_macd.pkl
diff --git a/tests/outs/test_f_macd_signal.pkl b/tests/outs/test_f_macd_signal.pkl
diff --git a/tests/outs/test_f_mean_reverting.pkl b/tests/outs/test_f_mean_reverting.pkl
diff --git a/tests/outs/test_s_buy_and_hold.pkl b/tests/outs/test_s_buy_and_hold.pkl
diff --git a/tests/outs/test_s_dma.pkl b/tests/outs/test_s_dma.pkl
diff --git a/tests/outs/test_s_dual_thrust.pkl b/tests/outs/test_s_dual_thrust.pkl
diff --git a/tests/outs/test_s_golden_cross.pkl b/tests/outs/test_s_golden_cross.pkl
diff --git a/tests/outs/test_s_scheduler.pkl b/tests/outs/test_s_scheduler.pkl
diff --git a/tests/outs/test_s_tick_size.pkl b/tests/outs/test_s_tick_size.pkl
diff --git a/tests/outs/test_s_turtle.pkl b/tests/outs/test_s_turtle.pkl
diff --git a/tests/outs/test_s_turtle_signal.pkl b/tests/outs/test_s_turtle_signal.pkl
diff --git a/tests/outs/test_sf_buy_and_hold.pkl b/tests/outs/test_sf_buy_and_hold.pkl