update annualized returns

ricequant · Nov 9, 2018 · 85813dc · 85813dc
1 parent 4ee2e23
commit 85813dc
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Showing 15 changed files with 3 additions and 3 deletions.
diff --git a/rqalpha/model/portfolio.py b/rqalpha/model/portfolio.py
@@ -160,7 +160,7 @@ def annualized_returns(self):
             return -1
         current_date = Environment.get_instance().trading_dt.date()
         natural_start_date = Environment.get_instance().config.base.natural_start_date
-        return self.unit_net_value ** (DAYS_CNT.DAYS_A_YEAR / float((current_date - natural_start_date).days + 1)) - 1
+        return self.unit_net_value ** (DAYS_CNT.TRADING_DAYS_A_YEAR / float((current_date - natural_start_date).days + 1)) - 1
 
     @property
     def total_value(self):

diff --git a/rqalpha/utils/risk.py b/rqalpha/utils/risk.py
@@ -19,7 +19,7 @@
 import numpy as np
 
 APPROX_BDAYS_PER_MONTH = 21
-APPROX_BDAYS_PER_YEAR = 244
+APPROX_BDAYS_PER_YEAR = 252
 
 MONTHS_PER_YEAR = 12
 WEEKS_PER_YEAR = 52
@@ -58,7 +58,7 @@ def __init__(self, daily_returns, benchmark_daily_returns, risk_free_rate, days,
         self._beta = None
         self._sharpe = None
         self._return = np.expm1(np.log1p(self._portfolio).sum())
-        self._annual_return = (1 + self._return) ** (365 / days) - 1
+        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._max_drawdown = 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