Merge pull request #15 from ricequant/DEV-RQSDK-589

新增ulcer_index(累计回撤深度)和ulcer_performance_index(累计回撤夏普率)

rqrisk/risk.py

@@ -97,9 +97,15 @@ def benchmark_annual_volatility(self):
         return self.benchmark_volatility * (self._annual_factor ** 0.5)
 
     @staticmethod
-    def _calc_max_drawdown(returns):
+    def _calc_cum(returns):
+        """ 计算累计净值 """
         returns = [0] + list(returns)
         df_cum = np.exp(np.log1p(returns).cumsum())
+        return df_cum
+
+    @classmethod
+    def _calc_max_drawdown(cls, returns):
+        df_cum = cls._calc_cum(returns)
         max_return = np.maximum.accumulate(df_cum)
         return abs(((df_cum - max_return) / max_return).min())
 
@@ -212,5 +218,33 @@ def correlation(self):
         # 相关系数算法参考 https://numpy.org/doc/stable/reference/generated/numpy.corrcoef.html?highlight=corr#numpy.corrcoef
         return np.corrcoef(self._portfolio, self._benchmark)[0][1]
 
+    @classmethod
+    def _calc_ulcer_index(cls, returns):
+        """ 累计回撤深度  相关计算公式参考：http://www.tangotools.com/ui/ui.htm """
+        cum = cls._calc_cum(returns)
+        drawdown_squared = ((cum / np.maximum.accumulate(cum) - 1) * 100) ** 2
+        return (np.sum(drawdown_squared) / len(cum)) ** 0.5
+
+    @indicator_property()
+    def ulcer_index(self):
+        return self._calc_ulcer_index(self._portfolio)
+
+    @indicator_property()
+    def excess_ulcer_index(self):
+        return self._calc_ulcer_index(self._active_returns)
+
+    def _calc_ulcer_performance_index(self, returns, ulcer_index):
+        """ 累计回撤夏普率 相关计算公式参考：http://www.tangotools.com/ui/ui.htm """
+        _return_rate = np.expm1(np.log1p(returns - self._risk_free_rate_per_period).sum())
+        return safe_div(_return_rate, ulcer_index)
+
+    @indicator_property()
+    def ulcer_performance_index(self):
+        return self._calc_ulcer_performance_index(self._portfolio, self.ulcer_index)
+
+    @indicator_property()
+    def excess_ulcer_performance_index(self):
+        return self._calc_ulcer_performance_index(self._active_returns, self.excess_ulcer_index)
+
     def all(self):
         return {k: getattr(self, k) for k, v in self.__class__.__dict__.items() if isinstance(v, IndicatorProperty)}

setup.cfg

@@ -5,7 +5,7 @@
 
 [metadata]
 name = rqrisk
-version = 1.0.4
+version = 1.0.5
 
 [versioneer]
 VCS = git

test.py

@@ -283,3 +283,28 @@ def _assert(returns, benchmark, period):
     _assert(weekly_returns, volatile_weekly_benchmark, WEEKLY)      # -0.3411258215912419
     _assert(monthly_returns, simple_monthly_benchamrk, MONTHLY)     # np.nan
     _assert(monthly_returns, volatile_monthly_benchmark, MONTHLY)   # -0.3411258215912419
+
+
+def test_ulcer_index():
+    """ 测试累计回撤深度 """
+
+    def _assert(returns, benchmark, ulcer_index):
+        r = _r(returns, benchmark, 0)
+        assert_almost_equal(r.ulcer_index, ulcer_index)
+
+    _assert(positive_returns, simple_benchmark, 0)
+    _assert(negative_returns, simple_benchmark, 21.319872051737)
+    _assert(weekly_returns, simple_weekly_benchamrk, 3.4688095940826726)
+
+
+def test_ulcer_performance_index():
+    """ 测试累计回撤夏普率 """
+
+    def _assert(returns, benchmark, ulcer_performance_index):
+        r = _r(returns, benchmark, 0)
+        assert_almost_equal(r.ulcer_performance_index, ulcer_performance_index)
+
+    _assert(positive_returns, simple_benchmark, np.nan)
+    _assert(negative_returns, simple_benchmark, -0.019864148204580486)
+    _assert(weekly_returns, simple_weekly_benchamrk, -0.014606674809517502)
+