Fixes issue where PortfolioLooper would crash generating certain reports

* Updates SharpeRatioReportElement calculation
Coulbe · Mar 26, 2020 · e5ed489 · e5ed489
1 parent ba7f39f
commit e5ed489
Show file tree

Hide file tree

Showing 4 changed files with 93 additions and 6 deletions.
diff --git a/Report/PortfolioLooper/PortfolioLooper.cs b/Report/PortfolioLooper/PortfolioLooper.cs
@@ -24,7 +24,6 @@
 using QuantConnect.Lean.Engine.Setup;
 using QuantConnect.Lean.Engine.TransactionHandlers;
 using QuantConnect.Logging;
-using QuantConnect.Orders.Fills;
 using QuantConnect.Packets;
 using QuantConnect.Securities;
 using QuantConnect.Util;
@@ -270,11 +269,21 @@ public static IEnumerable<PointInTimePortfolio> FromOrders(Series<DateTime, doub
             PointInTimePortfolio prev = null;
             foreach (var deploymentOrders in portfolioDeployments)
             {
+                if (deploymentOrders.Count == 0)
+                {
+                    Log.Trace($"PortfolioLooper.FromOrders(): Deployment contains no orders");
+                    continue;
+                }
+                var startTime = deploymentOrders.First().Time;
+                var deployment = equityCurve.Where(kvp => kvp.Key <= startTime);
+                if (deployment.IsEmpty)
+                {
+                    Log.Trace($"PortfolioLooper.FromOrders(): Equity series is empty after filtering with upper bound: {startTime}");
+                    continue;
+                }
+
                 // For every deployment, we want to start fresh.
-                var looper = new PortfolioLooper(
-                    equityCurve.Where(kvp => kvp.Key <= deploymentOrders.First().Time).LastValue(),
-                    deploymentOrders
-                );
+                var looper = new PortfolioLooper(deployment.LastValue(), deploymentOrders);
 
                 foreach (var portfolio in looper.ProcessOrders(deploymentOrders))
                 {

diff --git a/Report/ReportElements/SharpeRatioReportElement.cs b/Report/ReportElements/SharpeRatioReportElement.cs
@@ -13,7 +13,10 @@
  * limitations under the License.
 */
 
+using Deedle;
 using QuantConnect.Packets;
+using System;
+using System.Linq;
 
 namespace QuantConnect.Report.ReportElements
 {
@@ -42,7 +45,30 @@ public SharpeRatioReportElement(string name, string key, BacktestResult backtest
         /// </summary>
         public override string Render()
         {
-            return _backtest?.TotalPerformance?.PortfolioStatistics?.SharpeRatio.ToString("F1") ?? "-";
+            var result = _live ?? (Result)_backtest;
+            if (result == null)
+            {
+                return "-";
+            }
+
+            var equityPoints = ResultsUtil.EquityPoints(result);
+            var performance = DeedleUtil.PercentChange(new Series<DateTime, double>(equityPoints).ResampleEquivalence(date => date.Date, s => s.LastValue()));
+            if (performance.ValueCount == 0)
+            {
+                return "-";
+            }
+
+            var sixMonthsAgo = performance.LastKey().AddDays(-180);
+            var trailingPerformance = performance.Where(series => series.Key >= sixMonthsAgo && series.Key.DayOfWeek != DayOfWeek.Saturday && series.Key.DayOfWeek != DayOfWeek.Sunday)
+                .Values
+                .ToList();
+
+            if (trailingPerformance.Count < 7 || Statistics.Statistics.AnnualStandardDeviation(trailingPerformance) == 0)
+            {
+                return "-";
+            }
+
+            return Statistics.Statistics.SharpeRatio(trailingPerformance, 0.0).ToString("F2");
         }
     }
 }
diff --git a/Tests/QuantConnect.Tests.csproj b/Tests/QuantConnect.Tests.csproj
@@ -656,6 +656,7 @@
     <Compile Include="Python\PandasConverterTests.cs" />
     <Compile Include="RegressionTests.cs" />
     <Compile Include="Report\CalculationTests.cs" />
+    <Compile Include="Report\PortfolioLooperTests.cs" />
     <Compile Include="Report\ResultDeserializationTests.cs" />
     <Compile Include="Report\PortfolioLooperAlgorithmTests.cs" />
     <Compile Include="Symbols.cs" />

diff --git a/Tests/Report/PortfolioLooperTests.cs b/Tests/Report/PortfolioLooperTests.cs
@@ -0,0 +1,51 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using Deedle;
+using NUnit.Framework;
+using QuantConnect.Orders;
+using QuantConnect.Report;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace QuantConnect.Tests.Report
+{
+    [TestFixture]
+    public class PortfolioLooperTests
+    {
+        [Test]
+        public void EmptyEquitySeriesDoesNotCrash()
+        {
+            var equityPoints = new SortedList<DateTime, double>
+            {
+                { new DateTime(2019, 1, 3, 5, 0, 5), 100000 }
+            };
+            var series = new Series<DateTime, double>(equityPoints);
+            var order = new MarketOrder(Symbols.SPY, 1m, new DateTime(2019, 1, 3, 5, 0, 0));
+
+            // Force an order ID >= 1 on the order, otherwise the test will fail
+            // because the order will be filtered out.
+            order.GetType().GetProperty("Id").SetValue(order, 1);
+
+            var orders = new List<Order>
+            {
+                order
+            };
+
+            Assert.DoesNotThrow(() => PortfolioLooper.FromOrders(series, orders).ToList());
+        }
+    }
+}