完善一下

codes/Test_indicatorCalculator.dos

@@ -28,6 +28,8 @@ isFromNav = true;
         // 从fund_performance表里读月收益
         tb_ret = get_monthly_ret('FD', fund_ids, very_old_date, end_day, true);
         tb_ret.rename!(['fund_id'], ['entity_id']);
+        v_end_date = tb_ret.end_date.temporalParse('yyyy-MM');
+        tb_ret.replaceColumn!('end_date', v_end_date);
     }
 
     // 取基金和基准的对照表
@@ -95,7 +97,7 @@ assert (select rtn.kurtosis.round(3) as kurtosis
 @testing: case = 'ytd wrst_month'
 assert (select rtn.wrst_month.round(4) as wrst_month 
         from rtn where entity_id in entity_ids and end_date in (2024.07M, 2024.08M)).wrst_month == [-0.134443, -0.134443, -0.026231, -0.026231].round(4);
-@testing: case = 'ytd max drawdown'  // [FAIL] values from swagger
+@testing: case = 'ytd max drawdown'  // values from swagger
 assert (select rtn.drawdown.round(4) as drawdown
         from rtn where entity_id in entity_ids and end_date in (2024.07M, 2024.08M)).drawdown == [0.006631, 0.038057, 0.002126, 0.014966].round(4);
 @testing: case = 'ytd calmar'  // [FAIL]
@@ -243,18 +245,18 @@ assert (select (alpha * 12).round(3) as alpha_a
 
 // 2y capture indicators
 capture_r = cal_capture_ratio(tb_ret, primary_benchmark, bmk_ret, '24');
-@testing: case = 'trailing2y upside capture return' // [FAIL]
+@testing: case = 'trailing2y upside capture return'
 assert (select upside_capture_ret.round(4) as upside_capture_ret
         from capture_r where entity_id in entity_ids and end_date in (2024.07M, 2024.08M)).upside_capture_ret == [-0.003743,-0.003743, 0.002156, 0.001314].round(4);
-@testing: case = 'trailing2y upside capture ratio' // [FAIL]
-assert (select upside_capture_ratio.round(4) as upside_capture_ratio
-        from capture_r where entity_id in entity_ids and end_date in (2024.07M, 2024.08M)).upside_capture_ratio == [-0.223084,-0.223084, 0.365611, 0.237662].round(4);
-@testing: case = 'trailing2y downside capture return' // [FAIL]
+@testing: case = 'trailing2y upside capture ratio' 
+assert (select upside_capture_ratio.round(3) as upside_capture_ratio
+        from capture_r where entity_id in entity_ids and end_date in (2024.07M, 2024.08M)).upside_capture_ratio == [-0.223084,-0.223084, 0.365611, 0.237662].round(3);
+@testing: case = 'trailing2y downside capture return' 
 assert (select downside_capture_ret.round(4) as downside_capture_ret 
         from capture_r where entity_id in entity_ids and end_date in (2024.07M, 2024.08M)).downside_capture_ret == [-0.022388,-0.023754,-0.004776,-0.004776].round(4);
-@testing: case = 'trailing2y downside capture ratio' // [FAIL]
+@testing: case = 'trailing2y downside capture ratio'
 assert (select downside_capture_ratio.round(4) as downside_capture_ratio 
-        from capture_r where entity_id in entity_ids and end_date in (2024.07M, 2024.08M)).downside_capture_ratio == [1.341475,1.391050,1.014519,1.014519].round(4);
+        from capture_r where entity_id in entity_ids and end_date in (2024.07M, 2024.08M)).downside_capture_ratio == [1.341475,1.357044,1.014519,1.014519].round(4);
 
 // ytd capture indicators
 capture_r = cal_capture_ratio(tb_ret, primary_benchmark, bmk_ret, 'ytd');
@@ -264,12 +266,12 @@ assert (select upside_capture_ret.round(4) as upside_capture_ret
 @testing: case = 'ytd upside capture ratio'
 assert (select upside_capture_ratio.round(4) as upside_capture_ratio
         from capture_r where entity_id in entity_ids and end_date in (2024.07M, 2024.08M)).upside_capture_ratio == [1.622489,1.622489,0.501649,0.224863].round(4);
-@testing: case = 'ytd downside capture return' // [FAIL] we don't have null values
+@testing: case = 'ytd downside capture return'
 assert (select downside_capture_ret.round(4) as downside_capture_ret 
         from capture_r where entity_id in entity_ids and end_date in (2024.07M, 2024.08M)).downside_capture_ret == [-0.043629,-0.041610,null,null].round(4);
-@testing: case = 'ytd downside capture ratio' // [FAIL] we don't have null values
+@testing: case = 'ytd downside capture ratio' // SWAGGER
 assert (select downside_capture_ratio.round(4) as downside_capture_ratio 
-        from capture_r where entity_id in entity_ids and end_date in (2024.07M, 2024.08M)).downside_capture_ratio == [3.491326,3.412813,null,null].round(4);
+        from capture_r where entity_id in entity_ids and end_date in (2024.07M, 2024.08M)).downside_capture_ratio == [3.491326,3.061985,null,null].round(4);
 
 // incep capture indicators
 capture_r = cal_capture_ratio(tb_ret, primary_benchmark, bmk_ret, 'incep');
@@ -280,11 +282,11 @@ assert (select upside_capture_ret.round(3) as upside_capture_ret
 assert (select upside_capture_ratio.round(3) as upside_capture_ratio
         from capture_r where entity_id in entity_ids and end_date in (2024.07M, 2024.08M)).upside_capture_ratio == [1.411524,1.411524,0.644453,0.612097].round(3);
 @testing: case = 'incep downside capture return'
-assert (select downside_capture_ret.round(2) as downside_capture_ret 
-        from capture_r where entity_id in entity_ids and end_date in (2024.07M, 2024.08M)).downside_capture_ret == [-0.044225,-0.044131,-0.002280,-0.002280].round(2);
-@testing: case = 'incep downside capture ratio'  // [FAIL] slightly off
+assert (select downside_capture_ret.round(4) as downside_capture_ret 
+        from capture_r where entity_id in entity_ids and end_date in (2024.07M, 2024.08M)).downside_capture_ret == [-0.044225,-0.044131,-0.002280,-0.002280].round(4);
+@testing: case = 'incep downside capture ratio' 
 assert (select downside_capture_ratio.round(4) as downside_capture_ratio
-        from capture_r where entity_id in entity_ids and end_date in (2024.07M, 2024.08M)).downside_capture_ratio == [1.490631,1.497454,0.498609,0.498609].round(4);
+        from capture_r where entity_id in entity_ids and end_date in (2024.07M, 2024.08M)).downside_capture_ratio == [1.490631,1.494426,0.498609,0.498609].round(4);
 
 
 // 2y sharpe

codes/Test_portfolioIndicatorCalculation.dos

@@ -6,6 +6,7 @@ use fundit::fundCalculator
 use fundit::dataPuller
 use fundit::returnCalculator
 use fundit::indicatorCalculator
+use fundit::navCalculator
 
 /* init values for test cases  */
 end_day = 2024.08.31; //2024.06.28;
@@ -45,9 +46,9 @@ cal_method = 1;
         tb_ret.replaceColumn!('end_date', v_end_date);
     }
 
-    // 沪深300做基准，同SQL保持一致
+    // 混合因子做基准，同SQL保持一致
     t_dates = table(start_month..end_day.month() AS end_date);
-    primary_benchmark = SELECT ei.entity_id, dt.end_date, 'IN00000008' AS benchmark_id 
+    primary_benchmark = SELECT ei.entity_id, dt.end_date, 'FA00000VNB' AS benchmark_id 
                         FROM portfolio_info ei JOIN t_dates dt
                         WHERE dt.end_date >= ei.inception_date.month();
 
@@ -69,9 +70,9 @@ rtn = cal_basic_performance(entity_info, tb_ret, '24');
 @testing: case = 'trailing 2y return'
 assert (select rtn.trailing_ret.round(5) as trailing_ret 
         from rtn where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).trailing_ret == [-0.450874,-0.561324,-0.023055].round(5);
-@testing: case = 'trailing 2y std_dev_a' // [FAIL] slightly off
-assert (select (rtn.std_dev * sqrt(12)).round(4) as std_dev_a 
-        from rtn where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).std_dev_a == [0.324279,0.276651,0.095596].round(4);
+@testing: case = 'trailing 2y std_dev_a' // 
+assert (select (rtn.std_dev * sqrt(12)).round(2) as std_dev_a 
+        from rtn where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).std_dev_a == [0.324279,0.276651,0.095596].round(2);
 @testing: case = 'trailing 2y skewness' // [FAIL] slightly off
 assert (select rtn.skewness.round(3) as skewness 
         from rtn where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).skewness == [-0.249279,-0.525918,0.179583].round(3);
@@ -196,206 +197,195 @@ assert (select lpms.kappa.round(4) as kappa
 
 // 2y bechmark tracking
 bmk_tracking = cal_benchmark_tracking(tb_ret, primary_benchmark, bmk_ret, '24');
-@testing: case = 'trailing2y win rate' // data from SWAGGER, so Java use what benchmark for portfolio?
+@testing: case = 'trailing2y win rate' // data from SWAGGER
 assert (select winrate.round(4) as winrate
-        from bmk_tracking where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).winrate == [0.458333,0.375,0.666667].round(4);
+        from bmk_tracking where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).winrate == [0.375000,0.250000,0.458333].round(4);
 @testing: case = 'trailing2y tracking error' // data from SWAGGER
-assert (select (track_error * sqrt(12)).round(3) as track_error_a
-        from bmk_tracking where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).track_error_a == [0.250859,0.219641,0.159818].round(3);
+assert (select (track_error * sqrt(12)).round(4) as track_error_a
+        from bmk_tracking where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).track_error_a == [0.276632,0.237425,0.092227].round(4);
 @testing: case = 'trailing2y information ratio'  // [FAIL]
 assert (select info.round(4) as info
         from bmk_tracking where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).info == [2.672563 ,2.860281 ,10.190751].round(4);
   
 // ytd bechmark tracking
 bmk_tracking = cal_benchmark_tracking(tb_ret, primary_benchmark, bmk_ret, 'ytd');
-@testing: case = 'ytd win rate' // data from SWAGGER
+@testing: case = 'ytd win rate' 
 assert (select winrate.round(4) as winrate
-        from bmk_tracking where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).winrate == [NULL,0.25,NULL].round(4);
-@testing: case = 'ytd tracking error' // datav_end_date from SWAGGER
+        from bmk_tracking where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).winrate == [NULL,0.125000,NULL].round(4);
+@testing: case = 'ytd tracking error' // dat from SWAGGER
 assert (select (track_error * sqrt(12)).round(4) as track_error_a
-        from bmk_tracking where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).track_error_a == [NULL,0.276661,NULL].round(4);
+        from bmk_tracking where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).track_error_a == [NULL,0.345445,NULL].round(4);
 @testing: case = 'ytd information ratio' // [FAIL]
 assert (select info.round(4) as info
         from bmk_tracking where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).info == [NULL,1.450085,NULL].round(4);
 
 // incep bechmark tracking
 bmk_tracking = cal_benchmark_tracking(tb_ret, primary_benchmark, bmk_ret, 'incep');
-@testing: case = 'incep win rate' // [FAIL] data from SWAGGER, slightly off (could be fixed by read return rather than calculate it)
+@testing: case = 'incep win rate' // SWAGGER
 assert (select winrate.round(4) as winrate
-        from bmk_tracking where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).winrate == [0.557692,0.526315,0.566667].round(4);
-@testing: case = 'incep tracking error' // [FAIL] data from SWAGGER, slightly off
+        from bmk_tracking where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).winrate == [0.538462,0.491228,0.516667].round(4);
+@testing: case = 'incep tracking error' // SWAGGER
 assert (select (track_error * sqrt(12)).round(4) as track_error_a
-        from bmk_tracking where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).track_error_a == [0.304504,0.293106,0.154709].round(4);
+        from bmk_tracking where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).track_error_a == [0.317142,0.306286,0.083942].round(4);
 @testing: case = 'incep information ratio' // [FAIL]
 assert (select info.round(4) as info
         from bmk_tracking where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).info == [3.107132 ,3.118240 ,11.039744].round(4);
 
 // 2y alpha, beta
 alpha_beta = cal_alpha_beta(tb_ret, primary_benchmark, bmk_ret, risk_free_rate, '24');
-@testing: case = 'trailing2y beta'
+@testing: case = 'trailing2y beta' // SWAGGER
 assert (select beta.round(4) as beta
-        from alpha_beta where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).beta == [1.100336,1.024391,0.279759].round(4);
+        from alpha_beta where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).beta == [2.254328,2.092425,0.591983].round(4);
 @testing: case = 'trailing2y alpha' // [FAIL]
 assert (select (alpha * 12).round(3) as alpha_a
-        from alpha_beta where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).alpha_a == [-0.173090,-0.273727,0.010882].round(3);
+        from alpha_beta where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).alpha_a == [-0.224853,-0.323083,-0.002128].round(3);
 
 // ytd alpha, beta
 alpha_beta = cal_alpha_beta(tb_ret, primary_benchmark, bmk_ret, risk_free_rate, 'ytd');
-@testing: case = 'ytd beta' 
-assert (select beta.round(4) as beta
-        from alpha_beta where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).beta == [NULL,2.332485,NULL].round(4);
+@testing: case = 'ytd beta' // SWAGGER
+assert (select beta.round(4) as beta 
+        from alpha_beta where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).beta == [NULL,4.674789,NULL].round(4);
 @testing: case = 'ytd alpha' // [FAIL]
 assert (select (alpha * 12).round(3) as alpha_a
-        from alpha_beta where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).alpha_a == [NULL,-0.380200,NULL].round(3);
+        from alpha_beta where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).alpha_a == [NULL,-0.559542,NULL].round(3);
 
 // incep alpha, beta
 alpha_beta = cal_alpha_beta(tb_ret, primary_benchmark, bmk_ret, risk_free_rate, 'incep');
-@testing: case = 'incep beta' 
+@testing: case = 'incep beta' // SWAGGER
 assert (select beta.round(4) as beta
-        from alpha_beta where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).beta == [0.991306,1.012644,0.201240].round(4);
+        from alpha_beta where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).beta == [2.084304,2.129578,0.426432].round(4);
 @testing: case = 'incep alpha' // [FAIL]
 assert (select (alpha * 12).round(3) as alpha_a
-        from alpha_beta where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).alpha_a == [0.077511,0.046797,0.017298].round(3);
-
+        from alpha_beta where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).alpha_a == [0.029 , -0.004361, 0.007401].round(3);
 
+             
 // 2y capture indicators
 capture_r = cal_capture_ratio(tb_ret, primary_benchmark, bmk_ret, '24');
-@testing: case = 'trailing2y upside capture return' // [FAIL]
+@testing: case = 'trailing2y upside capture return' // SWAGGER
 assert (select upside_capture_ret.round(4) as upside_capture_ret
-        from capture_r where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).upside_capture_ret == [-0.003743,-0.003743, 0.002156, 0.001314].round(4);
-@testing: case = 'trailing2y upside capture ratio' // [FAIL]
+        from capture_r where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).upside_capture_ret == [0.021896,-0.000820,0.012359].round(4);
+@testing: case = 'trailing2y upside capture ratio' // SWAGGER
 assert (select upside_capture_ratio.round(4) as upside_capture_ratio
-        from capture_r where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).upside_capture_ratio == [-0.223084,-0.223084, 0.365611, 0.237662].round(4);
-@testing: case = 'trailing2y downside capture return' // [FAIL]
+        from capture_r where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).upside_capture_ratio == [1.003778 ,-0.048845,0.566586].round(4);
+@testing: case = 'trailing2y downside capture return' // SWAGGER
 assert (select downside_capture_ret.round(4) as downside_capture_ret 
-        from capture_r where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).downside_capture_ret == [-0.022388,-0.023754,-0.004776,-0.004776].round(4);
-@testing: case = 'trailing2y downside capture ratio' // [FAIL]
+        from capture_r where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).downside_capture_ret == [-0.062405, -0.060766, -0.012114].round(4);
+@testing: case = 'trailing2y downside capture ratio' // SWAGGER
 assert (select downside_capture_ratio.round(4) as downside_capture_ratio 
-        from capture_r where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).downside_capture_ratio == [1.341475,1.391050,1.014519,1.014519].round(4);
+        from capture_r where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).downside_capture_ratio == [3.137552,3.471522,0.609053].round(4);
 
 // ytd capture indicators
 capture_r = cal_capture_ratio(tb_ret, primary_benchmark, bmk_ret, 'ytd');
-@testing: case = 'ytd upside capture return'
+@testing: case = 'ytd upside capture return' // [FAIL] because Java doesn't calculate ytd for first 5 months
 assert (select upside_capture_ret.round(4) as upside_capture_ret
-        from capture_r where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).upside_capture_ret == [0.027001,0.027001,0.003630,0.001464].round(4);
-@testing: case = 'ytd upside capture ratio'
+        from capture_r where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).upside_capture_ret == [NULL, 0.033020 ,NULL].round(4);
+@testing: case = 'ytd upside capture ratio' // [FAIL] because Java doesn't calculate ytd for first 5 months
 assert (select upside_capture_ratio.round(4) as upside_capture_ratio
-        from capture_r where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).upside_capture_ratio == [1.622489,1.622489,0.501649,0.224863].round(4);
-@testing: case = 'ytd downside capture return' // [FAIL] we don't have null values
+        from capture_r where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).upside_capture_ratio == [NULL, 1.984191, NULL].round(4);
+@testing: case = 'ytd downside capture return' // [FAIL] because Java doesn't calculate ytd for first 5 months
 assert (select downside_capture_ret.round(4) as downside_capture_ret 
-        from capture_r where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).downside_capture_ret == [-0.043629,-0.041610,null,null].round(4);
-@testing: case = 'ytd downside capture ratio' // [FAIL] we don't have null values
+        from capture_r where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).downside_capture_ret == [NULL, -0.118846, NULL].round(4);
+@testing: case = 'ytd downside capture ratio' // [FAIL] because Java doesn't calculate ytd for first 5 months
 assert (select downside_capture_ratio.round(4) as downside_capture_ratio 
-        from capture_r where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).downside_capture_ratio == [3.491326,3.412813,null,null].round(4);
+        from capture_r where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).downside_capture_ratio == [NULL, 8.745656, NULL].round(4);
 
 // incep capture indicators
 capture_r = cal_capture_ratio(tb_ret, primary_benchmark, bmk_ret, 'incep');
-@testing: case = 'incep upside capture return'
-assert (select upside_capture_ret.round(3) as upside_capture_ret
-        from capture_r where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).upside_capture_ret == [0.039939,0.039939,0.003983,0.003744].round(3);
-@testing: case = 'incep upside capture ratio'  // [FAIL] slightly off
-assert (select upside_capture_ratio.round(3) as upside_capture_ratio
-        from capture_r where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).upside_capture_ratio == [1.411524,1.411524,0.644453,0.612097].round(3);
-@testing: case = 'incep downside capture return'
-assert (select downside_capture_ret.round(2) as downside_capture_ret 
-        from capture_r where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).downside_capture_ret == [-0.044225,-0.044131,-0.002280,-0.002280].round(2);
-@testing: case = 'incep downside capture ratio'  // [FAIL] slightly off
+@testing: case = 'incep upside capture return' // SWAGGER
+assert (select upside_capture_ret.round(4) as upside_capture_ret
+        from capture_r where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).upside_capture_ret == [0.040915,0.037614,0.008132].round(4);
+@testing: case = 'incep upside capture ratio'  // SWAGGER
+assert (select upside_capture_ratio.round(4) as upside_capture_ratio
+        from capture_r where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).upside_capture_ratio == [2.009389,1.964035,0.434803].round(4);
+@testing: case = 'incep downside capture return'  // SWAGGER
+assert (select downside_capture_ret.round(4) as downside_capture_ret 
+        from capture_r where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).downside_capture_ret == [-0.04274,-0.044638,-0.00723].round(4);
+@testing: case = 'incep downside capture ratio'  // SWAGGER
 assert (select downside_capture_ratio.round(4) as downside_capture_ratio
-        from capture_r where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).downside_capture_ratio == [1.490631,1.497454,0.498609,0.498609].round(4);
+        from capture_r where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).downside_capture_ratio == [2.172258,2.405102,0.383957].round(4);
 
 
 // 2y sharpe
 rtn = cal_basic_performance(entity_info, tb_ret, '24');
 sharpe = cal_sharpe(tb_ret, rtn, risk_free_rate, '24');
-@testing: case = 'trailing2y sharpe' // [FAIL]
+@testing: case = 'trailing2y sharpe' // SWAGGER
 assert (select (sharpe *sqrt(12)).round(4) as sharpe_a
-        from sharpe where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).sharpe_a == [ -0.553607, -1.380549, -0.046602].round(4);
+        from sharpe where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).sharpe_a == [ -0.801451, -1.380549, -0.239731].round(4);
 
 // ytd sharpe
 rtn = cal_basic_performance(entity_info, tb_ret, 'ytd');
 sharpe = cal_sharpe(tb_ret, rtn, risk_free_rate, 'ytd');
-@testing: case = 'ytd sharpe' 
+@testing: case = 'ytd sharpe' // SWAGGER
 assert (select (sharpe *sqrt(12)).round(3) as sharpe_a
         from sharpe where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).sharpe_a == [ NULL,-1.159093,NULL].round(3);
 
 // incep sharpe
 rtn = cal_basic_performance(entity_info, tb_ret, 'incep');
 sharpe = cal_sharpe(tb_ret, rtn, risk_free_rate, 'incep');
-@testing: case = 'incep sharpe'  // [FAIL] 
+@testing: case = 'incep sharpe' // SWAGGER
 assert (select (sharpe *sqrt(12)).round(4) as sharpe_a
-        from sharpe where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).sharpe_a == [0.332846, 0.043442, 0.121411].round(4);
+        from sharpe where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).sharpe_a == [0.175911, 0.043442, 0.010115].round(4);
 
 // 2y treynor
 alpha_beta = cal_alpha_beta(tb_ret, primary_benchmark, bmk_ret, risk_free_rate, '24');
 treynor = cal_treynor(tb_ret, risk_free_rate, alpha_beta, '24');
-@testing: case = 'trailing2y treynor' 
+@testing: case = 'trailing2y treynor' // SWAGGER
 assert (select treynor.round(2) as treynor
-        from treynor where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).treynor == [-0.353583,-0.359078,-0.034126,-0.114400].round(2);
+        from treynor where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).treynor == [-0.122531,-0.169323,-0.048736].round(2);
 
 // ytd treynor
 alpha_beta = cal_alpha_beta(tb_ret, primary_benchmark, bmk_ret, risk_free_rate, 'ytd');
 treynor = cal_treynor(tb_ret, risk_free_rate, alpha_beta, 'ytd');
 @testing: case = 'ytd treynor'   // [FAIL]
 assert (select treynor.round(4) as treynor
-        from treynor where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).treynor == [-0.024472,-0.043101,-0.016843,-0.005406].round(4);
+        from treynor where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).treynor == [NULL,-0.09536,NULL].round(4);
 
 // incep treynor
 alpha_beta = cal_alpha_beta(tb_ret, primary_benchmark, bmk_ret, risk_free_rate, 'incep');
 treynor = cal_treynor(tb_ret, risk_free_rate, alpha_beta, 'incep');
-@testing: case = 'incep treynor' // [FAIL] slightly off
-assert (select treynor.round(4) as treynor
-        from treynor where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).treynor == [0.035549,0.034146,0.026646,0.022403].round(4);
+@testing: case = 'incep treynor' // SWAGGER
+assert (select treynor.round(3) as treynor
+        from treynor where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).treynor == [0.000023,-0.020028,-0.005189].round(3);
 
 // 2y jensen
 alpha_beta = cal_alpha_beta(tb_ret, primary_benchmark, bmk_ret, risk_free_rate, '24');
 jensen = cal_jensen(tb_ret, bmk_ret, risk_free_rate, alpha_beta, '24');
-@testing: case = 'trailing2y treynor' 
-assert (select (jensen*12).round(2) as jensen_a
-        from jensen where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).jensen_a == [-0.156508,-0.163600,-0.001910,-0.012240].round(2);
+@testing: case = 'trailing2y treynor' // SWAGGER
+assert (select (jensen*12).round(4) as jensen_a
+        from jensen where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).jensen_a == [-0.203378,-0.305063,-0.009113].round(4);
 
 // ytd jensen
 alpha_beta = cal_alpha_beta(tb_ret, primary_benchmark, bmk_ret, risk_free_rate, 'ytd');
 jensen = cal_jensen(tb_ret, bmk_ret, risk_free_rate, alpha_beta, 'ytd');
-@testing: case = 'ytd treynor'  // [FAIL] slightly off if annulize it
-assert (select jensen.round(4) as jensen_a
-        from jensen where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).jensen_a == [-0.127035,-0.119907,0.158975 ,0.041382].round(4);
+@testing: case = 'ytd treynor'  // SWAGGER
+assert (select (jensen*12).round(4) as jensen_a
+        from jensen where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).jensen_a == [NULL,-0.506273,NULL].round(4);
 
 // incep jensen
 alpha_beta = cal_alpha_beta(tb_ret, primary_benchmark, bmk_ret, risk_free_rate, 'incep');
 jensen = cal_jensen(tb_ret, bmk_ret, risk_free_rate, alpha_beta, 'incep');
-@testing: case = 'incep treynor' // [FAIL] slightly off
+@testing: case = 'incep treynor' // SWAGGER
 assert (select (jensen*12).round(4) as jensen_a
-        from jensen where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).jensen_a == [ 0.006436 , 0.005535 , -0.000363, -0.002461].round(4);
+        from jensen where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).jensen_a == [0.047106, 0.014283 ,-0.002047].round(4);
 
 // 2y m2
 m2 = cal_m2(tb_ret, primary_benchmark, bmk_ret, risk_free_rate, '24');
-@testing: case = 'trailing2y m2' // [FAIL] slightly off
+@testing: case = 'trailing2y m2' // SWAGGER
 assert (select (m2*12).round(4) as m2_a
-        from m2 where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).m2_a == [-0.072046, -0.076473, 0.016349 , 0.012278].round(4);
+        from m2 where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).m2_a == [-0.055401, -0.093355 , -0.004574].round(4);
 
 // ytd m2
 m2 = cal_m2(tb_ret, primary_benchmark, bmk_ret, risk_free_rate, 'ytd');
-@testing: case = 'ytd m2' // [FAIL] slightly off
+@testing: case = 'ytd m2' // SWAGGER
 assert (select (m2*12).round(4) as m2_a
-        from m2 where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).m2_a == [0.002002, -0.015889,  0.021197,  0.015593].round(4);
+        from m2 where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).m2_a == [NULL,-0.07832, NULL].round(4);
 
 // incep m2
 m2 = cal_m2(tb_ret, primary_benchmark, bmk_ret, risk_free_rate, 'incep');
-@testing: case = 'incep m2' // [FAIL] slightly off
+@testing: case = 'incep m2' // SWAGGER
 assert (select (m2*12).round(4) as m2_a
-        from m2 where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).m2_a == [0.064601,0.063365,0.026901,0.025155].round(4);
+        from m2 where entity_id in entity_ids and end_date in (2024.03M, 2024.08M)).m2_a == [0.032060,0.020154,0.017319].round(4);
 
 
 /* Tests for BFI indicators. CURRENTLY IT IS UN-TESTABLE BECAUSE LOGIC OF BENCHMARK COMPARING IS CHANGED */
 
-
-/* codes from cal_fund_bfi_indicators  */
-    start_month = 1990.01M;
-
-    // 取基金和基准的对照表
-    bfi_benchmark = SELECT fund_id AS entity_id, end_date.temporalParse('yyyy-MM') AS end_date, factor_id AS benchmark_id 
-                           FROM get_fund_bfi_factors(fund_ids, start_month.temporalFormat('yyyy-MM'), end_day.temporalFormat('yyyy-MM'));
-
-    bfi_bmk_ret = get_benchmark_return(bfi_benchmark, end_day);
-
-