test case file

codes/Test_indicatorCalculator.dos

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+login(`admin, `123456)
+loadPlugin("ODBC")
+
+clearCachedModules()
+use fundit::fundCalculator
+use fundit::dataPuller
+use fundit::returnCalculator
+use fundit::indicatorCalculator
+
+/* init values for test cases  */
+end_day = 2024.06.28;
+fund_ids = "'HF000004KN','HF000103EU','HF00018WXG'";
+entity_type = 'HF';
+isFromNav = true;
+
+/* codes from cal_fund_indicators */
+    very_old_date = 1990.01.01;
+
+    fund_info = get_fund_info(fund_ids);
+    fund_info.rename!('fund_id', 'entity_id');
+
+    if(isFromNav == true) {
+        // 从净值开始计算收益
+        tb_ret = SELECT * FROM cal_fund_monthly_returns(entity_type, fund_ids, true) WHERE price_date <= end_day;
+        tb_ret.rename!(['fund_id', 'cumulative_nav'], ['entity_id', 'nav']);
+    } else {
+        // 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']);
+    }
+
+    // 取基金和基准的对照表
+    primary_benchmark = SELECT entity_id, iif(benchmark_id.isNull(), 'IN00000008', benchmark_id) AS benchmark_id FROM fund_info;
+
+    // 取所有出现的基准月收益
+    bmk_ret = get_benchmark_return(primary_benchmark, end_day);
+
+    risk_free_rate = SELECT fund_id, temporalParse(end_date, 'yyyy-MM') AS end_date, ret FROM get_risk_free_rate(very_old_date, end_day);
+
+
+/* Tests for standard indicators */
+
+rtn = cal_basic_performance(tb_ret, 'm');
+
+lpm = cal_LPM(tb_ret, risk_free_rate);
+
+lpms = cal_omega_sortino_kappa(tb_ret, risk_free_rate);
+
+alpha_beta = cal_alpha_beta(tb_ret, primary_benchmark, bmk_ret, risk_free_rate);
+
+bmk_tracking = cal_benchmark_tracking(tb_ret, primary_benchmark, bmk_ret);
+
+capture_r = cal_capture_ratio(tb_ret, primary_benchmark, bmk_ret)
+
+sharpe = cal_sharpe(tb_ret, rtn, risk_free_rate);
+
+treynor = cal_treynor(tb_ret, risk_free_rate, alpha_beta);
+
+jensen = cal_jensen(tb_ret, bmk_ret, risk_free_rate, alpha_beta);
+
+m2 = cal_m2(tb_ret, primary_benchmark, bmk_ret, risk_free_rate);
+
+ms = cal_ms_return(tb_ret, risk_free_rate);
+
+/* 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);
+
+/* Tests for BFI indicators */
+
+t_bfi_bmk = SELECT * FROM bfi_benchmark WHERE entity_id = 'HF000004KN' and end_date = 2024.06M
+
+     t0 = SELECT t.entity_id, t.end_date, t.price_date,
+                 t.ret, bmk.ret AS ret_bmk, cumcount(t.entity_id) AS cnt, (t.ret - bmk.ret) AS exc_ret, bm.benchmark_id
+          FROM tb_ret t
+          INNER JOIN t_bfi_bmk bm ON t.entity_id = bm.entity_id 
+          INNER JOIN bfi_bmk_ret bmk ON t.end_date = bmk.end_date AND bm.benchmark_id = bmk.benchmark_id
+          WHERE t.ret > -1
+            AND bmk.ret > -1
+          CONTEXT BY t.entity_id, bm.benchmark_id;
+
+     t = SELECT entity_id, end_date.cummax() AS end_date, price_date.cummax() AS price_date, price_date.cummin() AS min_date, benchmark_id,
+                cumcount(iif(exc_ret >= 0, 1, null)) \ cnt AS winrate,
+                exc_ret.cumstd() AS track_error, 
+                iif(exc_ret.cumstd() == 0, null, exc_ret.cumavg() / exc_ret.cumstd()) AS info
+         FROM t0 CONTEXT BY entity_id, benchmark_id
+         ORDER BY entity_id, end_date, benchmark_id;
+select * from bfi_benchmark where benchmark_id = 'FA00000VMP' order by end_date desc
+
+          
+bfi_bmk_tracking = cal_benchmark_tracking(tb_ret, bfi_benchmark, bfi_bmk_ret);
+
+bfi_alpha_beta = cal_alpha_beta(tb_ret, bfi_benchmark, bfi_bmk_ret, risk_free_rate);
+
+bfi_indicators = cal_indicators_with_benchmark(tb_ret, bfi_benchmark, bfi_bmk_ret, risk_free_rate);
+
+SELECT * FROM bfi_indicators ORDER BY entity_id, end_date desc, benchmark_id