gourav
/
PyFacts
1
0
Fork 0
Code Issues Pull Requests Projects Releases Wiki Activity
Browse Source

renamed module to PyFacts

find_closest_changes
Gourav Kumar 2 years ago
parent
c605f71f10
commit
0bf1deac48
12 changed files with 44 additions and 44 deletions
Whitespace
Show all changes Ignore whitespace when comparing lines Ignore changes in amount of whitespace Ignore changes in whitespace at EOL
Split View
Diff Options
Show Stats Download Patch File Download Diff File
  1. 2
      pyfacts/__init__.py
  2. 0
      pyfacts/__main__.py
  3. 8
      pyfacts/core.py
  4. 0
      pyfacts/exceptions.py
  5. 4
      pyfacts/pyfacts.py
  6. 4
      pyfacts/statistics.py
  7. 4
      pyfacts/utils.py
  8. 4
      setup.py
  9. 8
      tests/conftest.py
  10. 10
      tests/test_core.py
  11. 20
      tests/test_fincal.py
  12. 24
      tests/test_stats.py

2
fincal/__init__.py → pyfacts/__init__.py
View File

@ -1,4 +1,4 @@
from .core import *
from .fincal import *
from .pyfacts import *
from .statistics import *
from .utils import *

0
fincal/__main__.py → pyfacts/__main__.py
View File

8
fincal/core.py → pyfacts/core.py
View File

@ -20,7 +20,7 @@ from typing import (
from dateutil.relativedelta import relativedelta
from .utils import FincalOptions, _parse_date, _preprocess_timeseries
from .utils import PyfactsOptions, _parse_date, _preprocess_timeseries
@dataclass(frozen=True)
@ -908,7 +908,7 @@ class TimeSeriesCore:
"""
if closest is None:
closest = FincalOptions.get_closest
closest = PyfactsOptions.get_closest
time_delta_dict = {"exact": 0, "previous": -1, "next": 1}
@ -983,7 +983,7 @@ class TimeSeriesCore:
return self.data
if string_date_format == "default":
string_date_format = FincalOptions.date_format
string_date_format = PyfactsOptions.date_format
data = {datetime.datetime.strftime(dt, string_date_format): val for dt, val in self.data.items()}
return data
@ -1006,7 +1006,7 @@ class TimeSeriesCore:
return list(self.data.items())
if string_date_format == "default":
string_date_format = FincalOptions.date_format
string_date_format = PyfactsOptions.date_format
data = [(datetime.datetime.strftime(dt, string_date_format), val) for dt, val in self.data.items()]
return data

0
fincal/exceptions.py → pyfacts/exceptions.py
View File

4
fincal/fincal.py → pyfacts/pyfacts.py
View File

@ -11,7 +11,7 @@ from dateutil.relativedelta import relativedelta
from .core import AllFrequencies, Frequency, Series, TimeSeriesCore, date_parser
from .utils import (
FincalOptions,
PyfactsOptions,
_find_closest_date,
_interval_to_years,
_is_eomonth,
@ -540,7 +540,7 @@ class TimeSeries(TimeSeriesCore):
sd = statistics.stdev(rolling_returns.values)
if annualize_volatility:
if traded_days is None:
traded_days = FincalOptions.traded_days
traded_days = PyfactsOptions.traded_days
if return_period_unit == "months":
sd *= math.sqrt(12 / return_period_value)

4
fincal/statistics.py → pyfacts/statistics.py
View File

@ -2,9 +2,9 @@ import datetime
import statistics
from typing import Literal
from fincal.core import date_parser
from pyfacts.core import date_parser
from .fincal import TimeSeries
from .pyfacts import TimeSeries
from .utils import _interval_to_years

4
fincal/utils.py → pyfacts/utils.py
View File

@ -8,7 +8,7 @@ from .exceptions import DateNotFoundError, DateOutOfRangeError
@dataclass
class FincalOptions:
class PyfactsOptions:
date_format: str = "%Y-%m-%d"
closest: str = "previous" # next
traded_days: int = 365
@ -42,7 +42,7 @@ def _parse_date(date: str, date_format: str = None) -> datetime.datetime:
return datetime.datetime.fromordinal(date.toordinal())
if date_format is None:
date_format = FincalOptions.date_format
date_format = PyfactsOptions.date_format
try:
date = datetime.datetime.strptime(date, date_format)

4
setup.py
View File

@ -3,8 +3,8 @@ from setuptools import find_packages, setup
license = open("LICENSE").read().strip()
setup(
name="Fincal",
version='0.0.1',
name="PyFacts",
version="0.0.1",
license=license,
author="Gourav Kumar",
author_email="gouravkr@outlook.in",

8
tests/conftest.py
View File

@ -3,7 +3,7 @@ import math
import random
from typing import List
import fincal as fc
import pyfacts as pft
import pytest
from dateutil.relativedelta import relativedelta
@ -55,7 +55,7 @@ def create_prices(s0: float, mu: float, sigma: float, num_prices: int) -> list:
def sample_data_generator(
frequency: fc.Frequency,
frequency: pft.Frequency,
start_date: datetime.date = datetime.date(2017, 1, 1),
num: int = 1000,
skip_weekends: bool = False,
@ -90,11 +90,11 @@ def sample_data_generator(
timedelta_dict = {
frequency.freq_type: int(
frequency.value * num * (7 / 5 if frequency == fc.AllFrequencies.D and skip_weekends else 1)
frequency.value * num * (7 / 5 if frequency == pft.AllFrequencies.D and skip_weekends else 1)
)
}
end_date = start_date + relativedelta(**timedelta_dict)
dates = fc.create_date_series(start_date, end_date, frequency.symbol, skip_weekends=skip_weekends, eomonth=eomonth)
dates = pft.create_date_series(start_date, end_date, frequency.symbol, skip_weekends=skip_weekends, eomonth=eomonth)
values = create_prices(1000, mu, sigma, num)
ts = list(zip(dates, values))
return ts

10
tests/test_core.py
View File

@ -3,9 +3,9 @@ import random
from typing import Literal, Mapping, Sequence
import pytest
from fincal.core import AllFrequencies, Frequency, Series, TimeSeriesCore
from fincal.fincal import create_date_series
from fincal.utils import FincalOptions
from pyfacts.core import AllFrequencies, Frequency, Series, TimeSeriesCore
from pyfacts.pyfacts import create_date_series
from pyfacts.utils import PyfactsOptions
class TestFrequency:
@ -141,9 +141,9 @@ class TestSlicing:
assert ts.get("2021-02-23", -1) == -1
assert ts.get("2021-02-10", closest="previous")[1] == 230
assert ts.get("2021-02-10", closest="next")[1] == 240
FincalOptions.get_closest = "previous"
PyfactsOptions.get_closest = "previous"
assert ts.get("2021-02-10")[1] == 230
FincalOptions.get_closest = "next"
PyfactsOptions.get_closest = "next"
assert ts.get("2021-02-10")[1] == 240
def test_contains(self):

20
tests/test_fincal.py
View File

@ -1,14 +1,14 @@
import datetime
import pytest
from fincal import (
from pyfacts import (
AllFrequencies,
FincalOptions,
PyfactsOptions,
Frequency,
TimeSeries,
create_date_series,
)
from fincal.exceptions import DateNotFoundError
from pyfacts.exceptions import DateNotFoundError
class TestDateSeries:
@ -120,7 +120,7 @@ class TestTimeSeriesCreation:
class TestTimeSeriesBasics:
def test_fill(self, create_test_data):
FincalOptions.get_closest = "exact"
PyfactsOptions.get_closest = "exact"
ts_data = create_test_data(frequency=AllFrequencies.D, num=50, skip_weekends=True)
ts = TimeSeries(ts_data, frequency="D")
ffill_data = ts.ffill()
@ -253,7 +253,7 @@ class TestReturns:
def test_date_formats(self, create_test_data):
ts_data = create_test_data(AllFrequencies.D, skip_weekends=True)
ts = TimeSeries(ts_data, "D")
FincalOptions.date_format = "%d-%m-%Y"
PyfactsOptions.date_format = "%d-%m-%Y"
with pytest.raises(ValueError):
ts.calculate_returns(
"2020-04-10", annual_compounded_returns=True, return_period_unit="days", return_period_value=90
@ -265,7 +265,7 @@ class TestReturns:
returns2 = ts.calculate_returns("01-04-2020", return_period_unit="days", return_period_value=90)
assert round(returns1[1], 6) == round(returns2[1], 6) == 0.073632
FincalOptions.date_format = "%m-%d-%Y"
PyfactsOptions.date_format = "%m-%d-%Y"
with pytest.raises(ValueError):
ts.calculate_returns(
"2020-04-01", annual_compounded_returns=True, return_period_unit="days", return_period_value=90
@ -278,7 +278,7 @@ class TestReturns:
assert round(returns1[1], 6) == round(returns2[1], 6) == 0.073632
def test_limits(self, create_test_data):
FincalOptions.date_format = "%Y-%m-%d"
PyfactsOptions.date_format = "%Y-%m-%d"
ts_data = create_test_data(AllFrequencies.D)
ts = TimeSeries(ts_data, "D")
with pytest.raises(DateNotFoundError):
@ -468,7 +468,7 @@ class TestReturnsAgain:
def test_date_formats(self):
ts = TimeSeries(self.data, frequency="M")
FincalOptions.date_format = "%d-%m-%Y"
PyfactsOptions.date_format = "%d-%m-%Y"
with pytest.raises(ValueError):
ts.calculate_returns(
"2020-04-10", annual_compounded_returns=True, return_period_unit="days", return_period_value=90
@ -480,7 +480,7 @@ class TestReturnsAgain:
returns2 = ts.calculate_returns("10-04-2020", return_period_unit="days", return_period_value=90)
assert round(returns1[1], 4) == round(returns2[1], 4) == 5.727
FincalOptions.date_format = "%m-%d-%Y"
PyfactsOptions.date_format = "%m-%d-%Y"
with pytest.raises(ValueError):
ts.calculate_returns(
"2020-04-10", annual_compounded_returns=True, return_period_unit="days", return_period_value=90
@ -494,7 +494,7 @@ class TestReturnsAgain:
def test_limits(self):
ts = TimeSeries(self.data, frequency="M")
FincalOptions.date_format = "%Y-%m-%d"
PyfactsOptions.date_format = "%Y-%m-%d"
with pytest.raises(DateNotFoundError):
ts.calculate_returns("2020-04-25", return_period_unit="days", return_period_value=90, closest_max_days=10)

24
tests/test_stats.py
View File

@ -1,4 +1,4 @@
import fincal as fc
import pyfacts as pft
def test_conf(conf_fun):
@ -8,9 +8,9 @@ def test_conf(conf_fun):
class TestSharpe:
def test_sharpe_daily_freq(self, create_test_data):
data = create_test_data(num=1305, frequency=fc.AllFrequencies.D, skip_weekends=True)
ts = fc.TimeSeries(data, "D")
sharpe_ratio = fc.sharpe_ratio(
data = create_test_data(num=1305, frequency=pft.AllFrequencies.D, skip_weekends=True)
ts = pft.TimeSeries(data, "D")
sharpe_ratio = pft.sharpe_ratio(
ts,
risk_free_rate=0.06,
from_date="2017-02-04",
@ -20,7 +20,7 @@ class TestSharpe:
)
assert round(sharpe_ratio, 4) == 1.0502
sharpe_ratio = fc.sharpe_ratio(
sharpe_ratio = pft.sharpe_ratio(
ts,
risk_free_rate=0.06,
from_date="2017-01-09",
@ -30,7 +30,7 @@ class TestSharpe:
)
assert round(sharpe_ratio, 4) == 1.0701
sharpe_ratio = fc.sharpe_ratio(
sharpe_ratio = pft.sharpe_ratio(
ts,
risk_free_rate=0.06,
from_date="2018-01-02",
@ -40,7 +40,7 @@ class TestSharpe:
)
assert round(sharpe_ratio, 4) == 1.4374
sharpe_ratio = fc.sharpe_ratio(
sharpe_ratio = pft.sharpe_ratio(
ts,
risk_free_rate=0.06,
from_date="2017-07-03",
@ -51,9 +51,9 @@ class TestSharpe:
assert round(sharpe_ratio, 4) == 0.8401
def test_sharpe_weekly_freq(self, create_test_data):
data = create_test_data(num=261, frequency=fc.AllFrequencies.W, mu=0.6, sigma=0.7)
ts = fc.TimeSeries(data, "W")
sharpe_ratio = fc.sharpe_ratio(
data = create_test_data(num=261, frequency=pft.AllFrequencies.W, mu=0.6, sigma=0.7)
ts = pft.TimeSeries(data, "W")
sharpe_ratio = pft.sharpe_ratio(
ts,
risk_free_rate=0.052,
from_date="2017-01-08",
@ -63,7 +63,7 @@ class TestSharpe:
)
assert round(sharpe_ratio, 4) == 0.4533
sharpe_ratio = fc.sharpe_ratio(
sharpe_ratio = pft.sharpe_ratio(
ts,
risk_free_rate=0.052,
from_date="2017-02-05",
@ -73,7 +73,7 @@ class TestSharpe:
)
assert round(sharpe_ratio, 4) == 0.4898
sharpe_ratio = fc.sharpe_ratio(
sharpe_ratio = pft.sharpe_ratio(
ts,
risk_free_rate=0.052,
from_date="2018-01-01",

Write Preview
Loading…
Cancel
Save