migrated tests from fincal to fincal2
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@ -112,6 +112,10 @@ class TestTimeSeriesCore:
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assert isinstance(ts, TimeSeriesCore)
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assert isinstance(ts, Mapping)
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class TestSlicing:
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data = [("2021-01-01", 220), ("2021-02-01", 230), ("2021-03-01", 240)]
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def test_getitem(self):
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ts = TimeSeriesCore(self.data, frequency="M")
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assert ts.dates[0] == datetime.datetime(2021, 1, 1, 0, 0)
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@ -165,6 +169,15 @@ class TestTimeSeriesCore:
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assert dates[0] == datetime.datetime(2021, 1, 1, 0, 0)
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assert values[0] == 220
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def test_iloc_slicing(self):
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ts = TimeSeriesCore(self.data, frequency="M")
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assert ts.iloc[0] == (datetime.datetime(2021, 1, 1), 220)
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assert ts.iloc[-1] == (datetime.datetime(2021, 3, 1), 240)
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ts_slice = ts.iloc[0:2]
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assert isinstance(ts_slice, TimeSeriesCore)
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assert len(ts_slice) == 2
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class TestTimeSeriesCoreHeadTail:
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data = [
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@ -1,310 +0,0 @@
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import datetime
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import os
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import random
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from typing import Literal, Sequence
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import pytest
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from fincal.core import Frequency, Series
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from fincal.exceptions import DateNotFoundError
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from fincal.fincal import TimeSeries, create_date_series
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from fincal.utils import FincalOptions
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THIS_DIR = os.path.dirname(os.path.abspath(__file__))
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sample_data_path = os.path.join(THIS_DIR, "data")
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def create_random_test_data(
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frequency: str,
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eomonth: bool,
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n: int,
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gaps: float,
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month_position: Literal["start", "middle", "end"],
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date_as_str: bool,
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as_outer_type: Literal["dict", "list"] = "list",
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as_inner_type: Literal["dict", "list", "tuple"] = "tuple",
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) -> Sequence[tuple]:
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start_dates = {
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"start": datetime.datetime(2016, 1, 1),
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"middle": datetime.datetime(2016, 1, 15),
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"end": datetime.datetime(2016, 1, 31),
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}
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end_date = datetime.datetime(2021, 12, 31)
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dates = create_date_series(start_dates[month_position], end_date, frequency=frequency, eomonth=eomonth)
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dates = dates[:n]
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if gaps:
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num_gaps = int(len(dates) * gaps)
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to_remove = random.sample(dates, num_gaps)
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for i in to_remove:
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dates.remove(i)
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if date_as_str:
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dates = [i.strftime("%Y-%m-%d") for i in dates]
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values = [random.randint(8000, 90000) / 100 for _ in dates]
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data = list(zip(dates, values))
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if as_outer_type == "list":
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if as_inner_type == "list":
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data = [list(i) for i in data]
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elif as_inner_type == "dict[1]":
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data = [dict((i,)) for i in data]
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elif as_inner_type == "dict[2]":
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data = [dict(date=i, value=j) for i, j in data]
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elif as_outer_type == "dict":
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data = dict(data)
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return data
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def create_organised_test_data() -> dict:
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"""Creates organised test data so that output is exactly same in each run"""
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all_dates, all_values = [], []
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prev_date, prev_number = datetime.datetime(2018, 1, 1), 1000
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for i in range(1, 1000):
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if i % 5 == 0:
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prev_date += datetime.timedelta(days=3)
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else:
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prev_date += datetime.timedelta(days=1)
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all_dates.append(prev_date)
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for i in range(1, 1000):
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rem = i % 7
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if rem % 2:
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prev_number -= rem
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else:
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prev_number += rem
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all_values.append(prev_number)
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return dict(zip(all_dates, all_values))
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class TestDateSeries:
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def test_daily(self):
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start_date = datetime.datetime(2020, 1, 1)
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end_date = datetime.datetime(2020, 12, 31)
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d = create_date_series(start_date, end_date, frequency="D")
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assert len(d) == 366
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start_date = datetime.datetime(2017, 1, 1)
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end_date = datetime.datetime(2017, 12, 31)
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d = create_date_series(start_date, end_date, frequency="D")
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assert len(d) == 365
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with pytest.raises(ValueError):
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create_date_series(start_date, end_date, frequency="D", eomonth=True)
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def test_monthly(self):
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start_date = datetime.datetime(2020, 1, 1)
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end_date = datetime.datetime(2020, 12, 31)
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d = create_date_series(start_date, end_date, frequency="M")
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assert len(d) == 12
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d = create_date_series(start_date, end_date, frequency="M", eomonth=True)
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assert datetime.datetime(2020, 2, 29) in d
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start_date = datetime.datetime(2020, 1, 31)
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d = create_date_series(start_date, end_date, frequency="M")
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assert datetime.datetime(2020, 2, 29) in d
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assert datetime.datetime(2020, 8, 31) in d
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assert datetime.datetime(2020, 10, 30) not in d
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start_date = datetime.datetime(2020, 2, 29)
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d = create_date_series(start_date, end_date, frequency="M")
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assert len(d) == 11
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assert datetime.datetime(2020, 2, 29) in d
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assert datetime.datetime(2020, 8, 31) not in d
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assert datetime.datetime(2020, 10, 29) in d
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def test_quarterly(self):
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start_date = datetime.datetime(2018, 1, 1)
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end_date = datetime.datetime(2020, 12, 31)
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d = create_date_series(start_date, end_date, frequency="Q")
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assert len(d) == 12
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d = create_date_series(start_date, end_date, frequency="Q", eomonth=True)
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assert datetime.datetime(2020, 4, 30) in d
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start_date = datetime.datetime(2020, 1, 31)
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d = create_date_series(start_date, end_date, frequency="Q")
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assert len(d) == 4
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assert datetime.datetime(2020, 2, 29) not in d
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assert max(d) == datetime.datetime(2020, 10, 31)
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start_date = datetime.datetime(2020, 2, 29)
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d = create_date_series(start_date, end_date, frequency="Q")
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assert datetime.datetime(2020, 2, 29) in d
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assert datetime.datetime(2020, 8, 31) not in d
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assert datetime.datetime(2020, 11, 29) in d
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d = create_date_series(start_date, end_date, frequency="Q", eomonth=True)
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assert datetime.datetime(2020, 11, 30) in d
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class TestFincalBasic:
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def test_creation(self):
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data = create_random_test_data(
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frequency="D", eomonth=False, n=50, gaps=0, month_position="start", date_as_str=True
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)
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time_series = TimeSeries(data, frequency="D")
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assert len(time_series) == 50
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assert isinstance(time_series.frequency, Frequency)
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assert time_series.frequency.days == 1
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ffill_data = time_series.ffill()
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assert len(ffill_data) == 50
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data = create_random_test_data(
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frequency="D", eomonth=False, n=500, gaps=0.1, month_position="start", date_as_str=True
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)
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time_series = TimeSeries(data, frequency="D")
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assert len(time_series) == 450
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def test_fill(self):
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data = create_random_test_data(
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frequency="D", eomonth=False, n=500, gaps=0.1, month_position="start", date_as_str=True
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)
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time_series = TimeSeries(data, frequency="D")
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ffill_data = time_series.ffill()
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assert len(ffill_data) >= 498
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ffill_data = time_series.ffill(inplace=True)
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assert ffill_data is None
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assert len(time_series) >= 498
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data = create_random_test_data(
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frequency="D", eomonth=False, n=500, gaps=0.1, month_position="start", date_as_str=True
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)
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time_series = TimeSeries(data, frequency="D")
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bfill_data = time_series.bfill()
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assert len(bfill_data) >= 498
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bfill_data = time_series.bfill(inplace=True)
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assert bfill_data is None
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assert len(time_series) >= 498
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data = [("2021-01-01", 220), ("2021-01-02", 230), ("2021-03-04", 240)]
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ts = TimeSeries(data, frequency="D")
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ff = ts.ffill()
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assert ff["2021-01-03"][1] == 230
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bf = ts.bfill()
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assert bf["2021-01-03"][1] == 240
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def test_iloc_slicing(self):
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data = create_random_test_data(
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frequency="D", eomonth=False, n=50, gaps=0, month_position="start", date_as_str=True
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)
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time_series = TimeSeries(data, frequency="D")
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assert time_series.iloc[0] is not None
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assert time_series.iloc[:3] is not None
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assert time_series.iloc[5:7] is not None
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assert isinstance(time_series.iloc[0], tuple)
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assert isinstance(time_series.iloc[10:20], TimeSeries)
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assert len(time_series.iloc[10:20]) == 10
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def test_key_slicing(self):
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data = create_random_test_data(
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frequency="D", eomonth=False, n=50, gaps=0, month_position="start", date_as_str=True
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)
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time_series = TimeSeries(data, frequency="D")
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available_date = time_series.iloc[5][0]
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assert time_series[available_date] is not None
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assert isinstance(time_series["dates"], Series)
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assert isinstance(time_series["values"], Series)
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assert len(time_series.dates) == 50
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assert len(time_series.values) == 50
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class TestReturns:
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data = [
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("2020-01-01", 10),
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("2020-02-01", 12),
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("2020-03-01", 14),
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("2020-04-01", 16),
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("2020-05-01", 18),
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("2020-06-01", 20),
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("2020-07-01", 22),
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("2020-08-01", 24),
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("2020-09-01", 26),
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("2020-10-01", 28),
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("2020-11-01", 30),
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("2020-12-01", 32),
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("2021-01-01", 34),
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]
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def test_returns_calc(self):
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ts = TimeSeries(self.data, frequency="M")
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returns = ts.calculate_returns(
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"2021-01-01", annual_compounded_returns=False, return_period_unit="years", return_period_value=1
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)
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assert returns[1] == 2.4
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returns = ts.calculate_returns(
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"2020-04-01", annual_compounded_returns=False, return_period_unit="months", return_period_value=3
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)
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assert round(returns[1], 4) == 0.6
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returns = ts.calculate_returns(
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"2020-04-01", annual_compounded_returns=True, return_period_unit="months", return_period_value=3
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)
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assert round(returns[1], 4) == 5.5536
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returns = ts.calculate_returns(
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"2020-04-01", annual_compounded_returns=False, return_period_unit="days", return_period_value=90
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)
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assert round(returns[1], 4) == 0.6
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returns = ts.calculate_returns(
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"2020-04-01", annual_compounded_returns=True, return_period_unit="days", return_period_value=90
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)
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assert round(returns[1], 4) == 5.727
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returns = ts.calculate_returns(
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"2020-04-10", annual_compounded_returns=True, return_period_unit="days", return_period_value=90
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)
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assert round(returns[1], 4) == 5.727
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with pytest.raises(DateNotFoundError):
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ts.calculate_returns("2020-04-10", return_period_unit="days", return_period_value=90, as_on_match="exact")
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with pytest.raises(DateNotFoundError):
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ts.calculate_returns("2020-04-10", return_period_unit="days", return_period_value=90, prior_match="exact")
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def test_date_formats(self):
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ts = TimeSeries(self.data, frequency="M")
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FincalOptions.date_format = "%d-%m-%Y"
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with pytest.raises(ValueError):
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ts.calculate_returns(
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"2020-04-10", annual_compounded_returns=True, return_period_unit="days", return_period_value=90
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)
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returns1 = ts.calculate_returns(
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"2020-04-10", return_period_unit="days", return_period_value=90, date_format="%Y-%m-%d"
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)
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returns2 = ts.calculate_returns("10-04-2020", return_period_unit="days", return_period_value=90)
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assert round(returns1[1], 4) == round(returns2[1], 4) == 5.727
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FincalOptions.date_format = "%m-%d-%Y"
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with pytest.raises(ValueError):
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ts.calculate_returns(
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"2020-04-10", annual_compounded_returns=True, return_period_unit="days", return_period_value=90
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)
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returns1 = ts.calculate_returns(
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"2020-04-10", return_period_unit="days", return_period_value=90, date_format="%Y-%m-%d"
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)
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returns2 = ts.calculate_returns("04-10-2020", return_period_unit="days", return_period_value=90)
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assert round(returns1[1], 4) == round(returns2[1], 4) == 5.727
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def test_limits(self):
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ts = TimeSeries(self.data, frequency="M")
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FincalOptions.date_format = "%Y-%m-%d"
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with pytest.raises(DateNotFoundError):
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ts.calculate_returns("2020-04-25", return_period_unit="days", return_period_value=90, closest_max_days=10)
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class TestVolatility:
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data = create_organised_test_data()
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def test_volatility_basic(self):
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ts = TimeSeries(self.data, frequency="D")
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sd = ts.volatility()
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assert len(ts) == 999
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assert round(sd, 6) == 0.057391
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sd = ts.volatility(annualize_volatility=False)
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assert round(sd, 6) == 0.003004
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@ -1,13 +1,13 @@
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import datetime
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import math
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import random
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from unittest import skip
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from typing import List
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import pytest
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from dateutil.relativedelta import relativedelta
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from fincal.core import AllFrequencies, Frequency
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from fincal.exceptions import DateNotFoundError
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from fincal.fincal import MaxDrawdown, TimeSeries, create_date_series
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from fincal.fincal import TimeSeries, create_date_series
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from fincal.utils import FincalOptions
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@ -48,9 +48,14 @@ def create_prices(s0: float, mu: float, sigma: float, num_prices: int) -> list:
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return all_values
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def create_test_timeseries(
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frequency: Frequency, num: int = 1000, skip_weekends: bool = False, mu: float = 0.1, sigma: float = 0.05
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) -> TimeSeries:
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def create_test_data(
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frequency: Frequency,
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num: int = 1000,
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skip_weekends: bool = False,
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mu: float = 0.1,
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sigma: float = 0.05,
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eomonth: bool = False,
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) -> List[tuple]:
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"""Creates TimeSeries data
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Parameters:
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@ -83,15 +88,152 @@ def create_test_timeseries(
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)
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}
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end_date = start_date + relativedelta(**timedelta_dict)
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dates = create_date_series(start_date, end_date, frequency.symbol, skip_weekends=skip_weekends)
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dates = create_date_series(start_date, end_date, frequency.symbol, skip_weekends=skip_weekends, eomonth=eomonth)
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values = create_prices(1000, mu, sigma, num)
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ts = TimeSeries(dict(zip(dates, values)), frequency=frequency.symbol)
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ts = list(zip(dates, values))
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return ts
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class TestDateSeries:
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def test_daily(self):
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start_date = datetime.datetime(2020, 1, 1)
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end_date = datetime.datetime(2020, 12, 31)
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d = create_date_series(start_date, end_date, frequency="D")
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assert len(d) == 366
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start_date = datetime.datetime(2017, 1, 1)
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end_date = datetime.datetime(2017, 12, 31)
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d = create_date_series(start_date, end_date, frequency="D")
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assert len(d) == 365
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with pytest.raises(ValueError):
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create_date_series(start_date, end_date, frequency="D", eomonth=True)
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def test_monthly(self):
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start_date = datetime.datetime(2020, 1, 1)
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end_date = datetime.datetime(2020, 12, 31)
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d = create_date_series(start_date, end_date, frequency="M")
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assert len(d) == 12
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d = create_date_series(start_date, end_date, frequency="M", eomonth=True)
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assert datetime.datetime(2020, 2, 29) in d
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start_date = datetime.datetime(2020, 1, 31)
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d = create_date_series(start_date, end_date, frequency="M")
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assert datetime.datetime(2020, 2, 29) in d
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assert datetime.datetime(2020, 8, 31) in d
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assert datetime.datetime(2020, 10, 30) not in d
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start_date = datetime.datetime(2020, 2, 29)
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d = create_date_series(start_date, end_date, frequency="M")
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assert len(d) == 11
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assert datetime.datetime(2020, 2, 29) in d
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assert datetime.datetime(2020, 8, 31) not in d
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assert datetime.datetime(2020, 10, 29) in d
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def test_quarterly(self):
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start_date = datetime.datetime(2018, 1, 1)
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end_date = datetime.datetime(2020, 12, 31)
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d = create_date_series(start_date, end_date, frequency="Q")
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assert len(d) == 12
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|
||||
d = create_date_series(start_date, end_date, frequency="Q", eomonth=True)
|
||||
assert datetime.datetime(2020, 4, 30) in d
|
||||
|
||||
start_date = datetime.datetime(2020, 1, 31)
|
||||
d = create_date_series(start_date, end_date, frequency="Q")
|
||||
assert len(d) == 4
|
||||
assert datetime.datetime(2020, 2, 29) not in d
|
||||
assert max(d) == datetime.datetime(2020, 10, 31)
|
||||
|
||||
start_date = datetime.datetime(2020, 2, 29)
|
||||
d = create_date_series(start_date, end_date, frequency="Q")
|
||||
assert datetime.datetime(2020, 2, 29) in d
|
||||
assert datetime.datetime(2020, 8, 31) not in d
|
||||
assert datetime.datetime(2020, 11, 29) in d
|
||||
|
||||
d = create_date_series(start_date, end_date, frequency="Q", eomonth=True)
|
||||
assert datetime.datetime(2020, 11, 30) in d
|
||||
|
||||
|
||||
class TestTimeSeriesCreation:
|
||||
def test_creation_with_list_of_tuples(self):
|
||||
ts_data = create_test_data(frequency=AllFrequencies.D, num=50)
|
||||
ts = TimeSeries(ts_data, frequency="D")
|
||||
assert len(ts) == 50
|
||||
assert isinstance(ts.frequency, Frequency)
|
||||
assert ts.frequency.days == 1
|
||||
|
||||
def test_creation_with_string_dates(self):
|
||||
ts_data = create_test_data(frequency=AllFrequencies.D, num=50)
|
||||
ts_data1 = [(dt.strftime("%Y-%m-%d"), val) for dt, val in ts_data]
|
||||
ts = TimeSeries(ts_data1, frequency="D")
|
||||
datetime.datetime(2017, 1, 1) in ts
|
||||
|
||||
ts_data1 = [(dt.strftime("%d-%m-%Y"), val) for dt, val in ts_data]
|
||||
ts = TimeSeries(ts_data1, frequency="D", date_format="%d-%m-%Y")
|
||||
datetime.datetime(2017, 1, 1) in ts
|
||||
|
||||
ts_data1 = [(dt.strftime("%m-%d-%Y"), val) for dt, val in ts_data]
|
||||
ts = TimeSeries(ts_data1, frequency="D", date_format="%m-%d-%Y")
|
||||
datetime.datetime(2017, 1, 1) in ts
|
||||
|
||||
ts_data1 = [(dt.strftime("%m-%d-%Y %H:%M"), val) for dt, val in ts_data]
|
||||
ts = TimeSeries(ts_data1, frequency="D", date_format="%m-%d-%Y %H:%M")
|
||||
datetime.datetime(2017, 1, 1, 0, 0) in ts
|
||||
|
||||
def test_creation_with_list_of_dicts(self):
|
||||
ts_data = create_test_data(frequency=AllFrequencies.D, num=50)
|
||||
ts_data1 = [{"date": dt.strftime("%Y-%m-%d"), "value": val} for dt, val in ts_data]
|
||||
ts = TimeSeries(ts_data1, frequency="D")
|
||||
datetime.datetime(2017, 1, 1) in ts
|
||||
|
||||
def test_creation_with_list_of_lists(self):
|
||||
ts_data = create_test_data(frequency=AllFrequencies.D, num=50)
|
||||
ts_data1 = [[dt.strftime("%Y-%m-%d"), val] for dt, val in ts_data]
|
||||
ts = TimeSeries(ts_data1, frequency="D")
|
||||
datetime.datetime(2017, 1, 1) in ts
|
||||
|
||||
def test_creation_with_dict(self):
|
||||
ts_data = create_test_data(frequency=AllFrequencies.D, num=50)
|
||||
ts_data1 = [{dt.strftime("%Y-%m-%d"): val} for dt, val in ts_data]
|
||||
ts = TimeSeries(ts_data1, frequency="D")
|
||||
datetime.datetime(2017, 1, 1) in ts
|
||||
|
||||
|
||||
class TestTimeSeriesBasics:
|
||||
def test_fill(self):
|
||||
ts_data = create_test_data(frequency=AllFrequencies.D, num=50, skip_weekends=True)
|
||||
ts = TimeSeries(ts_data, frequency="D")
|
||||
ffill_data = ts.ffill()
|
||||
assert len(ffill_data) == 68
|
||||
|
||||
ffill_data = ts.ffill(inplace=True)
|
||||
assert ffill_data is None
|
||||
assert len(ts) == 68
|
||||
|
||||
ts_data = create_test_data(frequency=AllFrequencies.D, num=50, skip_weekends=True)
|
||||
ts = TimeSeries(ts_data, frequency="D")
|
||||
bfill_data = ts.bfill()
|
||||
assert len(bfill_data) == 68
|
||||
|
||||
bfill_data = ts.bfill(inplace=True)
|
||||
assert bfill_data is None
|
||||
assert len(ts) == 68
|
||||
|
||||
data = [("2021-01-01", 220), ("2021-01-02", 230), ("2021-03-04", 240)]
|
||||
ts = TimeSeries(data, frequency="D")
|
||||
ff = ts.ffill()
|
||||
assert ff["2021-01-03"][1] == 230
|
||||
|
||||
bf = ts.bfill()
|
||||
assert bf["2021-01-03"][1] == 240
|
||||
|
||||
|
||||
class TestReturns:
|
||||
def test_returns_calc(self):
|
||||
ts = create_test_timeseries(AllFrequencies.D, skip_weekends=True)
|
||||
ts_data = create_test_data(AllFrequencies.D, skip_weekends=True)
|
||||
ts = TimeSeries(ts_data, "D")
|
||||
returns = ts.calculate_returns(
|
||||
"2020-01-01", annual_compounded_returns=False, return_period_unit="years", return_period_value=1
|
||||
)
|
||||
@ -123,7 +265,8 @@ class TestReturns:
|
||||
ts.calculate_returns("2020-04-04", return_period_unit="months", return_period_value=3, prior_match="exact")
|
||||
|
||||
def test_date_formats(self):
|
||||
ts = create_test_timeseries(AllFrequencies.D, skip_weekends=True)
|
||||
ts_data = create_test_data(AllFrequencies.D, skip_weekends=True)
|
||||
ts = TimeSeries(ts_data, "D")
|
||||
FincalOptions.date_format = "%d-%m-%Y"
|
||||
with pytest.raises(ValueError):
|
||||
ts.calculate_returns(
|
||||
@ -150,14 +293,97 @@ class TestReturns:
|
||||
|
||||
def test_limits(self):
|
||||
FincalOptions.date_format = "%Y-%m-%d"
|
||||
ts = create_test_timeseries(AllFrequencies.D)
|
||||
ts_data = create_test_data(AllFrequencies.D)
|
||||
ts = TimeSeries(ts_data, "D")
|
||||
with pytest.raises(DateNotFoundError):
|
||||
ts.calculate_returns("2020-11-25", return_period_unit="days", return_period_value=90, closest_max_days=10)
|
||||
|
||||
|
||||
class TestReturnsAgain:
|
||||
data = [
|
||||
("2020-01-01", 10),
|
||||
("2020-02-01", 12),
|
||||
("2020-03-01", 14),
|
||||
("2020-04-01", 16),
|
||||
("2020-05-01", 18),
|
||||
("2020-06-01", 20),
|
||||
("2020-07-01", 22),
|
||||
("2020-08-01", 24),
|
||||
("2020-09-01", 26),
|
||||
("2020-10-01", 28),
|
||||
("2020-11-01", 30),
|
||||
("2020-12-01", 32),
|
||||
("2021-01-01", 34),
|
||||
]
|
||||
|
||||
def test_returns_calc(self):
|
||||
ts = TimeSeries(self.data, frequency="M")
|
||||
returns = ts.calculate_returns(
|
||||
"2021-01-01", annual_compounded_returns=False, return_period_unit="years", return_period_value=1
|
||||
)
|
||||
assert returns[1] == 2.4
|
||||
returns = ts.calculate_returns(
|
||||
"2020-04-01", annual_compounded_returns=False, return_period_unit="months", return_period_value=3
|
||||
)
|
||||
assert round(returns[1], 4) == 0.6
|
||||
returns = ts.calculate_returns(
|
||||
"2020-04-01", annual_compounded_returns=True, return_period_unit="months", return_period_value=3
|
||||
)
|
||||
assert round(returns[1], 4) == 5.5536
|
||||
returns = ts.calculate_returns(
|
||||
"2020-04-01", annual_compounded_returns=False, return_period_unit="days", return_period_value=90
|
||||
)
|
||||
assert round(returns[1], 4) == 0.6
|
||||
returns = ts.calculate_returns(
|
||||
"2020-04-01", annual_compounded_returns=True, return_period_unit="days", return_period_value=90
|
||||
)
|
||||
assert round(returns[1], 4) == 5.727
|
||||
returns = ts.calculate_returns(
|
||||
"2020-04-10", annual_compounded_returns=True, return_period_unit="days", return_period_value=90
|
||||
)
|
||||
assert round(returns[1], 4) == 5.727
|
||||
with pytest.raises(DateNotFoundError):
|
||||
ts.calculate_returns("2020-04-10", return_period_unit="days", return_period_value=90, as_on_match="exact")
|
||||
with pytest.raises(DateNotFoundError):
|
||||
ts.calculate_returns("2020-04-10", return_period_unit="days", return_period_value=90, prior_match="exact")
|
||||
|
||||
def test_date_formats(self):
|
||||
ts = TimeSeries(self.data, frequency="M")
|
||||
FincalOptions.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
|
||||
)
|
||||
|
||||
returns1 = ts.calculate_returns(
|
||||
"2020-04-10", return_period_unit="days", return_period_value=90, date_format="%Y-%m-%d"
|
||||
)
|
||||
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"
|
||||
with pytest.raises(ValueError):
|
||||
ts.calculate_returns(
|
||||
"2020-04-10", annual_compounded_returns=True, return_period_unit="days", return_period_value=90
|
||||
)
|
||||
|
||||
returns1 = ts.calculate_returns(
|
||||
"2020-04-10", return_period_unit="days", return_period_value=90, date_format="%Y-%m-%d"
|
||||
)
|
||||
returns2 = ts.calculate_returns("04-10-2020", return_period_unit="days", return_period_value=90)
|
||||
assert round(returns1[1], 4) == round(returns2[1], 4) == 5.727
|
||||
|
||||
def test_limits(self):
|
||||
ts = TimeSeries(self.data, frequency="M")
|
||||
FincalOptions.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)
|
||||
|
||||
|
||||
class TestVolatility:
|
||||
def test_daily_ts(self):
|
||||
ts = create_test_timeseries(AllFrequencies.D)
|
||||
ts_data = create_test_data(AllFrequencies.D)
|
||||
ts = TimeSeries(ts_data, "D")
|
||||
assert len(ts) == 1000
|
||||
sd = ts.volatility(annualize_volatility=False)
|
||||
assert round(sd, 6) == 0.002622
|
||||
@ -184,7 +410,8 @@ class TestVolatility:
|
||||
|
||||
class TestDrawdown:
|
||||
def test_daily_ts(self):
|
||||
ts = create_test_timeseries(AllFrequencies.D, skip_weekends=True)
|
||||
ts_data = create_test_data(AllFrequencies.D, skip_weekends=True)
|
||||
ts = TimeSeries(ts_data, "D")
|
||||
mdd = ts.max_drawdown()
|
||||
assert isinstance(mdd, dict)
|
||||
assert len(mdd) == 3
|
||||
@ -197,7 +424,8 @@ class TestDrawdown:
|
||||
assert mdd == expeced_response
|
||||
|
||||
def test_weekly_ts(self):
|
||||
ts = create_test_timeseries(AllFrequencies.W, mu=1, sigma=0.5)
|
||||
ts_data = create_test_data(AllFrequencies.W, mu=1, sigma=0.5)
|
||||
ts = TimeSeries(ts_data, "W")
|
||||
mdd = ts.max_drawdown()
|
||||
assert isinstance(mdd, dict)
|
||||
assert len(mdd) == 3
|
||||
|
||||
Loading…
Reference in New Issue
Block a user