corrected return calc test, writing sortino tests

tests/test_pyfacts.py

@@ -3,8 +3,8 @@ import datetime
 import pytest
 from pyfacts import (
     AllFrequencies,
-    PyfactsOptions,
     Frequency,
+    PyfactsOptions,
     TimeSeries,
     create_date_series,
 )
@@ -248,7 +248,7 @@ class TestReturns:
         with pytest.raises(DateNotFoundError):
             ts.calculate_returns("2020-04-04", return_period_unit="days", return_period_value=90, as_on_match="exact")
         with pytest.raises(DateNotFoundError):
-            ts.calculate_returns("2020-04-04", return_period_unit="months", return_period_value=3, prior_match="exact")
+            ts.calculate_returns("2020-04-08", return_period_unit="months", return_period_value=1, prior_match="exact")
 
     def test_date_formats(self, create_test_data):
         ts_data = create_test_data(AllFrequencies.D, skip_weekends=True)

tests/test_stats.py

@@ -106,18 +106,16 @@ class TestSortino:
         )
         assert round(sortino_ratio, 4) == 1.2564
 
-    # def test_sharpe_weekly_freq(self, create_test_data):
-    #     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",
-    #         to_date="2021-12-31",
-    #         return_period_unit="days",
-    #         return_period_value=7,
-    #     )
-    #     assert round(sharpe_ratio, 4) == 0.4533
+    def test_sortino_weekly_freq(self, create_test_data):
+        data = create_test_data(num=500, frequency=pft.AllFrequencies.W, mu=0.12, sigma=0.06)
+        ts = pft.TimeSeries(data, "W")
+        sortino = pft.sortino_ratio(
+            ts,
+            risk_free_rate=0.06,
+            return_period_unit="years",
+            return_period_value=1,
+        )
+        assert round(sortino, 4) == -5.5233
 
     #     sharpe_ratio = pft.sharpe_ratio(
     #         ts,