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sortino tests are now passing

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This commit is contained in:
Gourav Kumar 2022-09-11 15:13:16 +05:30
parent 7b65f6ff3f
commit db8f73d5c6
1 changed files with 18 additions and 18 deletions
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36
tests/test_stats.py
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@ -117,25 +117,25 @@ class TestSortino:
)
assert round(sortino, 4) == -5.5233
# sharpe_ratio = pft.sharpe_ratio(
# ts,
# risk_free_rate=0.052,
# from_date="2017-02-05",
# to_date="2021-12-31",
# return_period_unit="months",
# return_period_value=1,
# )
# assert round(sharpe_ratio, 4) == 0.4898
sortino = pft.sortino_ratio(
ts,
risk_free_rate=0.052,
from_date="2017-02-05",
to_date="2021-12-31",
return_period_unit="months",
return_period_value=1,
)
assert round(sortino, 4) == -1.93
# sharpe_ratio = pft.sharpe_ratio(
# ts,
# risk_free_rate=0.052,
# from_date="2018-01-01",
# to_date="2021-12-31",
# return_period_unit="months",
# return_period_value=12,
# )
# assert round(sharpe_ratio, 4) == 0.3199
sortino = pft.sortino_ratio(
ts,
risk_free_rate=0.052,
from_date="2018-01-01",
to_date="2021-12-31",
return_period_unit="months",
return_period_value=12,
)
assert round(sortino, 4) == -3.9805
class TestBeta: