tests for sortino and missing frequency
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@ -62,6 +62,7 @@ def sample_data_generator(
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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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dates_as_string: bool = False,
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) -> List[tuple]:
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"""Creates TimeSeries data
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@ -95,6 +96,8 @@ def sample_data_generator(
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}
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end_date = start_date + relativedelta(**timedelta_dict)
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dates = pft.create_date_series(start_date, end_date, frequency.symbol, skip_weekends=skip_weekends, eomonth=eomonth)
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if dates_as_string:
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dates = [dt.strftime("%Y-%m-%d") for dt in dates]
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values = create_prices(1000, mu, sigma, num)
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ts = list(zip(dates, values))
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return ts
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@ -1,16 +1,15 @@
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import datetime
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import random
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from typing import Literal, Mapping, Sequence
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from typing import Mapping
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import pyfacts as pft
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import pytest
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from pyfacts.core import AllFrequencies, Frequency, Series, TimeSeriesCore
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from pyfacts.pyfacts import create_date_series
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from pyfacts.utils import PyfactsOptions
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class TestFrequency:
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def test_creation(self):
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D = Frequency("daily", "days", 1, 1, "D")
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D = pft.Frequency("daily", "days", 1, 1, "D")
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assert D.days == 1
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assert D.symbol == "D"
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assert D.name == "daily"
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@ -18,106 +17,103 @@ class TestFrequency:
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assert D.freq_type == "days"
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def create_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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class TestAllFrequencies:
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def test_attributes(self):
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assert hasattr(AllFrequencies, "D")
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assert hasattr(AllFrequencies, "M")
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assert hasattr(AllFrequencies, "Q")
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assert hasattr(pft.AllFrequencies, "D")
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assert hasattr(pft.AllFrequencies, "M")
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assert hasattr(pft.AllFrequencies, "Q")
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def test_days(self):
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assert AllFrequencies.D.days == 1
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assert AllFrequencies.M.days == 30
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assert AllFrequencies.Q.days == 91
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assert pft.AllFrequencies.D.days == 1
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assert pft.AllFrequencies.M.days == 30
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assert pft.AllFrequencies.Q.days == 91
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def test_symbol(self):
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assert AllFrequencies.H.symbol == "H"
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assert AllFrequencies.W.symbol == "W"
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assert pft.AllFrequencies.H.symbol == "H"
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assert pft.AllFrequencies.W.symbol == "W"
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def test_values(self):
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assert AllFrequencies.H.value == 6
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assert AllFrequencies.Y.value == 1
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assert pft.AllFrequencies.H.value == 6
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assert pft.AllFrequencies.Y.value == 1
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def test_type(self):
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assert AllFrequencies.Q.freq_type == "months"
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assert AllFrequencies.W.freq_type == "days"
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assert pft.AllFrequencies.Q.freq_type == "months"
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assert pft.AllFrequencies.W.freq_type == "days"
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class TestSeries:
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def test_creation(self):
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series = Series([1, 2, 3, 4, 5, 6, 7], dtype="number")
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series = pft.Series([1, 2, 3, 4, 5, 6, 7], dtype="number")
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assert series.dtype == float
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assert series[2] == 3
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dates = create_date_series("2021-01-01", "2021-01-31", frequency="D")
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series = Series(dates, dtype="date")
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dates = pft.create_date_series("2021-01-01", "2021-01-31", frequency="D")
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series = pft.Series(dates, dtype="date")
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assert series.dtype == datetime.datetime
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class TestTimeSeriesCore:
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data = [("2021-01-01", 220), ("2021-02-01", 230), ("2021-03-01", 240)]
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def test_repr_str(self):
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ts = TimeSeriesCore(self.data, frequency="M")
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def test_repr_str(self, create_test_data):
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ts = pft.TimeSeriesCore(self.data, frequency="M")
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assert str(ts) in repr(ts).replace("\t", " ")
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data = create_test_data(frequency="D", eomonth=False, n=50, gaps=0, month_position="start", date_as_str=True)
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ts = TimeSeriesCore(data, frequency="D")
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data = create_test_data(frequency=pft.AllFrequencies.D, eomonth=False, num=50, dates_as_string=True)
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ts = pft.TimeSeriesCore(data, frequency="D")
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assert "..." in str(ts)
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assert "..." in repr(ts)
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def test_creation(self):
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ts = TimeSeriesCore(self.data, frequency="M")
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assert isinstance(ts, TimeSeriesCore)
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ts = pft.TimeSeriesCore(self.data, frequency="M")
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assert isinstance(ts, pft.TimeSeriesCore)
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assert isinstance(ts, Mapping)
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def test_creation_no_freq(self, create_test_data):
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data = create_test_data(num=300, frequency=pft.AllFrequencies.D)
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ts = pft.TimeSeriesCore(data)
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assert ts.frequency == pft.AllFrequencies.D
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data = create_test_data(num=300, frequency=pft.AllFrequencies.M)
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ts = pft.TimeSeriesCore(data)
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assert ts.frequency == pft.AllFrequencies.M
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def test_creation_no_freq_missing_data(self, create_test_data):
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data = create_test_data(num=300, frequency=pft.AllFrequencies.D)
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data = random.sample(data, 182)
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ts = pft.TimeSeriesCore(data)
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assert ts.frequency == pft.AllFrequencies.D
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data = create_test_data(num=300, frequency=pft.AllFrequencies.D)
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data = random.sample(data, 175)
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with pytest.raises(ValueError):
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ts = pft.TimeSeriesCore(data)
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data = create_test_data(num=100, frequency=pft.AllFrequencies.W)
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data = random.sample(data, 70)
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ts = pft.TimeSeriesCore(data)
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assert ts.frequency == pft.AllFrequencies.W
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data = create_test_data(num=100, frequency=pft.AllFrequencies.W)
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data = random.sample(data, 68)
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with pytest.raises(ValueError):
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pft.TimeSeriesCore(data)
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def test_creation_wrong_freq(self, create_test_data):
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data = create_test_data(num=100, frequency=pft.AllFrequencies.W)
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with pytest.raises(ValueError):
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pft.TimeSeriesCore(data, frequency="D")
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data = create_test_data(num=100, frequency=pft.AllFrequencies.D)
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with pytest.raises(ValueError):
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pft.TimeSeriesCore(data, frequency="W")
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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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ts = pft.TimeSeriesCore(self.data, frequency="M")
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assert ts.dates[0] == datetime.datetime(2021, 1, 1, 0, 0)
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assert ts.values[0] == 220
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assert ts["2021-01-01"][1] == 220
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@ -129,11 +125,11 @@ class TestSlicing:
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ts["2021-02-03"]
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subset_ts = ts[["2021-01-01", "2021-03-01"]]
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assert len(subset_ts) == 2
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assert isinstance(subset_ts, TimeSeriesCore)
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assert isinstance(subset_ts, pft.TimeSeriesCore)
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assert subset_ts.iloc[1][1] == 240
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def test_get(self):
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ts = TimeSeriesCore(self.data, frequency="M")
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ts = pft.TimeSeriesCore(self.data, frequency="M")
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assert ts.dates[0] == datetime.datetime(2021, 1, 1, 0, 0)
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assert ts.values[0] == 220
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assert ts.get("2021-01-01")[1] == 220
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@ -147,43 +143,63 @@ class TestSlicing:
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assert ts.get("2021-02-10")[1] == 240
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def test_contains(self):
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ts = TimeSeriesCore(self.data, frequency="M")
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ts = pft.TimeSeriesCore(self.data, frequency="M")
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assert datetime.datetime(2021, 1, 1) in ts
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assert "2021-01-01" in ts
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assert "2021-01-14" not in ts
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def test_items(self):
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ts = TimeSeriesCore(self.data, frequency="M")
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ts = pft.TimeSeriesCore(self.data, frequency="M")
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for i, j in ts.items():
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assert j == self.data[0][1]
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break
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def test_special_keys(self):
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ts = TimeSeriesCore(self.data, frequency="M")
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ts = pft.TimeSeriesCore(self.data, frequency="M")
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dates = ts["dates"]
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values = ts["values"]
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assert isinstance(dates, Series)
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assert isinstance(values, Series)
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assert isinstance(dates, pft.Series)
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assert isinstance(values, pft.Series)
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assert len(dates) == 3
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assert len(values) == 3
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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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ts = pft.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 isinstance(ts_slice, pft.TimeSeriesCore)
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assert len(ts_slice) == 2
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class TestComparativeSlicing:
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def test_date_gt_daily(self, create_test_data):
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data = create_test_data(num=300, frequency=pft.AllFrequencies.D)
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ts = pft.TimeSeries(data, "D")
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ts_rr = ts.calculate_rolling_returns(return_period_unit="months")
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assert len(ts_rr) == 269
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subset = ts_rr[ts_rr.values < 0.1]
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assert isinstance(subset, pft.TimeSeriesCore)
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assert subset.frequency == pft.AllFrequencies.D
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def test_date_gt_monthly(self, create_test_data):
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data = create_test_data(num=60, frequency=pft.AllFrequencies.M)
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ts = pft.TimeSeries(data, "M")
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ts_rr = ts.calculate_rolling_returns(return_period_unit="months")
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assert len(ts_rr) == 59
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subset = ts_rr[ts_rr.values < 0.1]
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assert isinstance(subset, pft.TimeSeriesCore)
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assert subset.frequency == pft.AllFrequencies.M
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class TestSetitem:
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data = [("2021-01-01", 220), ("2021-01-04", 230), ("2021-03-07", 240)]
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def test_setitem(self):
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ts = TimeSeriesCore(self.data, frequency="M")
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ts = pft.TimeSeriesCore(self.data, frequency="M")
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assert len(ts) == 3
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ts["2021-01-02"] = 225
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@ -195,7 +211,7 @@ class TestSetitem:
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assert ts["2021-01-02"][1] == 227.6
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def test_errors(self):
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ts = TimeSeriesCore(self.data, frequency="M")
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ts = pft.TimeSeriesCore(self.data, frequency="M")
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with pytest.raises(TypeError):
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ts["2021-01-03"] = "abc"
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@ -223,25 +239,25 @@ class TestTimeSeriesCoreHeadTail:
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]
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def test_head(self):
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ts = TimeSeriesCore(self.data, frequency="M")
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ts = pft.TimeSeriesCore(self.data, frequency="M")
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assert len(ts.head()) == 6
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assert len(ts.head(3)) == 3
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assert isinstance(ts.head(), TimeSeriesCore)
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assert isinstance(ts.head(), pft.TimeSeriesCore)
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head_ts = ts.head(6)
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assert head_ts.iloc[-1][1] == 270
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def test_tail(self):
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ts = TimeSeriesCore(self.data, frequency="M")
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ts = pft.TimeSeriesCore(self.data, frequency="M")
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assert len(ts.tail()) == 6
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assert len(ts.tail(8)) == 8
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assert isinstance(ts.tail(), TimeSeriesCore)
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assert isinstance(ts.tail(), pft.TimeSeriesCore)
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tail_ts = ts.tail(6)
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assert tail_ts.iloc[0][1] == 280
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def test_head_tail(self):
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ts = TimeSeriesCore(self.data, frequency="M")
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ts = pft.TimeSeriesCore(self.data, frequency="M")
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head_tail_ts = ts.head(8).tail(2)
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assert isinstance(head_tail_ts, TimeSeriesCore)
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assert isinstance(head_tail_ts, pft.TimeSeriesCore)
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assert "2021-07-01" in head_tail_ts
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assert head_tail_ts.iloc[1][1] == 290
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@ -255,7 +271,7 @@ class TestDelitem:
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]
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def test_deletion(self):
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ts = TimeSeriesCore(self.data, "M")
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ts = pft.TimeSeriesCore(self.data, "M")
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assert len(ts) == 4
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del ts["2021-03-01"]
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assert len(ts) == 3
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@ -281,42 +297,42 @@ class TestTimeSeriesComparisons:
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]
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def test_number_comparison(self):
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ts1 = TimeSeriesCore(self.data1, "M")
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assert isinstance(ts1 > 23, TimeSeriesCore)
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assert (ts1 > 230).values == Series([0.0, 0.0, 1.0, 1.0], "float")
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assert (ts1 >= 230).values == Series([0.0, 1.0, 1.0, 1.0], "float")
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assert (ts1 < 240).values == Series([1.0, 1.0, 0.0, 0.0], "float")
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assert (ts1 <= 240).values == Series([1.0, 1.0, 1.0, 0.0], "float")
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assert (ts1 == 240).values == Series([0.0, 0.0, 1.0, 0.0], "float")
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assert (ts1 != 240).values == Series([1.0, 1.0, 0.0, 1.0], "float")
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ts1 = pft.TimeSeriesCore(self.data1, "M")
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assert isinstance(ts1 > 23, pft.TimeSeriesCore)
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assert (ts1 > 230).values == pft.Series([0.0, 0.0, 1.0, 1.0], "float")
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assert (ts1 >= 230).values == pft.Series([0.0, 1.0, 1.0, 1.0], "float")
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assert (ts1 < 240).values == pft.Series([1.0, 1.0, 0.0, 0.0], "float")
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assert (ts1 <= 240).values == pft.Series([1.0, 1.0, 1.0, 0.0], "float")
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assert (ts1 == 240).values == pft.Series([0.0, 0.0, 1.0, 0.0], "float")
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assert (ts1 != 240).values == pft.Series([1.0, 1.0, 0.0, 1.0], "float")
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def test_series_comparison(self):
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ts1 = TimeSeriesCore(self.data1, "M")
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ser = Series([240, 210, 240, 270], dtype="int")
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ts1 = pft.TimeSeriesCore(self.data1, "M")
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ser = pft.Series([240, 210, 240, 270], dtype="int")
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assert (ts1 > ser).values == Series([0.0, 1.0, 0.0, 0.0], "float")
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assert (ts1 >= ser).values == Series([0.0, 1.0, 1.0, 0.0], "float")
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assert (ts1 < ser).values == Series([1.0, 0.0, 0.0, 1.0], "float")
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assert (ts1 <= ser).values == Series([1.0, 0.0, 1.0, 1.0], "float")
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assert (ts1 == ser).values == Series([0.0, 0.0, 1.0, 0.0], "float")
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assert (ts1 != ser).values == Series([1.0, 1.0, 0.0, 1.0], "float")
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assert (ts1 > ser).values == pft.Series([0.0, 1.0, 0.0, 0.0], "float")
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assert (ts1 >= ser).values == pft.Series([0.0, 1.0, 1.0, 0.0], "float")
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assert (ts1 < ser).values == pft.Series([1.0, 0.0, 0.0, 1.0], "float")
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assert (ts1 <= ser).values == pft.Series([1.0, 0.0, 1.0, 1.0], "float")
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assert (ts1 == ser).values == pft.Series([0.0, 0.0, 1.0, 0.0], "float")
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assert (ts1 != ser).values == pft.Series([1.0, 1.0, 0.0, 1.0], "float")
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def test_tsc_comparison(self):
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ts1 = TimeSeriesCore(self.data1, "M")
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ts2 = TimeSeriesCore(self.data2, "M")
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ts1 = pft.TimeSeriesCore(self.data1, "M")
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ts2 = pft.TimeSeriesCore(self.data2, "M")
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assert (ts1 > ts2).values == Series([0.0, 1.0, 0.0, 0.0], "float")
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assert (ts1 >= ts2).values == Series([0.0, 1.0, 1.0, 0.0], "float")
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assert (ts1 < ts2).values == Series([1.0, 0.0, 0.0, 1.0], "float")
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assert (ts1 <= ts2).values == Series([1.0, 0.0, 1.0, 1.0], "float")
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assert (ts1 == ts2).values == Series([0.0, 0.0, 1.0, 0.0], "float")
|
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assert (ts1 != ts2).values == Series([1.0, 1.0, 0.0, 1.0], "float")
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assert (ts1 > ts2).values == pft.Series([0.0, 1.0, 0.0, 0.0], "float")
|
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assert (ts1 >= ts2).values == pft.Series([0.0, 1.0, 1.0, 0.0], "float")
|
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assert (ts1 < ts2).values == pft.Series([1.0, 0.0, 0.0, 1.0], "float")
|
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assert (ts1 <= ts2).values == pft.Series([1.0, 0.0, 1.0, 1.0], "float")
|
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assert (ts1 == ts2).values == pft.Series([0.0, 0.0, 1.0, 0.0], "float")
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assert (ts1 != ts2).values == pft.Series([1.0, 1.0, 0.0, 1.0], "float")
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def test_errors(self):
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ts1 = TimeSeriesCore(self.data1, "M")
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ts2 = TimeSeriesCore(self.data2, "M")
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ser = Series([240, 210, 240], dtype="int")
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ser2 = Series(["2021-01-01", "2021-02-01", "2021-03-01", "2021-04-01"], dtype="date")
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ts1 = pft.TimeSeriesCore(self.data1, "M")
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ts2 = pft.TimeSeriesCore(self.data2, "M")
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ser = pft.Series([240, 210, 240], dtype="int")
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ser2 = pft.Series(["2021-01-01", "2021-02-01", "2021-03-01", "2021-04-01"], dtype="date")
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del ts2["2021-04-01"]
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@ -345,7 +361,7 @@ class TestTimeSeriesArithmatic:
|
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]
|
||||
|
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def test_add(self):
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ts = TimeSeriesCore(self.data, "M")
|
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ts = pft.TimeSeriesCore(self.data, "M")
|
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ser = ts.values
|
||||
|
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num_add_ts = ts + 40
|
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@ -365,8 +381,8 @@ class TestTimeSeriesArithmatic:
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assert ts_add_ts["2021-04-01"][1] == 540
|
||||
|
||||
def test_sub(self):
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ts = TimeSeriesCore(self.data, "M")
|
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ser = Series([20, 30, 40, 50], "number")
|
||||
ts = pft.TimeSeriesCore(self.data, "M")
|
||||
ser = pft.Series([20, 30, 40, 50], "number")
|
||||
|
||||
num_sub_ts = ts - 40
|
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assert num_sub_ts["2021-01-01"][1] == 180
|
||||
@ -385,8 +401,8 @@ class TestTimeSeriesArithmatic:
|
||||
assert ts_sub_ts["2021-04-01"][1] == 40
|
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|
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def test_truediv(self):
|
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ts = TimeSeriesCore(self.data, "M")
|
||||
ser = Series([22, 23, 24, 25], "number")
|
||||
ts = pft.TimeSeriesCore(self.data, "M")
|
||||
ser = pft.Series([22, 23, 24, 25], "number")
|
||||
|
||||
num_div_ts = ts / 10
|
||||
assert num_div_ts["2021-01-01"][1] == 22
|
||||
@ -404,8 +420,8 @@ class TestTimeSeriesArithmatic:
|
||||
assert ts_div_ts["2021-04-01"][1] == 10
|
||||
|
||||
def test_floordiv(self):
|
||||
ts = TimeSeriesCore(self.data, "M")
|
||||
ser = Series([22, 23, 24, 25], "number")
|
||||
ts = pft.TimeSeriesCore(self.data, "M")
|
||||
ser = pft.Series([22, 23, 24, 25], "number")
|
||||
|
||||
num_div_ts = ts // 11
|
||||
assert num_div_ts["2021-02-01"][1] == 20
|
||||
|
||||
@ -84,6 +84,84 @@ class TestSharpe:
|
||||
assert round(sharpe_ratio, 4) == 0.3199
|
||||
|
||||
|
||||
class TestSortino:
|
||||
def test_sortino_daily_freq(self, create_test_data):
|
||||
data = create_test_data(num=1305, frequency=pft.AllFrequencies.D, skip_weekends=True)
|
||||
ts = pft.TimeSeries(data, "D")
|
||||
sortino_ratio = pft.sortino_ratio(
|
||||
ts,
|
||||
risk_free_rate=0.06,
|
||||
from_date="2017-02-02",
|
||||
to_date="2021-12-31",
|
||||
return_period_unit="months",
|
||||
return_period_value=1,
|
||||
)
|
||||
assert round(sortino_ratio, 4) == 2.5377
|
||||
|
||||
# sharpe_ratio = pft.sharpe_ratio(
|
||||
# ts,
|
||||
# risk_free_rate=0.06,
|
||||
# from_date="2017-01-09",
|
||||
# to_date="2021-12-31",
|
||||
# return_period_unit="days",
|
||||
# return_period_value=7,
|
||||
# )
|
||||
# assert round(sharpe_ratio, 4) == 1.0701
|
||||
|
||||
# sharpe_ratio = pft.sharpe_ratio(
|
||||
# ts,
|
||||
# risk_free_rate=0.06,
|
||||
# from_date="2018-01-02",
|
||||
# to_date="2021-12-31",
|
||||
# return_period_unit="years",
|
||||
# return_period_value=1,
|
||||
# )
|
||||
# assert round(sharpe_ratio, 4) == 1.4374
|
||||
|
||||
# sharpe_ratio = pft.sharpe_ratio(
|
||||
# ts,
|
||||
# risk_free_rate=0.06,
|
||||
# from_date="2017-07-03",
|
||||
# to_date="2021-12-31",
|
||||
# return_period_unit="months",
|
||||
# return_period_value=6,
|
||||
# )
|
||||
# assert round(sharpe_ratio, 4) == 0.8401
|
||||
|
||||
# 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
|
||||
|
||||
# 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
|
||||
|
||||
# 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
|
||||
|
||||
|
||||
class TestBeta:
|
||||
def test_beta_daily_freq(self, create_test_data):
|
||||
market_data = create_test_data(num=3600, frequency=pft.AllFrequencies.D)
|
||||
|
||||
Loading…
Reference in New Issue
Block a user