Tests for beta and bug fixes

pyfacts/pyfacts.py

@@ -140,7 +140,7 @@ class TimeSeries(TimeSeriesCore):
         self,
         data: List[Iterable] | Mapping,
         frequency: Literal["D", "W", "M", "Q", "H", "Y"] = None,
-        validate_frequency: bool = False,
+        validate_frequency: bool = True,
         date_format: str = "%Y-%m-%d",
     ):
         """Instantiate a TimeSeriesCore object"""
@@ -448,7 +448,7 @@ class TimeSeries(TimeSeriesCore):
             )
             rolling_returns.append(returns)
         rolling_returns.sort()
-        return self.__class__(rolling_returns, self.frequency.symbol)
+        return self.__class__(rolling_returns, frequency.symbol)
 
     @date_parser(1, 2)
     def volatility(

pyfacts/statistics.py

@@ -1,3 +1,5 @@
+from __future__ import annotations
+
 import datetime
 import statistics
 from typing import Literal

tests/test_stats.py

@@ -82,3 +82,37 @@ class TestSharpe:
             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)
+        stock_data = create_test_data(num=3600, frequency=pft.AllFrequencies.D, mu=0.12, sigma=0.08)
+        sts = pft.TimeSeries(stock_data, "D")
+        mts = pft.TimeSeries(market_data, "D")
+        beta = pft.beta(sts, mts, frequency="D", return_period_unit="days", return_period_value=1)
+        assert round(beta, 4) == 1.6001
+
+    def test_beta_daily_freq_daily_returns(self, create_test_data):
+        market_data = create_test_data(num=3600, frequency=pft.AllFrequencies.D)
+        stock_data = create_test_data(num=3600, frequency=pft.AllFrequencies.D, mu=0.12, sigma=0.08)
+        sts = pft.TimeSeries(stock_data, "D")
+        mts = pft.TimeSeries(market_data, "D")
+        beta = pft.beta(sts, mts)
+        assert round(beta, 4) == 1.6292
+
+    def test_beta_monthly_freq(self, create_test_data):
+        market_data = create_test_data(num=3600, frequency=pft.AllFrequencies.D)
+        stock_data = create_test_data(num=3600, frequency=pft.AllFrequencies.D, mu=0.12, sigma=0.08)
+        sts = pft.TimeSeries(stock_data, "D")
+        mts = pft.TimeSeries(market_data, "D")
+        beta = pft.beta(sts, mts, frequency="M")
+        assert round(beta, 4) == 1.629
+
+    def test_beta_monthly_freq_monthly_returns(self, create_test_data):
+        market_data = create_test_data(num=3600, frequency=pft.AllFrequencies.D)
+        stock_data = create_test_data(num=3600, frequency=pft.AllFrequencies.D, mu=0.12, sigma=0.08)
+        sts = pft.TimeSeries(stock_data, "D")
+        mts = pft.TimeSeries(market_data, "D")
+        beta = pft.beta(sts, mts, frequency="M", return_period_unit="months", return_period_value=1)
+        assert round(beta, 4) == 1.6023