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Tests for beta and bug fixes

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This commit is contained in:
Gourav Kumar 2022-06-06 08:33:58 +05:30
parent 569f20709b
commit e9bb795ecf
3 changed files with 38 additions and 2 deletions
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4
pyfacts/pyfacts.py
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@ -140,7 +140,7 @@ class TimeSeries(TimeSeriesCore):
self, self,
data: List[Iterable] | Mapping, data: List[Iterable] | Mapping,
frequency: Literal["D", "W", "M", "Q", "H", "Y"] = None, frequency: Literal["D", "W", "M", "Q", "H", "Y"] = None,
validate_frequency: bool = False, validate_frequency: bool = True,
date_format: str = "%Y-%m-%d", date_format: str = "%Y-%m-%d",
): ):
"""Instantiate a TimeSeriesCore object""" """Instantiate a TimeSeriesCore object"""
@ -448,7 +448,7 @@ class TimeSeries(TimeSeriesCore):
) )
rolling_returns.append(returns) rolling_returns.append(returns)
rolling_returns.sort() rolling_returns.sort()
return self.__class__(rolling_returns, self.frequency.symbol) return self.__class__(rolling_returns, frequency.symbol)
@date_parser(1, 2) @date_parser(1, 2)
def volatility( def volatility(

2
pyfacts/statistics.py
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@ -1,3 +1,5 @@
from __future__ import annotations
import datetime import datetime
import statistics import statistics
from typing import Literal from typing import Literal

34
tests/test_stats.py
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@ -82,3 +82,37 @@ class TestSharpe:
return_period_value=12, return_period_value=12,
) )
assert round(sharpe_ratio, 4) == 0.3199 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