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435 lines
15 KiB
435 lines
15 KiB
import datetime
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import random
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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.utils import PyfactsOptions
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class TestFrequency:
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def test_creation(self):
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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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assert D.value == 1
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assert D.freq_type == "days"
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class TestAllFrequencies:
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def test_attributes(self):
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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 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 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 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 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 = 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 = 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, 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=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 = 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 = 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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assert len(ts[ts.dates > "2021-01-01"]) == 2
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assert ts[ts.dates == "2021-02-01"].iloc[0][1] == 230
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assert ts.iloc[2][0] == datetime.datetime(2021, 3, 1)
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assert len(ts.iloc[:2]) == 2
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with pytest.raises(KeyError):
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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, 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 = 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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assert ts.get("2021-02-15") is None
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assert ts.get("2021-02-23", -1) == -1
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assert ts.get("2021-02-10", closest="previous")[1] == 230
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assert ts.get("2021-02-10", closest="next")[1] == 240
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PyfactsOptions.get_closest = "previous"
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assert ts.get("2021-02-10")[1] == 230
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PyfactsOptions.get_closest = "next"
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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 = 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 = 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 = 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, 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 = 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, 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 = 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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assert len(ts) == 4
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assert ts["2021-01-02"][1] == 225
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ts["2021-01-02"] = 227.6
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assert len(ts) == 4
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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 = 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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with pytest.raises(NotImplementedError):
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ts.iloc[4] = 4
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with pytest.raises(ValueError):
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ts["abc"] = 12
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class TestTimeSeriesCoreHeadTail:
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data = [
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("2021-01-01", 220),
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("2021-02-01", 230),
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("2021-03-01", 240),
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("2021-04-01", 250),
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("2021-05-01", 260),
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("2021-06-01", 270),
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("2021-07-01", 280),
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("2021-08-01", 290),
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("2021-09-01", 300),
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("2021-10-01", 310),
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("2021-11-01", 320),
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("2021-12-01", 330),
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]
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def test_head(self):
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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(), 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 = 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(), 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 = 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, 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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class TestDelitem:
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data = [
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("2021-01-01", 220),
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("2021-02-01", 230),
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("2021-03-01", 240),
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("2021-04-01", 250),
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]
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def test_deletion(self):
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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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assert "2021-03-01" not in ts
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with pytest.raises(KeyError):
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del ts["2021-03-01"]
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class TestTimeSeriesComparisons:
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data1 = [
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("2021-01-01", 220),
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("2021-02-01", 230),
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("2021-03-01", 240),
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("2021-04-01", 250),
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]
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data2 = [
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("2021-01-01", 240),
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("2021-02-01", 210),
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("2021-03-01", 240),
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("2021-04-01", 270),
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]
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def test_number_comparison(self):
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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 = 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 == 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 = pft.TimeSeriesCore(self.data1, "M")
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ts2 = pft.TimeSeriesCore(self.data2, "M")
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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 = 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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with pytest.raises(TypeError):
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ts1 == "a"
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with pytest.raises(ValueError):
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ts1 > ts2
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with pytest.raises(TypeError):
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ts1 == ser2
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with pytest.raises(ValueError):
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ts1 <= ser
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with pytest.raises(TypeError):
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ts2 < [23, 24, 25, 26]
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class TestTimeSeriesArithmatic:
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data = [
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("2021-01-01", 220),
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("2021-02-01", 230),
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("2021-03-01", 240),
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("2021-04-01", 250),
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]
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def test_add(self):
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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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assert num_add_ts["2021-01-01"][1] == 260
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assert num_add_ts["2021-04-01"][1] == 290
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num_radd_ts = 40 + ts
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assert num_radd_ts["2021-01-01"][1] == 260
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assert num_radd_ts["2021-04-01"][1] == 290
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ser_add_ts = ts + ser
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assert ser_add_ts["2021-01-01"][1] == 440
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assert ser_add_ts["2021-04-01"][1] == 500
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ts_add_ts = ts + num_add_ts
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assert ts_add_ts["2021-01-01"][1] == 480
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assert ts_add_ts["2021-04-01"][1] == 540
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def test_sub(self):
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ts = pft.TimeSeriesCore(self.data, "M")
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ser = pft.Series([20, 30, 40, 50], "number")
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num_sub_ts = ts - 40
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assert num_sub_ts["2021-01-01"][1] == 180
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assert num_sub_ts["2021-04-01"][1] == 210
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num_rsub_ts = 240 - ts
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assert num_rsub_ts["2021-01-01"][1] == 20
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assert num_rsub_ts["2021-04-01"][1] == -10
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ser_sub_ts = ts - ser
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assert ser_sub_ts["2021-01-01"][1] == 200
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assert ser_sub_ts["2021-04-01"][1] == 200
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ts_sub_ts = ts - num_sub_ts
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assert ts_sub_ts["2021-01-01"][1] == 40
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assert ts_sub_ts["2021-04-01"][1] == 40
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def test_truediv(self):
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ts = pft.TimeSeriesCore(self.data, "M")
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ser = pft.Series([22, 23, 24, 25], "number")
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num_div_ts = ts / 10
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assert num_div_ts["2021-01-01"][1] == 22
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assert num_div_ts["2021-04-01"][1] == 25
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num_rdiv_ts = 1000 / ts
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assert num_rdiv_ts["2021-04-01"][1] == 4
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ser_div_ts = ts / ser
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assert ser_div_ts["2021-01-01"][1] == 10
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assert ser_div_ts["2021-04-01"][1] == 10
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ts_div_ts = ts / num_div_ts
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assert ts_div_ts["2021-01-01"][1] == 10
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assert ts_div_ts["2021-04-01"][1] == 10
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def test_floordiv(self):
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ts = pft.TimeSeriesCore(self.data, "M")
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ser = pft.Series([22, 23, 24, 25], "number")
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num_div_ts = ts // 11
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assert num_div_ts["2021-02-01"][1] == 20
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assert num_div_ts["2021-04-01"][1] == 22
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num_rdiv_ts = 1000 // ts
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assert num_rdiv_ts["2021-01-01"][1] == 4
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ser_div_ts = ts // ser
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assert ser_div_ts["2021-01-01"][1] == 10
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assert ser_div_ts["2021-04-01"][1] == 10
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