197 lines
6.8 KiB
Python
197 lines
6.8 KiB
Python
import pyfacts as pft
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def test_conf(conf_fun):
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conf_add = conf_fun
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assert conf_add(2, 4) == 6
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class TestSharpe:
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def test_sharpe_daily_freq(self, create_test_data):
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data = create_test_data(num=1305, frequency=pft.AllFrequencies.D, skip_weekends=True)
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ts = pft.TimeSeries(data, "D")
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sharpe_ratio = pft.sharpe_ratio(
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ts,
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risk_free_rate=0.06,
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from_date="2017-02-04",
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to_date="2021-12-31",
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return_period_unit="months",
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return_period_value=1,
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)
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assert round(sharpe_ratio, 4) == 1.0502
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sharpe_ratio = pft.sharpe_ratio(
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ts,
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risk_free_rate=0.06,
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from_date="2017-01-09",
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to_date="2021-12-31",
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return_period_unit="days",
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return_period_value=7,
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)
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assert round(sharpe_ratio, 4) == 1.0701
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sharpe_ratio = pft.sharpe_ratio(
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ts,
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risk_free_rate=0.06,
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from_date="2018-01-02",
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to_date="2021-12-31",
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return_period_unit="years",
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return_period_value=1,
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)
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assert round(sharpe_ratio, 4) == 1.4374
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sharpe_ratio = pft.sharpe_ratio(
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ts,
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risk_free_rate=0.06,
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from_date="2017-07-03",
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to_date="2021-12-31",
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return_period_unit="months",
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return_period_value=6,
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)
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assert round(sharpe_ratio, 4) == 0.8401
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def test_sharpe_weekly_freq(self, create_test_data):
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data = create_test_data(num=261, frequency=pft.AllFrequencies.W, mu=0.6, sigma=0.7)
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ts = pft.TimeSeries(data, "W")
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sharpe_ratio = pft.sharpe_ratio(
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ts,
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risk_free_rate=0.052,
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from_date="2017-01-08",
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to_date="2021-12-31",
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return_period_unit="days",
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return_period_value=7,
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)
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assert round(sharpe_ratio, 4) == 0.4533
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sharpe_ratio = pft.sharpe_ratio(
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ts,
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risk_free_rate=0.052,
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from_date="2017-02-05",
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to_date="2021-12-31",
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return_period_unit="months",
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return_period_value=1,
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)
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assert round(sharpe_ratio, 4) == 0.4898
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sharpe_ratio = pft.sharpe_ratio(
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ts,
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risk_free_rate=0.052,
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from_date="2018-01-01",
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to_date="2021-12-31",
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return_period_unit="months",
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return_period_value=12,
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)
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assert round(sharpe_ratio, 4) == 0.3199
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class TestSortino:
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def test_sortino_daily_freq(self, create_test_data):
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data = create_test_data(num=1305, frequency=pft.AllFrequencies.D, skip_weekends=True)
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ts = pft.TimeSeries(data, "D")
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sortino_ratio = pft.sortino_ratio(
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ts,
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risk_free_rate=0.06,
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from_date="2017-02-02",
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to_date="2021-12-31",
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return_period_unit="months",
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return_period_value=1,
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)
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assert round(sortino_ratio, 4) == 2.5377
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# sharpe_ratio = pft.sharpe_ratio(
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# ts,
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# risk_free_rate=0.06,
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# from_date="2017-01-09",
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# to_date="2021-12-31",
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# return_period_unit="days",
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# return_period_value=7,
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# )
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# assert round(sharpe_ratio, 4) == 1.0701
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# sharpe_ratio = pft.sharpe_ratio(
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# ts,
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# risk_free_rate=0.06,
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# from_date="2018-01-02",
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# to_date="2021-12-31",
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# return_period_unit="years",
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# return_period_value=1,
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# )
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# assert round(sharpe_ratio, 4) == 1.4374
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# sharpe_ratio = pft.sharpe_ratio(
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# ts,
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# risk_free_rate=0.06,
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# from_date="2017-07-03",
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# to_date="2021-12-31",
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# return_period_unit="months",
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# return_period_value=6,
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# )
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# assert round(sharpe_ratio, 4) == 0.8401
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# def test_sharpe_weekly_freq(self, create_test_data):
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# data = create_test_data(num=261, frequency=pft.AllFrequencies.W, mu=0.6, sigma=0.7)
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# ts = pft.TimeSeries(data, "W")
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# sharpe_ratio = pft.sharpe_ratio(
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# ts,
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# risk_free_rate=0.052,
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# from_date="2017-01-08",
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# to_date="2021-12-31",
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# return_period_unit="days",
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# return_period_value=7,
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# )
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# assert round(sharpe_ratio, 4) == 0.4533
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# sharpe_ratio = pft.sharpe_ratio(
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# ts,
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# risk_free_rate=0.052,
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# from_date="2017-02-05",
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# to_date="2021-12-31",
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# return_period_unit="months",
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# return_period_value=1,
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# )
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# assert round(sharpe_ratio, 4) == 0.4898
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# sharpe_ratio = pft.sharpe_ratio(
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# ts,
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# risk_free_rate=0.052,
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# from_date="2018-01-01",
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# to_date="2021-12-31",
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# return_period_unit="months",
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# return_period_value=12,
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# )
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# assert round(sharpe_ratio, 4) == 0.3199
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class TestBeta:
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def test_beta_daily_freq(self, create_test_data):
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market_data = create_test_data(num=3600, frequency=pft.AllFrequencies.D)
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stock_data = create_test_data(num=3600, frequency=pft.AllFrequencies.D, mu=0.12, sigma=0.08)
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sts = pft.TimeSeries(stock_data, "D")
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mts = pft.TimeSeries(market_data, "D")
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beta = pft.beta(sts, mts, frequency="D", return_period_unit="days", return_period_value=1)
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assert round(beta, 4) == 1.6001
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def test_beta_daily_freq_daily_returns(self, create_test_data):
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market_data = create_test_data(num=3600, frequency=pft.AllFrequencies.D)
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stock_data = create_test_data(num=3600, frequency=pft.AllFrequencies.D, mu=0.12, sigma=0.08)
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sts = pft.TimeSeries(stock_data, "D")
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mts = pft.TimeSeries(market_data, "D")
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beta = pft.beta(sts, mts)
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assert round(beta, 4) == 1.6292
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def test_beta_monthly_freq(self, create_test_data):
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market_data = create_test_data(num=3600, frequency=pft.AllFrequencies.D)
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stock_data = create_test_data(num=3600, frequency=pft.AllFrequencies.D, mu=0.12, sigma=0.08)
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sts = pft.TimeSeries(stock_data, "D")
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mts = pft.TimeSeries(market_data, "D")
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beta = pft.beta(sts, mts, frequency="M")
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assert round(beta, 4) == 1.629
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def test_beta_monthly_freq_monthly_returns(self, create_test_data):
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market_data = create_test_data(num=3600, frequency=pft.AllFrequencies.D)
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stock_data = create_test_data(num=3600, frequency=pft.AllFrequencies.D, mu=0.12, sigma=0.08)
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sts = pft.TimeSeries(stock_data, "D")
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mts = pft.TimeSeries(market_data, "D")
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beta = pft.beta(sts, mts, frequency="M", return_period_unit="months", return_period_value=1)
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assert round(beta, 4) == 1.6023
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