85 lines
2.5 KiB
Python
85 lines
2.5 KiB
Python
import fincal as fc
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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=fc.AllFrequencies.D, skip_weekends=True)
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ts = fc.TimeSeries(data, "D")
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sharpe_ratio = fc.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 = fc.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 = fc.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 = fc.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=fc.AllFrequencies.W, mu=0.6, sigma=0.7)
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ts = fc.TimeSeries(data, "W")
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sharpe_ratio = fc.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 = fc.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 = fc.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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