def testSecurityMovingVariance(self):
window = 10
var = SecurityMovingVariance(window, ['close'])
for i in range(len(self.aapl['close'])):
data = dict(aapl=dict(close=self.aapl['close'][i],
open=self.aapl['open'][i]),
ibm=dict(close=self.ibm['close'][i],
open=self.ibm['open'][i]))
var.push(data)
if i <= 1:
continue
if i < window:
start = 0
else:
start = i + 1 - window
value = var.value
for name in value.index():
expected = np.var(self.dataSet[name]['close'][start:(
i + 1)]) * (i + 1. - start) / (i - start)
calculated = value[name]
self.assertAlmostEqual(
expected, calculated, 12, 'at index {0}\n'
'expected: {1:.12f}\n'
'calculated: {2:.12f}'.format(i, expected, calculated))
def MVARIANCE(window, dependency='x'):
return SecurityMovingVariance(window, dependency)
def MVARIANCE(window, x='x'):
return SecurityMovingVariance(window, x)
def VARIANCE(window, dependency='x', symbolList=None):
return SecurityMovingVariance(window, dependency, symbolList)