def test_up_capture(self):
res_a = empyrical.up_capture(ret['a'], benchmark_rets['a'])
res_b = empyrical.up_capture(ret['b'], benchmark_rets['b'])
res_c = empyrical.up_capture(ret['c'], benchmark_rets['c'])
assert isclose(ret['a'].vbt.returns.up_capture(benchmark_rets['a']),
res_a)
pd.testing.assert_series_equal(
ret.vbt.returns.up_capture(benchmark_rets),
pd.Series([res_a, res_b, res_c], index=ret.columns))
def test_up_capture(self):
res_a = empyrical.up_capture(ret['a'], benchmark_rets['a'])
res_b = empyrical.up_capture(ret['b'], benchmark_rets['b'])
res_c = empyrical.up_capture(ret['c'], benchmark_rets['c'])
assert isclose(ret['a'].vbt.returns.up_capture(benchmark_rets['a']),
res_a)
pd.testing.assert_series_equal(
ret.vbt.returns.up_capture(benchmark_rets),
pd.Series([res_a, res_b, res_c],
index=ret.columns).rename('up_capture'))
pd.testing.assert_series_equal(
ret.vbt.returns.rolling_up_capture(ret.shape[0],
benchmark_rets,
minp=1).iloc[-1],
pd.Series([res_a, res_b, res_c],
index=ret.columns).rename(ret.index[-1]))