def test_orders_01(self):
portvals = marketsim_editedv4.compute_portvals(
orders_file="./orders/orders-01.csv", start_val=1000000)
final_portfolio_value = portvals.ix[-1, :][0]
final_portfolio_dataframe_length = len(portvals)
expected_value = 1115569.2
self.assertAlmostEqual(
expected_value,
final_portfolio_value,
4,
"Final portfolio value is {} incorrect. Expected {}".format(
final_portfolio_value, expected_value),
delta=None)
expected_value = 245
self.assertEqual(
expected_value, final_portfolio_dataframe_length,
"Final portfolio dataframe length {} is incorrect. Expected {}".
format(final_portfolio_dataframe_length, expected_value))
def test_orders_short(self):
portvals = marketsim_editedv4.compute_portvals(
orders_file=
"/home/ml4t/PycharmProjects/mc2_p1/orders/orders-short.csv",
start_val=1000000)
final_portfolio_value = portvals.ix[-1, :][0]
final_portfolio_dataframe_length = len(portvals)
expected_value = 998035.0
self.assertAlmostEqual(
expected_value,
final_portfolio_value,
4,
"Final portfolio value is {} incorrect. Expected {}".format(
final_portfolio_value, expected_value),
delta=None)
expected_value = 11
self.assertEqual(
expected_value, final_portfolio_dataframe_length,
"Final portfolio dataframe length {} is incorrect. Expected {}".
format(final_portfolio_dataframe_length, expected_value))
success, cum_ret, avg_daily_ret, std_daily_ret, sharpe_ratio = self.try_assess_portfolio(
portvals)
if success:
expected_value = -0.446948390642
self.assertAlmostEqual(
expected_value,
sharpe_ratio[0],
4,
"Sharpe ratio {} is incorrect. Expected {}".format(
sharpe_ratio[0], expected_value),
delta=None)
expected_value = -0.001965
self.assertAlmostEqual(
expected_value,
cum_ret[0],
4,
"Cumulative return {} is incorrect. Expected {}".format(
cum_ret[0], expected_value),
delta=None)
expected_value = 0.00634128215394
self.assertAlmostEqual(
expected_value,
std_daily_ret[0],
4,
"Standard deviation {} is incorrect. Expected {}".format(
std_daily_ret[0], expected_value),
delta=None)
expected_value = -0.000178539446839
self.assertAlmostEqual(
expected_value,
avg_daily_ret[0],
4,
"Avg daily return {} is incorrect. Expected {}".format(
avg_daily_ret[0], expected_value),
delta=None)
'''
def test_orders(self):
portvals = marketsim_editedv4.compute_portvals(
orders_file="/home/ml4t/PycharmProjects/mc2_p1/orders/orders.csv",
start_val=1000000)
final_portfolio_value = portvals.ix[-1, :][0]
final_portfolio_dataframe_length = len(portvals)
expected_value = 1133860.0
self.assertAlmostEqual(
expected_value,
final_portfolio_value,
4,
"Final portfolio value is {} incorrect. Expected {}".format(
final_portfolio_value, expected_value),
delta=None)
expected_value = 240
self.assertEqual(
expected_value, final_portfolio_dataframe_length,
"Final portfolio dataframe length {} is incorrect. Expected {}".
format(final_portfolio_dataframe_length, expected_value))
success, cum_ret, avg_daily_ret, std_daily_ret, sharpe_ratio = self.try_assess_portfolio(
portvals)
if success:
expected_value = 1.21540888742
self.assertAlmostEqual(
expected_value,
sharpe_ratio[0],
4,
"Sharpe ratio {} is incorrect. Expected {}".format(
sharpe_ratio[0], expected_value),
delta=None)
expected_value = 0.13386
self.assertAlmostEqual(
expected_value,
cum_ret[0],
4,
"Cumulative return {} is incorrect. Expected {}".format(
cum_ret[0], expected_value),
delta=None)
expected_value = 0.00720514136323
self.assertAlmostEqual(
expected_value,
std_daily_ret[0],
4,
"Standard deviation {} is incorrect. Expected {}".format(
std_daily_ret[0], expected_value),
delta=None)
expected_value = 0.000551651296638
self.assertAlmostEqual(
expected_value,
avg_daily_ret[0],
4,
"Avg daily return {} is incorrect. Expected {}".format(
avg_daily_ret[0], expected_value),
delta=None)
'''