def testListedAndCompoundedOperator(self):
maClose = MovingAverage(20, 'close')
maOpen = MovingAverage(10, 'open')
maRf = MovingAverage(10, 'rf')
listHolder = MovingAverage(20, 'close') ^ MovingAverage(10, 'open') ^ MovingAverage(10, 'rf')
mc = MovingAlphaBeta(20, listHolder)
maCloseContainer = deque(maxlen=20)
maOpenContainer = deque(maxlen=20)
for i, (open, close, rf) in enumerate(zip(self.sampleOpen, self.sampleClose, self.sampleRf)):
data = {'close': close, 'open': open, 'rf': rf}
maClose.push(data)
maOpen.push(data)
maRf.push(data)
mc.push(data)
maCloseContainer.append(maClose.result() - maRf.result())
maOpenContainer.append(maOpen.result() - maRf.result())
if i >= 2:
expected = linregress(maOpenContainer, maCloseContainer)
calculated = mc.result()
# check alpha
self.assertAlmostEqual(expected[1], calculated[0], 10, "at index {0:d}\n"
"expected alpha: {1:f}\n"
"calculated alpha: {2:f}".format(i, expected[1],
calculated[0]))
# check beta
self.assertAlmostEqual(expected[0], calculated[1], 10, "at index {0:d}\n"
"expected beta: {1:f}\n"
"calculated beta: {2:f}".format(i, expected[0],
calculated[1]))
def testMovingAlphaBeta(self):
dirName = os.path.dirname(os.path.abspath(__file__))
filePath = os.path.join(dirName, 'data/alphabeta.csv')
window = 120
with open(filePath, 'r') as fileHandler:
reader = csv.reader(fileHandler)
mv = MovingAlphaBeta(window)
for i, row in enumerate(reader):
if i == 0:
continue
mv.push(dict(pRet=float(row[0]), mRet=float(row[1]), riskFree=float(row[2])))
if i == 1:
self.assertTrue(np.all(np.isnan(mv.result())))
if i >= window:
calculatedAlpha, calculatedBeta = mv.result()
expectedBeta = float(row[8])
self.assertAlmostEqual(calculatedBeta, expectedBeta, 8, "at index {0:d}\n"
"Beta expected: {1:f}\n"
"Beta calculated: {2:f}".format(i,
expectedBeta,
calculatedBeta))
expectedAlpha = float(row[9])
self.assertAlmostEqual(calculatedAlpha, expectedAlpha, 8, "at index {0:d}\n"
"Alpha expected: {1:f}\n"
"Alpha calculated: {2:f}".format(i,
expectedAlpha,
calculatedAlpha))
def testListedAndCompoundedOperator(self):
maClose = MovingAverage(20, 'close')
maOpen = MovingAverage(10, 'open')
maRf = MovingAverage(10, 'rf')
listHolder = MovingAverage(20, 'close') ^ MovingAverage(
10, 'open') ^ MovingAverage(10, 'rf')
mc = MovingAlphaBeta(20, listHolder)
maCloseContainer = deque(maxlen=20)
maOpenContainer = deque(maxlen=20)
for i, (open, close, rf) in enumerate(
zip(self.sampleOpen, self.sampleClose, self.sampleRf)):
data = {'close': close, 'open': open, 'rf': rf}
maClose.push(data)
maOpen.push(data)
maRf.push(data)
mc.push(data)
maCloseContainer.append(maClose.result() - maRf.result())
maOpenContainer.append(maOpen.result() - maRf.result())
if i >= 2:
expected = linregress(maOpenContainer, maCloseContainer)
calculated = mc.result()
# check alpha
self.assertAlmostEqual(
expected[1], calculated[0], 10, "at index {0:d}\n"
"expected alpha: {1:f}\n"
"calculated alpha: {2:f}".format(i, expected[1],
calculated[0]))
# check beta
self.assertAlmostEqual(
expected[0], calculated[1], 10, "at index {0:d}\n"
"expected beta: {1:f}\n"
"calculated beta: {2:f}".format(i, expected[0],
calculated[1]))