def test_default_sell_signals(self):
to_sell = self.test_sids[0]
manager = gmv.GlobalMinimumVariance()
manager.update(self.test_pf, None, None)
eq_(manager.portfolio, self.test_pf)
alloc, _, _ = manager.optimize({}, [to_sell])
eq_(alloc[to_sell], -self.test_pf.positions[to_sell].amount)
def test_optimize_empty_signals(self):
manager = gmv.GlobalMinimumVariance()
alloc, e_ret, e_risk = manager.optimize({}, {})
self._check_optimize_return(alloc, e_ret, e_risk)
eq_(alloc, {})
eq_(e_ret, 0)
eq_(e_risk, 1)
def test_buy_signals(self):
manager = gmv.GlobalMinimumVariance()
manager.advise(historical_prices=generate_fake_returns(self.test_sids))
alloc, _, _ = manager.optimize({'goog': 45.6}, {})
ok_(alloc)
for sid, weigh in alloc.iteritems():
self.assertIsInstance(alloc[sid], float)
self.assertGreaterEqual(weigh, 0)
self.assertLessEqual(weigh, 1)
self.assertIn(sid, self.test_sids)
def test_buy_signals_without_returns(self):
manager = gmv.GlobalMinimumVariance()
alloc, e_ret, e_risk = manager.optimize({'goog': 45.6}, {})
self._check_optimize_return(alloc, e_ret, e_risk)
def test_initialize(self):
manager = gmv.GlobalMinimumVariance()
self._check_initialization(manager)
eq_(manager.partial_sell, 1.0)