def test_log_total_returns():
data = log_total_returns(("GMKN", "RTKMP", "MTSS"), pd.Timestamp("2018-10-17"))
assert isinstance(data, pd.DataFrame)
assert list(data.columns) == ["GMKN", "RTKMP", "MTSS"]
assert data.index[0] == pd.Timestamp("2003-10-02")
assert data.index[-1] == pd.Timestamp("2018-10-17")
assert data.loc["2018-10-08", "MTSS"] == pytest.approx(
np.log(((269.9 + 2.6 * AFTER_TAX) / 275.1))
)
assert data.loc["2018-10-09", "MTSS"] == pytest.approx(np.log(((264 + 0) / 269.9)))
assert data.loc["2018-10-01", "GMKN"] == pytest.approx(
np.log(((11307 + 0) / 11388))
)
assert data.loc["2018-09-28", "GMKN"] == pytest.approx(
np.log(((11388 + 776.02 * AFTER_TAX) / 11830))
)
assert data.loc["2018-07-05", "RTKMP"] == pytest.approx(
np.log(((62.53 + 5.045825249373 * AFTER_TAX) / 66))
)
assert data.loc["2018-07-06", "RTKMP"] == pytest.approx(np.log(((62 + 0) / 62.53)))
def get(self, params=None) -> pd.Series:
"""Для дат, в которые есть котировки указывается тикер."""
returns = data.log_total_returns(self._tickers, self._last_date)
tickers = returns.stack()
tickers.loc[:] = tickers.index.get_level_values(1)
tickers.name = self.name
return tickers
def get(self, params=None) -> pd.Series:
"""Средняя доходность за указанное количество предыдущих дней."""
params = params or self._params
days = params["days"]
returns = data.log_total_returns(self._tickers, self._last_date)
mom12m = returns.rolling(days).mean()
mom12m = mom12m.stack()
mom12m.name = self.name
return mom12m
def get(self, params=None) -> pd.Series:
"""СКО за указанное количество предыдущих дней."""
params = params or self._params
days = params["days"]
returns = data.log_total_returns(self._tickers, self._last_date)
std = returns.rolling(days).std()
std = std.stack()
std.name = self.name
return std[std > LOW_STD]
def get(self, params=None) -> pd.Series:
"""Средняя доходность за указанное количество следующих дней."""
params = params or self._params
days = params["days"]
returns = data.log_total_returns(self._tickers, self._last_date)
label = returns.rolling(days).mean()
label = label.shift(-days).stack()
label.name = self.name
return label
def get(self, params=None) -> pd.Series:
"""Максимальная доходность за указанное количество предыдущих дней."""
params = params or self._params
days = params["days"]
returns = data.log_total_returns(self._tickers, self._last_date)
retmax = returns.rolling(days).max()
retmax = retmax.stack()
retmax.name = self.name
return retmax
