def test_performance(self):
p = performance(ts, 262)
g = read_series("performance_a.csv", parse_dates=False)
for i in p.index[:-2]:
self.assertAlmostEqual(float(p.ix[i]), float(g.ix[i]), places=10)
for i in p.index[-2:]:
self.assertEqual(p.ix[i], pd.Timestamp(g.ix[i]))
def performance(self, days=262):
return performance(self.__nav, days).ix[
["Annua. Return", "Annua. Volatility", "Annua. Sharpe Ratio", "Calmar Ratio (3Y)", "Max Nav",
"Max Drawdown", "YTD", "MTD", "Current Nav", "Current Drawdown", "Positive Days", "Negative Days"]]