def test_historical_price__margin_adjustment__daily(self):
# In case if we want only 1 historical bar and the last full bar was more than ~12 days ago, the adjustment of
# the margin for the "number of days to go back" need to be performed
self.current_time = str_to_date("2021-05-18 00:00:00.000000",
DateFormat.FULL_ISO)
actual_bars = self.data_provider.historical_price(
self.ticker_1, PriceField.ohlcv(), 1, frequency=Frequency.DAILY)
expected_bars = PricesDataFrame(data=[[25.0, 25.1, 25.2, None, 25.3]],
index=[str_to_date('2021-05-05')],
columns=PriceField.ohlcv())
assert_dataframes_equal(actual_bars, expected_bars, check_names=False)
self.current_time = str_to_date("2021-05-27 00:00:00.000000",
DateFormat.FULL_ISO)
actual_bars = self.data_provider.historical_price(
self.ticker_1, PriceField.ohlcv(), 1, frequency=Frequency.DAILY)
assert_dataframes_equal(actual_bars, expected_bars, check_names=False)
with self.assertRaises(ValueError):
self.current_time = str_to_date("2021-06-06 00:00:00.000000",
DateFormat.FULL_ISO)
self.data_provider.historical_price(self.ticker_1,
PriceField.ohlcv(),
1,
frequency=Frequency.DAILY)
def test_drifting_weights_alloc_not_fully_invested(self):
expected_df = self.alloc_for_not_fully_invested_drift_weights
_, actual_df = Portfolio.drifting_weights(self.assets_df,
self.weights_not_full_invest)
assert_dataframes_equal(expected_df,
actual_df,
absolute_tolerance=1e-06)
def test_asof_multiple_dates_gaps_at_the_end(self):
actual_result = self.qf_data_array.asof(str_to_date('2018-02-06'))
expected_result = QFDataFrame(
index=self.qf_data_array.tickers.to_index(),
columns=self.qf_data_array.fields.to_index(),
data=[[16, 17, 18, 19], [12, 13, 14, 15]])
assert_dataframes_equal(expected_result, actual_result)
def test_concat(self):
full_df = QFDataFrame(data=self.prices_values,
index=self.dates,
columns=self.column_names)
# Concatenate along index (axis = 0)
number_of_rows = len(full_df)
half_df = full_df.iloc[:number_of_rows // 2]
second_half_df = full_df.iloc[number_of_rows // 2:]
concatenated_df = pd.concat([half_df, second_half_df])
self.assertEqual(type(concatenated_df), QFDataFrame)
self.assertEqual({dtype("float64")}, set(concatenated_df.dtypes))
assert_dataframes_equal(concatenated_df, full_df)
# Concatenate along columns (axis = 1)
number_of_columns = full_df.num_of_columns
half_df = full_df.loc[:, full_df.columns[:number_of_columns // 2]]
second_half_df = full_df.loc[:,
full_df.columns[number_of_columns // 2:]]
concatenated_df = pd.concat([half_df, second_half_df], axis=1)
self.assertEqual(type(concatenated_df), QFDataFrame)
self.assertEqual({dtype("float64")}, set(concatenated_df.dtypes))
assert_dataframes_equal(concatenated_df, full_df)
def test_futures_chain_without_adjustment(self):
timer = SettableTimer(self.end_date)
self.future_ticker_1.initialize_data_provider(timer,
self.data_provider)
futures_chain = FuturesChain(self.future_ticker_1, self.data_provider,
FuturesAdjustmentMethod.NTH_NEAREST)
# AB2021M is the current specific ticker till 2021-06-14 inclusive, afterwards the AB2021U
start_date = str_to_date("2021-06-13")
end_date = str_to_date("2021-06-17")
fields = PriceField.ohlcv()
prices = futures_chain.get_price(fields, start_date, end_date,
Frequency.DAILY)
prices_m_contract = self.data_provider.get_price(
PortaraTicker("AB2021M", SecurityType.FUTURE, 1), fields,
start_date, str_to_date("2021-06-14"), Frequency.DAILY)
prices_u_contract = self.data_provider.get_price(
PortaraTicker("AB2021U", SecurityType.FUTURE, 1), fields,
str_to_date("2021-06-15"), end_date, Frequency.DAILY)
assert_dataframes_equal(prices,
concat([prices_m_contract, prices_u_contract]),
check_names=False)
def test_asof_nans_when_no_data_available(self):
actual_result = self.qf_data_array.asof(str_to_date('2018-02-02'))
expected_result = QFDataFrame(
index=self.qf_data_array.tickers.to_index(),
columns=self.qf_data_array.fields.to_index())
assert_dataframes_equal(expected_result, actual_result)
def test_import_dataframe(self):
template_file_path = self.template_file_path(SINGLE_SHEET_ONE_DATA_FRAME)
imported_dataframe = self.xl_importer.import_container(file_path=template_file_path, container_type=QFDataFrame,
starting_cell='A1', ending_cell='C10')
assert_dataframes_equal(self.test_data_frame, imported_dataframe)
def test_stepwise_factors_identification(self):
stepwise_factors_identifier = StepwiseFactorsIdentifier(
is_intercept=False, epsilon=0.01)
actual_df = stepwise_factors_identifier.select_best_factors(
self.regressors_df, self.analysed_tms)
expected_df = self.regressors_df.loc[:, ['a', 'b']]
assert_dataframes_equal(expected_df, actual_df)
def test_enet_factors_identification(self):
enet_factors_identifier = ElasticNetFactorsIdentifier(
max_number_of_regressors=10)
actual_df = enet_factors_identifier.select_best_factors(
self.regressors_df, self.analysed_tms)
expected_df = self.regressors_df.loc[:, ['a', 'b']]
assert_dataframes_equal(expected_df, actual_df)
def test_enet_factors_identification_simplified(self):
enet_factors_identifier = ElasticNetFactorsIdentifierSimplified(
epsilon=0.05)
actual_df = enet_factors_identifier.select_best_factors(
self.regressors_df, self.analysed_tms)
expected_df = self.regressors_df.loc[:, ['a', 'b']]
assert_dataframes_equal(expected_df, actual_df)
def test_asof_multiple_dates(self):
actual_result = self.qf_data_array.asof(
[str_to_date('2018-02-05'),
str_to_date('2018-02-04')])
expected_result = QFDataFrame(
index=self.qf_data_array.tickers.to_index(),
columns=self.qf_data_array.fields.to_index(),
data=[[8, 9, 10, 11], [np.nan, np.nan, np.nan, np.nan]])
assert_dataframes_equal(expected_result, actual_result)
def test_import_custom_dataframe(self):
template_file_path = self.template_file_path(SINGLE_SHEET_CUSTOM_INDEX_DATA_FRAME)
df = QFDataFrame({"Test": [1, 2, 3, 4, 5], "Test2": [10, 20, 30, 40, 50]}, ["A", "B", "C", "D", "E"])
imported_dataframe = self.xl_importer.import_container(file_path=template_file_path, container_type=QFDataFrame,
starting_cell='A10', ending_cell='C15',
include_index=True, include_column_names=True)
assert_dataframes_equal(df, imported_dataframe)
def test_min_max_normalized(self):
normalized_prices = [[0.00, 0.00, 0.00, 0.00, 0.00],
[0.25, 0.25, 0.25, 0.25, 0.25],
[0.50, 0.50, 0.50, 0.50, 0.50],
[0.75, 0.75, 0.75, 0.75, 0.75],
[1.00, 1.00, 1.00, 1.00, 1.00]]
expected_dataframe = PricesDataFrame(data=normalized_prices, index=self.dates, columns=self.column_names)
actual_dataframe = self.test_prices_df.min_max_normalized()
assert_dataframes_equal(expected_dataframe, actual_dataframe)
def _assert_bars_for_today_is_correct(self, curr_time_str,
expected_values):
current_time = str_to_date(curr_time_str, DateFormat.FULL_ISO)
self.timer.set_current_time(current_time)
expected_dataframe = QFDataFrame(data=expected_values,
index=self.tickers_index,
columns=self.fields_index)
actual_dataframe = self.data_handler.get_current_bar(self.tickers)
assert_dataframes_equal(expected_dataframe,
actual_dataframe,
check_names=False)
def test_exponential_average(self):
smoothed_values = [[1.000000, 1.000000, 1.000000, 1.000000, 1.000000],
[1.940000, 1.940000, 1.940000, 1.940000, 1.940000],
[2.936400, 2.936400, 2.936400, 2.936400, 2.936400],
[3.936184, 3.936184, 3.936184, 3.936184, 3.936184],
[4.936171, 4.936171, 4.936171, 4.936171, 4.936171]]
expected_dataframe = PricesDataFrame(data=smoothed_values, index=self.dates, columns=self.column_names)
actual_dataframe = self.test_prices_df.exponential_average()
assert_dataframes_equal(expected_dataframe, actual_dataframe)
def test_aggregate_by_year(self):
dates = pd.DatetimeIndex(['2015-06-01', '2015-12-30', '2016-01-01', '2016-05-01'])
test_dataframe = SimpleReturnsDataFrame(data=self.simple_returns_values, index=dates)
expected_aggregated_rets = [[2.000000, 2.000000, 2.000000, 2.000000, 2.000000],
[0.666666, 0.666666, 0.666666, 0.666666, 0.666666]]
expected_dataframe = SimpleReturnsDataFrame(data=expected_aggregated_rets,
index=pd.DatetimeIndex(['2015-12-31', '2016-12-31']))
actual_dataframe = test_dataframe.aggregate_by_year()
assert_dataframes_equal(expected_dataframe, actual_dataframe)
def test_get_price_with_single_field(self):
actual_frame = self.prefetching_data_provider.get_price(
self.cached_tickers, PriceField.Volume, self.start_date,
self.end_date, self.frequency)
expected_frame = PricesDataFrame(data=np.full(
(len(self.cached_dates_idx), len(self.cached_tickers_idx)), 0),
index=self.cached_dates_idx,
columns=self.cached_tickers_idx)
tt.assert_dataframes_equal(expected_frame,
actual_frame,
check_index_type=True,
check_column_type=True)
def test_proxy_using_values(self):
expected_values = [[0.0, 0.0, 0.0, 0.0], [1.0, 1.0, 1.0, 1.0],
[2.0, 0.0, 2.0, 2.0], [3.0, 3.0, 0.0, 3.0],
[4.0, 4.0, 4.0, 4.0], [5.0, 5.0, 5.0, 5.0]]
expected_columns = ['a', 'c', 'd', 'e']
expected_dates = self.test_dataframe.index.copy()
expected_dataframe = SimpleReturnsDataFrame(data=expected_values,
columns=expected_columns,
index=expected_dates)
self.data_cleaner.threshold = 0.2
actual_dataframe = self.data_cleaner.proxy_using_value(proxy_value=0.0)
assert_dataframes_equal(expected_dataframe, actual_dataframe)
def test_import_custom_dataframe_shifted(self):
# This tests issue #79.
template_file_path = self.template_file_path(SINGLE_SHEET_CUSTOM_INDEX_DATA_FRAME_SHIFTED)
# With index and column names.
df = QFDataFrame({"Test": [1, 2, 3, 4, 5], "Test2": [10, 20, 30, 40, 50]}, ["A", "B", "C", "D", "E"])
imported_dataframe = self.xl_importer.import_container(file_path=template_file_path, container_type=QFDataFrame,
starting_cell='C10', ending_cell='E15',
include_index=True, include_column_names=True)
assert_dataframes_equal(df, imported_dataframe)
# With index and no column names.
df = QFDataFrame({0: [1, 2, 3, 4, 5], 1: [10, 20, 30, 40, 50]}, ["A", "B", "C", "D", "E"])
imported_dataframe = self.xl_importer.import_container(file_path=template_file_path, container_type=QFDataFrame,
starting_cell='C11', ending_cell='E15',
include_index=True, include_column_names=False)
assert_dataframes_equal(df, imported_dataframe)
# With column names and no index.
df = QFDataFrame({"Test": [1, 2, 3, 4, 5], "Test2": [10, 20, 30, 40, 50]})
imported_dataframe = self.xl_importer.import_container(file_path=template_file_path, container_type=QFDataFrame,
starting_cell='D10', ending_cell='E15',
include_index=False, include_column_names=True)
assert_dataframes_equal(df, imported_dataframe)
# With no column names and no index.
df = QFDataFrame({0: [1, 2, 3, 4, 5], 1: [10, 20, 30, 40, 50]})
imported_dataframe = self.xl_importer.import_container(file_path=template_file_path, container_type=QFDataFrame,
starting_cell='D11', ending_cell='E15',
include_index=False, include_column_names=False)
assert_dataframes_equal(df, imported_dataframe)
def test_rolling_time_window(self):
actual_result = self.test_prices_df.rolling_time_window(window_length=2, step=1, func=lambda x: x.mean())
expected_values = [[1.5, 1.5, 1.5, 1.5, 1.5],
[2.5, 2.5, 2.5, 2.5, 2.5],
[3.5, 3.5, 3.5, 3.5, 3.5],
[4.5, 4.5, 4.5, 4.5, 4.5]]
expected_index = self.test_prices_df.index[-4:].copy(deep=True)
expected_columns = ['a', 'b', 'c', 'd', 'e']
expected_result = QFDataFrame(expected_values, expected_index, expected_columns)
assert_dataframes_equal(expected_result, actual_result, absolute_tolerance=1e-20)
actual_result = self.test_prices_df.rolling_time_window(window_length=2, step=1, func=lambda x: x.mean().mean())
expected_values = [1.5, 2.5, 3.5, 4.5]
expected_index = self.test_prices_df.index[-4:].copy(deep=True)
expected_result = QFSeries(expected_values, expected_index)
assert_series_equal(expected_result, actual_result, absolute_tolerance=1e-20)
def test_proxy_using_regression(self):
expected_values = [[np.nan, 0.0, 0.0, 0.0], [1.0, 1.0, 1.0, 1.0],
[2.0, 2.0, 2.0, 2.0], [3.0, 3.0, 3.0, 3.0],
[4.0, 4.0, 4.0, 4.0], [5.0, 5.0, 5.0, 5.0]]
expected_columns = ['a', 'c', 'd', 'e']
expected_dates = self.test_dataframe.index.copy()
expected_dataframe = SimpleReturnsDataFrame(data=expected_values,
columns=expected_columns,
index=expected_dates)
self.data_cleaner.threshold = 0.2
actual_dataframe = self.data_cleaner.proxy_using_regression(
benchmark_tms=self.test_benchmark,
columns_type=SimpleReturnsSeries)
assert_dataframes_equal(expected_dataframe, actual_dataframe)
def test_make_scenarios(self):
initial_risks = [0.01, 0.02, 0.03]
scenarios = [
self.sample_trades_df * 1.0, self.sample_trades_df * -1.0,
self.sample_trades_df * 2.0
] # type: Sequence[QFDataFrame]
actual_stats = self.initial_risk_stats_factory.make_stats(
initial_risks, scenarios)
expected_stats = QFDataFrame(index=[0.01, 0.02, 0.03],
columns=[
InitialRiskStatsFactory.FAILED,
InitialRiskStatsFactory.SUCCEEDED
],
data=[[1 / 3, 2 / 3], [0.0, 1 / 3],
[2 / 3, 1 / 3]])
assert_dataframes_equal(expected_stats, actual_stats)
def test_get_values_for_common_dates(self):
data = range(6)
dates1 = DatetimeIndex([
'2014-12-31', '2015-01-02', '2015-01-04', '2015-01-05',
'2015-01-09', '2015-01-10'
])
dates2 = DatetimeIndex([
'2015-02-01', '2015-01-02', '2015-01-03', '2015-01-04',
'2015-01-05', '2015-01-10'
])
series1 = QFSeries(data=data, index=dates1, name='Series 1')
series2 = QFSeries(data=data, index=dates2, name='Series 2')
data_2d = array([data, data]).transpose()
dataframe1 = QFDataFrame(
data=data_2d,
index=dates2,
columns=['DataFrame Col. A', 'DataFrame Col. B'])
expected_index = DatetimeIndex(
['2015-01-02', '2015-01-04', '2015-01-05', '2015-01-10'])
expected_data1 = [1, 2, 3, 5]
expected_series1 = QFSeries(data=expected_data1,
index=expected_index,
name='Series 1')
expected_data2 = [1, 3, 4, 5]
expected_series2 = QFSeries(data=expected_data2,
index=expected_index,
name='Series 2')
expected_dataframe = QFDataFrame(
data=array([expected_data2, expected_data2]).transpose(),
index=expected_index,
columns=['DataFrame Col. A', 'DataFrame Col. B'])
actual_series1, actual_series2, actual_dataframe = get_values_for_common_dates(
series1, series2, dataframe1)
assert_series_equal(expected_series1, actual_series1)
assert_series_equal(expected_series2, actual_series2)
assert_dataframes_equal(expected_dataframe, actual_dataframe)
def test_historical_price__single_ticker__multiple_fields__daily(self):
self.current_time = str_to_date("2021-05-06 00:00:00.000000",
DateFormat.FULL_ISO)
# Test when the current day does not have the open price
actual_bars = self.data_provider.historical_price(
self.ticker_2, PriceField.ohlcv(), 2, frequency=Frequency.DAILY)
expected_bars = PricesDataFrame(
data=[[29.0, 29.1, 29.2, 30.0, 29.3],
[27.0, 27.1, 27.2, None, 27.3]],
index=[str_to_date('2021-05-02'),
str_to_date('2021-05-05')],
columns=PriceField.ohlcv())
assert_dataframes_equal(expected_bars, actual_bars, check_names=False)
self.current_time = str_to_date("2021-05-06 00:00:00.000000",
DateFormat.FULL_ISO)
actual_bars = self.data_provider.historical_price(
self.ticker_2, PriceField.ohlcv(), 3, frequency=Frequency.DAILY)
expected_bars = PricesDataFrame(data=[[27.0, 27.1, 27.2, 28.0, 27.3],
[29.0, 29.1, 29.2, 30.0, 29.3],
[27.0, 27.1, 27.2, None, 27.3]],
index=[
str_to_date('2021-05-01'),
str_to_date('2021-05-02'),
str_to_date('2021-05-05')
],
columns=PriceField.ohlcv())
assert_dataframes_equal(expected_bars, actual_bars, check_names=False)
# More than 3 bars are not available
with self.assertRaises(ValueError):
self.data_provider.historical_price(self.ticker_2,
PriceField.ohlcv(),
4,
frequency=Frequency.DAILY)
def test_prices_to_prices(self):
expected_dataframe = self.test_prices_df
actual_dataframe = self.test_prices_df.to_prices()
assert_dataframes_equal(expected_dataframe, actual_dataframe)
self.assertEqual({dtype("float64")}, set(actual_dataframe.dtypes))
def test_simple_to_simple_returns(self):
expected_dataframe = self.test_simple_returns_df
actual_dataframe = self.test_simple_returns_df.to_simple_returns()
assert_dataframes_equal(expected_dataframe, actual_dataframe)
def test_prices_to_log_returns(self):
expected_dataframe = self.test_log_returns_df
actual_dataframe = self.test_prices_df.to_log_returns()
assert_dataframes_equal(expected_dataframe, actual_dataframe)
def test_log_to_simple_returns(self):
expected_dataframe = self.test_simple_returns_df
actual_dataframe = self.test_log_returns_df.to_simple_returns()
assert_dataframes_equal(expected_dataframe, actual_dataframe)
self.assertEqual({dtype("float64")}, set(actual_dataframe.dtypes))