def _assert_data(result_data, check_city=True):
# city data
if check_city:
assert result_data['city']['id'] == city_info['_id']
assert result_data['city']['name'] == city_info['name']
assert result_data['city']['country'] == city_info['country']
assert isclose(
result_data['city']['coord']['latitude'],
city_info['coord']['lat'], rel_tol=1e-02)
assert isclose(
result_data['city']['coord']['longitude'],
city_info['coord']['lon'], rel_tol=1e-02)
# forecast data
datas = result_data['datas']
assert datas is not None
assert result_data['cnt'] == len(datas)
assert len(datas) > 0
assert isinstance(datas[0]['dt_value'], dt.datetime)
assert datas[0]['main']['temp'] is not None
assert datas[0]['main']['temp_min'] is not None
assert datas[0]['main']['temp_max'] is not None
assert datas[0]['main']['humidity'] is not None
assert datas[0]['main']['pressure'] is not None
assert datas[0]['main']['sea_level'] is not None
assert datas[0]['main']['grnd_level'] is not None
def test_linlogspace_correct_range(start, stop, num, base):
space = utils.linlogspace(start=start, stop=stop, num=num, base=base)
note(space)
assert isclose(space[0], start)
assert isclose(space[-1], stop)
assert isclose(space.max(), max(start, stop))
assert isclose(space.min(), min(start, stop))
assert len(space) == num
def test_omega_ratio(self, test_risk_free, test_required_return):
res_a = empyrical.omega_ratio(ret['a'],
risk_free=test_risk_free,
required_return=test_required_return)
if np.isnan(res_a):
res_a = np.inf
res_b = empyrical.omega_ratio(ret['b'],
risk_free=test_risk_free,
required_return=test_required_return)
if np.isnan(res_b):
res_b = np.inf
res_c = empyrical.omega_ratio(ret['c'],
risk_free=test_risk_free,
required_return=test_required_return)
if np.isnan(res_c):
res_c = np.inf
assert isclose(
ret['a'].vbt.returns.omega_ratio(
risk_free=test_risk_free,
required_return=test_required_return), res_a)
pd.testing.assert_series_equal(
ret.vbt.returns.omega_ratio(risk_free=test_risk_free,
required_return=test_required_return),
pd.Series([res_a, res_b, res_c],
index=ret.columns).rename('omega_ratio'))
pd.testing.assert_series_equal(
ret.vbt.returns.rolling_omega_ratio(
ret.shape[0],
minp=1,
risk_free=test_risk_free,
required_return=test_required_return).iloc[-1],
pd.Series([res_a, res_b, res_c],
index=ret.columns).rename(ret.index[-1]))
def test_max_drawdown(self):
res_a = empyrical.max_drawdown(ret['a'])
res_b = empyrical.max_drawdown(ret['b'])
res_c = empyrical.max_drawdown(ret['c'])
assert isclose(ret['a'].vbt.returns.max_drawdown(), res_a)
pd.testing.assert_series_equal(
ret.vbt.returns.max_drawdown(),
pd.Series([res_a, res_b, res_c], index=ret.columns))
def test_beta(self):
res_a = empyrical.beta(ret['a'], benchmark_rets['a'])
res_b = empyrical.beta(ret['b'], benchmark_rets['b'])
res_c = empyrical.beta(ret['c'], benchmark_rets['c'])
assert isclose(ret['a'].vbt.returns.beta(benchmark_rets['a']), res_a)
pd.testing.assert_series_equal(
ret.vbt.returns.beta(benchmark_rets),
pd.Series([res_a, res_b, res_c], index=ret.columns))
def test_annualized_return(self):
res_a = empyrical.annual_return(ret['a'])
res_b = empyrical.annual_return(ret['b'])
res_c = empyrical.annual_return(ret['c'])
assert isclose(ret['a'].vbt.returns.annualized(), res_a)
pd.testing.assert_series_equal(
ret.vbt.returns.annualized(),
pd.Series([res_a, res_b, res_c], index=ret.columns))
def test_tail_ratio(self):
res_a = empyrical.tail_ratio(ret['a'])
res_b = empyrical.tail_ratio(ret['b'])
res_c = empyrical.tail_ratio(ret['c'])
assert isclose(ret['a'].vbt.returns.tail_ratio(), res_a)
pd.testing.assert_series_equal(
ret.vbt.returns.tail_ratio(),
pd.Series([res_a, res_b, res_c], index=ret.columns))
def test_sortino_ratio(self, test_required_return):
res_a = empyrical.sortino_ratio(ret['a'], required_return=test_required_return)
res_b = empyrical.sortino_ratio(ret['b'], required_return=test_required_return)
res_c = empyrical.sortino_ratio(ret['c'], required_return=test_required_return)
assert isclose(ret['a'].vbt.returns.sortino_ratio(required_return=test_required_return), res_a)
pd.testing.assert_series_equal(
ret.vbt.returns.sortino_ratio(required_return=test_required_return),
pd.Series([res_a, res_b, res_c], index=ret.columns).rename('sortino_ratio')
)
def test_annualized_volatility(self, test_alpha):
res_a = empyrical.annual_volatility(ret['a'], alpha=test_alpha)
res_b = empyrical.annual_volatility(ret['b'], alpha=test_alpha)
res_c = empyrical.annual_volatility(ret['c'], alpha=test_alpha)
assert isclose(ret['a'].vbt.returns.annualized_volatility(levy_alpha=test_alpha), res_a)
pd.testing.assert_series_equal(
ret.vbt.returns.annualized_volatility(levy_alpha=test_alpha),
pd.Series([res_a, res_b, res_c], index=ret.columns).rename('annualized_volatility')
)
def test_information_ratio(self):
res_a = empyrical.excess_sharpe(ret['a'], benchmark_rets['a'])
res_b = empyrical.excess_sharpe(ret['b'], benchmark_rets['b'])
res_c = empyrical.excess_sharpe(ret['c'], benchmark_rets['c'])
assert isclose(
ret['a'].vbt.returns.information_ratio(benchmark_rets['a']), res_a)
pd.testing.assert_series_equal(
ret.vbt.returns.information_ratio(benchmark_rets),
pd.Series([res_a, res_b, res_c], index=ret.columns))
def test_alpha(self, test_risk_free):
res_a = empyrical.alpha(ret['a'], benchmark_rets['a'], risk_free=test_risk_free)
res_b = empyrical.alpha(ret['b'], benchmark_rets['b'], risk_free=test_risk_free)
res_c = empyrical.alpha(ret['c'], benchmark_rets['c'], risk_free=test_risk_free)
assert isclose(ret['a'].vbt.returns.alpha(benchmark_rets['a'], risk_free=test_risk_free), res_a)
pd.testing.assert_series_equal(
ret.vbt.returns.alpha(benchmark_rets, risk_free=test_risk_free),
pd.Series([res_a, res_b, res_c], index=ret.columns).rename('alpha')
)
def test_downside_risk(self, test_required_return):
res_a = empyrical.downside_risk(ret['a'], required_return=test_required_return)
res_b = empyrical.downside_risk(ret['b'], required_return=test_required_return)
res_c = empyrical.downside_risk(ret['c'], required_return=test_required_return)
assert isclose(ret['a'].vbt.returns.downside_risk(required_return=test_required_return), res_a)
pd.testing.assert_series_equal(
ret.vbt.returns.downside_risk(required_return=test_required_return),
pd.Series([res_a, res_b, res_c], index=ret.columns).rename('downside_risk')
)
def test_total_return(self):
res_a = empyrical.cum_returns_final(ret['a'])
res_b = empyrical.cum_returns_final(ret['b'])
res_c = empyrical.cum_returns_final(ret['c'])
assert isclose(ret['a'].vbt.returns.total(), res_a)
pd.testing.assert_series_equal(
ret.vbt.returns.total(),
pd.Series([res_a, res_b, res_c], index=ret.columns).rename('total_return')
)
def test_down_capture(self):
res_a = empyrical.down_capture(ret['a'], factor_returns['a'])
res_b = empyrical.down_capture(ret['b'], factor_returns['b'])
res_c = empyrical.down_capture(ret['c'], factor_returns['c'])
assert isclose(ret['a'].vbt.returns.down_capture(factor_returns['a']),
res_a)
pd.testing.assert_series_equal(
ret.vbt.returns.down_capture(factor_returns),
pd.Series([res_a, res_b, res_c], index=ret.columns))
def test_sharpe_ratio(self, test_risk_free):
res_a = empyrical.sharpe_ratio(ret['a'], risk_free=test_risk_free)
res_b = empyrical.sharpe_ratio(ret['b'], risk_free=test_risk_free)
res_c = empyrical.sharpe_ratio(ret['c'], risk_free=test_risk_free)
assert isclose(
ret['a'].vbt.returns.sharpe_ratio(risk_free=test_risk_free), res_a)
pd.testing.assert_series_equal(
ret.vbt.returns.sharpe_ratio(risk_free=test_risk_free),
pd.Series([res_a, res_b, res_c], index=ret.columns))
def test_down_capture(self):
res_a = empyrical.down_capture(ret['a'], benchmark_rets['a'])
res_b = empyrical.down_capture(ret['b'], benchmark_rets['b'])
res_c = empyrical.down_capture(ret['c'], benchmark_rets['c'])
assert isclose(ret['a'].vbt.returns.down_capture(benchmark_rets['a']), res_a)
pd.testing.assert_series_equal(
ret.vbt.returns.down_capture(benchmark_rets),
pd.Series([res_a, res_b, res_c], index=ret.columns).rename('down_capture')
)
def test_drawdowns(self):
assert type(ret['a'].vbt.returns.drawdowns) is Drawdowns
assert ret['a'].vbt.returns.drawdowns.wrapper.freq == ret['a'].vbt.wrapper.freq
assert ret['a'].vbt.returns.drawdowns.wrapper.ndim == ret['a'].ndim
assert ret.vbt.returns.drawdowns.wrapper.ndim == ret.ndim
assert isclose(ret['a'].vbt.returns.drawdowns.max_drawdown(), ret['a'].vbt.returns.max_drawdown())
pd.testing.assert_series_equal(
ret.vbt.returns.drawdowns.max_drawdown(),
ret.vbt.returns.max_drawdown()
)
def test_value_at_risk(self, test_cutoff):
# empyrical can't tolerate NaNs here
res_a = empyrical.value_at_risk(ret['a'].iloc[1:], cutoff=test_cutoff)
res_b = empyrical.value_at_risk(ret['b'].iloc[1:], cutoff=test_cutoff)
res_c = empyrical.value_at_risk(ret['c'].iloc[1:], cutoff=test_cutoff)
assert isclose(ret['a'].vbt.returns.value_at_risk(cutoff=test_cutoff),
res_a)
pd.testing.assert_series_equal(
ret.vbt.returns.value_at_risk(cutoff=test_cutoff),
pd.Series([res_a, res_b, res_c], index=ret.columns))
def _assert_data(result_data, check_city=True):
# city data
if check_city:
assert result_data['city_id'] == city_info['_id']
assert result_data['city_name'] == city_info['name']
assert result_data['sys']['country'] == city_info['country']
assert isclose(
result_data['city_coord']['latitude'],
city_info['coord']['lat'], rel_tol=1e-02)
assert isclose(
result_data['city_coord']['longitude'],
city_info['coord']['lon'], rel_tol=1e-02)
# current weather data
assert isinstance(result_data['dt_value'], dt.datetime)
assert result_data['main']['temp'] is not None
assert result_data['main']['temp_min'] is not None
assert result_data['main']['temp_max'] is not None
assert result_data['main']['humidity'] is not None
assert result_data['main']['pressure'] is not None
def test_beta(self):
res_a = empyrical.beta(ret['a'], benchmark_rets['a'])
res_b = empyrical.beta(ret['b'], benchmark_rets['b'])
res_c = empyrical.beta(ret['c'], benchmark_rets['c'])
assert isclose(ret['a'].vbt.returns.beta(benchmark_rets['a']), res_a)
pd.testing.assert_series_equal(
ret.vbt.returns.beta(benchmark_rets),
pd.Series([res_a, res_b, res_c], index=ret.columns).rename('beta'))
pd.testing.assert_series_equal(
ret.vbt.returns.rolling_beta(ret.shape[0], benchmark_rets,
minp=1).iloc[-1],
pd.Series([res_a, res_b, res_c],
index=ret.columns).rename(ret.index[-1]))
def test_annualized_return(self):
res_a = empyrical.annual_return(ret['a'])
res_b = empyrical.annual_return(ret['b'])
res_c = empyrical.annual_return(ret['c'])
assert isclose(ret['a'].vbt.returns.annualized(), res_a)
pd.testing.assert_series_equal(
ret.vbt.returns.annualized(),
pd.Series([res_a, res_b, res_c],
index=ret.columns).rename('annualized_return'))
pd.testing.assert_series_equal(
ret.vbt.returns.rolling_annualized(ret.shape[0], minp=1).iloc[-1],
pd.Series([res_a, res_b, res_c],
index=ret.columns).rename(ret.index[-1]))
def test_tail_ratio(self):
res_a = empyrical.tail_ratio(ret['a'])
res_b = empyrical.tail_ratio(ret['b'])
res_c = empyrical.tail_ratio(ret['c'])
assert isclose(ret['a'].vbt.returns.tail_ratio(), res_a)
pd.testing.assert_series_equal(
ret.vbt.returns.tail_ratio(),
pd.Series([res_a, res_b, res_c],
index=ret.columns).rename('tail_ratio'))
pd.testing.assert_series_equal(
ret.vbt.returns.rolling_tail_ratio(ret.shape[0], minp=1).iloc[-1],
pd.Series([res_a, res_b, res_c],
index=ret.columns).rename(ret.index[-1]))
def test_sharpe_ratio(self, test_risk_free):
res_a = empyrical.sharpe_ratio(ret['a'], risk_free=test_risk_free)
res_b = empyrical.sharpe_ratio(ret['b'], risk_free=test_risk_free)
res_c = empyrical.sharpe_ratio(ret['c'], risk_free=test_risk_free)
assert isclose(
ret['a'].vbt.returns.sharpe_ratio(risk_free=test_risk_free), res_a)
pd.testing.assert_series_equal(
ret.vbt.returns.sharpe_ratio(risk_free=test_risk_free),
pd.Series([res_a, res_b, res_c],
index=ret.columns).rename('sharpe_ratio'))
pd.testing.assert_series_equal(
ret.vbt.returns.rolling_sharpe_ratio(
ret.shape[0], minp=1, risk_free=test_risk_free).iloc[-1],
pd.Series([res_a, res_b, res_c],
index=ret.columns).rename(ret.index[-1]))
def test_total_return(self):
assert isclose(rets['a'].vbt.returns.total(), 4.0)
pd.testing.assert_series_equal(
rets.vbt.returns.total(),
pd.Series([4.0, -0.8, 0.0],
index=rets.columns,
name='total_return'))
pd.testing.assert_frame_equal(
rets.vbt.returns.rolling_total(),
pd.DataFrame(
[[np.nan, np.nan, np.nan], [1.0, -0.19999999999999996, 1.0],
[2.0, -0.3999999999999999, 2.0], [3.0, -0.6, 1.0],
[4.0, -0.8, 0.0]],
index=rets.index,
columns=rets.columns))
def test_down_capture(self):
assert isclose(rets['a'].vbt.returns.down_capture(benchmark_rets['a']),
np.nan)
pd.testing.assert_series_equal(
rets.vbt.returns.down_capture(benchmark_rets),
pd.Series([np.nan, np.nan, np.nan],
index=rets.columns,
name='down_capture'))
pd.testing.assert_frame_equal(
rets.vbt.returns.rolling_down_capture(benchmark_rets),
pd.DataFrame([[np.nan, np.nan, np.nan], [np.nan, 1.0, np.nan],
[np.nan, 1.0, np.nan], [np.nan, 1.0, 1.0],
[np.nan, np.nan, np.nan]],
index=rets.index,
columns=rets.columns))
def test_information_ratio(self):
res_a = empyrical.excess_sharpe(ret['a'], benchmark_rets['a'])
res_b = empyrical.excess_sharpe(ret['b'], benchmark_rets['b'])
res_c = empyrical.excess_sharpe(ret['c'], benchmark_rets['c'])
assert isclose(
ret['a'].vbt.returns.information_ratio(benchmark_rets['a']), res_a)
pd.testing.assert_series_equal(
ret.vbt.returns.information_ratio(benchmark_rets),
pd.Series([res_a, res_b, res_c],
index=ret.columns).rename('information_ratio'))
pd.testing.assert_series_equal(
ret.vbt.returns.rolling_information_ratio(ret.shape[0],
benchmark_rets,
minp=1).iloc[-1],
pd.Series([res_a, res_b, res_c],
index=ret.columns).rename(ret.index[-1]))
def test_max_drawdown(self):
assert isclose(
rets['a'].vbt.returns.max_drawdown(),
rets['a'].vbt.returns.drawdowns.max_drawdown(fill_value=0.))
pd.testing.assert_series_equal(
rets.vbt.returns.max_drawdown(),
rets.vbt.returns.drawdowns.max_drawdown(fill_value=0.))
pd.testing.assert_frame_equal(
rets.vbt.returns.rolling_max_drawdown(),
pd.DataFrame(
[[np.nan, np.nan, np.nan], [0.0, -0.19999999999999996, 0.0],
[0.0, -0.3999999999999999, 0.0],
[0.0, -0.6, -0.33333333333333337],
[0.0, -0.8, -0.6666666666666667]],
index=rets.index,
columns=rets.columns))
def test_calmar_ratio(self):
assert isclose(rets['a'].vbt.returns.calmar_ratio(), np.nan)
pd.testing.assert_series_equal(
rets.vbt.returns.calmar_ratio(),
pd.Series([np.nan, -1.25, 0.0],
index=rets.columns,
name='calmar_ratio'))
pd.testing.assert_frame_equal(
rets.vbt.returns.rolling_calmar_ratio(),
pd.DataFrame([[np.nan, np.nan, np.nan],
[np.nan, -5.000000000000001, np.nan],
[np.nan, -2.5000000000000004, np.nan],
[np.nan, -1.6666666666666667, 8.833002615989533e+27],
[np.nan, -1.25, 0.0]],
index=rets.index,
columns=rets.columns))
def test_value_at_risk(self, test_cutoff):
# empyrical can't tolerate NaN here
res_a = empyrical.value_at_risk(ret['a'].iloc[1:], cutoff=test_cutoff)
res_b = empyrical.value_at_risk(ret['b'].iloc[1:], cutoff=test_cutoff)
res_c = empyrical.value_at_risk(ret['c'].iloc[1:], cutoff=test_cutoff)
assert isclose(ret['a'].vbt.returns.value_at_risk(cutoff=test_cutoff),
res_a)
pd.testing.assert_series_equal(
ret.vbt.returns.value_at_risk(cutoff=test_cutoff),
pd.Series([res_a, res_b, res_c],
index=ret.columns).rename('value_at_risk'))
pd.testing.assert_series_equal(
ret.vbt.returns.rolling_value_at_risk(ret.shape[0],
minp=1,
cutoff=test_cutoff).iloc[-1],
pd.Series([res_a, res_b, res_c],
index=ret.columns).rename(ret.index[-1]))
def test_capture(self):
assert isclose(rets['a'].vbt.returns.capture(benchmark_rets['a']),
0.0007435597416888084)
pd.testing.assert_series_equal(
rets.vbt.returns.capture(benchmark_rets),
pd.Series([0.0007435597416888084, 1.0, -0.0],
index=rets.columns,
name='capture'))
pd.testing.assert_frame_equal(
rets.vbt.returns.rolling_capture(benchmark_rets),
pd.DataFrame([[np.nan, np.nan, np.nan],
[1.443034545422564e-07, 1.0, 4.0670014163453153e-66],
[6.758314743559073e-07, 1.0, 2.2829041301869233e-75],
[9.623155594782632e-06, 1.0, 43620380068493.234],
[0.0007435597416888084, 1.0, -0.0]],
index=rets.index,
columns=rets.columns))
