def test_PositionConcentration_3(self):
"""多头权重"""
min_weights = pd.Series()
max_weights = pd.Series()
cons_obj = PositionConcentration(min_weights, max_weights, 0.1, 0.5)
desired_value = 0.20
desired_weights = pd.Series([0.1] * 5 + [0.5] * 2, index=self.stocks)
self.check(cons_obj, desired_value, desired_weights, self.init_weights)
def test_PositionConcentration_5(self):
"""最小最大分别位于0值二端"""
min_weights = pd.Series()
max_weights = pd.Series()
cons_obj = PositionConcentration(min_weights, max_weights, -0.5, 0.2)
desired_value = 0.40
desired_weights = pd.Series([-0.5, -0.2853, 0, 0, 0, 0.2146, 0.5],
index=self.stocks)
self.check(cons_obj, desired_value, desired_weights, self.init_weights)
def test_PositionConcentration_4(self):
"""空头权重"""
min_weights = pd.Series()
max_weights = pd.Series()
cons_obj = PositionConcentration(min_weights, max_weights, -0.5, -0.1)
desired_value = 0.37
desired_weights = pd.Series(
[-0.5, -0.2107, -0.1, -0.1, 0, 0.089275, 0.5], index=self.stocks)
self.check(cons_obj, desired_value, desired_weights, self.init_weights)
def test_PositionConcentration_2(self):
"""部分指定权重"""
min_weights = pd.Series([-0.4, -0.3, 0.1],
index=['000001', '000003', '000004'])
max_weights = pd.Series([0.1, 0.3], index=['000002', '000004'])
cons_obj = PositionConcentration(min_weights, max_weights)
desired_value = 0.37
desired_weights = pd.Series([-0.4, 0, 0, 0.1, 0.0] + [0.5] * 2,
index=self.stocks)
self.check(cons_obj, desired_value, desired_weights)
def test_PositionConcentration_1(self):
"""指定所有股票权重"""
min_weights = pd.Series([0.1, -0.1, 0.1, 0.2, -0.1, 0.2, 0.3],
index=self.stocks)
max_weights = pd.Series([0.3, 0.4, 0.25, 0.25, 0.3, 0.25, 0.4],
index=self.stocks)
cons_obj = PositionConcentration(min_weights, max_weights)
desired_value = 0.18
desired_weights = pd.Series([0.1, -0.1, 0.1, 0.2073, 0.3, 0.25, 0.4],
index=self.stocks)
self.check(cons_obj, desired_value, desired_weights)
def test_PositionConcentration_0(self):
"""验证输入及配置"""
min_weights = pd.Series([-0.2, 0.1, 0.4],
index=['000001', '000003', '000004'])
max_weights = pd.Series([-0.1, 0.4, 0.3],
index=['000001', '000007', '000004'])
with self.assertRaises(ValueError):
cons_obj = PositionConcentration(min_weights, max_weights)
desired_value = 0.19
desired_weights = pd.Series([-0.2, 0, -0.1] + [0.0] * 3 + [0.4],
index=self.stocks)
self.check(cons_obj, desired_value, desired_weights)