def test_simple_beta_input_validation(self):
with self.assertRaises(TypeError) as e:
SimpleBeta(
target="SPY",
regression_length=100,
allowed_missing_percentage=0.5,
)
result = str(e.exception)
expected = (r"SimpleBeta\(\) expected a value of type"
" .*Asset for argument 'target',"
" but got str instead.")
self.assertRegexpMatches(result, expected)
with self.assertRaises(ValueError) as e:
SimpleBeta(
target=self.my_asset,
regression_length=1,
allowed_missing_percentage=0.5,
)
result = str(e.exception)
expected = ("SimpleBeta() expected a value greater than or equal to 3"
" for argument 'regression_length', but got 1 instead.")
self.assertEqual(result, expected)
with self.assertRaises(ValueError) as e:
SimpleBeta(
target=self.my_asset,
regression_length=100,
allowed_missing_percentage=50,
)
result = str(e.exception)
expected = (
"SimpleBeta() expected a value inclusively between 0.0 and 1.0 "
"for argument 'allowed_missing_percentage', but got 50 instead.")
self.assertEqual(result, expected)
def test_simple_beta_input_validation(self):
expected = ("SimpleBeta() expected a value of type"
" Asset for argument 'target',"
" but got str instead.")
with pytest.raises(TypeError, match=re.escape(expected)):
SimpleBeta(
target="SPY",
regression_length=100,
allowed_missing_percentage=0.5,
)
expected = ("SimpleBeta() expected a value greater than or equal to 3"
" for argument 'regression_length', but got 1 instead.")
with pytest.raises(ValueError, match=re.escape(expected)):
SimpleBeta(
target=self.my_asset,
regression_length=1,
allowed_missing_percentage=0.5,
)
expected = (
"SimpleBeta() expected a value inclusively between 0.0 and 1.0 "
"for argument 'allowed_missing_percentage', but got 50 instead.")
with pytest.raises(ValueError, match=re.escape(expected)):
SimpleBeta(
target=self.my_asset,
regression_length=100,
allowed_missing_percentage=50,
)
def test_simple_beta_graph_repr(self):
beta = SimpleBeta(
target=self.my_asset,
regression_length=50,
allowed_missing_percentage=0.5,
)
result = beta.graph_repr()
expected = "SimpleBeta('A', 50, 25)".format(self.my_asset)
self.assertEqual(result, expected)
def test_simple_beta_short_repr(self):
beta = SimpleBeta(
target=self.my_asset,
regression_length=50,
allowed_missing_percentage=0.5,
)
result = beta.short_repr()
expected = "SimpleBeta('A', 50, 25)".format(self.my_asset)
self.assertEqual(result, expected)
def test_simple_beta_target(self):
beta = SimpleBeta(
target=self.my_asset,
regression_length=50,
allowed_missing_percentage=0.5,
)
self.assertIs(beta.target, self.my_asset)
def test_simple_beta_allowed_missing_calculation(self):
for percentage, expected in [(0.651, 65), (0.659, 65), (0.66, 66),
(0.0, 0), (1.0, 100)]:
beta = SimpleBeta(
target=self.my_asset,
regression_length=100,
allowed_missing_percentage=percentage,
)
self.assertEqual(beta.params['allowed_missing_count'], expected)
def test_simple_beta_repr(self):
beta = SimpleBeta(
target=self.my_asset,
regression_length=50,
allowed_missing_percentage=0.5,
)
result = repr(beta)
expected = "SimpleBeta({}, length=50, allowed_missing=25)".format(
self.my_asset, )
self.assertEqual(result, expected)
def test_simple_beta_matches_regression(self):
run_pipeline = self.run_pipeline
simple_beta = SimpleBeta(target=self.my_asset, regression_length=10)
complex_beta = RollingLinearRegressionOfReturns(
target=self.my_asset,
returns_length=2,
regression_length=10,
).beta
pipe = Pipeline({'simple': simple_beta, 'complex': complex_beta})
results = run_pipeline(
pipe,
self.pipeline_start_date,
self.pipeline_end_date,
)
assert_equal(results['simple'], results['complex'], check_names=False)
