def test_get_expected_sharpe_ratio(self):
tickers = ['AAPL', 'GLD', 'GOOG', 'XOM']
startDate = dt.datetime(2011, 1, 1)
endDate = dt.datetime(2011, 12, 31)
allocations = [0.4, 0.4, 0.0, 0.2]
vol, daily_ret, sharpe, cum_ret = homework1.simulate(startDate, endDate, tickers, allocations)
self.assertAlmostEqual(sharpe, 1.02828403099)
def test_get_expected_daily_return(self):
tickers = ['AAPL', 'GLD', 'GOOG', 'XOM']
startDate = dt.datetime(2011, 1, 1)
endDate = dt.datetime(2011, 12, 31)
allocations = [0.4, 0.4, 0.0, 0.2]
vol, daily_ret, sharpe, cum_ret = homework1.simulate(startDate, endDate, tickers, allocations)
self.assertAlmostEqual(daily_ret, 0.000657261102001)
def test_get_expected_volatility(self):
tickers = ['AAPL', 'GLD', 'GOOG', 'XOM']
startDate = dt.datetime(2011, 1, 1)
endDate = dt.datetime(2011, 12, 31)
allocations = [0.4, 0.4, 0.0, 0.2]
vol, daily_ret, sharpe, cum_ret = homework1.simulate(startDate, endDate, tickers, allocations)
self.assertAlmostEqual(vol, 0.0101467067654)
def test_sending_real_data_into_simulate_does_not_cause_exception(self):
tickers = ["AAPL", "GLD", "GOOG", "$SPX"]
startDate = dt.datetime(2011, 1, 1)
endDate = dt.datetime(2011, 12, 31)
allocations = [0.4, 0.4, 0.0, 0.2]
vol, daily_ret, sharpe, cum_ret = homework1.simulate(startDate, endDate, tickers, allocations)
self.assertEquals(1, 1)
def test_full_simulate(self):
tickers = ['AXP', 'HPQ', 'IBM', 'HNZ']
startDate = dt.datetime(2010, 1, 1)
endDate = dt.datetime(2010, 12, 31)
allocations = [0.0, 0.0, 0.0, 1.0]
vol, daily_ret, sharpe, cum_ret = homework1.simulate(startDate, endDate, tickers, allocations)
self.assertAlmostEqual(sharpe, 1.29889334008)
self.assertAlmostEqual(vol, 0.00924299255937)
self.assertAlmostEqual(daily_ret, 0.000756285585593)
self.assertAlmostEqual(cum_ret, 1.1960583568)
