def test_instance_constraint_slack_test_step_length(self):
# add the count of weight value which is greater than 0 should be 5 or more constraints!
constraint_param_list = [('general_count_lower_rc', {
'bound_value': 10.5
}, 1, 'ineq')]
Ro = RunOpt(method=self.method,
stockpool=stock_pool,
sigma2=cov_price,
lambda_r=2,
portfolio_returns=return_matrix)
result = Ro.run_opt(constraint_param_list, slack=True, step_length=0.1)
self.assertEqual(result.success, True)
def test_main_entry_instance_test_constr_cls_instance(self):
from QuantOPT.constraints.constraints import Constraints
constraint_param_list = []
Ro = RunOpt(method=self.method,
stockpool=stock_pool,
sigma2=cov_price,
lambda_r=2,
portfolio_returns=return_matrix)
result = Ro.run_opt(constraint_param_list,
slack=False,
constr_cls=Constraints)
self.assertEqual(result.success, True)
def test_main_entry_instance_test_constr_cls_create_instance(self):
from QuantOPT.conf.conf import setting_yaml_path
from QuantOPT.constraints.constraints import create_constraints_holder
constr_cls = create_constraints_holder(setting_yaml_path)
constraint_param_list = []
Ro = RunOpt(method=self.method,
stockpool=stock_pool,
sigma2=cov_price,
lambda_r=2,
portfolio_returns=return_matrix,
constr_cls=constr_cls)
result = Ro.run_opt(constraint_param_list, slack=False)
self.assertEqual(result.success, True)
def test_instance_constraint_slack_test_constr_cls_create_instance(self):
from QuantOPT.conf.conf import setting_yaml_path
from QuantOPT.constraints.constraints import create_constraints_holder
constr_cls = create_constraints_holder(setting_yaml_path)
constraint_param_list = [('general_count_lower_rc', {
'bound_value': 10.02
}, 1, 'ineq')]
Ro = RunOpt(method=self.method,
stockpool=stock_pool,
sigma2=cov_price,
constr_cls=constr_cls)
result = Ro.run_opt(constraint_param_list, slack=True)
self.assertEqual(result.success, True)
def test_instance_constraint_slack_test_constr_cls_instance(self):
from QuantOPT.constraints.constraints import Constraints
constraint_param_list = [('general_count_lower_rc', {
'bound_value': 10.02
}, 1, 'ineq')]
kwargs_data = {
'stockpool': stock_pool,
'sigma2': cov_price,
'lambda_r': 2,
'portfolio_returns': return_matrix
}
Ro = RunOpt(method=self.method, constr_cls=Constraints, **kwargs_data)
result = Ro.run_opt(constraint_param_list, slack=True)
self.assertEqual(result.success, True)
def test_instance_constraint_slack(self):
# add the count of weight value which is greater than 0 should be 5 or more constraints!
constraint_param_list = [('general_count_lower_rc', {
'bound_value': 10.02
}, 1, 'ineq')]
Ro = RunOpt(
method=self.method,
stockpool=stock_pool,
sigma2=cov_price,
)
result = Ro.run_opt(
constraint_param_list,
slack=True,
)
self.assertEqual(result.success, True)
def test_instance_constraint_slack_test_constr_cls2_create_instance_test_step_length(
self):
from QuantOPT.conf.conf import setting_yaml_path
from QuantOPT.constraints.constraints import create_constraints_holder
constr_cls = create_constraints_holder(setting_yaml_path)
# add the count of weight value which is greater than 0 should be 5 or more constraints!
constraint_param_list = [('general_count_lower_rc', {
'bound_value': 10.5
}, 1, 'ineq')]
Ro = RunOpt(method=self.method, stockpool=stock_pool, sigma2=cov_price)
result = Ro.run_opt(constraint_param_list,
slack=True,
step_length=0.1,
constr_cls=constr_cls)
self.assertEqual(result.success, True)
def test_no_exists_model2(self):
kwargs_data = {'stockpool': stock_pool, 'sigma2': cov_price}
constraint_param_list = []
with self.assertRaises(AttributeError):
Ro = RunOpt(method='test', **kwargs_data)
result = Ro.run_opt(constraint_param_list, )
def test_main_entry_instance(self):
constraint_param_list = []
Ro = RunOpt(method=self.method, stockpool=stock_pool, sigma2=cov_price)
result = Ro.run_opt(constraint_param_list, slack=False)
self.assertEqual(result.success, True)
def test_main_entry_instance(self):
constraint_param_list = []
Ro = RunOpt(method=self.method, **self.kwargs_data)
result = Ro.run_opt(constraint_param_list, slack=False)
self.assertEqual(result.success, True)