def test_transaction_report(self):
x = test_portfolio()
p1 = x.iron_threshold(threshold=0.05)
y = p1.transaction_report()
yy = read_frame("report.csv", index_col=[0, 1])
yy.index.names = [None, None]
pdt.assert_frame_equal(y, yy)
def setUpClass(cls):
cls.writer = writer("tmp_J32JFASDK", host="mongo")
cls.reader = reader("tmp_J32JFASDK", host="mongo")
# write assets into test database. Writing is slow!
cls.writer.update_assets(frame=read_frame("price.csv", parse_dates=True))
cls.writer.update_symbols(frame=read_frame("symbols.csv"))
cls.writer.update_portfolio("test", test_portfolio(), group="test")
def test_portfolio(self):
portfolio = test_portfolio()
self.writer.update_symbols(frame=read_frame("symbols.csv", parse_dates=False))
self.writer.update_portfolio("test", portfolio, "test-group")
# self.archive.update_portfolio("test", portfolio, "test-group", n=10)
g = self.reader.portfolios["test"]
pdt.assert_frame_equal(portfolio.prices, g.prices)
pdt.assert_frame_equal(portfolio.weights, g.weights)
def setUpClass(cls):
cls.writer = writer("tmp_JKJFDAFJJKFD", host="mongo")
cls.reader = reader("tmp_JKJFDAFJJKFD", host="mongo")
# write assets into test database. Writing is slow!
assets = read_frame("price.csv", parse_dates=True)
for asset in assets:
cls.writer.update_asset(asset, assets[asset])
frame = read_frame("symbols.csv")
cls.writer.update_symbols(frame)
p = test_portfolio()
cls.writer.update_portfolio("test", p, group="test", comment="test")
def test_to_json(self):
x = test_portfolio()
a = x.to_json()
self.assertAlmostEqual(a["price"]["A"]["20140909"], 1255.5, places=5)
def test_iron(self):
x = test_portfolio()
p1 = x.iron_threshold(threshold=0.05)
p2 = x.iron_time(rule="3M")
self.assertEqual(len(p1.trading_days), 40)
self.assertEqual(len(p2.trading_days), 10)
def test_state(self):
p = test_portfolio()
x = p.state
self.assertAlmostEqual(x["Extrapolated"]["F"], 3.6564581863077144, places=10)
self.assertAlmostEqual(x["Gap"]["A"], 0.042612879799229508, places=10)
def test_ytd(self):
portfolio = test_portfolio()
p = portfolio.ytd(today=portfolio.index[-1])
self.assertEqual(p.index[0], pd.Timestamp("2015-01-01"))
import pandas as pd
import numpy as np
import pandas.util.testing as pdt
from nose.tools import raises
from pyutil.portfolio.portfolio import Portfolio
from test.config import test_portfolio, read_frame
from unittest import TestCase
portfolio = test_portfolio()
class TestPortfolio(TestCase):
def test_leverage(self):
self.assertAlmostEqual(portfolio.leverage[pd.Timestamp("2013-07-19")], 0.25505730106555635, places=5)
def test_nav(self):
self.assertAlmostEqual(portfolio.nav.series[pd.Timestamp("2013-07-19")], 0.9849066065468487, places=5)
def test_assets(self):
self.assertSetEqual(set(portfolio.assets),
{'A', 'B', 'C', 'D', 'E', 'F', 'G'})
def test_summary(self):
# todo: include mtd, ytd
self.assertAlmostEqual(portfolio.summary()[100]["Max Drawdown"], 1.7524809688827636, places=5)
def test_index(self):
pdt.assert_index_equal(portfolio.index, portfolio.prices.index)
def test_asset_return(self):
pdt.assert_frame_equal(portfolio.prices.pct_change(), portfolio.asset_returns)
