def test_transform_stochastic_k_x():
transform_config = {'name': 'stochastic_k'}
feature = FinancialFeature(name='high',
transformation=transform_config,
normalization=None,
nbins=10,
ndays=10,
resample_minutes=0,
start_market_minute=150,
is_target=True,
calendar=sample_market_calendar,
local=False,
length=10)
transform = TransformStochasticK(transform_config)
raw_dataframe = financial_data_fixtures[feature.name]
processed_prediction_data_x = transform.transform_x(feature, raw_dataframe)
columns = raw_dataframe.columns
expected_result = ((raw_dataframe.iloc[-1] - raw_dataframe.min()) /
(raw_dataframe.max() - raw_dataframe.min())) * 100.
expected_result = np.expand_dims(expected_result, axis=0)
expected_result = pd.DataFrame(expected_result, columns=columns)
assert_almost_equal(processed_prediction_data_x.values,
expected_result.values, ASSERT_NDECIMALS)
def test_transform_log_return_x():
transform_config = {'name': 'log-return'}
feature = FinancialFeature(name='close',
transformation=transform_config,
normalization=None,
nbins=10,
ndays=5,
resample_minutes=0,
start_market_minute=90,
is_target=True,
calendar=sample_market_calendar,
local=False,
length=35)
transform = TransformLogReturn(transform_config)
data_dict_x = financial_data_fixtures
raw_dataframe = data_dict_x[feature.name]
transformed_data = transform.transform_x(feature, raw_dataframe)
symbol = 'AAPL'
original_data = raw_dataframe[symbol]
transformed_data = transformed_data[symbol]
random_index = random.randrange(1, len(original_data) - 1)
expected_value = np.log(original_data.iloc[random_index] /
original_data.iloc[random_index - 1])
assert_almost_equal(transformed_data.iloc[random_index], expected_value,
ASSERT_NDECIMALS)
assert np.isnan(transformed_data.iloc[0])
def test_transform_ker_x():
transform_config = {'name': 'ker', 'lag': 20}
feature = FinancialFeature(
name='high',
transformation=transform_config,
normalization=None,
nbins=10,
ndays=10,
resample_minutes=0,
start_market_minute=150,
is_target=True,
calendar=sample_market_calendar,
local=False,
length=10
)
raw_dataframe = financial_data_fixtures[feature.name]
transform = TransformKer(transform_config)
processed_prediction_data_x = transform.transform_x(feature, raw_dataframe)
direction = raw_dataframe.diff(transform.lag).abs()
volatility = raw_dataframe.diff().abs().rolling(window=transform.lag).sum()
direction.dropna(axis=0, inplace=True)
volatility.dropna(axis=0, inplace=True)
expected_result = direction / volatility
expected_result.dropna(axis=0, inplace=True)
assert_almost_equal(processed_prediction_data_x.values, expected_result.values, ASSERT_NDECIMALS)
def test_transform_log_return_y():
transform_config = {'name': 'log-return'}
feature = FinancialFeature(name='close',
transformation=transform_config,
normalization=None,
nbins=10,
ndays=5,
resample_minutes=0,
start_market_minute=90,
is_target=True,
calendar=sample_market_calendar,
local=False,
length=35)
transform = TransformLogReturn(transform_config)
data_dict_x = financial_data_fixtures
raw_dataframe = data_dict_x[feature.name]
data_frame_x = raw_dataframe.iloc[:-1]
prediction_reference_data = data_frame_x.iloc[-1]
data_frame_y = raw_dataframe.iloc[-1]
transformed_data = transform.transform_y(feature, data_frame_y,
prediction_reference_data)
expected_log_returns = np.log(data_frame_y / prediction_reference_data)
assert_almost_equal(transformed_data, expected_log_returns.values,
ASSERT_NDECIMALS)
def test_transform_volatility_x():
transform_config = {'name': 'volatility', 'window': 10}
feature = FinancialFeature(
name='close',
transformation={'name': 'volatility', 'window': 10},
normalization='standard',
nbins=10,
ndays=10,
resample_minutes=0,
start_market_minute=150,
is_target=True,
calendar=sample_market_calendar,
local=True,
length=10
)
transform = TransformVolatility(transform_config)
raw_dataframe = financial_data_fixtures[feature.name]
processed_prediction_data_x = transform.transform_x(feature, raw_dataframe)
assert processed_prediction_data_x.shape == (256, 5)
def test_transform_ewma_x():
transform_config = {'name': 'ewma', 'halflife': 20}
feature = FinancialFeature(
name='close',
transformation=transform_config,
normalization='standard',
nbins=10,
ndays=10,
resample_minutes=0,
start_market_minute=150,
is_target=True,
calendar=sample_market_calendar,
local=True,
length=10
)
transform = TransformEWMA(transform_config)
raw_dataframe = financial_data_fixtures[feature.name]
processed_prediction_data_x = transform.transform_x(feature, raw_dataframe)
expected_result = raw_dataframe.ewm(halflife=transform.halflife).mean()
assert_almost_equal(processed_prediction_data_x.values, expected_result.values, ASSERT_NDECIMALS)
def test_transform_mtf_x():
transform_config = {'name': 'mtf', 'image_size': 24}
feature = FinancialFeature(name='close',
transformation=transform_config,
normalization='standard',
nbins=10,
ndays=10,
resample_minutes=0,
start_market_minute=150,
is_target=True,
calendar=sample_market_calendar,
local=True,
length=10)
transform = TransformMTF(transform_config)
data_dict_x = financial_data_fixtures
raw_dataframe = data_dict_x[feature.name]
transformed_data = transform.transform_x(feature, raw_dataframe)
assert transformed_data.shape == (transform.image_size**2,
raw_dataframe.shape[1])
def test_tranform_gasf_x():
transform_config = {'name': 'gasf', 'image_size': 24}
feature = FinancialFeature(name='close',
transformation=transform_config,
normalization='standard',
nbins=10,
ndays=10,
resample_minutes=0,
start_market_minute=150,
is_target=True,
calendar=sample_market_calendar,
local=True,
length=10)
transform = TransformGASF(transform_config)
raw_dataframe = financial_data_fixtures[feature.name]
_perform_test(feature, raw_dataframe, transform)
def test_transform_x_log_return_with_local_feature():
transform_config = {'name': 'log-return'}
feature = FinancialFeature(name='close',
transformation=transform_config,
normalization=None,
nbins=10,
ndays=5,
resample_minutes=0,
start_market_minute=90,
is_target=True,
calendar=sample_market_calendar,
local=True,
length=35)
data_dict_x = financial_data_fixtures
raw_dataframe = data_dict_x[feature.name]
transform = TransformLogReturn(transform_config)
transformed_data = transform.transform_x(feature, raw_dataframe)['AAPL']
assert not np.isnan(transformed_data.iloc[0])
def setUp(self):
self.feature_close_with_value_transform = FinancialFeature(
name='open',
transformation={'name': 'value'},
normalization=None,
nbins=5,
ndays=2,
resample_minutes=0,
start_market_minute=30,
is_target=True,
calendar=sample_market_calendar,
local=False,
length=15,
classify_per_series=True)
self.feature_close_with_log_return_transform = FinancialFeature(
name='close',
transformation={'name': 'log-return'},
normalization=None,
nbins=10,
ndays=5,
resample_minutes=0,
start_market_minute=90,
is_target=True,
calendar=sample_market_calendar,
local=False,
length=35,
classify_per_series=True)
self.feature_high_with_log_return_transform = FinancialFeature(
name='high',
transformation={'name': 'log-return'},
normalization='standard',
nbins=None,
ndays=10,
resample_minutes=0,
start_market_minute=150,
is_target=True,
calendar=sample_market_calendar,
local=False,
length=69,
classify_per_series=True)
self.feature_list = [
self.feature_close_with_value_transform,
self.feature_close_with_log_return_transform,
self.feature_high_with_log_return_transform
]
'resample_minutes': 60,
'start_market_minute': 1,
'is_target': True,
KEY_EXCHANGE: 'NYSE',
'local': True,
'length': 10
},
]
sample_fin_feature_list = FeatureList([
FinancialFeature(name='open',
transformation={'name': 'value'},
normalization=None,
nbins=5,
ndays=2,
resample_minutes=60,
start_market_minute=1,
is_target=False,
calendar=sample_market_calendar,
classify_per_series=False,
normalise_per_series=False,
local=True,
length=10),
FinancialFeature(name='close',
transformation={'name': 'log-return'},
normalization=None,
nbins=10,
ndays=5,
resample_minutes=60,
start_market_minute=1,
is_target=False,
calendar=sample_market_calendar,
class TestFinancialFeature(TestCase):
def setUp(self):
self.feature_close_with_value_transform = FinancialFeature(
name='open',
transformation={'name': 'value'},
normalization=None,
nbins=5,
ndays=2,
resample_minutes=0,
start_market_minute=30,
is_target=True,
calendar=sample_market_calendar,
local=False,
length=15,
classify_per_series=True)
self.feature_close_with_log_return_transform = FinancialFeature(
name='close',
transformation={'name': 'log-return'},
normalization=None,
nbins=10,
ndays=5,
resample_minutes=0,
start_market_minute=90,
is_target=True,
calendar=sample_market_calendar,
local=False,
length=35,
classify_per_series=True)
self.feature_high_with_log_return_transform = FinancialFeature(
name='high',
transformation={'name': 'log-return'},
normalization='standard',
nbins=None,
ndays=10,
resample_minutes=0,
start_market_minute=150,
is_target=True,
calendar=sample_market_calendar,
local=False,
length=69,
classify_per_series=True)
self.feature_list = [
self.feature_close_with_value_transform,
self.feature_close_with_log_return_transform,
self.feature_high_with_log_return_transform
]
def test_get_start_timestamp_x(self):
start_date_str = '20150101'
end_date_str = '20150501'
market_open_list = sample_market_calendar.schedule(
start_date_str, end_date_str).market_open
prediction_timestamp = market_open_list[20] + timedelta(minutes=15)
start_timestamp_x_1 = self.feature_close_with_value_transform._get_start_timestamp_x(
prediction_timestamp)
expected_start_timestamp_x1 = pd.Timestamp('2015-01-29 15:00:00+0000',
tz='UTC')
assert start_timestamp_x_1 == expected_start_timestamp_x1
start_timestamp_x_2 = self.feature_close_with_log_return_transform._get_start_timestamp_x(
prediction_timestamp)
expected_start_timestamp_x2 = pd.Timestamp('2015-01-26 16:00:00+0000',
tz='UTC')
assert start_timestamp_x_2 == expected_start_timestamp_x2
start_timestamp_x_3 = self.feature_high_with_log_return_transform._get_start_timestamp_x(
prediction_timestamp)
expected_start_timestamp_x3 = pd.Timestamp('2015-01-16 17:00:00+0000',
tz='UTC')
assert start_timestamp_x_3 == expected_start_timestamp_x3
def test_select_prediction_data(self):
data_frame = financial_data_fixtures[
self.feature_close_with_value_transform.name]
start_date = data_frame.index[0].date()
end_date = data_frame.index[-1].date()
market_open_list = sample_market_calendar.schedule(
str(start_date), str(end_date)).market_open
prediction_timestamp = market_open_list[20] + timedelta(minutes=15)
selected_prediction_data = \
self.feature_close_with_value_transform._select_prediction_data_x(data_frame, prediction_timestamp)
last_index = np.argwhere(
data_frame.index <= prediction_timestamp)[-1][0] + 1
first_index = last_index - self.feature_close_with_value_transform.length
expected_data_frame = data_frame.iloc[first_index:last_index]
assert selected_prediction_data.equals(expected_data_frame)
@staticmethod
def _run_get_prediction_data_test(feature, expected_length):
data_frame = financial_data_fixtures[feature.name]
start_date = data_frame.index[0].date()
end_date = data_frame.index[-1].date()
market_open_list = sample_market_calendar.schedule(
str(start_date), str(end_date)).market_open
prediction_timestamp = market_open_list[20] + timedelta(minutes=30)
target_timestamp = market_open_list[21] + timedelta(minutes=90)
prediction_data_x = feature.get_prediction_features(
data_frame, prediction_timestamp)
prediction_data_y = feature.get_prediction_targets(
data_frame, prediction_timestamp, target_timestamp)
assert isinstance(prediction_data_x, pd.DataFrame) and isinstance(
prediction_data_y, pd.Series)
assert len(prediction_data_x) == expected_length
assert_array_equal(prediction_data_x.columns, prediction_data_y.index)
def test_get_prediction_data(self):
expected_length_list = [15, 35, 69]
for feature, expected_length in zip(self.feature_list,
expected_length_list):
self._run_get_prediction_data_test(feature, expected_length)
def test_declassify_single_predict_y(self):
train_labels = np.stack(
(TEST_ARRAY, TEST_ARRAY, TEST_ARRAY, TEST_ARRAY, TEST_ARRAY))
predict_labels = {
'open': train_labels[:, int(0.5 * train_labels.shape[1])]
}
for feature in self.feature_list:
if feature.nbins:
predict_y = np.zeros_like(predict_labels[list(
predict_labels.keys())[0]])
predict_y[0] = 1
else:
predict_y = predict_labels
with pytest.raises(NotImplementedError):
feature.declassify_single_predict_y(predict_y)
def setUp(self):
transform_config = {'name': 'log-return'}
self.feature1 = FinancialFeature(name='close',
transformation=transform_config,
normalization='min_max',
nbins=10,
ndays=5,
resample_minutes=0,
start_market_minute=90,
is_target=True,
calendar=sample_market_calendar,
local=False,
length=35,
normalise_per_series=True)
self.feature2 = FinancialFeature(name='close',
transformation=transform_config,
normalization='standard',
nbins=10,
ndays=5,
resample_minutes=0,
start_market_minute=90,
is_target=True,
calendar=sample_market_calendar,
local=False,
length=35,
normalise_per_series=True)
self.feature3 = FinancialFeature(name='close',
transformation=transform_config,
normalization='gaussian',
nbins=10,
ndays=5,
resample_minutes=0,
start_market_minute=90,
is_target=True,
calendar=sample_market_calendar,
local=False,
length=35,
normalise_per_series=True)
self.feature4 = FinancialFeature(name='close',
transformation=transform_config,
normalization='robust',
nbins=10,
ndays=5,
resample_minutes=0,
start_market_minute=90,
is_target=True,
calendar=sample_market_calendar,
local=False,
length=35,
normalise_per_series=True)
transform_config_2 = {'name': 'value'}
self.feature5 = FinancialFeature(name='close',
transformation=transform_config_2,
normalization='min_max',
nbins=5,
ndays=5,
resample_minutes=0,
start_market_minute=90,
is_target=True,
calendar=sample_market_calendar,
local=False,
length=35,
normalise_per_series=True,
classify_per_series=True)
class TestFeatureNormalization(TestCase):
def setUp(self):
transform_config = {'name': 'log-return'}
self.feature1 = FinancialFeature(name='close',
transformation=transform_config,
normalization='min_max',
nbins=10,
ndays=5,
resample_minutes=0,
start_market_minute=90,
is_target=True,
calendar=sample_market_calendar,
local=False,
length=35,
normalise_per_series=True)
self.feature2 = FinancialFeature(name='close',
transformation=transform_config,
normalization='standard',
nbins=10,
ndays=5,
resample_minutes=0,
start_market_minute=90,
is_target=True,
calendar=sample_market_calendar,
local=False,
length=35,
normalise_per_series=True)
self.feature3 = FinancialFeature(name='close',
transformation=transform_config,
normalization='gaussian',
nbins=10,
ndays=5,
resample_minutes=0,
start_market_minute=90,
is_target=True,
calendar=sample_market_calendar,
local=False,
length=35,
normalise_per_series=True)
self.feature4 = FinancialFeature(name='close',
transformation=transform_config,
normalization='robust',
nbins=10,
ndays=5,
resample_minutes=0,
start_market_minute=90,
is_target=True,
calendar=sample_market_calendar,
local=False,
length=35,
normalise_per_series=True)
transform_config_2 = {'name': 'value'}
self.feature5 = FinancialFeature(name='close',
transformation=transform_config_2,
normalization='min_max',
nbins=5,
ndays=5,
resample_minutes=0,
start_market_minute=90,
is_target=True,
calendar=sample_market_calendar,
local=False,
length=35,
normalise_per_series=True,
classify_per_series=True)
def test_fit_normalisation(self):
symbol_data1 = np.random.randn(10000)
self.feature1.fit_normalisation(symbol_data=symbol_data1)
assert np.isclose(self.feature1.scaler.data_max_,
symbol_data1.max(),
rtol=1e-4)
assert np.isclose(self.feature1.scaler.data_min_,
symbol_data1.min(),
rtol=1e-4)
self.feature2.fit_normalisation(symbol_data=symbol_data1)
assert np.isclose(self.feature2.scaler.mean_,
symbol_data1.mean(),
rtol=1e-4)
assert np.isclose(self.feature2.scaler.var_,
symbol_data1.var(),
rtol=1e-4)
self.feature3.fit_normalisation(symbol_data=symbol_data1)
assert self.feature3.scaler.references_.shape == (1000, )
assert self.feature3.scaler.quantiles_.shape == (1000, 1)
self.feature4.fit_normalisation(symbol_data=symbol_data1)
assert np.isclose(self.feature4.scaler.center_,
np.median(symbol_data1),
rtol=1e-4)
def test_apply_normalisation(self):
data = deepcopy(financial_data_fixtures['open'])
for column in data.columns:
self.feature1.fit_normalisation(symbol_data=data[column].values,
symbol=column)
self.feature1.apply_normalisation(data)
np.testing.assert_allclose(data.max(), np.asarray([1., 1., 1., 1.,
1.]))
np.testing.assert_allclose(data.min(), np.asarray([0., 0., 0., 0.,
0.]))
for column in data.columns:
self.feature2.fit_normalisation(symbol_data=data[column].values,
symbol=column)
self.feature2.apply_normalisation(data)
np.testing.assert_allclose(data.mean(),
np.asarray([0., 0., 0., 0., 0.]),
atol=1e-4)
for column in data.columns:
self.feature3.fit_normalisation(symbol_data=data[column].values,
symbol=column)
self.feature3.apply_normalisation(data)
np.testing.assert_allclose(data.mean(),
np.asarray([0., 0., 0., 0., 0.]),
atol=1e-3)
for column in data.columns:
self.feature4.fit_normalisation(symbol_data=data[column].values,
symbol=column)
self.feature4.apply_normalisation(data)
np.testing.assert_allclose(np.median(data, axis=0),
np.asarray([0., 0., 0., 0., 0.]),
atol=1e-3)
def test_apply_classification(self):
symbols = ['SYM1', 'SYM2', 'SYM3']
feature = self.feature5
dataframe = pd.DataFrame([[5, 5, 5]], columns=symbols)
symbol_data_1 = np.linspace(0, 10, 10)
symbol_data_2 = np.linspace(0, 100, 100)
feature.fit_classification('SYM1', symbol_data_1)
feature.fit_classification('SYM2', symbol_data_2)
classified_dataframe = feature.apply_classification(dataframe)
expected_classified_dataframe = pd.DataFrame(
[[0., 1.], [0., 0.], [1., 0.], [0., 0.], [0., 0.]],
columns=symbols[:2])
assert classified_dataframe.equals(expected_classified_dataframe)
