def test_window(self):
'''
Tests
-----
1. Expected returns
2. Abnormal returns
3. Cumulative abnormal returns
4. t-test
'''
self.setUpDataAccess()
evt = PastEvent()
evt.symbol = 'AAPL'
evt.market = "^gspc"
evt.lookback_days = 10
evt.lookforward_days = 10
evt.estimation_period = 252
evt.date = datetime(2009, 1, 5)
evt.run()
self_dir = os.path.dirname(os.path.abspath(inspect.getfile(inspect.currentframe())))
tests = ['PastEvent_window_1.csv']
tests = [os.path.join(self_dir, 'docs', test) for test in tests]
for test_file in tests:
# Set up
solution = pd.read_csv(test_file)
solution.index = evt.er.index
# Test 1
self.assertEqual(evt.er, solution['Expected return'], 3)
# Test 2
self.assertEqual(evt.ar, solution['Abnormal return'], 3)
# Test 3
self.assertEqual(evt.car, solution['Cum abnormal return'], 2)
# Test 4
self.assertEqual(evt.t_test, solution['t-test'], 2)
from datetime import datetime import matplotlib.pyplot as plt from finance.events import PastEvent # from finance.utils import DataAccess # DataAccess.path = 'data' evt = PastEvent() evt.symbol = 'AAPL' evt.market = "^gspc" evt.lookback_days = 10 evt.lookforward_days = 10 evt.estimation_period = 252 evt.date = datetime(2009, 1, 5) evt.run() #print(evt.expected_return) #print(evt.abnormal_return) print(evt.car) #print(evt.t_test) evt.ar.plot() plt.show()