コード例 #1
0
    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)
コード例 #2
0
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()