def test_get_weights(self): prices = data.read_all_files("../historical-prices", 0, 4) risk_calculation = r.RiskCalculation(prices, 'SP500') self.assertAlmostEqual( 1, sum([ val.weight for key, val in risk_calculation.risk_params.items() ]))
def main(): working_directory = "historical-prices" date_time_index = 0 prices_index = 4 balance = get_param("Balance $") risk = get_param("Risk %") commission = get_param("Commission %") prices = csv.read_all_files(working_directory, date_time_index, prices_index) index_symbol = get_index_code(prices) rc = risk_calc.RiskCalculation(prices, index_symbol, r_value_min_abs=0.6) print() symbols = rc.risk_params.keys() risk_params = rc.risk_params.values() data = { 'b1': [i.b1 for i in risk_params], 'r_value': [i.r_value for i in risk_params], 'weight': [i.weight for i in risk_params], 'trade_volume': [balance * i.weight for i in risk_params], 'risk_limit': [balance * i.weight * risk / 100.0 for i in risk_params], 'commission': [balance * i.weight * commission / 100.0 for i in risk_params] } df = pd.DataFrame(data, index=symbols) cols = [ 'b1', 'r_value', 'weight', 'trade_volume', 'risk_limit', 'commission' ] df = df[cols] print(df) print() input("\npush 'ENTER' to exit.")
def main(): working_directory = "historical-prices" date_time_index = 0 prices_index = 4 balance = get_param("Balance $") risk = get_param("Risk %") commission = get_param("Commission %") prices = csv.read_all_files(working_directory, date_time_index, prices_index) index_symbol = get_index_code(prices) rc = risk_calc.RiskCalculation(prices, index_symbol, r_value_min_abs=0.6) print() symbols = rc.risk_params.keys() risk_params = rc.risk_params.values() data = { 'b1': [i.b1 for i in risk_params], 'r_value': [i.r_value for i in risk_params], 'weight': [i.weight for i in risk_params], 'trade_volume': [balance * i.weight for i in risk_params], 'risk_limit': [balance * i.weight * risk / 100.0 for i in risk_params], 'commission': [balance * i.weight * commission / 100.0 for i in risk_params] } df = pd.DataFrame(data, index=symbols) cols = ['b1', 'r_value', 'weight', 'trade_volume', 'risk_limit', 'commission'] df = df[cols] print(df) print() input("\npush 'ENTER' to exit.")
def test_get_weights(self): prices = data.read_all_files("../historical-prices", 0, 4) risk_calculation = r.RiskCalculation(prices, 'SP500') self.assertAlmostEqual(1, sum([val.weight for key, val in risk_calculation.risk_params.items()]))
def test_get_regressions(self): prices = data.read_all_files("../historical-prices", 0, 4) risk_calculation = r.RiskCalculation(prices, 'SP500') self.assertEquals(22 - 1, len(risk_calculation.risk_params))
def test_get_historical_prices(self): historical_prices = csv.read_all_files("../historical-prices", 0, 4) self.assertEquals(22, len(historical_prices)) for key, value in historical_prices.items(): self.assertEquals(473, len(value))