def test_fromfuncs(self):
_vol_ave_int = 2
_sma_window = 4
_skipatstart = _sma_window - 1
_n_sess = 3
_smafunc = pn.expand(pn.tech.sma, 'Adj Close')
_funcs = [
pn.decorate(partial(pn.tech.ratio_to_ave, _vol_ave_int),
title='MyRelVol'),
pn.decorate(partial(_smafunc, window=_sma_window), title='MySMA')]
_features = pn.data.feat.fromfuncs(_funcs, _n_sess, self.equity_data,
skipatstart=_skipatstart)
self.assertEqual(len(_features.index), len(self.equity_data.index) - _n_sess - _skipatstart + 1)
for i in range(len(_features.index)):
self.assertAlmostEqual(_features.iloc[i, 0], 1.)
self.assertEqual(_features.index[i], self.equity_data.index[i + _n_sess + _skipatstart - 1])
for j in range(_n_sess):
# relative volumes all between 1.0 and 2.0
self.assertTrue(_features.iloc[i, j + 1] < 2.)
self.assertTrue(_features.iloc[i, j + 1] > 1.)
# SMAs are means of values like 4, 6, 8, 10
self.assertAlmostEqual(_features.iloc[i, j + _n_sess + 1], 1. + _sma_window + 2. * (i + j))
# properties of relative volumes
if i >= 1:
# strictly decreasing
self.assertTrue(_features.iloc[i, 1] < _features.iloc[i - 1, 1])
# columns match with offset
self.assertAlmostEqual(_features.iloc[i, 1], _features.iloc[i - 1, 2])
self.assertAlmostEqual(_features.iloc[i, 2], _features.iloc[i - 1, 3])
def test_expand(self):
def _f(eqdata):
return 2. * eqdata
_expanded_ret = pn.expand(_f, 'Adj Close')(self.equity_data)
self.assertEqual(len(_expanded_ret.values.flatten()), len(self.equity_data.index))
for i in range(len(_expanded_ret.index)):
self.assertEqual(_expanded_ret.index[i], self.equity_data.index[i])
self.assertAlmostEqual(_expanded_ret.values[i], 4. + 4. * i)
def test_expand(self):
def _f(eqdata):
return 2. * eqdata
_expanded_ret = pn.expand(_f, 'Adj Close')(self.equity_data)
self.assertEqual(len(_expanded_ret.values.flatten()),
len(self.equity_data.index))
for i in range(len(_expanded_ret.index)):
self.assertEqual(_expanded_ret.index[i], self.equity_data.index[i])
self.assertAlmostEqual(_expanded_ret.values[i], 4. + 4. * i)
