def __init__(self, window, dependency=('pRet', 'mRet', 'riskFree')):
self._returnSize = 2
super(MovingAlphaBeta, self).__init__(window, dependency)
self._pReturnMean = MovingAverage(window, dependency='x')
self._mReturnMean = MovingAverage(window, dependency='y')
self._pReturnVar = MovingVariance(window, dependency='x')
self._mReturnVar = MovingVariance(window, dependency='y')
self._correlationHolder = MovingCorrelation(window, dependency=['x', 'y'])
def testMultiplyOperator(self):
mv5 = MovingVariance(5, 'close')
average = Average('open')
mulRes = MovingVariance(5, 'close') * Average('open')
for i, (open, close) in enumerate(zip(self.sampleOpen, self.sampleClose)):
data = {'close': close, 'open': open}
mv5.push(data)
average.push(data)
mulRes.push(data)
if i >= 1:
expected = mv5.result() * average.result()
calculated = mulRes.result()
self.assertAlmostEqual(calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
def __init__(self, window, dependency=('ret', 'riskFree')):
super(MovingSharp, self).__init__(window, dependency)
self._mean = MovingAverage(window, dependency='x')
self._var = MovingVariance(window, dependency='x', isPopulation=False)
