def test_hypothesis_test(): """Test the hypthosis_test function.""" base = power(2.0, 1.0/252.0) benchmark_backtest = get_backtest_from_open_values([1, 1*base, 1*base**2, 1*base**3]) test_backtest = get_backtest_from_open_values([1, 1*base**2, 1*base**4, 1*base**6]) benchmarkt_returns = get_log_daily_returns(benchmark_backtest) test_returns = get_log_daily_returns(test_backtest) (actual_mean, actual_p_value) = hypothesis_test(test_returns, benchmarkt_returns) assert_true(abs(actual_mean - 100.0) < 0.000001) assert_equal(actual_p_value, 0.0)
def main():
start_date = date(2002,1,1)
end_date = date(2012, 7, 7)
buy_hold = Backtest(start_date, end_date, commissions_class=WellsPMACommissions,
strategy_class=BuyHoldSPY, taxes_class=Taxes,
end_of_day_class=Yahoo, portfolio=Portfolio(1e7))
halloween = Backtest(start_date, end_date, commissions_class=WellsPMACommissions,
strategy_class=Halloween, taxes_class=Taxes,
end_of_day_class=Yahoo, portfolio=Portfolio(1e7))
buy_hold_returns = get_log_daily_returns(buy_hold)
halloween_returns = get_log_daily_returns(halloween)
(excess_return, p_value) = hypothesis_test(halloween_returns, buy_hold_returns)
print "Excess return of Halloween: " + str(excess_return) + "%"
print "p-value of Halloween: " + str(p_value) + "%"