예제 #1
0
from datetime import datetime
from finance.evtstudy import PastEvent

pevt = PastEvent('./data')
pevt.symbol = 'AAPL'
pevt.market = "^gspc"
pevt.lookback_days = 10
pevt.lookforward_days = 10
pevt.estimation_period = 252
pevt.date = datetime(2009, 1, 5)
pevt.run()

print(pevt.er)
예제 #2
0
    def test_success(self):
        self.setUp1()

        # Test: Series names
        self.assertEquals(self.evt.er.name, "Expected Return")
        self.assertEquals(self.evt.ar.name, "Abnormal Return")
        self.assertEquals(self.evt.car.name, "Cumulative Abnormal Return")
        self.assertEquals(self.evt.t_test.name, "t test")
        self.assertEquals(self.evt.prob.name, "Probability")

        # Test: Index values
        self.assertEquals(self.evt.er.index[0].to_pydatetime(), datetime(2008, 12, 18))
        self.assertEquals(self.evt.er.index[-1].to_pydatetime(), datetime(2009, 1, 20))

        # Test: Values
        ans_er = [
            "-0.0212234",
            "0.00230225",
            "-0.0184308",
            "-0.0100507",
            "0.00507867",
            "0.00466393",
            "-0.0043450",
            "0.02326106",
            "0.01325643",
            "0.03029057",
            "-0.0051219",
            "0.00706623",
            "-0.0298596",
            "0.00275149",
            "-0.0213603",
            "-0.0225914",
            "0.00115150",
            "-0.0332277",
            "0.00073280",
            "0.00681676",
            "-0.0521229",
        ]
        ans_ar = [
            "0.02416528",
            "0.00412824",
            "-0.0288732",
            "0.01746335",
            "-0.0206124",
            "0.00435256",
            "0.01375131",
            "-0.0269885",
            "-0.0241298",
            "0.03294819",
            "0.04736761",
            "-0.0235995",
            "0.00827612",
            "0.01576086",
            "-0.0014955",
            "0.00142864",
            "-0.0118479",
            "0.00608256",
            "-0.0235514",
            "-0.0193999",
            "0.00188397",
        ]
        ans_car = [
            "0.02416528",
            "0.02829353",
            "-0.0005797",
            "0.01688362",
            "-0.0037288",
            "0.00062375",
            "0.01437507",
            "-0.0126134",
            "-0.0367432",
            "-0.0037950",
            "0.04357256",
            "0.01997299",
            "0.02824911",
            "0.04400998",
            "0.04251447",
            "0.04394312",
            "0.03209521",
            "0.03817778",
            "0.01462634",
            "-0.0047736",
            "-0.0028896",
        ]
        ans_t_test = [
            "0.93826998",
            "1.09855833",
            "-0.0225090",
            "0.65554389",
            "-0.1447789",
            "0.02421877",
            "0.55814377",
            "-0.4897438",
            "-1.4266368",
            "-0.1473509",
            "1.69180043",
            "0.77549544",
            "1.09683395",
            "1.70878414",
            "1.65071766",
            "1.70618799",
            "1.24616708",
            "1.48233614",
            "0.56789979",
            "-0.1853454",
            "-0.1121960",
        ]
        ans_prob = [
            "0.82594716",
            "0.86401961",
            "0.49102096",
            "0.74394118",
            "0.44244271",
            "0.50966094",
            "0.71162689",
            "0.31215756",
            "0.07684230",
            "0.44142751",
            "0.95465798",
            "0.78097652",
            "0.86364300",
            "0.95625452",
            "0.95060188",
            "0.95601345",
            "0.89364846",
            "0.93087456",
            "0.71494849",
            "0.42647903",
            "0.45533397",
        ]
        self.assertEquals([str(x)[0:10] for x in self.evt.er.values.tolist()], ans_er)
        self.assertEquals([str(x)[0:10] for x in self.evt.ar.values.tolist()], ans_ar)
        self.assertEquals([str(x)[0:10] for x in self.evt.car.values.tolist()], ans_car)
        self.assertEquals([str(x)[0:10] for x in self.evt.t_test.values.tolist()], ans_t_test)
        self.assertEquals([str(x)[0:10] for x in self.evt.prob.values.tolist()], ans_prob)

        # Test: Compare results of equal events
        evt2 = PastEvent("./data")
        evt2.symbol = "AAPL"
        evt2.market = "^gspc"
        evt2.lookback_days = 10
        evt2.lookforward_days = 10
        evt2.estimation_period = 252
        evt2.date = datetime(2009, 1, 5)
        evt2.run()

        self.assertListEqual(
            [str(x)[0:10] for x in self.evt.er.values.tolist()], [str(x)[0:10] for x in evt2.er.values.tolist()]
        )
        self.assertEqual(
            [str(x)[0:10] for x in self.evt.ar.values.tolist()], [str(x)[0:10] for x in evt2.ar.values.tolist()]
        )
        self.assertListEqual(
            [str(x)[0:10] for x in self.evt.car.values.tolist()], [str(x)[0:10] for x in evt2.car.values.tolist()]
        )
        self.assertListEqual(
            [str(x)[0:10] for x in self.evt.t_test.values.tolist()], [str(x)[0:10] for x in evt2.t_test.values.tolist()]
        )
        self.assertListEqual(
            [str(x)[0:10] for x in self.evt.prob.values.tolist()], [str(x)[0:10] for x in evt2.prob.values.tolist()]
        )