def setUp(self):
self.random_portfolio = tools.random_portfolio(n=1000,
k=3,
mu=0.,
sd=0.01)
def S():
""" Random portfolio for testing. """
return tools.random_portfolio(n=1000, k=3, mu=0., sd=0.01)
"""Fees for BAH should be equal to 1 * fee."""
FEE = 0.01
result = algos.BAH().run(S)
wealth_no_fees = result.total_wealth
result.fee = FEE
wealth_with_fees = result.total_wealth
assert abs(wealth_no_fees * (1 - FEE) - wealth_with_fees) < EPS
# CRP
def test_crp(S):
"""Make sure that equity of a portfolio [1,0,...,0] with NaN values
is the same as asset itself."""
b = [1.0] + [0.0] * (len(S.columns) - 1)
result = algos.CRP(b).run(S)
assert abs(result.total_wealth - S[S.columns[0]].iloc[-1]) < EPS
def test_tco1(S):
"""Zero turnover with extremely high fees."""
result = algos.TCO1(eta=1, trx_fee_pct=1e6).run(S)
assert abs(result.turnover) < 1e-8
data = tools.random_portfolio(n=1000, k=3, mu=0.0, sd=0.01)
result = ONS().run(data)
print(result.summary())
result.plot()