Exemplo n.º 1
0
    def test_custom_normalization(self):
        strategy = Algorithm()

        weights = pd.Series([0.25, 0.25, 0.0])
        result = strategy.custom_normalize(weights)
        expected = pd.Series([0.5, 0.5, 0.0])
        self.assert_list(result, expected, 3)

        weights = pd.Series([0.25, 0.25, -0.25])
        result = strategy.custom_normalize(weights)
        expected = pd.Series([0.5, 0.5, -0.5])
        self.assert_list(result, expected, 3)

        weights = pd.Series([-0.25, -0.25, 0.25])
        result = strategy.custom_normalize(weights)
        expected = pd.Series([0.0, 0.0, 0.0])
        self.assert_list(result, expected, 3)

        weights = pd.Series([-0.25, -0.25, 0.0])
        result = strategy.custom_normalize(weights)
        expected = pd.Series([0.0, 0.0, -0.0])
        self.assert_list(result, expected, 3)

        weights = pd.Series([0.0, 0.0, 0.0])
        result = strategy.custom_normalize(weights)
        expected = pd.Series([0.0, 0.0, -0.0])
        self.assert_list(result, expected, 3)