def testMakeOptionException(self):
# valid arguments
fn_cal = self.test_mktcal
refs = [dt.date(2015, 1, 3)]
tests = [dt.date(2015, 1, 10)]
days = 10
inc = 2
future = 10
fn_sym = self.test_symbol_file
cv_factor = 2
max_stocks = 10
fn_opt = self.fn_opt
# make sure no exception is raised with valid arguments
target.make_option_data(fn_cal, refs, tests, days, inc, future,
fn_sym, cv_factor, max_stocks, fn_opt)
# empty reference
self.assertRaises(ValueError, target.make_option_data,
fn_cal, [], tests, days, inc, future,
fn_sym, cv_factor, max_stocks, fn_opt)
self.assertRaises(ValueError, target.make_option_data,
fn_cal, None, tests, days, inc, future,
fn_sym, cv_factor, max_stocks, fn_opt)
# empty test
self.assertRaises(ValueError, target.make_option_data,
fn_cal, refs, [], days, inc, future,
fn_sym, cv_factor, max_stocks, fn_opt)
self.assertRaises(ValueError, target.make_option_data,
fn_cal, refs, None, days, inc, future,
fn_sym, cv_factor, max_stocks, fn_opt)
# train_inc too large
self.assertRaises(ValueError, target.make_option_data,
fn_cal, refs, tests, days, days, future,
fn_sym, cv_factor, max_stocks, fn_opt)
# future_day before the last day of date range
self.assertRaises(ValueError, target.make_option_data,
fn_cal, refs, tests, days, inc, days-1,
fn_sym, cv_factor, max_stocks, fn_opt)
# cv_factor >= 2
self.assertRaises(ValueError, target.make_option_data,
fn_cal, refs, tests, days, inc, future,
fn_sym, 1, max_stocks, fn_opt)
# max_stocks >= cv_factor
self.assertRaises(ValueError, target.make_option_data,
fn_cal, refs, tests, days, inc, future,
fn_sym, cv_factor, cv_factor-1, fn_opt)
def testMakeOption(self):
fn_cal = self.test_mktcal
refs = [dt.date(2015, 1, 3), dt.date(2015, 1, 6)]
tests = [dt.date(2015, 1, 9), dt.date(2015, 1, 11)]
days = 8
inc = 1
future = 10
fn_sym = self.test_symbol_file
cv_factor = 3
max_stocks = None # take everything
fn_opt = self.fn_opt
target.make_option_data(fn_cal, refs, tests, days, inc, future, fn_sym, cv_factor, max_stocks, fn_opt)
self.assertTrue(filecmp.cmp(self.expected_option, fn_opt))
def testMakeOption(self):
fn_cal = self.test_mktcal
refs = [dt.date(2015, 1, 3), dt.date(2015, 1, 6)]
tests = [dt.date(2015, 1, 9), dt.date(2015, 1,11)]
days = 8
inc = 1
future = 10
fn_sym = self.test_symbol_file
cv_factor = 3
max_stocks = None # take everything
fn_opt = self.fn_opt
target.make_option_data(
fn_cal, refs, tests, days, inc, future,
fn_sym, cv_factor, max_stocks,
fn_opt)
self.assertTrue(filecmp.cmp(self.expected_option, fn_opt))
def testMakeOptionException(self):
# valid arguments
fn_cal = self.test_mktcal
refs = [dt.date(2015, 1, 3)]
tests = [dt.date(2015, 1, 10)]
days = 10
inc = 2
future = 10
fn_sym = self.test_symbol_file
cv_factor = 2
max_stocks = 10
fn_opt = self.fn_opt
# make sure no exception is raised with valid arguments
target.make_option_data(fn_cal, refs, tests, days, inc, future, fn_sym, cv_factor, max_stocks, fn_opt)
# empty reference
self.assertRaises(
ValueError,
target.make_option_data,
fn_cal,
[],
tests,
days,
inc,
future,
fn_sym,
cv_factor,
max_stocks,
fn_opt,
)
self.assertRaises(
ValueError,
target.make_option_data,
fn_cal,
None,
tests,
days,
inc,
future,
fn_sym,
cv_factor,
max_stocks,
fn_opt,
)
# empty test
self.assertRaises(
ValueError,
target.make_option_data,
fn_cal,
refs,
[],
days,
inc,
future,
fn_sym,
cv_factor,
max_stocks,
fn_opt,
)
self.assertRaises(
ValueError,
target.make_option_data,
fn_cal,
refs,
None,
days,
inc,
future,
fn_sym,
cv_factor,
max_stocks,
fn_opt,
)
# train_inc too large
self.assertRaises(
ValueError,
target.make_option_data,
fn_cal,
refs,
tests,
days,
days,
future,
fn_sym,
cv_factor,
max_stocks,
fn_opt,
)
# future_day before the last day of date range
self.assertRaises(
ValueError,
target.make_option_data,
fn_cal,
refs,
tests,
days,
inc,
days - 1,
fn_sym,
cv_factor,
max_stocks,
fn_opt,
)
# cv_factor >= 2
self.assertRaises(
ValueError, target.make_option_data, fn_cal, refs, tests, days, inc, future, fn_sym, 1, max_stocks, fn_opt
)
# max_stocks >= cv_factor
self.assertRaises(
ValueError,
target.make_option_data,
fn_cal,
refs,
tests,
days,
inc,
future,
fn_sym,
cv_factor,
cv_factor - 1,
fn_opt,
)