def test_covariance(self):
fLOG(
__file__,
self._testMethodName,
OutputPrint=__name__ == "__main__")
cache = os.path.abspath(os.path.split(__file__)[0])
cache = os.path.join(cache, "temp_cache_cov")
stocks = [StockPrices("BNP.PA", folder=cache),
StockPrices("CA.PA", folder=cache),
StockPrices("SAF.PA", folder=cache),
]
dates = StockPrices.available_dates(stocks)
ok = dates[dates["missing"] == 0]
stocks = [v.keep_dates(ok) for v in stocks]
cov = StockPrices.covariance(stocks)
assert len(cov) == 3
cor = StockPrices.covariance(stocks, cov=False)
self.assertEqual(len(cor), 3)
assert abs(cor.ix["BNP.PA", "BNP.PA"] - 1) < 1e-5
assert abs(cor.ix[2, 2] - 1) < 1e-5
ret, mat = StockPrices.covariance(stocks, cov=False, ret=True)
self.assertEqual(len(ret), 3)
def test_covariance(self):
fLOG(__file__,
self._testMethodName,
OutputPrint=__name__ == "__main__")
cache = os.path.abspath(os.path.split(__file__)[0])
cache = os.path.join(cache, "temp_cache_cov")
stocks = [
StockPrices("BNP.PA", folder=cache),
StockPrices("CA.PA", folder=cache),
StockPrices("SAF.PA", folder=cache),
]
dates = StockPrices.available_dates(stocks)
ok = dates[dates["missing"] == 0]
stocks = [v.keep_dates(ok) for v in stocks]
cov = StockPrices.covariance(stocks)
assert len(cov) == 3
cor = StockPrices.covariance(stocks, cov=False)
self.assertEqual(len(cor), 3)
assert abs(cor.ix["BNP.PA", "BNP.PA"] - 1) < 1e-5
assert abs(cor.ix[2, 2] - 1) < 1e-5
ret, mat = StockPrices.covariance(stocks, cov=False, ret=True)
self.assertEqual(len(ret), 3)
def test_covariance(self):
fLOG(__file__,
self._testMethodName,
OutputPrint=__name__ == "__main__")
cache = get_temp_folder(__file__, "temp_cache_cov")
stocks = [
StockPrices(t, folder=cache, url=TestStockHttp.source)
for t in TestStockHttp.ticks
]
dates = StockPrices.available_dates(stocks)
ok = dates[dates["missing"] == 0]
stocks = [v.keep_dates(ok) for v in stocks]
cov = StockPrices.covariance(stocks)
self.assertEqual(len(cov), 3)
cor = StockPrices.covariance(stocks, cov=False)
self.assertEqual(len(cor), 3)
t = TestStockHttp.ticks[1]
self.assertTrue(abs(cor.loc[t, t] - 1) < 1e-5)
self.assertTrue(abs(cor.iloc[2, 2] - 1) < 1e-5)
ret, mat = StockPrices.covariance(stocks, cov=False, ret=True)
self.assertEqual(len(ret), 3)
def test_available_dates(self) :
fLOG (__file__, self._testMethodName, OutputPrint = __name__ == "__main__")
cache = os.path.abspath(os.path.split(__file__)[0])
cache = os.path.join(cache, "temp_cache2")
stocks = [ StockPrices ("BNP.PA", folder = cache),
StockPrices ("CA.PA", folder = cache),
StockPrices ("SAF.PA", folder = cache),
]
av = StockPrices.available_dates(stocks)
assert len(av)>0
missing = stocks[-1].missing(av)
assert missing is None or len(missing)>0
def test_available_dates(self):
fLOG(__file__,
self._testMethodName,
OutputPrint=__name__ == "__main__")
cache = get_temp_folder(__file__, "temp_cache_dates")
stocks = [
StockPrices(t, folder=cache, url=TestStockHttp.source)
for t in TestStockHttp.ticks
]
av = StockPrices.available_dates(stocks)
self.assertTrue(len(av) > 0)
missing = stocks[-1].missing(av)
self.assertTrue(missing is None or len(missing) > 0)
def test_available_dates(self):
fLOG(__file__,
self._testMethodName,
OutputPrint=__name__ == "__main__")
cache = os.path.abspath(os.path.split(__file__)[0])
cache = os.path.join(cache, "temp_cache_dates")
stocks = [
StockPrices("BNP.PA", folder=cache),
StockPrices("CA.PA", folder=cache),
StockPrices("SAF.PA", folder=cache),
]
av = StockPrices.available_dates(stocks)
assert len(av) > 0
missing = stocks[-1].missing(av)
assert missing is None or len(missing) > 0
