def test_get_positions_from_forecasts(self):
fx = pd.DataFrame([2.0] * 10, dt_range1)
price = pd.DataFrame(
[100, 103, 105, 106, 110, 105, np.nan, 106, 120, np.nan, 142],
dt_range2)
forecast = pd.DataFrame(
[np.nan, np.nan, np.nan, np.nan, 10.0,
10.0, 15.0, 15.0, 5.0, 0.0, -5.0],
dt_range2)
value_of_price_point = 150.0
daily_return_volatility = None
position = get_positions_from_forecasts(price,
daily_return_volatility,
forecast,
fx,
value_of_price_point,
min_periods=1)
# TODO this has been divided by ten to what was here previously, error?
expected_pos = [np.nan, np.nan, np.nan, np.nan,
252.34937866824254,
90.572296272461699,
135.85844440869255,
135.85844440869255,
24.878044993282998,
0.0,
-24.878044993282995]
np.testing.assert_almost_equal(position.position.values,
expected_pos)
def test_get_positions_from_forecasts(self):
fx = pd.DataFrame([2.0] * 10, dt_range1)
price = pd.DataFrame(
[100, 103, 105, 106, 110, 105, np.nan, 106, 120, np.nan,
142], dt_range2)
forecast = pd.DataFrame([
np.nan, np.nan, np.nan, np.nan, 10.0, 10.0, 15.0, 15.0, 5.0, 0.0,
-5.0
], dt_range2)
value_of_price_point = 150.0
daily_return_volatility = None
position = get_positions_from_forecasts(
price,
daily_return_volatility,
forecast,
fx,
value_of_price_point,
min_periods=1)
# TODO this has been divided by ten to what was here previously, error?
expected_pos = [
np.nan, np.nan, np.nan, np.nan, 252.34937866824254,
90.572296272461699, 135.85844440869255, 135.85844440869255,
24.878044993282998, 0.0, -24.878044993282995
]
np.testing.assert_almost_equal(position.position.values, expected_pos)
def test_get_positions_from_forecasts(self):
fx = pd.DataFrame(
[2.0] * 10, pd.date_range(start=pd.datetime(2014, 12, 30), periods=10))
price = pd.DataFrame([100, 103, 105, 106, 110, 105, np.nan, 106,
120, np.nan, 142], pd.date_range(start=pd.datetime(2015, 1, 1), periods=11))
forecast = pd.DataFrame([np.nan, np.nan, np.nan, np.nan, 10.0, 10.0, 15.0, 15.0,
5.0, 0.0, -5.0], pd.date_range(start=pd.datetime(2015, 1, 1), periods=11))
value_of_price_point = 150.0
position = get_positions_from_forecasts(
price, None, forecast, fx, value_of_price_point, min_periods=1)
self.assertAlmostEqual(list(position.position.values)[4:], [
2523.4937866824253, 905.72296272461699, 1358.5844440869255, 1358.5844440869255, 248.78044993282995, 0.0, -248.78044993282995])
