def test_set_benchmark(self):
trader = TraderAlpha(self.companies)
trader.set_benchmark()
old_benchmark = trader.benchmark_returns
trader.set_benchmark('MSFT')
self.assertFalse((old_benchmark == trader.benchmark_returns).all())
def test_calculate_VaR_invalid_confidence_interval(self):
daily_returns = np.array([1, 1, 1, 1, 2, 10, 100])
with pytest.raises(ValueError):
TraderAlpha.calculate_VaR(5000, 110, 2, daily_returns)
def test_calculate_VaR(self):
daily_returns = np.array([1, 1, 1, 1, 2, 10, 100])
result = TraderAlpha.calculate_VaR(5000, 0.95, 2, daily_returns)
self.assertTrue(result > 0)
def test_calculate_shortino_ratio_no_negative_return(self):
daily_returns = np.array([1, 11, 10, 1, 2])
result = TraderAlpha.calculate_shortino_ratio(daily_returns)
self.assertEqual(0, result)
def test_calculate_shortino_ratio(self):
daily_returns = np.array([1, -11, 10, -1, 2])
result = TraderAlpha.calculate_shortino_ratio(daily_returns)
self.assertTrue(result > 0)
def test_compute_correlation_pairs_for_trading_strategy(self):
trader = TraderAlpha(self.companies)
trader.correlation_threshold = 0
self.assertEqual(
1, len(trader.compute_correlation_pairs_for_trading_strategy()))
def test_init(self):
self.assertIsNotNone(TraderAlpha(self.companies))