def test_returns(self):
# Daily returns.
returns = Returns(1)
transformed = list(returns.transform(self.source))
tnfm_vals = [message.tnfm_value for message in transformed]
# No returns for the first event because we don't have a
# previous close.
expected = [0.0, 0.0, 0.1, 0.0]
assert tnfm_vals == expected
# Two-day returns. An extra kink here is that the
# factory will automatically skip a weekend for the
# last event. Results shouldn't notice this blip.
trade_history = factory.create_trade_history(
133, [10.0, 15.0, 13.0, 12.0, 13.0], [100, 100, 100, 300, 100],
timedelta(days=1), self.trading_environment)
self.source = SpecificEquityTrades(event_list=trade_history)
returns = StatefulTransform(Returns, 2)
transformed = list(returns.transform(self.source))
tnfm_vals = [message.tnfm_value for message in transformed]
expected = [
0.0, 0.0, (13.0 - 10.0) / 10.0, (12.0 - 15.0) / 15.0,
(13.0 - 13.0) / 13.0
]
assert tnfm_vals == expected
def test_returns(self):
# Daily returns.
returns = Returns(1)
transformed = list(returns.transform(self.source))
tnfm_vals = [message.tnfm_value for message in transformed]
# No returns for the first event because we don't have a
# previous close.
expected = [0.0, 0.0, 0.1, 0.0]
assert tnfm_vals == expected
# Two-day returns. An extra kink here is that the
# factory will automatically skip a weekend for the
# last event. Results shouldn't notice this blip.
trade_history = factory.create_trade_history(
133,
[10.0, 15.0, 13.0, 12.0, 13.0],
[100, 100, 100, 300, 100],
timedelta(days=1),
self.trading_environment
)
self.source = SpecificEquityTrades(event_list=trade_history)
returns = StatefulTransform(Returns, 2)
transformed = list(returns.transform(self.source))
tnfm_vals = [message.tnfm_value for message in transformed]
expected = [
0.0,
0.0,
(13.0 - 10.0) / 10.0,
(12.0 - 15.0) / 15.0,
(13.0 - 13.0) / 13.0
]
assert tnfm_vals == expected
def test_returns(self, name, add_custom_events):
# Daily returns.
returns = Returns(1)
if add_custom_events:
self.source = self.intersperse_custom_events(self.source)
transformed = list(returns.transform(self.source))
tnfm_vals = [message[returns.get_hash()] for message in transformed
if message.type != DATASOURCE_TYPE.CUSTOM]
# No returns for the first event because we don't have a
# previous close.
expected = [0.0, 0.0, 0.1, 0.0]
self.assertEquals(tnfm_vals, expected)
# Two-day returns. An extra kink here is that the
# factory will automatically skip a weekend for the
# last event. Results shouldn't notice this blip.
trade_history = factory.create_trade_history(
133,
[10.0, 15.0, 13.0, 12.0, 13.0],
[100, 100, 100, 300, 100],
timedelta(days=1),
self.sim_params
)
self.source = SpecificEquityTrades(event_list=trade_history)
returns = StatefulTransform(Returns, 2)
transformed = list(returns.transform(self.source))
tnfm_vals = [message[returns.get_hash()] for message in transformed]
expected = [
0.0,
0.0,
(13.0 - 10.0) / 10.0,
(12.0 - 15.0) / 15.0,
(13.0 - 13.0) / 13.0
]
self.assertEquals(tnfm_vals, expected)
def test_returns(self, name, add_custom_events):
# Daily returns.
returns = Returns(1)
if add_custom_events:
self.source = self.intersperse_custom_events(self.source)
transformed = list(returns.transform(self.source))
tnfm_vals = [
message[returns.get_hash()] for message in transformed
if message.type != DATASOURCE_TYPE.CUSTOM
]
# No returns for the first event because we don't have a
# previous close.
expected = [0.0, 0.0, 0.1, 0.0]
self.assertEquals(tnfm_vals, expected)
# Two-day returns. An extra kink here is that the
# factory will automatically skip a weekend for the
# last event. Results shouldn't notice this blip.
trade_history = factory.create_trade_history(
133, [10.0, 15.0, 13.0, 12.0, 13.0], [100, 100, 100, 300, 100],
timedelta(days=1), self.sim_params)
self.source = SpecificEquityTrades(event_list=trade_history)
returns = StatefulTransform(Returns, 2)
transformed = list(returns.transform(self.source))
tnfm_vals = [message[returns.get_hash()] for message in transformed]
expected = [
0.0, 0.0, (13.0 - 10.0) / 10.0, (12.0 - 15.0) / 15.0,
(13.0 - 13.0) / 13.0
]
self.assertEquals(tnfm_vals, expected)
