def testSecurityMovingLogReturn(self):
window = 10
ma1 = SecurityMovingLogReturn(window, ['close'])
self.newDataSet = copy.deepcopy(self.dataSet)
self.newDataSet['aapl']['close'] = np.exp(self.newDataSet['aapl']['close'])
self.newDataSet['aapl']['open'] = np.exp(self.newDataSet['aapl']['open'])
self.newDataSet['ibm']['close'] = np.exp(self.newDataSet['ibm']['close'])
self.newDataSet['ibm']['open'] = np.exp(self.newDataSet['ibm']['open'])
for i in range(len(self.aapl['close'])):
data = {'aapl': {'close': self.newDataSet['aapl']['close'][i], 'open': self.newDataSet['aapl']['open'][i]}}
data['ibm'] = {'close': self.newDataSet['ibm']['close'][i], 'open': self.newDataSet['ibm']['open'][i]}
ma1.push(data)
if i < 10:
start = 0
else:
start = i - window
value = ma1.value
for name in value.index:
sampled = self.newDataSet[name]['close'][start:(i + 1)]
if i >= 10:
expected = math.log(sampled[-1] / sampled[0])
calculated = value[name]
self.assertAlmostEqual(expected, calculated, 12, 'at index {0}\n'
'expected: {1:.12f}\n'
'calculated: {2:.12f}'.format(i, expected,
calculated))
with self.assertRaises(ValueError):
_ = SecurityMovingLogReturn(window, ['close', 'open'])
def testSecurityMovingLogReturn(self):
window = 10
ma1 = SecurityMovingLogReturn(window, ['close'])
self.newDataSet = copy.deepcopy(self.dataSet)
self.newDataSet['aapl']['close'] = np.exp(
self.newDataSet['aapl']['close'])
self.newDataSet['aapl']['open'] = np.exp(
self.newDataSet['aapl']['open'])
self.newDataSet['ibm']['close'] = np.exp(
self.newDataSet['ibm']['close'])
self.newDataSet['ibm']['open'] = np.exp(self.newDataSet['ibm']['open'])
for i in range(len(self.aapl['close'])):
data = dict(aapl=dict(close=self.newDataSet['aapl']['close'][i],
open=self.newDataSet['aapl']['open'][i]),
ibm=dict(close=self.newDataSet['ibm']['close'][i],
open=self.newDataSet['ibm']['open'][i]))
ma1.push(data)
if i < window:
start = 0
else:
start = i - window
value = ma1.value
for name in value.index():
sampled = self.newDataSet[name]['close'][start:(i + 1)]
if i >= 10:
expected = math.log(sampled[-1] / sampled[0])
calculated = value[name]
self.assertAlmostEqual(
expected, calculated, 12, 'at index {0}\n'
'expected: {1:.12f}\n'
'calculated: {2:.12f}'.format(i, expected, calculated))
def testSecurityMovingLogReturnPickle(self):
ma = SecurityMovingLogReturn(10, ['x'])
data = dict(aapl=dict(x=1.), ibm=dict(x=2.))
data2 = dict(aapl=dict(x=2.), ibm=dict(x=3.))
ma.push(data)
ma.push(data2)
with tempfile.NamedTemporaryFile('w+b', delete=False) as f:
pickle.dump(ma, f)
with open(f.name, 'rb') as f2:
pickled = pickle.load(f2)
os.unlink(f.name)
for i, v in enumerate(np.random.rand(20)):
data['aapl']['x'] = v
data['ibm']['x'] = v + 1.
ma.push(data)
pickled.push(data)
if i >= 10:
for name in ma.value.index():
self.assertAlmostEqual(ma.value[name], pickled.value[name])
def testSecurityMovingLogReturn(self):
window = 10
ma1 = SecurityMovingLogReturn(window, ['close'], ['aapl', 'ibm'])
self.newDataSet = copy.deepcopy(self.dataSet)
self.newDataSet['aapl']['close'] = np.exp(
self.newDataSet['aapl']['close'])
self.newDataSet['aapl']['open'] = np.exp(
self.newDataSet['aapl']['open'])
self.newDataSet['ibm']['close'] = np.exp(
self.newDataSet['ibm']['close'])
self.newDataSet['ibm']['open'] = np.exp(self.newDataSet['ibm']['open'])
for i in range(len(self.aapl['close'])):
data = {
'aapl': {
'close': self.newDataSet['aapl']['close'][i],
'open': self.newDataSet['aapl']['open'][i]
}
}
data['ibm'] = {
'close': self.newDataSet['ibm']['close'][i],
'open': self.newDataSet['ibm']['open'][i]
}
ma1.push(data)
if i < 10:
start = 0
else:
start = i - window
value = ma1.value
for name in value.index:
sampled = self.newDataSet[name]['close'][start:(i + 1)]
if i >= 10:
expected = math.log(sampled[-1] / sampled[0])
calculated = value[name]
self.assertAlmostEqual(
expected, calculated, 12, 'at index {0}\n'
'expected: {1:.12f}\n'
'calculated: {2:.12f}'.format(i, expected, calculated))
with self.assertRaises(ValueError):
_ = SecurityMovingLogReturn(window, ['close', 'open'],
['aapl', 'ibm'])
def testSecurityMovingLogReturnDeepcopy(self):
ma = SecurityMovingLogReturn(10, ['x'])
data = dict(aapl=dict(x=1.), ibm=dict(x=2.))
data2 = dict(aapl=dict(x=2.), ibm=dict(x=3.))
ma.push(data)
ma.push(data2)
copied = copy.deepcopy(ma)
for i, v in enumerate(np.random.rand(20)):
data['aapl']['x'] = v
data['ibm']['x'] = v + 1.
ma.push(data)
copied.push(data)
if i >= 10:
for name in ma.value.index():
self.assertAlmostEqual(ma.value[name], copied.value[name])
