def test_masked_rankdata_2d(self, seed_value, method, use_mask,
set_missing, ascending):
eyemask = ~eye(5, dtype=bool)
nomask = ones((5, 5), dtype=bool)
seed(seed_value)
asfloat = (randn(5, 5) * seed_value)
asdatetime = (asfloat).copy().view('datetime64[ns]')
mask = eyemask if use_mask else nomask
if set_missing:
asfloat[:, 2] = nan
asdatetime[:, 2] = NaTns
float_result = masked_rankdata_2d(
data=asfloat,
mask=mask,
missing_value=nan,
method=method,
ascending=True,
)
datetime_result = masked_rankdata_2d(
data=asdatetime,
mask=mask,
missing_value=NaTns,
method=method,
ascending=True,
)
check_arrays(float_result, datetime_result)
def test_masked_rankdata_2d(self,
seed_value,
method,
use_mask,
set_missing,
ascending):
eyemask = ~eye(5, dtype=bool)
nomask = ones((5, 5), dtype=bool)
seed(seed_value)
asfloat = (randn(5, 5) * seed_value)
asdatetime = (asfloat).copy().view('datetime64[ns]')
mask = eyemask if use_mask else nomask
if set_missing:
asfloat[:, 2] = nan
asdatetime[:, 2] = NaTns
float_result = masked_rankdata_2d(
data=asfloat,
mask=mask,
missing_value=nan,
method=method,
ascending=True,
)
datetime_result = masked_rankdata_2d(
data=asdatetime,
mask=mask,
missing_value=NaTns,
method=method,
ascending=True,
)
check_arrays(float_result, datetime_result)
def compute(self, today, assets, out, returns, returns_slice):
# Make sure that our slice is the correct shape (i.e. has only
# one column) and that it has the same values as the original
# returns factor from which it is derived.
assert returns_slice.shape == (self.window_length, 1)
assert returns.shape == (self.window_length, len(sids))
check_arrays(returns_slice[:, 0], returns[:, my_asset_column])
def test_make_cascading_boolean_array(self):
check_arrays(
make_cascading_boolean_array((3, 3)),
array(
[[True, True, False],
[True, False, False],
[False, False, False]]
),
)
check_arrays(
make_cascading_boolean_array((3, 3), first_value=False),
array(
[[False, False, True],
[False, True, True],
[True, True, True]]
),
)
check_arrays(
make_cascading_boolean_array((1, 3)),
array([[True, True, False]]),
)
check_arrays(
make_cascading_boolean_array((3, 1)),
array([[False], [False], [False]]),
)
check_arrays(
make_cascading_boolean_array((3, 0)),
empty((3, 0), dtype=bool_dtype),
)
def compute(self, today, assets, out, returns, returns_slice):
# Make sure that our slice is the correct shape (i.e. has only
# one column) and that it has the same values as the original
# returns factor from which it is derived.
assert returns_slice.shape == (self.window_length, 1)
assert returns.shape == (self.window_length, len(sids))
check_arrays(returns_slice[:, 0], returns[:, my_asset_column])
def test_setitem_array(self):
arr = LabelArray(self.strs, missing_value=None)
orig_arr = arr.copy()
# Write a row.
self.assertFalse(
(arr[0] == arr[1]).all(),
"This test doesn't test anything because rows 0"
" and 1 are already equal!"
)
arr[0] = arr[1]
for i in range(arr.shape[1]):
self.assertEqual(arr[0, i], arr[1, i])
# Write a column.
self.assertFalse(
(arr[:, 0] == arr[:, 1]).all(),
"This test doesn't test anything because columns 0"
" and 1 are already equal!"
)
arr[:, 0] = arr[:, 1]
for i in range(arr.shape[0]):
self.assertEqual(arr[i, 0], arr[i, 1])
# Write the whole array.
arr[:] = orig_arr
check_arrays(arr, orig_arr)
def test_no_adjustments(self, name, data, lookback, adjustments,
missing_value, perspective_offset,
expected_output):
array = AdjustedArray(data, NOMASK, adjustments, missing_value)
for _ in range(2): # Iterate 2x ensure adjusted_arrays are re-usable.
in_out = zip(array.traverse(lookback), expected_output)
for yielded, expected_yield in in_out:
check_arrays(yielded, expected_yield)
def test_overwrite_adjustment_cases(self, name, baseline, lookback,
adjustments, missing_value,
perspective_offset, expected):
array = AdjustedArray(baseline, NOMASK, adjustments, missing_value)
for _ in range(2): # Iterate 2x ensure adjusted_arrays are re-usable.
window_iter = array.traverse(
lookback,
perspective_offset=perspective_offset,
)
for yielded, expected_yield in zip_longest(window_iter, expected):
check_arrays(yielded, expected_yield)
def test_map_can_only_return_none_if_missing_value_is_none(self):
# Should work.
la = LabelArray(self.strs, missing_value=None)
result = la.map(lambda x: None)
check_arrays(
result,
LabelArray(np.full_like(self.strs, None), missing_value=None),
)
la = LabelArray(self.strs, missing_value="__MISSING__")
with self.assertRaises(TypeError):
la.map(lambda x: None)
def test_normalize_to_query_time(self, expected, tz, dates):
# Order matters in pandas 0.18.2. Prior to that, using tz_convert on
# a DatetimeIndex with DST/EST timestamps mixed resulted in some of
# them being an hour off (1 hour past midnight).
for scrambler in self.combos:
df = pd.DataFrame({"timestamp": dates[scrambler]})
result = normalize_timestamp_to_query_time(df,
time(8, 45),
tz,
inplace=False,
ts_field='timestamp')
timestamps = result['timestamp'].values
check_arrays(np.sort(timestamps), np.sort(expected[scrambler]))
def test_compare_to_str(self,
compval,
shape,
array_astype,
missing_value):
strs = self.strs.reshape(shape).astype(array_astype)
if missing_value is None:
# As of numpy 1.9.2, object array != None returns just False
# instead of an array, with a deprecation warning saying the
# behavior will change in the future. Work around that by just
# using the ufunc.
notmissing = np.not_equal(strs, missing_value)
else:
if not isinstance(missing_value, array_astype):
missing_value = array_astype(missing_value, 'utf-8')
notmissing = (strs != missing_value)
arr = LabelArray(strs, missing_value=missing_value)
if not isinstance(compval, array_astype):
compval = array_astype(compval, 'utf-8')
# arr.missing_value should behave like NaN.
check_arrays(
arr == compval,
(strs == compval) & notmissing,
)
check_arrays(
arr != compval,
(strs != compval) & notmissing,
)
np_startswith = np.vectorize(lambda elem: elem.startswith(compval))
check_arrays(
arr.startswith(compval),
np_startswith(strs) & notmissing,
)
np_endswith = np.vectorize(lambda elem: elem.endswith(compval))
check_arrays(
arr.endswith(compval),
np_endswith(strs) & notmissing,
)
np_contains = np.vectorize(lambda elem: compval in elem)
check_arrays(
arr.has_substring(compval),
np_contains(strs) & notmissing,
)
def test_no_adjustments(self,
name,
data,
lookback,
adjustments,
missing_value,
perspective_offset,
expected_output):
array = AdjustedArray(data, NOMASK, adjustments, missing_value)
for _ in range(2): # Iterate 2x ensure adjusted_arrays are re-usable.
in_out = zip(array.traverse(lookback), expected_output)
for yielded, expected_yield in in_out:
check_arrays(yielded, expected_yield)
def test_map_can_only_return_none_if_missing_value_is_none(self):
# Should work.
la = LabelArray(self.strs, missing_value=None)
result = la.map(lambda x: None)
check_arrays(
result,
LabelArray(np.full_like(self.strs, None), missing_value=None),
)
la = LabelArray(self.strs, missing_value="__MISSING__")
with self.assertRaises(TypeError):
la.map(lambda x: None)
def test_normalize_to_query_time(self, expected, tz, dates):
# Order matters in pandas 0.18.2. Prior to that, using tz_convert on
# a DatetimeIndex with DST/EST timestamps mixed resulted in some of
# them being an hour off (1 hour past midnight).
for scrambler in self.combos:
df = pd.DataFrame({"timestamp": dates[scrambler]})
result = normalize_timestamp_to_query_time(df,
time(8, 45),
tz,
inplace=False,
ts_field='timestamp')
timestamps = result['timestamp'].values
check_arrays(np.sort(timestamps), np.sort(expected[scrambler]))
def test_compare_to_str(self, compval, shape, array_astype, missing_value):
strs = self.strs.reshape(shape).astype(array_astype)
if missing_value is None:
# As of numpy 1.9.2, object array != None returns just False
# instead of an array, with a deprecation warning saying the
# behavior will change in the future. Work around that by just
# using the ufunc.
notmissing = np.not_equal(strs, missing_value)
else:
if not isinstance(missing_value, array_astype):
missing_value = array_astype(missing_value, 'utf-8')
notmissing = (strs != missing_value)
arr = LabelArray(strs, missing_value=missing_value)
if not isinstance(compval, array_astype):
compval = array_astype(compval, 'utf-8')
# arr.missing_value should behave like NaN.
check_arrays(
arr == compval,
(strs == compval) & notmissing,
)
check_arrays(
arr != compval,
(strs != compval) & notmissing,
)
np_startswith = np.vectorize(lambda elem: elem.startswith(compval))
check_arrays(
arr.startswith(compval),
np_startswith(strs) & notmissing,
)
np_endswith = np.vectorize(lambda elem: elem.endswith(compval))
check_arrays(
arr.endswith(compval),
np_endswith(strs) & notmissing,
)
np_contains = np.vectorize(lambda elem: compval in elem)
check_arrays(
arr.has_substring(compval),
np_contains(strs) & notmissing,
)
def test_overwrite_adjustment_cases(self,
name,
baseline,
lookback,
adjustments,
missing_value,
perspective_offset,
expected):
array = AdjustedArray(baseline, NOMASK, adjustments, missing_value)
for _ in range(2): # Iterate 2x ensure adjusted_arrays are re-usable.
window_iter = array.traverse(
lookback,
perspective_offset=perspective_offset,
)
for yielded, expected_yield in zip_longest(window_iter, expected):
check_arrays(yielded, expected_yield)
def test_masking(self, dtype, missing_value, window_length):
missing_value = coerce_to_dtype(dtype, missing_value)
baseline_ints = arange(15).reshape(5, 3)
baseline = baseline_ints.astype(dtype)
mask = (baseline_ints % 2).astype(bool)
masked_baseline = where(mask, baseline, missing_value)
array = AdjustedArray(
baseline,
mask,
adjustments={},
missing_value=missing_value,
)
gen_expected = moving_window(masked_baseline, window_length)
gen_actual = array.traverse(window_length)
for expected, actual in zip(gen_expected, gen_actual):
check_arrays(expected, actual)
def test_masking(self, dtype, missing_value, window_length):
missing_value = coerce_to_dtype(dtype, missing_value)
baseline_ints = arange(15).reshape(5, 3)
baseline = baseline_ints.astype(dtype)
mask = (baseline_ints % 2).astype(bool)
masked_baseline = where(mask, baseline, missing_value)
array = AdjustedArray(
baseline,
mask,
adjustments={},
missing_value=missing_value,
)
gen_expected = moving_window(masked_baseline, window_length)
gen_actual = array.traverse(window_length)
for expected, actual in zip(gen_expected, gen_actual):
check_arrays(expected, actual)
def test_setitem_array(self):
arr = LabelArray(self.strs, missing_value=None)
orig_arr = arr.copy()
# Write a row.
self.assertFalse((arr[0] == arr[1]).all(),
"This test doesn't test anything because rows 0"
" and 1 are already equal!")
arr[0] = arr[1]
for i in range(arr.shape[1]):
self.assertEqual(arr[0, i], arr[1, i])
# Write a column.
self.assertFalse((arr[:, 0] == arr[:, 1]).all(),
"This test doesn't test anything because columns 0"
" and 1 are already equal!")
arr[:, 0] = arr[:, 1]
for i in range(arr.shape[0]):
self.assertEqual(arr[i, 0], arr[i, 1])
# Write the whole array.
arr[:] = orig_arr
check_arrays(arr, orig_arr)
def test_make_cascading_boolean_array(self):
check_arrays(
make_cascading_boolean_array((3, 3)),
array([[True, True, False], [True, False, False],
[False, False, False]]),
)
check_arrays(
make_cascading_boolean_array((3, 3), first_value=False),
array([[False, False, True], [False, True, True],
[True, True, True]]),
)
check_arrays(
make_cascading_boolean_array((1, 3)),
array([[True, True, False]]),
)
check_arrays(
make_cascading_boolean_array((3, 1)),
array([[False], [False], [False]]),
)
check_arrays(
make_cascading_boolean_array((3, 0)),
empty((3, 0), dtype=bool_dtype),
)
def test_masking_with_strings(self, dtype, missing_value, window_length):
missing_value = coerce_to_dtype(dtype, missing_value)
baseline_ints = arange(15).reshape(5, 3)
# Coerce to string first so that coercion to object gets us an array of
# string objects.
baseline = baseline_ints.astype(str).astype(dtype)
mask = (baseline_ints % 2).astype(bool)
masked_baseline = LabelArray(baseline, missing_value=missing_value)
masked_baseline[~mask] = missing_value
array = AdjustedArray(
baseline,
mask,
adjustments={},
missing_value=missing_value,
)
gen_expected = moving_window(masked_baseline, window_length)
gen_actual = array.traverse(window_length=window_length)
for expected, actual in zip(gen_expected, gen_actual):
check_arrays(expected, actual)
def test_masking_with_strings(self, dtype, missing_value, window_length):
missing_value = coerce_to_dtype(dtype, missing_value)
baseline_ints = arange(15).reshape(5, 3)
# Coerce to string first so that coercion to object gets us an array of
# string objects.
baseline = baseline_ints.astype(str).astype(dtype)
mask = (baseline_ints % 2).astype(bool)
masked_baseline = LabelArray(baseline, missing_value=missing_value)
masked_baseline[~mask] = missing_value
array = AdjustedArray(
baseline,
mask,
adjustments={},
missing_value=missing_value,
)
gen_expected = moving_window(masked_baseline, window_length)
gen_actual = array.traverse(window_length=window_length)
for expected, actual in zip(gen_expected, gen_actual):
check_arrays(expected, actual)
def test_infer_categories(self):
"""
Test that categories are inferred in sorted order if they're not
explicitly passed.
"""
arr1d = LabelArray(self.strs, missing_value='')
codes1d = arr1d.as_int_array()
self.assertEqual(arr1d.shape, self.strs.shape)
self.assertEqual(arr1d.shape, codes1d.shape)
categories = arr1d.categories
unique_rowvalues = set(self.rowvalues)
# There should be an entry in categories for each unique row value, and
# each integer stored in the data array should be an index into
# categories.
self.assertEqual(list(categories), sorted(set(self.rowvalues)))
self.assertEqual(
set(codes1d.ravel()),
set(range(len(unique_rowvalues)))
)
for idx, value in enumerate(arr1d.categories):
check_arrays(
self.strs == value,
arr1d.as_int_array() == idx,
)
# It should be equivalent to pass the same set of categories manually.
arr1d_explicit_categories = LabelArray(
self.strs,
missing_value='',
categories=arr1d.categories,
)
check_arrays(arr1d, arr1d_explicit_categories)
for shape in (9, 3), (3, 9), (3, 3, 3):
strs2d = self.strs.reshape(shape)
arr2d = LabelArray(strs2d, missing_value='')
codes2d = arr2d.as_int_array()
self.assertEqual(arr2d.shape, shape)
check_arrays(arr2d.categories, categories)
for idx, value in enumerate(arr2d.categories):
check_arrays(strs2d == value, codes2d == idx)
def test_infer_categories(self):
"""
Test that categories are inferred in sorted order if they're not
explicitly passed.
"""
arr1d = LabelArray(self.strs, missing_value='')
codes1d = arr1d.as_int_array()
self.assertEqual(arr1d.shape, self.strs.shape)
self.assertEqual(arr1d.shape, codes1d.shape)
categories = arr1d.categories
unique_rowvalues = set(self.rowvalues)
# There should be an entry in categories for each unique row value, and
# each integer stored in the data array should be an index into
# categories.
self.assertEqual(list(categories), sorted(set(self.rowvalues)))
self.assertEqual(set(codes1d.ravel()),
set(range(len(unique_rowvalues))))
for idx, value in enumerate(arr1d.categories):
check_arrays(
self.strs == value,
arr1d.as_int_array() == idx,
)
# It should be equivalent to pass the same set of categories manually.
arr1d_explicit_categories = LabelArray(
self.strs,
missing_value='',
categories=arr1d.categories,
)
check_arrays(arr1d, arr1d_explicit_categories)
for shape in (9, 3), (3, 9), (3, 3, 3):
strs2d = self.strs.reshape(shape)
arr2d = LabelArray(strs2d, missing_value='')
codes2d = arr2d.as_int_array()
self.assertEqual(arr2d.shape, shape)
check_arrays(arr2d.categories, categories)
for idx, value in enumerate(arr2d.categories):
check_arrays(strs2d == value, codes2d == idx)
def test_compare_to_str_array(self, missing_value):
strs = self.strs
shape = strs.shape
arr = LabelArray(strs, missing_value=missing_value)
if missing_value is None:
# As of numpy 1.9.2, object array != None returns just False
# instead of an array, with a deprecation warning saying the
# behavior will change in the future. Work around that by just
# using the ufunc.
notmissing = np.not_equal(strs, missing_value)
else:
notmissing = (strs != missing_value)
check_arrays(arr.not_missing(), notmissing)
check_arrays(arr.is_missing(), ~notmissing)
# The arrays are equal everywhere, but comparisons against the
# missing_value should always produce False
check_arrays(strs == arr, notmissing)
check_arrays(strs != arr, np.zeros_like(strs, dtype=bool))
def broadcastable_row(value, dtype):
return np.full((shape[0], 1), value, dtype=strs.dtype)
def broadcastable_col(value, dtype):
return np.full((1, shape[1]), value, dtype=strs.dtype)
# Test comparison between arr and a like-shap 2D array, a column
# vector, and a row vector.
for comparator, dtype, value in product((eq, ne),
(bytes, unicode, object),
set(self.rowvalues)):
check_arrays(
comparator(arr, np.full_like(strs, value)),
comparator(strs, value) & notmissing,
)
check_arrays(
comparator(arr, broadcastable_row(value, dtype=dtype)),
comparator(strs, value) & notmissing,
)
check_arrays(
comparator(arr, broadcastable_col(value, dtype=dtype)),
comparator(strs, value) & notmissing,
)
def test_correlation_factors(self, returns_length, correlation_length):
"""
Tests for the built-in factors `RollingPearsonOfReturns` and
`RollingSpearmanOfReturns`.
"""
assets = self.assets
my_asset = self.my_asset
my_asset_column = self.my_asset_column
dates = self.dates
start_date = self.pipeline_start_date
end_date = self.pipeline_end_date
start_date_index = self.start_date_index
end_date_index = self.end_date_index
num_days = self.num_days
run_pipeline = self.run_pipeline
returns = Returns(window_length=returns_length)
masks = (self.cascading_mask, self.alternating_mask, NotSpecified)
expected_mask_results = (
self.expected_cascading_mask_result,
self.expected_alternating_mask_result,
self.expected_no_mask_result,
)
for mask, expected_mask in zip(masks, expected_mask_results):
pearson_factor = RollingPearsonOfReturns(
target=my_asset,
returns_length=returns_length,
correlation_length=correlation_length,
mask=mask,
)
spearman_factor = RollingSpearmanOfReturns(
target=my_asset,
returns_length=returns_length,
correlation_length=correlation_length,
mask=mask,
)
columns = {
'pearson_factor': pearson_factor,
'spearman_factor': spearman_factor,
}
pipeline = Pipeline(columns=columns)
if mask is not NotSpecified:
pipeline.add(mask, 'mask')
results = run_pipeline(pipeline, start_date, end_date)
pearson_results = results['pearson_factor'].unstack()
spearman_results = results['spearman_factor'].unstack()
if mask is not NotSpecified:
mask_results = results['mask'].unstack()
check_arrays(mask_results.values, expected_mask)
# Run a separate pipeline that calculates returns starting
# (correlation_length - 1) days prior to our start date. This is
# because we need (correlation_length - 1) extra days of returns to
# compute our expected correlations.
results = run_pipeline(
Pipeline(columns={'returns': returns}),
dates[start_date_index - (correlation_length - 1)],
dates[end_date_index],
)
returns_results = results['returns'].unstack()
# On each day, calculate the expected correlation coefficients
# between the asset we are interested in and each other asset. Each
# correlation is calculated over `correlation_length` days.
expected_pearson_results = full_like(pearson_results, nan)
expected_spearman_results = full_like(spearman_results, nan)
for day in range(num_days):
todays_returns = returns_results.iloc[
day:day + correlation_length
]
my_asset_returns = todays_returns.iloc[:, my_asset_column]
for asset, other_asset_returns in todays_returns.iteritems():
asset_column = int(asset) - 1
expected_pearson_results[day, asset_column] = pearsonr(
my_asset_returns, other_asset_returns,
)[0]
expected_spearman_results[day, asset_column] = spearmanr(
my_asset_returns, other_asset_returns,
)[0]
expected_pearson_results = DataFrame(
data=where(expected_mask, expected_pearson_results, nan),
index=dates[start_date_index:end_date_index + 1],
columns=assets,
)
assert_frame_equal(pearson_results, expected_pearson_results)
expected_spearman_results = DataFrame(
data=where(expected_mask, expected_spearman_results, nan),
index=dates[start_date_index:end_date_index + 1],
columns=assets,
)
assert_frame_equal(spearman_results, expected_spearman_results)
def test_compare_to_str_array(self, missing_value):
strs = self.strs
shape = strs.shape
arr = LabelArray(strs, missing_value=missing_value)
if missing_value is None:
# As of numpy 1.9.2, object array != None returns just False
# instead of an array, with a deprecation warning saying the
# behavior will change in the future. Work around that by just
# using the ufunc.
notmissing = np.not_equal(strs, missing_value)
else:
notmissing = (strs != missing_value)
check_arrays(arr.not_missing(), notmissing)
check_arrays(arr.is_missing(), ~notmissing)
# The arrays are equal everywhere, but comparisons against the
# missing_value should always produce False
check_arrays(strs == arr, notmissing)
check_arrays(strs != arr, np.zeros_like(strs, dtype=bool))
def broadcastable_row(value, dtype):
return np.full((shape[0], 1), value, dtype=strs.dtype)
def broadcastable_col(value, dtype):
return np.full((1, shape[1]), value, dtype=strs.dtype)
# Test comparison between arr and a like-shap 2D array, a column
# vector, and a row vector.
for comparator, dtype, value in product((eq, ne),
(bytes, unicode, object),
set(self.rowvalues)):
check_arrays(
comparator(arr, np.full_like(strs, value)),
comparator(strs, value) & notmissing,
)
check_arrays(
comparator(arr, broadcastable_row(value, dtype=dtype)),
comparator(strs, value) & notmissing,
)
check_arrays(
comparator(arr, broadcastable_col(value, dtype=dtype)),
comparator(strs, value) & notmissing,
)
def test_regression_of_returns_factor(self,
returns_length,
regression_length):
"""
Tests for the built-in factor `RollingLinearRegressionOfReturns`.
"""
assets = self.assets
my_asset = self.my_asset
my_asset_column = self.my_asset_column
dates = self.dates
start_date = self.pipeline_start_date
end_date = self.pipeline_end_date
start_date_index = self.start_date_index
end_date_index = self.end_date_index
num_days = self.num_days
run_pipeline = self.run_pipeline
# The order of these is meant to align with the output of `linregress`.
outputs = ['beta', 'alpha', 'r_value', 'p_value', 'stderr']
returns = Returns(window_length=returns_length)
masks = self.cascading_mask, self.alternating_mask, NotSpecified
expected_mask_results = (
self.expected_cascading_mask_result,
self.expected_alternating_mask_result,
self.expected_no_mask_result,
)
for mask, expected_mask in zip(masks, expected_mask_results):
regression_factor = RollingLinearRegressionOfReturns(
target=my_asset,
returns_length=returns_length,
regression_length=regression_length,
mask=mask,
)
columns = {
output: getattr(regression_factor, output)
for output in outputs
}
pipeline = Pipeline(columns=columns)
if mask is not NotSpecified:
pipeline.add(mask, 'mask')
results = run_pipeline(pipeline, start_date, end_date)
if mask is not NotSpecified:
mask_results = results['mask'].unstack()
check_arrays(mask_results.values, expected_mask)
output_results = {}
expected_output_results = {}
for output in outputs:
output_results[output] = results[output].unstack()
expected_output_results[output] = full_like(
output_results[output], nan,
)
# Run a separate pipeline that calculates returns starting
# (regression_length - 1) days prior to our start date. This is
# because we need (regression_length - 1) extra days of returns to
# compute our expected regressions.
results = run_pipeline(
Pipeline(columns={'returns': returns}),
dates[start_date_index - (regression_length - 1)],
dates[end_date_index],
)
returns_results = results['returns'].unstack()
# On each day, calculate the expected regression results for Y ~ X
# where Y is the asset we are interested in and X is each other
# asset. Each regression is calculated over `regression_length`
# days of data.
for day in range(num_days):
todays_returns = returns_results.iloc[
day:day + regression_length
]
my_asset_returns = todays_returns.iloc[:, my_asset_column]
for asset, other_asset_returns in todays_returns.iteritems():
asset_column = int(asset) - 1
expected_regression_results = linregress(
y=other_asset_returns, x=my_asset_returns,
)
for i, output in enumerate(outputs):
expected_output_results[output][day, asset_column] = \
expected_regression_results[i]
for output in outputs:
output_result = output_results[output]
expected_output_result = DataFrame(
where(expected_mask, expected_output_results[output], nan),
index=dates[start_date_index:end_date_index + 1],
columns=assets,
)
assert_frame_equal(output_result, expected_output_result)
