def test_scorn_k_solution(self):
"""
Test the calculation of SCORN-K.
"""
# Initialize SCORN-K.
scorn_k = SCORNK(window=2, rho=2, k=1)
# Allocates asset prices to SCORN-K.
scorn_k.allocate(self.data, resample_by='M')
# Create np.array of all_weights.
all_weights = np.array(scorn_k.all_weights)
# Check if all weights sum to 1.
for i in range(all_weights.shape[0]):
weights = all_weights[i]
assert (weights >= 0).all()
assert len(weights) == self.data.shape[1]
np.testing.assert_almost_equal(np.sum(weights), 1)
def test_scorn_k_rho_error(self):
"""
Tests ValueError if rho is not an integer or less than 1.
"""
# Initialize SCORN-K.
scorn_k3 = SCORNK(window=2, rho=2.5, k=1)
with self.assertRaises(ValueError):
# Running allocate will raise ValueError.
scorn_k3.allocate(self.data)
# Initialize SCORN-K.
scorn_k4 = SCORNK(window=2, rho=0, k=1)
with self.assertRaises(ValueError):
# Running allocate will raise ValueError.
scorn_k4.allocate(self.data)
def test_scorn_k_window_error(self):
"""
Tests ValueError if window is not an integer or less than 1.
"""
# Initialize SCORN-K.
scorn_k1 = SCORNK(window=2.5, rho=2, k=1)
with self.assertRaises(ValueError):
# Running allocate will raise ValueError.
scorn_k1.allocate(self.data)
# Initialize SCORN-K.
scorn_k2 = SCORNK(window=0, rho=2, k=1)
with self.assertRaises(ValueError):
# Running allocate will raise ValueError.
scorn_k2.allocate(self.data)
def test_scorn_k_k_error(self):
"""
Tests ValueError if k is greater than window * rho, greater than 1, or an integer.
"""
# Initialize SCORN-K.
scorn_k5 = SCORNK(window=2, rho=2, k=5)
with self.assertRaises(ValueError):
# Running allocate will raise ValueError.
scorn_k5.allocate(self.data)
# Initialize SCORN-K.
scorn_k6 = SCORNK(window=2, rho=2, k=1.5)
with self.assertRaises(ValueError):
# Running allocate will raise ValueError.
scorn_k6.allocate(self.data)
# Initialize SCORN-K.
scorn_k7 = SCORNK(window=2, rho=2, k=0)
with self.assertRaises(ValueError):
# Running allocate will raise ValueError.
scorn_k7.allocate(self.data)