def test_composite(self):
u0 = SZ.filter_daily(date)
u1 = CYB.filter_daily(date)
u2 = ZXB.filter_daily(date)
big1 = u0 & ~(u1 | u2)
big2 =ChainFilter([(nCYB, NegateFilter(UnionFilter([CYB, ZXB])))]).filter_daily(date)
self.assertTrue(series_equal(big1, big2))
def test_composite(self):
u0 = SZ.filter_daily(date)
u1 = CYB.filter_daily(date)
u2 = ZXB.filter_daily(date)
big1 = u0 & ~(u1 | u2)
big2 = ChainFilter([(nCYB, NegateFilter(UnionFilter([CYB, ZXB])))
]).filter_daily(date)
self.assertTrue(series_equal(big1, big2))
def test_fetch(self):
barra1_1 = self.barra.fetch(self.dates[0], self.dates[-1])
barra1_2 = self.barra.fetch_window(self.dates)
barra2_1 = self.barra.fetch('industry', self.dates[0], self.dates[-1])
barra2_2 = self.barra.fetch_window('industry', self.dates)
barra3_1 = self.barra.fetch(['CNE5D_COUNTRY'], self.dates[0], self.dates[-1])
barra3_2 = self.barra.fetch_window(['CNE5D_COUNTRY'], self.dates)
barra4_1 = self.barra.fetch('CNE5D_COUNTRY', self.dates[0], self.dates[-1])
barra4_2 = self.barra.fetch_window('CNE5D_COUNTRY', self.dates)
print pd.concat([barra4_1, barra4_2], axis=1)
self.assertTrue(frames_equal(barra1_1, barra1_2)
& frames_equal(barra2_1, barra2_2)
& frames_equal(barra3_1, barra3_2)
& series_equal(barra4_1, barra4_2))
def test_returns_N_gt1(self):
df = self.fetcher.fetch_window('returns', self.dates[:2])
s1 = (df.iloc[0].fillna(0) + 1) * (df.iloc[1] + 1) - 1
s1.name = self.dates[1]
s2 = self.fetcher.fetch_daily('returnsN', 2, self.dates[1])
self.assertTrue(series_equal(s1, s2))
def test_union(self):
u1 = SZ.filter_daily(date)
u2 = UnionFilter([CYB, nCYB]).filter_daily(date)
self.assertTrue(series_equal(u1, u2))
def test_intersect1(self):
u1 = ChainFilter([(SZ, CYB)]).filter_daily(date)
u2 = CYB.filter_daily(date)
self.assertTrue(series_equal(u1, u2))
def test_negate(self):
u0 = SZ.filter_daily(date)
u1 = NegateFilter(CYB).filter_daily(date)
u1 &= u0
u2 = nCYB.filter_daily(date)
self.assertTrue(series_equal(u1, u2))
def test_sequence(self):
u1 = ChainFilter([SZ, CYB]).filter_daily(date)
u2 = CYB.filter_daily(date)
self.assertTrue(series_equal(u1, u2))
def test_returns_N_eq1_4(self):
s1 = self.fetcher.fetch_daily('returns', self.dates[-1], offset=49)
s2 = self.fetcher.fetch_daily('returnsN', 1, self.dates[-1], offset=49)
self.assertTrue(series_equal(s1, s2))
def test_price3(self):
self.adjfetcher.mode = AdjQuoteFetcher.FORWARD
cls1 = self.adjfetcher.fetch_window('adj_close', self.dates)
cls2 = self.fetcher.fetch_window('close', self.dates)
self.adjfetcher.mode = AdjQuoteFetcher.BACKWARD
self.assertTrue(series_equal(cls1.iloc[0], cls2.iloc[0]))
def test_price2(self):
cls1 = self.adjfetcher.fetch_window('adj_close', self.dates)
cls2 = self.fetcher.fetch_window('close', self.dates)
self.assertTrue(series_equal(cls1.iloc[-1], cls2.iloc[-1]))
def test_fetch_daily2(self):
ret1 = self.barra.fetch_daily('returns', self.dates[0])
ret2 = self.barra.fetch_window(self.dates[:2]).iloc[0]
self.assertTrue(series_equal(ret1, ret2))
def test_ic(self):
ic1 = self.alpha1.get_ic()
ic2 = data.corrwith(self.alpha1.alpha.shift(1), axis=1).iloc[1:]
self.assertTrue(series_equal(ic1, ic2))
def test_get_bms(self):
b, m, s = self.perf.get_bms()
b, m, s = b.alpha, m.alpha, s.alpha
self.assertTrue(series_equal(self.perf.alpha.count(axis=1),
b.count(axis=1)+m.count(axis=1)+s.count(axis=1)))
def test_trading_days_filter(self):
trd_filter = TradingDaysFilter(50, count_gt(40), delay=0)
trd1 = trd_filter.filter_daily(window[-1])
trd2 = close.count() > 40
self.assertTrue(series_equal(trd1, trd2))
def test_get_bms(self):
b, m, s = self.perf.get_bms()
b, m, s = b.alpha, m.alpha, s.alpha
self.assertTrue(
series_equal(self.perf.alpha.count(axis=1),
b.count(axis=1) + m.count(axis=1) + s.count(axis=1)))
def test_ic(self):
ic1 = self.alpha1.get_ic()
ic2 = data.corrwith(self.alpha1.alpha.shift(1), axis=1).iloc[1:]
self.assertTrue(series_equal(ic1, ic2))
def test_volume2(self):
vol1 = self.adjfetcher.fetch_window('adj_volume', self.dates)
vol2 = self.fetcher.fetch_window('volume', self.dates)
self.assertTrue(series_equal(vol1.iloc[-1], vol2.iloc[-1]))
def test_returns_N_gt1(self):
df = self.fetcher.fetch_window('returns', self.dates[:2])
s1 = (df.iloc[0].fillna(0) + 1) * (df.iloc[1] + 1) - 1
s1.name = self.dates[1]
s2 = self.fetcher.fetch_daily('returnsN', 2, self.dates[1])
self.assertTrue(series_equal(s1, s2))
def test_volume3(self):
self.adjfetcher.mode = AdjQuoteFetcher.FORWARD
vol1 = self.adjfetcher.fetch_window('adj_volume', self.dates)
vol2 = self.fetcher.fetch_window('volume', self.dates)
self.adjfetcher.mode = AdjQuoteFetcher.BACKWARD
self.assertTrue(series_equal(vol1.iloc[0], vol2.iloc[0]))
def test_intersect1(self):
u1 = ChainFilter([(SZ, CYB)]).filter_daily(date)
u2 = CYB.filter_daily(date)
self.assertTrue(series_equal(u1, u2))
def test_price2(self):
cls1 = self.adjfetcher.fetch_window('adj_close', self.dates)
cls2 = self.fetcher.fetch_window('close', self.dates)
self.assertTrue(series_equal(cls1.iloc[-1], cls2.iloc[-1]))
def test_union(self):
u1 = SZ.filter_daily(date)
u2 = UnionFilter([CYB, nCYB]).filter_daily(date)
self.assertTrue(series_equal(u1, u2))
def test_price3(self):
self.adjfetcher.mode = AdjQuoteFetcher.FORWARD
cls1 = self.adjfetcher.fetch_window('adj_close', self.dates)
cls2 = self.fetcher.fetch_window('close', self.dates)
self.adjfetcher.mode = AdjQuoteFetcher.BACKWARD
self.assertTrue(series_equal(cls1.iloc[0], cls2.iloc[0]))
def test_sequence(self):
u1 = ChainFilter([SZ, CYB]).filter_daily(date)
u2 = CYB.filter_daily(date)
self.assertTrue(series_equal(u1, u2))
def test_volume2(self):
vol1 = self.adjfetcher.fetch_window('adj_volume', self.dates)
vol2 = self.fetcher.fetch_window('volume', self.dates)
self.assertTrue(series_equal(vol1.iloc[-1], vol2.iloc[-1]))
def test_negate(self):
u0 = SZ.filter_daily(date)
u1 = NegateFilter(CYB).filter_daily(date)
u1 &= u0
u2 = nCYB.filter_daily(date)
self.assertTrue(series_equal(u1, u2))
def test_volume3(self):
self.adjfetcher.mode = AdjQuoteFetcher.FORWARD
vol1 = self.adjfetcher.fetch_window('adj_volume', self.dates)
vol2 = self.fetcher.fetch_window('volume', self.dates)
self.adjfetcher.mode = AdjQuoteFetcher.BACKWARD
self.assertTrue(series_equal(vol1.iloc[0], vol2.iloc[0]))
def test_trading_days_filter(self):
trd_filter = TradingDaysFilter(50, count_gt(40), delay=0)
trd1 = trd_filter.filter_daily(window[-1])
trd2 = close.count() > 40
self.assertTrue(series_equal(trd1, trd2))
def test_returns_N_eq1_4(self):
s1 = self.fetcher.fetch_daily('returns', self.dates[-1], offset=49)
s2 = self.fetcher.fetch_daily('returnsN', 1, self.dates[-1], offset=49)
self.assertTrue(series_equal(s1, s2))
