def test_skew():
logging.debug("测试偏度")
for i in range(2010, 2018):
s = '{0}-01-01'.format(i)
e = '{0}-12-31'.format(i)
df = data_processor.merge({
test.index_code: get_index_daily().loc[s:e],
test.stock_code: get_stock_daily().loc[s:e]
})
v = calcs.skew(df['close'].dropna())
print('{0}:{1}'.format(i, v))
def test_is_trade_suspension():
"""测试是否停牌的计算"""
df = data_processor.merge(
{
test.stock_code: get_stock_daily(),
test.index_code: get_index_daily()
},
how='right')
is_sus = calcs.is_trade_suspension(df)
assert not is_sus['2012-02-22']
assert is_sus['2012-02-23']
assert not is_sus['2012-02-24']
print(is_sus['2012-02-23'])
def test_merge():
df_merge = test.merged_dataframe()
df_index = test.get_index_daily()
df_stock = test.get_stock_daily()
assert not df_merge.empty
print(df_merge.head())
print(df_merge.tail())
for col in df_index.columns:
assert col in df_merge.columns
assert df_index[col].dtype == df_merge[col].dtype
for col in df_stock.columns:
c = '{0}{1}'.format(col, test.stock_code)
assert c in df_merge.columns
assert df_stock[col].dtype == df_merge[c].dtype
print(df_merge.dtypes)
def test_merge_dropcolumn():
columns = ['up_count', 'down_count']
df = data_processor.merge(
{
test.index_code: get_index_daily(),
test.stock_code: get_stock_daily()
},
append_funcs={
'drop_columns': (calcs.drop_column, {
'columns': columns,
'replace': True
})
})
for col in columns:
assert col not in df.columns
print(df.dtypes)
def test_sharpe_ratio():
rate = get_deposit_rate().sort_index()
df_s = get_stock_daily().index[0].date()
df_e = get_stock_daily().index[-1].date()
for i in range(len(rate.index)):
s = str2date(rate.index[i]).date()
e = str2date(rate.index[i + 1]).date() if rate[i] != rate[-1] else df_e
if s >= df_s and e <= df_e:
df = data_processor.merge({
test.index_code:
get_index_daily().loc[s:e],
test.stock_code:
get_stock_daily().loc[s:e]
})
k = '{0}~{1}'.format(s, e)
v = calcs.sharpe_ratio(df['close'].dropna(), rate[i])
print('{0}:{1}'.format(k, v))