def testExample2Part2(self):
print("===============testExample2Part2===============")
analyzer = Analyze()
filename = "values2.csv"
ports = analyzer.portfolio_from_file(filename)
timestamps = list([i for i in ports.index])
timestamps.sort()
vol, daily_ret, sharpe, cum_ret = analyzer.benchmark(["$SPX"], timestamps)
self.assertAlmostEqual(-0.177204632551, sharpe, 7,"Result Sharpe Ratio: " + str(sharpe) +" is incorrect", delta=None)
self.assertAlmostEqual(0.0149914504972,vol, 7, "Volatility (stdev of daily returns) " + str(vol) +" is incorrect", delta=None)
self.assertAlmostEqual(-0.000167347202139, daily_ret, 7, "Average Daily Return " + str(daily_ret) +" is incorrect", delta=None)
self.assertAlmostEqual(0.937041848381, cum_ret,7, "Result: " + str(cum_ret) +" doesn't match expected Cumulative Return", delta=None)
p2 = analyzer.read_values(filename)
pt_volatility, pt_daily_return, pt_sharpe_ratio, pt_cumulative_return = analyzer.simulate(p2)
self.assertAlmostEqual(0.788988545538, pt_sharpe_ratio, 6,"Result Sharpe Ratio: " + str(pt_sharpe_ratio) +" is incorrect", delta=None)
self.assertAlmostEqual(0.00708034656073, pt_volatility, 7, "Volatility (stdev of daily returns) " + str(pt_volatility) +" is incorrect", delta=None)
self.assertAlmostEqual(0.000351904599618, pt_daily_return, 7, "Average Daily Return " + str(pt_daily_return) +" is incorrect", delta=None)
self.assertAlmostEqual(1.078753,pt_cumulative_return,7, "Result: " + str(pt_cumulative_return) +" doesn't match expected Cumulative Return", delta=None)
def testExample1Part2(self):
print("===============testExample1Part2===============")
analyzer = Analyze()
filename = "values1.csv"
ports = analyzer.portfolio_from_file(filename)
timestamps = list([i for i in ports.index])
timestamps.sort()
vol, daily_ret, sharpe, cum_ret = analyzer.benchmark(["$SPX"], timestamps)
self.assertAlmostEqual(0.0183391412227, sharpe, 7,"Result Sharpe Ratio: " + str(sharpe) +" is incorrect", delta=None)
self.assertAlmostEqual(0.0149090969828, vol, 7, "Volatility (stdev of daily returns) " + str(vol) +" is incorrect", delta=None)
self.assertAlmostEqual(1.72238432443e-05, daily_ret, 7, "Average Daily Return " + str(daily_ret) +" is incorrect", delta=None)
self.assertAlmostEqual(0.97759401457,cum_ret,7, "Result: " + str(cum_ret) +" doesn't match expected Cumulative Return", delta=None)
p2 = analyzer.read_values(filename)
pt_volatility, pt_daily_return, pt_sharpe_ratio, pt_cumulative_return = analyzer.simulate(p2)
self.assertAlmostEqual(1.21540462111, pt_sharpe_ratio, 7,"Result Sharpe Ratio: " + str(pt_sharpe_ratio) +" is incorrect", delta=None)
self.assertAlmostEqual(0.00717514512699, pt_volatility, 7, "Volatility (stdev of daily returns) " + str(pt_volatility) +" is incorrect", delta=None)
self.assertAlmostEqual(0.000549352749569, pt_daily_return, 7, "Average Daily Return " + str(pt_daily_return) +" is incorrect", delta=None)
self.assertAlmostEqual(1.13386,pt_cumulative_return,7, "Result: " + str(pt_cumulative_return) +" doesn't match expected Cumulative Return", delta=None)
