def setUp(self):
data_file = 'pe_data.csv'
start_date = datetime(2011, 8, 1)
end_date = datetime(2011, 11, 15)
self.buys = [25., 21., 20.1, 19.8, 19.]
self.validator = CapeValidator(data_file,
start_date,
self.buys,
end_date=end_date)
def setUp(self):
data_file = 'pe_data.csv'
start_date = datetime(2011, 8, 1)
end_date = datetime(2011, 11, 15)
self.buys = [25., 21., 20.1, 19.8, 19.]
self.validator = CapeValidator(
data_file, start_date, self.buys, end_date=end_date)
class TestCapeValidator(unittest.TestCase):
def setUp(self):
data_file = 'pe_data.csv'
start_date = datetime(2011, 8, 1)
end_date = datetime(2011, 11, 15)
self.buys = [25., 21., 20.1, 19.8, 19.]
self.validator = CapeValidator(data_file,
start_date,
self.buys,
end_date=end_date)
def test_init(self):
expected_dates = [
datetime(2011, 8, 1),
datetime(2011, 9, 1),
datetime(2011, 10, 3),
datetime(2011, 11, 1)
]
self.assertEqual([pe[0] for pe in self.validator.pe_array],
expected_dates)
expected_pe = [22.6, 20.04, 19.69, 20.15]
self.assertEqual([pe[1] for pe in self.validator.pe_array],
expected_pe)
self.assertEqual(len(self.validator.investors), 5)
for buy, investor in zip(self.buys, self.validator.investors):
self.assertEqual(investor.buy_at, buy)
self.assertEqual(investor.cash, 10000.)
self.assertEqual(investor.income, 2000.)
self.assertEqual(investor.sell_at, buy)
self.assertEqual(investor.shares, 0.)
def assertVectorAlmostEqual(self, v1, v2, places=3, **kwargs):
index = 0
for val1, val2 in zip(v1, v2):
msg = 'Index {}'.format(index)
self.assertAlmostEqual(val1,
val2,
places=places,
msg=msg,
**kwargs)
index += 1
def test_worth_calculation(self):
self.validator.calculate_worth_vs_time()
prices = {
datetime(2011, 8, 1): 1286.94,
datetime(2011, 9, 1): 1204.42,
datetime(2011, 10, 3): 1099.23,
datetime(2011, 11, 1): 1218.28
}
for key, val in prices.items():
self.assertEqual(self.validator.index_cache[key], val)
c0 = 12000.
inc = 2000.
# investor1 always buys
expected_share = numpy.array([
c0 / 1286.94, c0 / 1286.94 + inc / 1204.42,
c0 / 1286.94 + inc / 1204.42 + inc / 1099.23,
c0 / 1286.94 + inc / 1204.42 + inc / 1099.23 + inc / 1218.28
])
expected_worth = numpy.array([
c0, inc + 1204.42 * expected_share[0],
inc + 1099.23 * expected_share[1],
inc + 1218.28 * expected_share[2]
])
self.assertVectorAlmostEqual(self.validator.shares_matrix[0],
expected_share)
self.assertVectorAlmostEqual(self.validator.cash_matrix[0],
numpy.zeros(4))
self.assertVectorAlmostEqual(self.validator.worth_matrix[0],
expected_worth)
# investor 2 goes hold, buy, buy, buy
expected_share = numpy.array([
0.,
(c0 + inc) / 1204.42,
(c0 + inc) / 1204.42 + inc / 1099.23,
(c0 + inc) / 1204.42 + inc / 1099.23 + inc / 1218.28,
])
expected_cash = numpy.array([c0, 0., 0., 0.])
expected_worth = numpy.array([
c0, inc + c0, inc + 1099.23 * expected_share[1],
inc + 1218.28 * expected_share[2]
])
self.assertVectorAlmostEqual(self.validator.shares_matrix[1],
expected_share)
self.assertVectorAlmostEqual(self.validator.cash_matrix[1],
expected_cash)
self.assertVectorAlmostEqual(self.validator.worth_matrix[1],
expected_worth)
# investor 3 goes hold, buy, buy, sell
expected_share = numpy.array([
0.,
(c0 + inc) / 1204.42,
(c0 + inc) / 1204.42 + inc / 1099.23,
0.,
])
expected_cash = numpy.array(
[c0, 0., 0., inc + 1218.28 * expected_share[2]])
expected_worth = numpy.array([
c0, inc + c0, inc + 1099.23 * expected_share[1],
inc + 1218.28 * expected_share[2]
])
self.assertVectorAlmostEqual(self.validator.shares_matrix[2],
expected_share)
self.assertVectorAlmostEqual(self.validator.cash_matrix[2],
expected_cash)
self.assertVectorAlmostEqual(self.validator.worth_matrix[2],
expected_worth)
# investor 4 goes hold, hold, buy, sell
expected_share = numpy.array([
0.,
0.,
(c0 + 2 * inc) / 1099.23,
0.,
])
expected_cash = numpy.array(
[c0, c0 + inc, 0., inc + 1218.28 * expected_share[2]])
expected_worth = numpy.array(
[c0, c0 + inc, c0 + 2 * inc, inc + 1218.28 * expected_share[2]])
self.assertVectorAlmostEqual(self.validator.shares_matrix[3],
expected_share)
self.assertVectorAlmostEqual(self.validator.cash_matrix[3],
expected_cash)
self.assertVectorAlmostEqual(self.validator.worth_matrix[3],
expected_worth)
# investor 5 always holds
expected_worth = c0 + 2000. * numpy.arange(0, 5, 1)
self.assertVectorAlmostEqual(self.validator.shares_matrix[4],
numpy.zeros(4))
self.assertVectorAlmostEqual(self.validator.cash_matrix[4],
expected_worth)
self.assertVectorAlmostEqual(self.validator.worth_matrix[4],
expected_worth)
class TestCapeValidator(unittest.TestCase):
def setUp(self):
data_file = 'pe_data.csv'
start_date = datetime(2011, 8, 1)
end_date = datetime(2011, 11, 15)
self.buys = [25., 21., 20.1, 19.8, 19.]
self.validator = CapeValidator(
data_file, start_date, self.buys, end_date=end_date)
def test_init(self):
expected_dates = [
datetime(2011, 8, 1),
datetime(2011, 9, 1),
datetime(2011, 10, 3),
datetime(2011, 11, 1)
]
self.assertEqual([pe[0] for pe in self.validator.pe_array],
expected_dates)
expected_pe = [22.6, 20.04, 19.69, 20.15]
self.assertEqual([pe[1] for pe in self.validator.pe_array],
expected_pe)
self.assertEqual(len(self.validator.investors), 5)
for buy, investor in zip(self.buys, self.validator.investors):
self.assertEqual(investor.buy_at, buy)
self.assertEqual(investor.cash, 10000.)
self.assertEqual(investor.income, 2000.)
self.assertEqual(investor.sell_at, buy)
self.assertEqual(investor.shares, 0.)
def assertVectorAlmostEqual(self, v1, v2, places=3, **kwargs):
index = 0
for val1, val2 in zip(v1, v2):
msg = 'Index {}'.format(index)
self.assertAlmostEqual(val1, val2, places=places, msg=msg,
**kwargs)
index += 1
def test_get_market_price(self):
self.validator.index_cache = {} # reset cache
date1 = datetime(2014, 9, 18)
price = self.validator._get_market_price(date1)
self.assertAlmostEqual(price, 2011.36)
self.assertIn(date1, self.validator.index_cache)
self.assertEqual(self.validator.index_cache[date1], price)
date2 = datetime(2014, 9, 20) # saturday, saturday
price = self.validator._get_market_price(date2)
self.assertAlmostEqual(price, 2010.40)
self.assertNotIn(date2, self.validator.index_cache)
date2_1 = date2 - timedelta(1)
self.assertIn(date2_1, self.validator.index_cache)
self.assertEqual(self.validator.index_cache[date2_1], price)
date3 = datetime(2014, 7, 6) # sunday to a holiday
price = self.validator._get_market_price(date3)
self.assertAlmostEqual(price, 1985.44)
self.assertNotIn(date3, self.validator.index_cache)
date3_1 = date3 - timedelta(3)
self.assertIn(date3_1, self.validator.index_cache)
self.assertEqual(self.validator.index_cache[date3_1], price)
def test_worth_calculation(self):
self.validator.calculate_worth_vs_time()
prices = {
datetime(2011, 8, 1): 1286.94,
datetime(2011, 9, 1): 1204.42,
datetime(2011, 10, 3): 1099.23,
datetime(2011, 11, 1): 1218.28
}
for key, val in prices.items():
self.assertEqual(self.validator.index_cache[key], val)
c0 = 12000.
inc = 2000.
# investor1 always buys
expected_share = numpy.array([
c0 / 1286.94,
c0 / 1286.94 + inc / 1204.42,
c0 / 1286.94 + inc / 1204.42 + inc / 1099.23,
c0 / 1286.94 + inc / 1204.42 + inc / 1099.23 + inc / 1218.28
])
expected_worth = numpy.array([
c0,
inc + 1204.42 * expected_share[0],
inc + 1099.23 * expected_share[1],
inc + 1218.28 * expected_share[2]
])
self.assertVectorAlmostEqual(
self.validator.shares_matrix[0], expected_share)
self.assertVectorAlmostEqual(
self.validator.cash_matrix[0], numpy.zeros(4))
self.assertVectorAlmostEqual(
self.validator.worth_matrix[0], expected_worth)
# investor 2 goes hold, buy, buy, buy
expected_share = numpy.array([
0.,
(c0 + inc) / 1204.42,
(c0 + inc) / 1204.42 + inc / 1099.23,
(c0 + inc) / 1204.42 + inc / 1099.23 + inc / 1218.28,
])
expected_cash = numpy.array([c0, 0., 0., 0.])
expected_worth = numpy.array([
c0,
inc + c0,
inc + 1099.23 * expected_share[1],
inc + 1218.28 * expected_share[2]
])
self.assertVectorAlmostEqual(
self.validator.shares_matrix[1], expected_share)
self.assertVectorAlmostEqual(
self.validator.cash_matrix[1], expected_cash)
self.assertVectorAlmostEqual(
self.validator.worth_matrix[1], expected_worth)
# investor 3 goes hold, buy, buy, sell
expected_share = numpy.array([
0.,
(c0 + inc) / 1204.42,
(c0 + inc) / 1204.42 + inc / 1099.23,
0.,
])
expected_cash = numpy.array([
c0, 0., 0., inc + 1218.28 * expected_share[2]])
expected_worth = numpy.array([
c0,
inc + c0,
inc + 1099.23 * expected_share[1],
inc + 1218.28 * expected_share[2]
])
self.assertVectorAlmostEqual(
self.validator.shares_matrix[2], expected_share)
self.assertVectorAlmostEqual(
self.validator.cash_matrix[2], expected_cash)
self.assertVectorAlmostEqual(
self.validator.worth_matrix[2], expected_worth)
# investor 4 goes hold, hold, buy, sell
expected_share = numpy.array([
0.,
0.,
(c0 + 2 * inc) / 1099.23,
0.,
])
expected_cash = numpy.array([
c0, c0 + inc, 0., inc + 1218.28 * expected_share[2]])
expected_worth = numpy.array([
c0,
c0 + inc,
c0 + 2 * inc,
inc + 1218.28 * expected_share[2]
])
self.assertVectorAlmostEqual(
self.validator.shares_matrix[3], expected_share)
self.assertVectorAlmostEqual(
self.validator.cash_matrix[3], expected_cash)
self.assertVectorAlmostEqual(
self.validator.worth_matrix[3], expected_worth)
# investor 5 always holds
expected_worth = c0 + 2000. * numpy.arange(0, 5, 1)
self.assertVectorAlmostEqual(
self.validator.shares_matrix[4], numpy.zeros(4))
self.assertVectorAlmostEqual(
self.validator.cash_matrix[4], expected_worth)
self.assertVectorAlmostEqual(
self.validator.worth_matrix[4], expected_worth)
