def test_vol_adj_ret(self):
"""
Tests for getting the correct volatility adjusted return.
"""
# Check for no vol adjustment. Should be same as straight log returns.
label1 = TailSetLabels(self.data[:100],
n_bins=23,
vol_adj=None,
window=None) # No vol adjustment
test1 = label1.vol_adj_rets
simple_returns = np.log(self.data[:100]).diff().dropna()
# # Stdev adjusted returns.
label2 = TailSetLabels(self.data[:100],
n_bins=8,
vol_adj='stdev',
window=20)
test2 = label2.vol_adj_rets
test2_actual = (simple_returns /
simple_returns.rolling(20).std()).dropna()
# Mean abs returns
label3 = TailSetLabels(self.data[:100],
n_bins=12,
vol_adj='mean_abs_dev',
window=20)
test3 = label3.vol_adj_rets
pd.testing.assert_frame_equal(test1, simple_returns)
pd.testing.assert_frame_equal(test2, test2_actual)
np.testing.assert_array_almost_equal(
test3.iloc[4:5, 3:13],
np.array([[
-0.88220253, -0.05699642, -0.41151834, 0.22209753, -0.26852039,
-0.41058931, -0.72457246, -0.45304492, -1.62358571, -0.74637241
]]))
def test_overall(self):
"""
Tests the overall output of the tail set labels.
"""
label7 = TailSetLabels(self.data[:100], n_bins=10, vol_adj='mean_abs_dev', window=30)
test7_pos, test7_neg, _ = label7.get_tail_sets()
self.assertEqual(test7_pos[1], ['XLU', 'EPP', 'FXI'])
self.assertEqual(test7_neg[1], ['EWU', 'XLK', 'DIA'])
def test_init(self):
"""
Tests to ensure exceptions are correctly raised for invalid inputs.
"""
# Too large n_bins.
with self.assertRaises(Exception):
TailSetLabels(self.data[:100], n_bins=200)
# Window isn't int with vol_adj.
with self.assertRaises(Exception):
TailSetLabels(self.data[:100], n_bins=10, vol_adj='stdev', window='str')
# Window is too large
TailSetLabels(self.data[:100], n_bins=10, vol_adj='stdev', window=200)
def test_extract_tail_sets(self):
"""
Tests for extracting the tail set in one row, including positive and negative class.
"""
label4 = TailSetLabels(self.data[:100], n_bins=4, vol_adj='mean_abs_dev', window=20)
returns4 = label4.vol_adj_rets
test4 = label4._extract_tail_sets(row=returns4.iloc[25])
test4_actual = pd.Series([0, 0, 1, -1, 0, 1, 0, 0, -1, -1, 1, 0, 0, 0, -1, 0, 0, -1, 0, 1, 1, 1, -1],
index=returns4.iloc[25].index)
test5 = label4._positive_tail_set(test4)
test5_actual = ['TIP', 'IEF', 'XLF', 'TLT', 'BND', 'CSJ']
test6 = label4._negative_tail_set(test4)
test6_actual = ['EWJ', 'XLB', 'XLE', 'EPP', 'VPL', 'DIA']
pd.testing.assert_series_equal(test4, test4_actual)
self.assertEqual(test5, test5_actual)
self.assertEqual(test6, test6_actual)