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TST: Fix index to cumulative risk answer key.

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Indexes to risk answers were pointing to a previous version.

Also, provide the risk cumulative answers as a pd.Series,
so that it is easier to compare to values produced by risk class.
This commit is contained in:
Eddie Hebert
2013-09-24 21:05:03 -04:00
parent 9dc126f0fb
commit 08bc42dc0c
1 changed files with 10 additions and 7 deletions
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tests/risk/answer_key.py
+10 -7
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@@ -227,10 +227,10 @@ class AnswerKey(object):
'Sim Cumulative', 'D', 4, 254),
'ALGORITHM_CUMULATIVE_VOLATILITY': DataIndex(
'Sim Cumulative', 'N', 4, 254),
'Sim Cumulative', 'O', 4, 254),
'ALGORITHM_CUMULATIVE_SHARPE': DataIndex(
'Sim Cumulative', 'O', 4, 254)
'Sim Cumulative', 'R', 4, 254)
}
def __init__(self):
@@ -279,11 +279,14 @@ ANSWER_KEY = AnswerKey()
BENCHMARK_DATES = ANSWER_KEY.BENCHMARK['Dates']
BENCHMARK_RETURNS = ANSWER_KEY.BENCHMARK['Returns']
BENCHMARK = pd.Series(
dict(zip((datetime.datetime(*x, tzinfo=pytz.UTC) for x in BENCHMARK_DATES),
BENCHMARK_RETURNS)))
DATES = [datetime.datetime(*x, tzinfo=pytz.UTC) for x in BENCHMARK_DATES]
BENCHMARK = pd.Series(dict(zip(DATES, BENCHMARK_RETURNS)))
ALGORITHM_RETURNS = pd.Series(
dict(zip((datetime.datetime(*x, tzinfo=pytz.UTC) for x in BENCHMARK_DATES),
ANSWER_KEY.ALGORITHM_RETURN_VALUES)))
dict(zip(DATES, ANSWER_KEY.ALGORITHM_RETURN_VALUES)))
RETURNS_DATA = pd.DataFrame({'Benchmark Returns': BENCHMARK,
'Algorithm Returns': ALGORITHM_RETURNS})
RISK_CUMULATIVE = pd.DataFrame({
'volatility': pd.Series(dict(zip(
DATES, ANSWER_KEY.ALGORITHM_CUMULATIVE_VOLATILITY))),
'sharpe': pd.Series(dict(zip(
DATES, ANSWER_KEY.ALGORITHM_CUMULATIVE_SHARPE)))})