From 08bc42dc0cfce882ee7771131578566bd3895e4b Mon Sep 17 00:00:00 2001 From: Eddie Hebert Date: Tue, 24 Sep 2013 21:05:03 -0400 Subject: [PATCH] TST: Fix index to cumulative risk answer key. 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. --- tests/risk/answer_key.py | 17 ++++++++++------- 1 file changed, 10 insertions(+), 7 deletions(-) diff --git a/tests/risk/answer_key.py b/tests/risk/answer_key.py index c6d13726..f8400351 100644 --- a/tests/risk/answer_key.py +++ b/tests/risk/answer_key.py @@ -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)))})