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TST: Read more risk expected values from the answer spreadsheet.

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Convert test_risk from hardcoded values to reading algorithm
returns, volatility, and sharpe answers from the spreadsheet.
This commit is contained in:
Eddie Hebert
2013-07-18 18:09:49 -04:00
parent d58181db34
commit 575e45ab4e
2 changed files with 79 additions and 82 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/risk/answer_key.py
+25 -1
View File
@@ -24,7 +24,10 @@ import requests
def col_letter_to_index(col_letter):
# Only supports single letter,
# but answer key doesn't need multi-letter, yet.
return ord(col_letter) - 65
index = 0
for i, char in enumerate(col_letter):
index += ((ord(char) - 65) + (26 * i))
return index
DIR = os.path.dirname(os.path.realpath(__file__))
@@ -150,6 +153,27 @@ class AnswerKey(object):
'year': DataIndex('s_p', 'W', 19, 19),
}
ALGORITHM_PERIOD_RETURNS = {
'Monthly': DataIndex('Sim', 'V', 23, 34),
'3-Month': DataIndex('Sim', 'W', 25, 34),
'6-month': DataIndex('Sim', 'X', 28, 34),
'year': DataIndex('Sim', 'Y', 34, 34),
}
ALGORITHM_PERIOD_VOLATILITY = {
'Monthly': DataIndex('Sim', 'Z', 23, 34),
'3-Month': DataIndex('Sim', 'AA', 25, 34),
'6-month': DataIndex('Sim', 'AB', 28, 34),
'year': DataIndex('Sim', 'AC', 34, 34),
}
ALGORITHM_PERIOD_SHARPE = {
'Monthly': DataIndex('Sim', 'AD', 23, 34),
'3-Month': DataIndex('Sim', 'AE', 25, 34),
'6-month': DataIndex('Sim', 'AF', 28, 34),
'year': DataIndex('Sim', 'AG', 34, 34),
}
def __init__(self):
self.workbook = xlrd.open_workbook(ANSWER_KEY_PATH)
tests/risk/test_risk.py
+54 -81
View File
@@ -161,107 +161,74 @@ class TestRisk(unittest.TestCase):
answer_key_year_periods)
def test_algorithm_returns_06(self):
self.assertEqual([round(x.algorithm_period_returns, 3)
answer_key_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_RETURNS['Monthly'],
decimal=3)
self.assertEqual([np.round(x.algorithm_period_returns, 3)
for x in self.metrics_06.month_periods],
[0.101,
-0.062,
-0.041,
0.092,
0.135,
-0.25,
0.076,
-0.003,
-0.024,
0.072,
0.063,
-0.071])
answer_key_month_periods)
self.assertEqual([round(x.algorithm_period_returns, 3)
answer_key_three_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_RETURNS['3-Month'],
decimal=3)
self.assertEqual([np.round(x.algorithm_period_returns, 3)
for x in self.metrics_06.three_month_periods],
[-0.009,
-0.017,
0.188,
-0.071,
-0.085,
-0.196,
0.047,
0.043,
0.112,
0.058])
answer_key_three_month_periods)
self.assertEqual([round(x.algorithm_period_returns, 3)
answer_key_six_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_RETURNS['6-month'],
decimal=3)
self.assertEqual([np.round(x.algorithm_period_returns, 3)
for x in self.metrics_06.six_month_periods],
[-0.08,
-0.101,
-0.044,
-0.027,
-0.045,
-0.106,
0.108])
answer_key_six_month_periods)
self.assertEqual([round(x.algorithm_period_returns, 3)
answer_key_year_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_RETURNS['year'],
decimal=3)
self.assertEqual([np.round(x.algorithm_period_returns, 3)
for x in self.metrics_06.year_periods],
[0.02])
answer_key_year_periods)
def test_algorithm_volatility_06(self):
self.assertEqual([round(x.algorithm_volatility, 3)
answer_key_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_VOLATILITY['Monthly'],
decimal=3)
self.assertEqual([np.round(x.algorithm_volatility, 3)
for x in self.metrics_06.month_periods],
[0.137,
0.12,
0.13,
0.142,
0.128,
0.14,
0.141,
0.118,
0.143,
0.144,
0.117,
0.135])
answer_key_month_periods)
self.assertEqual([round(x.algorithm_volatility, 3)
answer_key_three_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_VOLATILITY['3-Month'],
decimal=3)
self.assertEqual([np.round(x.algorithm_volatility, 3)
for x in self.metrics_06.three_month_periods],
[0.222,
0.224,
0.229,
0.243,
0.243,
0.235,
0.23,
0.231,
0.231,
0.227])
answer_key_three_month_periods)
self.assertEqual([round(x.algorithm_volatility, 3)
answer_key_six_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_VOLATILITY['6-month'],
decimal=3)
self.assertEqual([np.round(x.algorithm_volatility, 3)
for x in self.metrics_06.six_month_periods],
[0.328,
0.329,
0.329,
0.333,
0.334,
0.329,
0.321])
answer_key_six_month_periods)
self.assertEqual([round(x.algorithm_volatility, 3)
answer_key_year_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_VOLATILITY['year'],
decimal=3)
self.assertEqual([np.round(x.algorithm_volatility, 3)
for x in self.metrics_06.year_periods],
[0.458])
answer_key_year_periods)
def test_algorithm_sharpe_06(self):
self.assertEqual([round(x.sharpe, 3)
answer_key_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_SHARPE['Monthly'],
decimal=3)
self.assertEqual([np.round(x.sharpe, 3)
for x in self.metrics_06.month_periods],
[0.711,
-0.541,
-0.348,
0.625,
1.017,
-1.809,
0.508,
-0.062,
-0.193,
0.467,
0.502,
-0.557])
answer_key_month_periods)
answer_key_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_SHARPE['Monthly'],
decimal=3)
self.assertEqual([round(x.sharpe, 3)
for x in self.metrics_06.three_month_periods],
[-0.094,
@@ -275,6 +242,9 @@ class TestRisk(unittest.TestCase):
0.432,
0.2])
answer_key_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_SHARPE['Monthly'],
decimal=3)
self.assertEqual([round(x.sharpe, 3)
for x in self.metrics_06.six_month_periods],
[-0.322,
@@ -285,6 +255,9 @@ class TestRisk(unittest.TestCase):
-0.398,
0.257])
answer_key_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_SHARPE['Monthly'],
decimal=3)
self.assertEqual([round(x.sharpe, 3)
for x in self.metrics_06.year_periods],
[-0.066])