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TST: Use 'us_futures' calendar in test fixtures

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dmichalowicz
2017-04-03 10:18:03 -04:00
parent a006b4bbab
commit cf68953bf2
4 changed files with 21 additions and 22 deletions
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tests/risk/test_risk_period.py
+9 -4
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@@ -64,6 +64,11 @@ class TestRisk(WithTradingEnvironment, ZiplineTestCase):
treasury_curves=self.env.treasury_curves,
)
@classmethod
def init_class_fixtures(cls):
cls.TRADING_CALENDAR_PRIMARY_CAL = 'NYSE'
super(TestRisk, cls).init_class_fixtures()
def test_factory(self):
returns = [0.1] * 100
r_objects = factory.create_returns_from_list(returns, self.sim_params)
@@ -388,18 +393,18 @@ class TestRisk(WithTradingEnvironment, ZiplineTestCase):
pd.Timestamp("1991-01-01", tz='UTC')
)
# 1992 and 1996 were leap years
# 2008 and 2012 were leap years
total_days = 365 * 5 + 2
end_session = start_session + datetime.timedelta(days=total_days)
sim_params90s = SimulationParameters(
sim_params = SimulationParameters(
start_session=start_session,
end_session=end_session,
trading_calendar=self.trading_calendar,
)
returns = factory.create_returns_from_range(sim_params90s)
returns = factory.create_returns_from_range(sim_params)
returns = returns[:-10] # truncate the returns series to end mid-month
metrics = risk.RiskReport(returns, sim_params90s,
metrics = risk.RiskReport(returns, sim_params,
trading_calendar=self.trading_calendar,
treasury_curves=self.env.treasury_curves,
benchmark_returns=self.env.benchmark_returns)