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TST: Read more sharpe values from the answer key.

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Recent conversion of sharpe to reading from the answer key had left
a few tests with hard coded answers.
This commit is contained in:
Eddie Hebert
2013-07-19 12:10:17 -04:00
parent 8c006fc347
commit de608b0b05
1 changed files with 19 additions and 29 deletions
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tests/risk/test_risk.py
+19 -29
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@@ -218,7 +218,7 @@ class TestRisk(unittest.TestCase):
for x in self.metrics_06.year_periods],
answer_key_year_periods)
def test_algorithm_sharpe_06(self):
def test_algorithm_sharpe_06_monthly(self):
answer_key_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_SHARPE['Monthly'],
decimal=3)
@@ -226,41 +226,31 @@ class TestRisk(unittest.TestCase):
for x in self.metrics_06.month_periods],
answer_key_month_periods)
answer_key_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_SHARPE['Monthly'],
def test_algorithm_sharpe_06_three_month(self):
answer_key_three_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_SHARPE['3-Month'],
decimal=3)
self.assertEqual([round(x.sharpe, 3)
self.assertEqual([np.round(x.sharpe, 3)
for x in self.metrics_06.three_month_periods],
[-0.094,
-0.129,
0.769,
-0.342,
-0.402,
-0.888,
0.153,
0.131,
0.432,
0.2])
answer_key_three_month_periods)
answer_key_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_SHARPE['Monthly'],
def test_algorithm_sharpe_06_six_month(self):
answer_key_six_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_SHARPE['6-month'],
decimal=3)
self.assertEqual([round(x.sharpe, 3)
for x in self.metrics_06.six_month_periods],
[-0.322,
-0.383,
-0.213,
-0.156,
-0.213,
-0.398,
0.257])
results_six_month_periods = [
np.round(x.sharpe, 3)
for x in self.metrics_06.six_month_periods]
self.assertEqual(results_six_month_periods,
answer_key_six_month_periods)
answer_key_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_SHARPE['Monthly'],
def test_algorithm_sharpe_06_year(self):
answer_key_year_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_SHARPE['year'],
decimal=3)
self.assertEqual([round(x.sharpe, 3)
self.assertEqual([np.round(x.sharpe, 3)
for x in self.metrics_06.year_periods],
[-0.066])
answer_key_year_periods)
def test_algorithm_sortino_06(self):
self.assertEqual([round(x.sortino, 3)