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TST: Add NaN cases to AverageDollarVolume factor test.

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This commit is contained in:
Nathan Wolfe
2016-06-29 10:12:35 -04:00
parent e70490a415
commit ebbcca73e8
1 changed files with 23 additions and 0 deletions
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tests/pipeline/test_engine.py
+23
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@@ -1056,7 +1056,12 @@ class ParameterizedFactorTestCase(WithTradingEnvironment, ZiplineTestCase):
index=dates,
columns=cls.asset_finder.retrieve_all(sids),
)
cls.raw_data_with_nans = cls.raw_data.where(cls.raw_data % 3 != 0)
open_loader = DataFrameLoader(
USEquityPricing.open,
cls.raw_data_with_nans,
)
close_loader = DataFrameLoader(USEquityPricing.close, cls.raw_data)
volume_loader = DataFrameLoader(
USEquityPricing.volume,
@@ -1065,6 +1070,7 @@ class ParameterizedFactorTestCase(WithTradingEnvironment, ZiplineTestCase):
cls.engine = SimplePipelineEngine(
{
USEquityPricing.open: open_loader,
USEquityPricing.close: close_loader,
USEquityPricing.volume: volume_loader,
}.__getitem__,
@@ -1195,6 +1201,14 @@ class ParameterizedFactorTestCase(WithTradingEnvironment, ZiplineTestCase):
columns={
'dv1': AverageDollarVolume(window_length=1),
'dv5': AverageDollarVolume(window_length=5),
'dv1_nan': AverageDollarVolume(
window_length=1,
inputs=[USEquityPricing.open, USEquityPricing.volume],
),
'dv5_nan': AverageDollarVolume(
window_length=5,
inputs=[USEquityPricing.open, USEquityPricing.volume],
),
}
),
self.dates[5],
@@ -1207,6 +1221,15 @@ class ParameterizedFactorTestCase(WithTradingEnvironment, ZiplineTestCase):
expected_5 = rolling_mean((self.raw_data ** 2) * 2, window=5)[5:]
assert_frame_equal(results['dv5'].unstack(), expected_5)
expected_1_nan = (self.raw_data_with_nans[5:]
* self.raw_data[5:] * 2).fillna(0)
assert_frame_equal(results['dv1_nan'].unstack(), expected_1_nan)
expected_5_nan = rolling_mean((self.raw_data_with_nans
* self.raw_data * 2).fillna(0),
window=5)[5:]
assert_frame_equal(results['dv5_nan'].unstack(), expected_5_nan)
@parameter_space(returns_length=[2, 3], correlation_length=[3, 4])
def test_correlation_factors(self, returns_length, correlation_length):
"""