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cd7d602b8f
* refactor quantitative for v5 * add factors endpoint and add a few charts --------- Co-authored-by: deeleeramone <>
97 lines
3.3 KiB
Python
97 lines
3.3 KiB
Python
"""Tests for ``openbb_quantitative.performance`` - performance-metric commands."""
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from math import isfinite, isnan
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from openbb_quantitative import performance
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def test_query_params_defaults():
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"""The performance QueryParams expose the documented default values."""
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omega = performance.OmegaRatioQueryParams(data=[], target="close")
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assert omega.threshold_start == 0.0
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assert omega.threshold_end == 1.5
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assert omega.bins == 50
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sharpe = performance.SharpeRatioQueryParams(data=[], target="close")
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assert sharpe.rfr == 0.0
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assert sharpe.window == 252
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assert sharpe.index == "date"
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sortino = performance.SortinoRatioQueryParams(data=[], target="close")
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assert sortino.target_return == 0.0
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assert sortino.window == 252
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assert sortino.adjusted is False
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assert sortino.index == "date"
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def test_omega_ratio(prices_data):
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"""The Omega ratio returns one finite ratio per threshold across 50 thresholds."""
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params = performance.OmegaRatioQueryParams(data=prices_data, target="close")
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out = performance.omega_ratio(params)
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results = out.results
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assert isinstance(results, list)
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assert len(results) == 50
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for row in results:
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assert isinstance(row, performance.OmegaRatioData)
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assert isfinite(row.threshold)
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assert isfinite(row.omega)
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def test_omega_ratio_bins(prices_data):
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"""The Omega ratio honors an explicit threshold count."""
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out = performance.omega_ratio(
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performance.OmegaRatioQueryParams(data=prices_data, target="close", bins=10)
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)
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assert len(out.results) == 10
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def test_sharpe_ratio(prices_data):
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"""The rolling Sharpe ratio returns finite dated observations."""
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params = performance.SharpeRatioQueryParams(
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data=prices_data, target="close", window=20
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)
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out = performance.sharpe_ratio(params)
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results = out.results
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assert isinstance(results, list)
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assert len(results) > 0
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for row in results:
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assert isinstance(row, performance.SharpeRatioData)
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assert row.date is not None
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assert isfinite(row.sharpe_ratio)
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def test_sortino_ratio(prices_data):
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"""The rolling Sortino ratio returns dated numeric observations."""
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params = performance.SortinoRatioQueryParams(
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data=prices_data, target="close", window=20
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)
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out = performance.sortino_ratio(params)
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results = out.results
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assert isinstance(results, list)
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assert len(results) > 0
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for row in results:
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assert isinstance(row, performance.SortinoRatioData)
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assert row.date is not None
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assert isfinite(row.sortino_ratio)
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def test_sortino_ratio_adjusted(prices_data):
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"""The adjusted Sortino ratio scales the unadjusted ratio by 1/sqrt(2)."""
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from math import sqrt
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unadjusted = performance.sortino_ratio(
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performance.SortinoRatioQueryParams(
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data=prices_data, target="close", window=20, adjusted=False
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)
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).results
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adjusted = performance.sortino_ratio(
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performance.SortinoRatioQueryParams(
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data=prices_data, target="close", window=20, adjusted=True
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)
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).results
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assert len(adjusted) == len(unadjusted)
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assert len(adjusted) > 0
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for adj, unadj in zip(adjusted, unadjusted):
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assert not isnan(adj.sortino_ratio)
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assert adj.sortino_ratio == unadj.sortino_ratio / sqrt(2)
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