Merge pull request #184 from YasserHassan/patch-2

Match net worth calculation in test to tested method in TestRiskAdjustedReturns
tensortrade-org · Feb 11, 2020 · eab1a0e · eab1a0e
2 parents d822c16 + 9051ff8
commit eab1a0e
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Showing 2 changed files with 4 additions and 2 deletions.
diff --git a/tensortrade/rewards/risk_adjusted_returns.py b/tensortrade/rewards/risk_adjusted_returns.py
@@ -38,6 +38,8 @@ def __init__(self, return_algorithm: str = 'sharpe', risk_free_rate: float = 0.,
         self._target_returns = self.default('target_returns', target_returns)
 
     def _return_algorithm_from_str(self, algorithm_str: str) -> Callable[[pd.DataFrame], float]:
+        assert algorithm_str in ['sharpe', 'sortino']
+
         if algorithm_str == 'sharpe':
             return self._sharpe_ratio
         elif algorithm_str == 'sortino':

diff --git a/tests/tensortrade/unit/rewards/test_risk_adjusted_returns.py b/tests/tensortrade/unit/rewards/test_risk_adjusted_returns.py
@@ -15,7 +15,7 @@ class TestRiskAdjustedReturns:
     def test_sharpe_ratio(self, net_worths):
         scheme = RiskAdjustedReturns(return_algorithm='sharpe', risk_free_rate=0)
 
-        returns = net_worths.diff()
+        returns = net_worths.pct_change()
 
         sharpe_ratio = scheme._sharpe_ratio(returns)
 
@@ -31,7 +31,7 @@ def test_sortino_ratio(self, net_worths):
             target_returns=0
         )
 
-        returns = net_worths.diff()
+        returns = net_worths.pct_change()
 
         sortino_ratio = scheme._sortino_ratio(returns)