added tests for CSPercentile and renaming CSQuantile to CSQuantiles

alpha-miner · Sep 8, 2017 · 23dff37 · 23dff37
1 parent 6af3064
commit 23dff37
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Showing 3 changed files with 19 additions and 3 deletions.
diff --git a/PyFin/api/Analysis.py b/PyFin/api/Analysis.py
@@ -66,7 +66,7 @@ def CSMeanAdjusted(dependency):
     return CSAverageAdjustedSecurityValueHolder(dependency)
 
 
-def CSQuantile(dependency):
+def CSQuantiles(dependency):
     return CSQuantileSecurityValueHolder(dependency)
 
 

diff --git a/PyFin/api/__init__.py b/PyFin/api/__init__.py
@@ -63,7 +63,7 @@
 from PyFin.api.Analysis import CSRank
 from PyFin.api.Analysis import CSMean
 from PyFin.api.Analysis import CSMeanAdjusted
-from PyFin.api.Analysis import CSQuantile
+from PyFin.api.Analysis import CSQuantiles
 from PyFin.api.Analysis import CSPercentile
 from PyFin.api.Analysis import CSZScore
 
@@ -126,7 +126,7 @@
            "CSRank",
            "CSMean",
            "CSMeanAdjusted",
-           "CSQuantile",
+           "CSQuantiles",
            "CSZScore",
            "CSPercentile",
            "pyFinAssert"]
diff --git a/PyFin/tests/Analysis/testCrossSectionValueHolders.py b/PyFin/tests/Analysis/testCrossSectionValueHolders.py
@@ -15,6 +15,7 @@
 from PyFin.Analysis.CrossSectionValueHolders import CSAverageAdjustedSecurityValueHolder
 from PyFin.Analysis.CrossSectionValueHolders import CSQuantileSecurityValueHolder
 from PyFin.Analysis.CrossSectionValueHolders import CSZScoreSecurityValueHolder
+from PyFin.Analysis.CrossSectionValueHolders import CSPercentileSecurityValueHolder
 
 
 class TestCrossSectionValueHolder(unittest.TestCase):
@@ -69,6 +70,21 @@ def testCSAverageSecurityValueHolder(self):
             benchmarkValues = benchmark.value
             np.testing.assert_array_almost_equal(benchmarkValues.mean(), meanHolder.value.values)
 
+    def testCSPercentileSecurityValueHolder(self):
+        percent = 50
+        benchmark = SecurityLatestValueHolder(dependency='close')
+        perHolder = CSPercentileSecurityValueHolder(percent, benchmark)
+
+        for i in range(len(self.datas['aapl']['close'])):
+            data = {'aapl': {Factors.CLOSE: self.datas['aapl'][Factors.CLOSE][i],
+                             Factors.OPEN: self.datas['aapl'][Factors.OPEN][i]},
+                    'ibm': {Factors.CLOSE: self.datas['ibm'][Factors.CLOSE][i],
+                            Factors.OPEN: self.datas['ibm'][Factors.OPEN][i]}}
+            benchmark.push(data)
+            perHolder.push(data)
+            benchmarkValues = benchmark.value
+            np.testing.assert_array_almost_equal(np.percentile(benchmarkValues.values, 50), perHolder.value.values)
+
     def testCSAverageAdjustedSecurityValueHolder(self):
         benchmark = SecurityLatestValueHolder(dependency='close')
         meanAdjustedHolder = CSAverageAdjustedSecurityValueHolder(benchmark)