File size: 2,271 Bytes
ab8be8f | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 | import unittest
import numpy as np
import pytest
from qlib.data import DatasetProvider
from qlib.data.data import ExpressionD
from qlib.tests import TestOperatorData, TestMockData, MOCK_DF
from qlib.config import C
class TestElementOperator(TestMockData):
def setUp(self) -> None:
self.instrument = "0050"
self.start_time = "2022-01-01"
self.end_time = "2022-02-01"
self.freq = "day"
self.mock_df = MOCK_DF[MOCK_DF["symbol"] == self.instrument]
def test_Abs(self):
field = "Abs($close-Ref($close, 1))"
result = ExpressionD.expression(self.instrument, field, self.start_time, self.end_time, self.freq)
self.assertGreaterEqual(result.min(), 0)
result = result.to_numpy()
prev_close = self.mock_df["close"].shift(1)
close = self.mock_df["close"]
change = prev_close - close
golden = change.abs().to_numpy()
self.assertIsNone(np.testing.assert_allclose(result, golden))
def test_Sign(self):
field = "Sign($close-Ref($close, 1))"
result = ExpressionD.expression(self.instrument, field, self.start_time, self.end_time, self.freq)
result = result.to_numpy()
prev_close = self.mock_df["close"].shift(1)
close = self.mock_df["close"]
change = close - prev_close
change[change > 0] = 1.0
change[change < 0] = -1.0
golden = change.to_numpy()
self.assertIsNone(np.testing.assert_allclose(result, golden))
class TestOperatorDataSetting(TestOperatorData):
def test_setting(self):
self.assertEqual(len(self.instruments_d), 1)
self.assertGreater(len(self.cal), 0)
class TestInstElementOperator(TestOperatorData):
def setUp(self) -> None:
freq = "day"
expressions = [
"$change",
"Abs($change)",
]
columns = ["change", "abs"]
self.data = DatasetProvider.inst_calculator(
self.inst, self.start_time, self.end_time, freq, expressions, self.spans, C, []
)
self.data.columns = columns
@pytest.mark.slow
def test_abs(self):
abs_values = self.data["abs"]
self.assertGreater(abs_values[2], 0)
if __name__ == "__main__":
unittest.main()
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