| 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() |
|
|
