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28 lines
739 B
Go
28 lines
739 B
Go
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package statistics
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import (
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"github.com/c9s/bbgo/pkg/types"
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"github.com/stretchr/testify/assert"
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"testing"
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)
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/*
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python
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import quantstats as qx
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import pandas as pd
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print(qx.stats.sharpe(pd.Series([0.01, 0.1, 0.001]), 0, 0, False, False))
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print(qx.stats.sharpe(pd.Series([0.01, 0.1, 0.001]), 0, 252, False, False))
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print(qx.stats.sharpe(pd.Series([0.01, 0.1, 0.001]), 0, 252, True, False))
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*/
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func TestSharpe(t *testing.T) {
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var a types.Series = &types.Float64Slice{0.01, 0.1, 0.001}
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output := Sharpe(a, 0, false, false)
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assert.InDelta(t, output, 0.67586, 0.0001)
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output = Sharpe(a, 252, false, false)
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assert.InDelta(t, output, 0.67586, 0.0001)
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output = Sharpe(a, 252, true, false)
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assert.InDelta(t, output, 10.7289, 0.0001)
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}
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