test_stats.py 文件源码

def test_sharpe_noise(self, small, large):
        index = pd.date_range('2000-1-30', periods=1000, freq='D')
        smaller_normal = pd.Series(
            [random.gauss(.01, small) for i in range(1000)],
            index=index
        )
        larger_normal = pd.Series(
            [random.gauss(.01, large) for i in range(1000)],
            index=index
        )
        assert self.empyrical.sharpe_ratio(smaller_normal, 0.001) > \
            self.empyrical.sharpe_ratio(larger_normal, 0.001)

    # Regressive downside risk tests