test_stats.py 文件源码

def test_downside_risk_std(self, smaller_std, larger_std):
        less_noise = pd.Series(
            [random.gauss(0, smaller_std) for i in range(1000)],
            index=pd.date_range('2000-1-30', periods=1000, freq='D')
        )
        more_noise = pd.Series(
            [random.gauss(0, larger_std) for i in range(1000)],
            index=pd.date_range('2000-1-30', periods=1000, freq='D')
        )
        assert self.empyrical.downside_risk(less_noise) < \
            self.empyrical.downside_risk(more_noise)

    # Regressive sortino ratio tests