test_stats.py 文件源码

def test_value_at_risk(self):
        value_at_risk = self.empyrical.value_at_risk

        returns = [1.0, 2.0]
        assert_almost_equal(value_at_risk(returns, cutoff=0.0), 1.0)
        assert_almost_equal(value_at_risk(returns, cutoff=0.3), 1.3)
        assert_almost_equal(value_at_risk(returns, cutoff=1.0), 2.0)

        returns = [1, 81, 82, 83, 84, 85]
        assert_almost_equal(value_at_risk(returns, cutoff=0.1), 41)
        assert_almost_equal(value_at_risk(returns, cutoff=0.2), 81)
        assert_almost_equal(value_at_risk(returns, cutoff=0.3), 81.5)

        # Test a returns stream of 21 data points at different cutoffs.
        returns = np.random.normal(0, 0.02, 21)
        for cutoff in (0, 0.0499, 0.05, 0.20, 0.999, 1):
            assert_almost_equal(
                value_at_risk(returns, cutoff),
                np.percentile(returns, cutoff * 100),
            )