test_stats.py 文件源码

def test_alpha(self, returns, benchmark, expected):
        observed = self.empyrical.alpha(returns, benchmark)
        assert_almost_equal(
            observed,
            expected,
            DECIMAL_PLACES)

        if len(returns) == len(benchmark):
            # Compare to scipy linregress
            returns_arr = returns.values
            benchmark_arr = benchmark.values
            mask = ~np.isnan(returns_arr) & ~np.isnan(benchmark_arr)
            slope, intercept, _, _, _ = stats.linregress(benchmark_arr[mask],
                                                         returns_arr[mask])

            assert_almost_equal(
                observed,
                intercept * 252,
                DECIMAL_PLACES
            )

    # Alpha/beta translation tests.