test_stats.py 文件源码

def test_alpha_beta_equality(self, returns, benchmark):
        alpha, beta = self.empyrical(
            pandas_only=len(returns) != len(benchmark),
            return_types=tuple,
        ).alpha_beta(returns, benchmark)
        assert_almost_equal(
            alpha,
            self.empyrical.alpha(returns, benchmark),
            DECIMAL_PLACES)
        assert_almost_equal(
            beta,
            self.empyrical.beta(returns, benchmark),
            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(returns_arr[mask],
                                                         benchmark_arr[mask])

            assert_almost_equal(
                alpha,
                intercept
            )
            assert_almost_equal(
                beta,
                slope
            )