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Update tests
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@JerBouma
JerBouma committed Apr 2, 2024
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12 changes: 6 additions & 6 deletions tests/csv/test_toolkit_controller/test_toolkit_historical.csv
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,Open,Open,Open,High,High,High,Low,Low,Low,Close,Close,Close,Adj Close,Adj Close,Adj Close,Volume,Volume,Volume,Dividends,Dividends,Dividends,Return,Return,Return,Volatility,Volatility,Volatility,Excess Return,Excess Return,Excess Return,Excess Volatility,Excess Volatility,Excess Volatility,Cumulative Return,Cumulative Return,Cumulative Return
,AAPL,MSFT,Benchmark,AAPL,MSFT,Benchmark,AAPL,MSFT,Benchmark,AAPL,MSFT,Benchmark,AAPL,MSFT,Benchmark,AAPL,MSFT,Benchmark,AAPL,MSFT,Benchmark,AAPL,MSFT,Benchmark,AAPL,MSFT,Benchmark,AAPL,MSFT,Benchmark,AAPL,MSFT,Benchmark,AAPL,MSFT,Benchmark
Date,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
2010,12.0,28.0,126.0,12.0,28.0,126.0,11.0,28.0,125.0,12.0,28.0,126.0,10.0,22.0,99.0,193508000,24752000,91218900,0.0,1.0,2.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,-0.0,0.0,0.0,0.0,0.0,1.0,1.0,1.0
2010,12.0,28.0,126.0,12.0,28.0,126.0,11.0,28.0,125.0,12.0,28.0,126.0,10.0,22.0,98.0,193508000,24752000,91218900,0.0,1.0,2.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,-0.0,0.0,0.0,0.0,0.0,1.0,1.0,1.0
2011,14.0,26.0,126.0,15.0,26.0,126.0,14.0,26.0,126.0,14.0,26.0,126.0,12.0,21.0,100.0,179662000,27395700,95599000,0.0,1.0,3.0,0.0,-0.0,0.0,0.0,0.0,0.0,0.0,-0.0,0.0,0.0,0.0,0.0,1.0,1.0,1.0
2012,18.0,27.0,140.0,19.0,27.0,143.0,18.0,26.0,140.0,19.0,27.0,142.0,16.0,22.0,117.0,659492400,42749500,243935200,0.0,1.0,3.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,2.0,1.0,1.0
2013,20.0,37.0,184.0,20.0,38.0,185.0,20.0,37.0,184.0,20.0,37.0,185.0,18.0,32.0,154.0,223084400,17503500,86119900,0.0,1.0,3.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,2.0,1.0,2.0
2014,28.0,47.0,208.0,28.0,47.0,208.0,28.0,46.0,205.0,28.0,46.0,206.0,25.0,40.0,175.0,165613600,21552500,130333800,0.0,1.0,4.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,3.0,2.0,2.0
2012,18.0,27.0,140.0,19.0,27.0,143.0,18.0,26.0,140.0,19.0,27.0,142.0,16.0,22.0,116.0,659492400,42749500,243935200,0.0,1.0,3.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,2.0,1.0,1.0
2013,20.0,37.0,184.0,20.0,38.0,185.0,20.0,37.0,184.0,20.0,37.0,185.0,18.0,31.0,154.0,223084400,17503500,86119900,0.0,1.0,3.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,2.0,1.0,2.0
2014,28.0,47.0,208.0,28.0,47.0,208.0,28.0,46.0,205.0,28.0,46.0,206.0,25.0,40.0,174.0,165613600,21552500,130333800,0.0,1.0,4.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,3.0,2.0,2.0
2015,27.0,56.0,205.0,27.0,56.0,206.0,26.0,55.0,204.0,26.0,55.0,204.0,24.0,49.0,177.0,163649200,27334100,114877900,1.0,1.0,4.0,-0.0,0.0,0.0,0.0,0.0,0.0,-0.0,0.0,-0.0,0.0,0.0,0.0,2.0,2.0,2.0
2016,29.0,63.0,225.0,29.0,63.0,225.0,29.0,62.0,223.0,29.0,62.0,224.0,27.0,57.0,198.0,122345200,25579900,108998300,1.0,1.0,5.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,3.0,3.0,2.0
2017,43.0,86.0,269.0,43.0,86.0,269.0,42.0,86.0,267.0,42.0,86.0,267.0,40.0,80.0,241.0,103999600,18717400,96007400,1.0,2.0,5.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,4.0,4.0,2.0
2018,40.0,101.0,250.0,40.0,102.0,250.0,39.0,100.0,247.0,39.0,102.0,250.0,38.0,96.0,230.0,140014000,33173800,144299400,1.0,2.0,5.0,-0.0,0.0,-0.0,0.0,0.0,0.0,-0.0,0.0,-0.0,0.0,0.0,0.0,4.0,4.0,2.0
2019,72.0,157.0,321.0,73.0,158.0,322.0,72.0,156.0,320.0,73.0,158.0,322.0,71.0,152.0,302.0,100805600,18369400,57077300,1.0,2.0,6.0,1.0,1.0,0.0,0.0,0.0,0.0,1.0,1.0,0.0,0.0,0.0,0.0,7.0,7.0,3.0
2020,136.0,225.0,372.0,136.0,226.0,373.0,133.0,221.0,372.0,134.0,222.0,372.0,131.0,216.0,356.0,96452100,20272300,49455300,1.0,2.0,6.0,1.0,0.0,0.0,0.0,0.0,0.0,1.0,0.0,0.0,0.0,0.0,0.0,13.0,10.0,4.0
2019,72.0,157.0,321.0,73.0,158.0,322.0,72.0,156.0,320.0,73.0,158.0,322.0,71.0,152.0,301.0,100805600,18369400,57077300,1.0,2.0,6.0,1.0,1.0,0.0,0.0,0.0,0.0,1.0,1.0,0.0,0.0,0.0,0.0,7.0,7.0,3.0
2020,136.0,225.0,372.0,136.0,226.0,373.0,133.0,221.0,372.0,134.0,222.0,372.0,131.0,215.0,355.0,96452100,20272300,49455300,1.0,2.0,6.0,1.0,0.0,0.0,0.0,0.0,0.0,1.0,0.0,0.0,0.0,0.0,0.0,13.0,10.0,4.0
5 changes: 5 additions & 0 deletions tests/performance/csv/test_performance_controller/test_get_factor_correlations.csv
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Expand Up @@ -304,3 +304,8 @@ Date,,Mkt-RF,SMB,HML,RMW,CMA
2023,HML,-0.05,0.41,1.0,0.22,0.62
2023,RMW,-0.34,-0.4,0.22,1.0,0.31
2023,CMA,-0.45,0.08,0.62,0.31,1.0
2024,Mkt-RF,1.0,0.52,-0.11,-0.35,-0.42
2024,SMB,0.52,1.0,0.03,-0.55,0.05
2024,HML,-0.11,0.03,1.0,0.42,0.53
2024,RMW,-0.35,-0.55,0.42,1.0,0.17
2024,CMA,-0.42,0.05,0.53,0.17,1.0
5 changes: 5 additions & 0 deletions tests/performance/csv/test_performance_controller/test_get_factor_correlations_1.csv
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Expand Up @@ -3629,3 +3629,8 @@ Date,,Mkt-RF,SMB,HML,RMW,CMA
2023-12,HML,0.39,0.86,1.0,-0.34,0.55
2023-12,RMW,-0.66,-0.63,-0.34,1.0,-0.25
2023-12,CMA,-0.03,0.57,0.55,-0.25,1.0
2024-01,Mkt-RF,1.0,0.52,-0.11,-0.35,-0.42
2024-01,SMB,0.52,1.0,0.03,-0.55,0.05
2024-01,HML,-0.11,0.03,1.0,0.42,0.53
2024-01,RMW,-0.35,-0.55,0.42,1.0,0.17
2024-01,CMA,-0.42,0.05,0.53,0.17,1.0
2 changes: 2 additions & 0 deletions tests/performance/csv/test_performance_controller/test_get_factor_correlations_2.csv
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Expand Up @@ -121,3 +121,5 @@ Date,,HML,Mkt-RF
2022,Mkt-RF,-0.56,1.0
2023,HML,1.0,-0.05
2023,Mkt-RF,-0.05,1.0
2024,HML,1.0,-0.11
2024,Mkt-RF,-0.11,1.0
6 changes: 6 additions & 0 deletions tests/performance/csv/test_performance_controller/test_get_factor_correlations_3.csv
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Expand Up @@ -365,3 +365,9 @@ Date,,Mkt-RF,SMB,HML,RMW,CMA,RF
2023,RMW,-0.34,-0.4,0.22,1.0,0.31,0.0
2023,CMA,-0.45,0.08,0.62,0.31,1.0,0.13
2023,RF,-0.01,0.06,0.22,0.0,0.13,1.0
2024,Mkt-RF,1.0,0.52,-0.11,-0.35,-0.42,
2024,SMB,0.52,1.0,0.03,-0.55,0.05,
2024,HML,-0.11,0.03,1.0,0.42,0.53,
2024,RMW,-0.35,-0.55,0.42,1.0,0.17,
2024,CMA,-0.42,0.05,0.53,0.17,1.0,
2024,RF,,,,,,

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