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MC1-Project-1-Test-Cases-spr2016 - Revision history
2026-04-15T03:56:59Z
Revision history for this page on the wiki
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http://quantsoftware.gatech.edu/index.php?title=MC1-Project-1-Test-Cases-spr2016&diff=945&oldid=prev
Bhrolenok3: Created page with " <pre> portfolio_test_cases = [ PortfolioTestCase( inputs=dict( start_date='2010-01-01', end_date='2010-12-31', symbol_all..."
2016-02-02T22:08:20Z
<p>Created page with " <pre> portfolio_test_cases = [ PortfolioTestCase( inputs=dict( start_date='2010-01-01', end_date='2010-12-31', symbol_all..."</p>
<p><b>New page</b></p><div><br />
<pre><br />
portfolio_test_cases = [<br />
<br />
PortfolioTestCase(<br />
<br />
inputs=dict(<br />
<br />
start_date='2010-01-01',<br />
<br />
end_date='2010-12-31',<br />
<br />
symbol_allocs=OrderedDict([('GOOG', 0.2), ('AAPL', 0.3), ('GLD', 0.4), ('XOM', 0.1)]),<br />
<br />
start_val=1000000),<br />
<br />
outputs=dict(<br />
<br />
cum_ret=0.255646784534,<br />
<br />
avg_daily_ret=0.000957366234238,<br />
<br />
sharpe_ratio=1.51819243641),<br />
<br />
description="Wiki example 1"<br />
<br />
),<br />
<br />
PortfolioTestCase(<br />
<br />
inputs=dict(<br />
<br />
start_date='2010-01-01',<br />
<br />
end_date='2010-12-31',<br />
<br />
symbol_allocs=OrderedDict([('AXP', 0.0), ('HPQ', 0.0), ('IBM', 0.0), ('HNZ', 1.0)]),<br />
<br />
start_val=1000000),<br />
<br />
outputs=dict(<br />
<br />
cum_ret=0.198105963655,<br />
<br />
avg_daily_ret=0.000763106152672,<br />
<br />
sharpe_ratio=1.30798398744),<br />
<br />
description="Wiki example 2"<br />
<br />
),<br />
<br />
PortfolioTestCase(<br />
<br />
inputs=dict(<br />
<br />
start_date='2010-06-01',<br />
<br />
end_date='2010-12-31',<br />
<br />
symbol_allocs=OrderedDict([('GOOG', 0.2), ('AAPL', 0.3), ('GLD', 0.4), ('XOM', 0.1)]),<br />
<br />
start_val=1000000),<br />
<br />
outputs=dict(<br />
<br />
cum_ret=0.205113938792,<br />
<br />
avg_daily_ret=0.00129586924366,<br />
<br />
sharpe_ratio=2.21259766672),<br />
<br />
description="Wiki example 3: Six month range"<br />
<br />
),<br />
<br />
PortfolioTestCase(<br />
<br />
inputs=dict(<br />
<br />
start_date='2010-01-01',<br />
<br />
end_date='2010-12-31',<br />
<br />
symbol_allocs=OrderedDict([('GOOG', 0.2), ('AAPL', 0.4), ('GLD', 0.2), ('XOM', 0.2)]),<br />
<br />
start_val=1000000),<br />
<br />
outputs=dict(<br />
<br />
cum_ret=0.262285147745,<br />
<br />
avg_daily_ret=0.000993303139465,<br />
<br />
sharpe_ratio=1.3812384175),<br />
<br />
description="Wiki example 1 with different allocations"<br />
<br />
),<br />
<br />
PortfolioTestCase(<br />
<br />
inputs=dict(<br />
<br />
start_date='2010-01-01',<br />
<br />
end_date='2013-05-31',<br />
<br />
symbol_allocs=OrderedDict([('AXP', 0.3), ('HPQ', 0.5), ('IBM', 0.1), ('GOOG', 0.1)]),<br />
<br />
start_val=1000000),<br />
<br />
outputs=dict(<br />
<br />
cum_ret=-0.110888530433,<br />
<br />
avg_daily_ret=-6.50814806831e-05,<br />
<br />
sharpe_ratio=-0.0704694718385),<br />
<br />
description="Normalization check"<br />
<br />
),<br />
<br />
PortfolioTestCase(<br />
<br />
inputs=dict(<br />
<br />
start_date='2010-01-01',<br />
<br />
end_date='2010-01-31',<br />
<br />
symbol_allocs=OrderedDict([('AXP', 0.9), ('HPQ', 0.0), ('IBM', 0.1), ('GOOG', 0.0)]),<br />
<br />
start_val=1000000),<br />
<br />
outputs=dict(<br />
<br />
cum_ret=-0.0758725033871,<br />
<br />
avg_daily_ret=-0.00411578300489,<br />
<br />
sharpe_ratio=-2.84503813366),<br />
<br />
description="One month range"<br />
<br />
),<br />
<br />
PortfolioTestCase(<br />
<br />
inputs=dict(<br />
<br />
start_date='2011-01-01',<br />
<br />
end_date='2011-12-31',<br />
<br />
symbol_allocs=OrderedDict([('WFR', 0.25), ('ANR', 0.25), ('MWW', 0.25), ('FSLR', 0.25)]),<br />
<br />
start_val=1000000),<br />
<br />
outputs=dict(<br />
<br />
cum_ret=-0.686004563165,<br />
<br />
avg_daily_ret=-0.00405018240566,<br />
<br />
sharpe_ratio=-1.93664660013),<br />
<br />
description="Low Sharpe ratio"<br />
<br />
),<br />
<br />
PortfolioTestCase(<br />
<br />
inputs=dict(<br />
<br />
start_date='2010-01-01',<br />
<br />
end_date='2010-12-31',<br />
<br />
symbol_allocs=OrderedDict([('AXP', 0.0), ('HPQ', 1.0), ('IBM', 0.0), ('HNZ', 0.0)]),<br />
<br />
start_val=1000000),<br />
<br />
outputs=dict(<br />
<br />
cum_ret=-0.191620333598,<br />
<br />
avg_daily_ret=-0.000718040989619,<br />
<br />
sharpe_ratio=-0.71237182415),<br />
<br />
description="All your eggs in one basket"<br />
<br />
),<br />
<br />
PortfolioTestCase(<br />
<br />
inputs=dict(<br />
<br />
start_date='2010-06-01',<br />
<br />
end_date='2011-06-01',<br />
<br />
symbol_allocs=OrderedDict([('AAPL', 0.1), ('GLD', 0.4), ('GOOG', 0.5), ('XOM', 0.0)]),<br />
<br />
start_val=1000000),<br />
<br />
outputs=dict(<br />
<br />
cum_ret=0.177352039318,<br />
<br />
avg_daily_ret= 0.000694756409052,<br />
<br />
sharpe_ratio=1.10895144722),<br />
<br />
description="Mid-2010 to mid-2011"<br />
<br />
),<br />
<br />
PortfolioTestCase(<br />
<br />
inputs=dict(<br />
<br />
start_date='2006-01-03',<br />
<br />
end_date='2008-01-02',<br />
<br />
symbol_allocs=OrderedDict([('MMM', 0.0), ('MO', 0.9), ('MSFT', 0.1), ('INTC', 0.0)]),<br />
<br />
start_val=1000000),<br />
<br />
outputs=dict(<br />
<br />
cum_ret=0.43732715979,<br />
<br />
avg_daily_ret=0.00076948918955,<br />
<br />
sharpe_ratio=1.26449481371),<br />
<br />
description="Two year range"<br />
<br />
)<br />
<br />
]<br />
</pre></div>
Bhrolenok3