added another test

.github/workflows/ci.yml

@@ -11,7 +11,7 @@ jobs:
     runs-on: ubuntu-latest
     strategy:
       matrix:
-        python-version: [3.8, 3.9, "3.10", "3.11"]
+        python-version: [3.7, 3.8, 3.9, "3.10", "3.11", "3.12"]
 
     steps:
       - uses: actions/checkout@v2
@@ -24,6 +24,7 @@ jobs:
           python -m pip install --upgrade pip
           pip install flake8 pytest cython numpy setuptools pandas scikit-learn requests numba
           pip install matplotlib plotly quandl arch scipy statsmodels seaborn pandas_datareader
+          pip install yfinance
           python setup.py build_ext --inplace
           # if [ -f requirements.txt ]; then pip install -r requirements.txt; fi
       - name: Lint with flake8

.github/workflows/python-publish.yml

@@ -42,7 +42,7 @@ jobs:
     strategy:
       matrix:
         os: [windows-latest, macos-latest]
-        python-version: [3.7, 3.8, 3.9, "3.10"]
+        python-version: [3.7, 3.8, 3.9, "3.10", "3.11", "3.12"]
     steps:
       - uses: actions/checkout@v2
       - name: Set up Python

pytest/data/tradeStats.json

@@ -0,0 +1 @@
+{"CumReturn":[0.0699],"Ret.Ann":[0.0057],"SD.Ann":[0.2214],"Sharpe":[0.0256],"Omega":[0.0257],"%.Win":[0.5372],"%.InMrkt":[0.9967],"DD.Length":[1657],"DD.Max":[-0.5519]}

pytest/test_risktools.py

@@ -6,6 +6,7 @@
 import sys
 import plotly.graph_objects as go
 import time
+import yfinance as yf
 
 sys.path.append(os.path.dirname(os.path.realpath(__file__)) + "/../src/")
 
@@ -151,41 +152,42 @@ def test_bond():
 
 
 def test_trade_stats():
-    pass
+
     # df = data.DataReader(["SPY", "AAPL"], "yahoo", "2000-01-01", "2012-01-01")
-    # df = df.pct_change()
-    # df = df.asfreq("B")
-
-    # ou = rt.trade_stats(df[("Adj Close", "SPY")])
-    # ts = _load_json("tradeStats.json")
-
-    # assert round(ou["cum_ret"], 4) == round(
-    #     ts["CumReturn"][0], 4
-    # ), "tradeStats Test cum_ret failed"
-    # assert round(ou["ret_ann"], 4) == round(
-    #     ts["Ret_Ann"][0], 4
-    # ), "tradeStats Test ret_ann failed"
-    # assert round(ou["sd_ann"], 4) == round(
-    #     ts["SD_Ann"][0], 4
-    # ), "tradeStats Test sd_ann failed"
-    # assert round(ou["omega"], 4) == round(
-    #     ts["Omega"][0], 4
-    # ), "tradeStats Test omega failed"
-    # assert round(ou["sharpe"], 4) == round(
-    #     ts["Sharpe"][0], 4
-    # ), "tradeStats Test sharpe failed"
-    # assert round(ou["perc_win"], 4) == round(
-    #     ts["%_Win"][0], 4
-    # ), "tradeStats Test perc_win failed"
-    # assert round(ou["perc_in_mkt"], 4) == round(
-    #     ts["%_InMrkt"][0], 4
-    # ), "tradeStats Test perc_in_mkt failed"
-    # assert round(ou["dd_length"], 4) == round(
-    #     ts["DD_Length"][0], 4
-    # ), "tradeStats Test dd_length failed"
-    # assert round(ou["dd_max"], 4) == round(
-    #     ts["DD_Max"][0], 4
-    # ), "tradeStats Test dd_max failed"
+    df = yf.download(["SPY", "AAPL"], start="2000-01-01", end="2012-01-01")
+    df = df.pct_change()
+    df = df.asfreq("B")
+
+    ou = rt.trade_stats(df[("Adj Close", "SPY")])
+    ts = _load_json("./data/tradeStats.json")
+
+    assert round(ou["cum_ret"], 4) == round(
+        ts["CumReturn"][0], 4
+    ), "tradeStats Test cum_ret failed"
+    assert round(ou["ret_ann"], 4) == round(
+        ts["Ret_Ann"][0], 4
+    ), "tradeStats Test ret_ann failed"
+    assert round(ou["sd_ann"], 4) == round(
+        ts["SD_Ann"][0], 4
+    ), "tradeStats Test sd_ann failed"
+    assert round(ou["omega"], 4) == round(
+        ts["Omega"][0], 4
+    ), "tradeStats Test omega failed"
+    assert round(ou["sharpe"], 4) == round(
+        ts["Sharpe"][0], 4
+    ), "tradeStats Test sharpe failed"
+    assert round(ou["perc_win"], 4) == round(
+        ts["%_Win"][0], 4
+    ), "tradeStats Test perc_win failed"
+    assert round(ou["perc_in_mkt"], 4) == round(
+        ts["%_InMrkt"][0], 4
+    ), "tradeStats Test perc_in_mkt failed"
+    assert round(ou["dd_length"], 4) == round(
+        ts["DD_Length"][0], 4
+    ), "tradeStats Test dd_length failed"
+    assert round(ou["dd_max"], 4) == round(
+        ts["DD_Max"][0], 4
+    ), "tradeStats Test dd_max failed"
 
 
 def test_returns():

src/risktools/_main_functions.py

@@ -208,7 +208,7 @@ def trade_stats(R, Rf=0):
         r = _pd.DataFrame({"trade_stats": r})
         series_flag = True
 
-    for lab, con in r.iteritems():
+    for lab, con in r.items():
         rs[lab] = dict()
         y = find_drawdowns(con)
         rs[lab]["cum_ret"] = return_cumulative(con, geometric=True)