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Dr.李
alpha-mind
Commits
3946e0ad
Unverified
Commit
3946e0ad
authored
Jul 26, 2018
by
iLampard
Committed by
GitHub
Jul 26, 2018
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Merge pull request #2 from alpha-miner/master
merge update
parents
ed3131b1
1857b5d7
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test_linearbuild.py
alphamind/tests/portfolio/test_linearbuild.py
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alphamind/tests/portfolio/test_linearbuild.py
View file @
3946e0ad
...
...
@@ -79,7 +79,7 @@ class TestLinearBuild(unittest.TestCase):
self
.
assertTrue
(
np
.
all
(
w
>=
-
eplson
))
calc_risk
=
(
w
-
bm
)
@
self
.
risk_exp
/
np
.
abs
(
bm
@
self
.
risk_exp
)
self
.
assertTrue
(
np
.
all
(
np
.
abs
(
calc_risk
)
<=
1.0
00
1e-2
))
self
.
assertTrue
(
np
.
all
(
np
.
abs
(
calc_risk
)
<=
1.01e-2
))
def
test_linear_build_with_to_constraint
(
self
):
bm
=
self
.
bm
/
self
.
bm
.
sum
()
...
...
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