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Strengthen proxy factor builder tests

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Gahow Wang
2026-04-07 16:28:00 +08:00
parent 7e44ece569
commit 7afc60dfcb
1 changed files with 38 additions and 4 deletions
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42
tests/test_factor_attribution.py
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@@ -337,26 +337,60 @@ class LocalFactorConstructionTests(unittest.TestCase):
prices = self._make_price_frame(benchmark="000300.SS")
mutated = prices.copy()
future_start = prices.index[280]
mutated.loc[future_start:, "C"] = mutated.loc[future_start:, "C"] * 0.35
mutated.loc[future_start:, "D"] = mutated.loc[future_start:, "D"] * 1.6
mutated.loc[future_start:, "000300.SS"] = mutated.loc[future_start:, "000300.SS"] * 1.4
original = build_proxy_core_factors(prices, benchmark="000300.SS", market="cn")
changed = build_proxy_core_factors(mutated, benchmark="000300.SS", market="cn")
comparison_end = prices.index[279]
pd.testing.assert_frame_equal(original.loc[:comparison_end], changed.loc[:comparison_end])
pd.testing.assert_series_equal(
original["SMB_PROXY"],
changed["SMB_PROXY"],
check_names=False,
)
pd.testing.assert_series_equal(
original["HML_PROXY"],
changed["HML_PROXY"],
check_names=False,
)
pd.testing.assert_series_equal(
original["RMW_PROXY"],
changed["RMW_PROXY"],
check_names=False,
)
pd.testing.assert_series_equal(
original["CMA_PROXY"],
changed["CMA_PROXY"],
check_names=False,
)
self.assertGreater(
(original.loc[future_start:] - changed.loc[future_start:]).abs().sum().sum(),
(original.loc[future_start:, "MKT"] - changed.loc[future_start:, "MKT"]).abs().sum(),
0.0,
)
def test_build_proxy_core_factors_falls_back_to_equal_weight_market_when_benchmark_missing(self):
prices = self._make_price_frame(benchmark="CN_BENCH").drop(columns=["CN_BENCH"])
prices_with_benchmark = self._make_price_frame(benchmark="CN_BENCH")
prices = prices_with_benchmark.drop(columns=["CN_BENCH"])
factors = build_proxy_core_factors(prices, benchmark="000300.SS", market="cn")
reference = build_proxy_core_factors(prices_with_benchmark, benchmark="CN_BENCH", market="cn")
expected_market = prices.pct_change().mean(axis=1)
pd.testing.assert_series_equal(factors["MKT"], expected_market, check_names=False)
self.assertListEqual(
list(factors.columns),
["MKT", "SMB_PROXY", "HML_PROXY", "RMW_PROXY", "CMA_PROXY"],
)
self.assertTrue(factors.iloc[260:][["SMB_PROXY", "HML_PROXY", "RMW_PROXY", "CMA_PROXY"]].notna().all().all())
self.assertGreater(
factors.iloc[260:][["SMB_PROXY", "HML_PROXY", "RMW_PROXY", "CMA_PROXY"]].abs().sum().sum(),
0.0,
)
pd.testing.assert_frame_equal(
factors[["SMB_PROXY", "HML_PROXY", "RMW_PROXY", "CMA_PROXY"]],
reference[["SMB_PROXY", "HML_PROXY", "RMW_PROXY", "CMA_PROXY"]],
)
def _make_price_frame(self, benchmark: str) -> pd.DataFrame:
dates = pd.date_range("2025-01-01", periods=320, freq="B")