gahow/quant
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Restore summary schema for proxy attribution

Browse Source
This commit is contained in:
Gahow Wang
2026-04-07 17:25:10 +08:00
parent 69a03f52d9
commit 82a3e63c2b
2 changed files with 58 additions and 40 deletions
Download Patch File Download Diff File Expand all files Collapse all files

34
tests/test_factor_attribution.py
View File

@@ -655,10 +655,6 @@ class AttributionIntegrationTests(unittest.TestCase):
"beta_hml",
"beta_rmw",
"beta_cma",
"beta_smb_proxy",
"beta_hml_proxy",
"beta_rmw_proxy",
"beta_cma_proxy",
"beta_mom",
"beta_lowvol",
"beta_recovery",
@@ -671,7 +667,6 @@ class AttributionIntegrationTests(unittest.TestCase):
self.assertAlmostEqual(summary.loc[0, "beta_mkt"], 1.10, places=3)
self.assertAlmostEqual(summary.loc[0, "beta_smb"], -0.25, places=3)
self.assertAlmostEqual(summary.loc[0, "beta_hml"], 0.35, places=3)
self.assertTrue(np.isnan(summary.loc[0, "beta_smb_proxy"]))
self.assertTrue(np.isnan(summary.loc[0, "beta_mom"]))
self.assertListEqual(
@@ -709,14 +704,14 @@ class AttributionIntegrationTests(unittest.TestCase):
self.assertEqual(summary.loc[0, "model"], "proxy")
self.assertEqual(summary.loc[0, "factor_source"], "proxy_only")
self.assertTrue(bool(summary.loc[0, "proxy_only"]))
self.assertIn("beta_smb_proxy", summary.columns)
self.assertIn("beta_hml_proxy", summary.columns)
self.assertIn("beta_rmw_proxy", summary.columns)
self.assertIn("beta_cma_proxy", summary.columns)
self.assertTrue(np.isnan(summary.loc[0, "beta_smb"]))
self.assertTrue(np.isnan(summary.loc[0, "beta_hml"]))
self.assertTrue(np.isnan(summary.loc[0, "beta_rmw"]))
self.assertTrue(np.isnan(summary.loc[0, "beta_cma"]))
self.assertNotIn("beta_smb_proxy", summary.columns)
self.assertNotIn("beta_hml_proxy", summary.columns)
self.assertNotIn("beta_rmw_proxy", summary.columns)
self.assertNotIn("beta_cma_proxy", summary.columns)
self.assertFalse(np.isnan(summary.loc[0, "beta_smb"]))
self.assertFalse(np.isnan(summary.loc[0, "beta_hml"]))
self.assertFalse(np.isnan(summary.loc[0, "beta_rmw"]))
self.assertFalse(np.isnan(summary.loc[0, "beta_cma"]))
self.assertEqual(
set(loadings["factor"]),
{"MKT", "SMB_PROXY", "HML_PROXY", "RMW_PROXY", "CMA_PROXY", "MOM", "LOWVOL", "RECOVERY"},
@@ -818,14 +813,10 @@ class AttributionIntegrationTests(unittest.TestCase):
"adj_r_squared": 0.70,
"residual_vol_ann": 0.14,
"beta_mkt": 0.85,
"beta_smb": np.nan,
"beta_hml": np.nan,
"beta_rmw": np.nan,
"beta_cma": np.nan,
"beta_smb_proxy": -0.30,
"beta_hml_proxy": 0.25,
"beta_rmw_proxy": 0.10,
"beta_cma_proxy": -0.05,
"beta_smb": -0.30,
"beta_hml": 0.25,
"beta_rmw": 0.10,
"beta_cma": -0.05,
"beta_mom": 0.20,
"beta_lowvol": np.nan,
"beta_recovery": np.nan,
@@ -841,6 +832,7 @@ class AttributionIntegrationTests(unittest.TestCase):
self.assertIn("beta_smb_proxy", output)
self.assertIn("beta_hml_proxy", output)
self.assertIn("SMB_PROXY", output)
self.assertNotIn(" beta_smb ", output)
def _make_price_frame(self, dates: pd.DatetimeIndex, benchmark: str) -> pd.DataFrame:
steps = np.arange(len(dates), dtype=float)