first version

internal/features/returns_test.go

@@ -0,0 +1,38 @@
+package features
+
+import (
+	"math"
+	"testing"
+
+	"github.com/shopspring/decimal"
+)
+
+func dec(raw string) decimal.Decimal {
+	v, err := decimal.NewFromString(raw)
+	if err != nil {
+		panic(err)
+	}
+	return v
+}
+
+func TestReturnsAndLogIdentity(t *testing.T) {
+	rOn, err := OvernightReturn(dec("102"), dec("100"))
+	if err != nil {
+		t.Fatal(err)
+	}
+	if !rOn.Equal(dec("0.02")) {
+		t.Fatalf("overnight return=%s", rOn)
+	}
+	rDay, err := IntradayReturn(dec("105"), dec("102"))
+	if err != nil {
+		t.Fatal(err)
+	}
+	if !rDay.Round(10).Equal(dec("0.0294117647")) {
+		t.Fatalf("intraday return=%s", rDay)
+	}
+	linear := CumulativeLinear([]decimal.Decimal{dec("0.01"), dec("-0.02"), dec("0.03")})
+	logs := []float64{math.Log(1.01), math.Log(0.98), math.Log(1.03)}
+	if math.Abs(linear.InexactFloat64()-CumulativeLog(logs)) > 1e-10 {
+		t.Fatalf("linear/log cumulative mismatch")
+	}
+}