FF5.jl (1210B)
1 @testset "Importing Fama-French 5 factors and Momentum" begin 2 3 import Dates 4 5 # FF5 monthly 6 df_FF5_monthly = import_FF5(frequency=:monthly) 7 @test names(df_FF5_monthly) == ["datem", "mktrf", "smb", "hml", "rmw", "cma", "rf"] 8 @test nrow(df_FF5_monthly) >= (Dates.year(Dates.today()) - 1963 - 1) * 12 9 10 # FF5 annual 11 df_FF5_annual = import_FF5(frequency=:annual) 12 @test names(df_FF5_annual) == ["datey", "mktrf", "smb", "hml", "rmw", "cma", "rf"] 13 @test nrow(df_FF5_annual) >= Dates.year(Dates.today()) - 1963 - 2 14 15 # FF5 daily 16 df_FF5_daily = import_FF5(frequency=:daily) 17 @test names(df_FF5_daily) == ["date", "mktrf", "smb", "hml", "rmw", "cma", "rf"] 18 @test nrow(df_FF5_daily) >= 15_000 19 20 # Momentum monthly 21 df_mom_monthly = import_FF_momentum(frequency=:monthly) 22 @test "mom" in names(df_mom_monthly) 23 @test nrow(df_mom_monthly) > 1000 24 25 # Momentum annual 26 df_mom_annual = import_FF_momentum(frequency=:annual) 27 @test "mom" in names(df_mom_annual) 28 @test nrow(df_mom_annual) > 90 29 30 # Momentum daily 31 df_mom_daily = import_FF_momentum(frequency=:daily) 32 @test "mom" in names(df_mom_daily) 33 @test nrow(df_mom_daily) > 24_000 34 35 end