gh now tests also against old packages (~2021)

cvxgrp · Sep 2, 2023 · 8fa6038 · 8fa6038
1 parent 677b579
commit 8fa6038
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Showing 3 changed files with 14 additions and 8 deletions.
diff --git a/.github/workflows/test.yml b/.github/workflows/test.yml
@@ -24,17 +24,22 @@ jobs:
 
 # rationale: we test against an environment which had 
 # current packages as of ~ Q4 2022 for python 3.10
-# and ~ Q4 2021 for python 3.9
+# and ~ Q4 2021 for python 3.9 (with the exception of pandas,
+# for which we use a mid-2022 package).
 # we only install the base packages here (pip below figures out the others)
 
-      - name: If running on old python install some old dependencies
+      - name: If running on python 3.9 install some old dependencies
+        if: ${{ matrix.python-version == '3.9'}}
+        run: python -m pip install numpy==1.21.5 scipy==1.7.3 cvxpy==1.1.17 pandas==1.5.0 osqp==0.6.2.post0 ecos==2.0.11 scs==2.1.4
+
+      - name: If running on python 3.10 install some old dependencies
         if: ${{ matrix.python-version == '3.10'}}
         run: python -m pip install numpy==1.23.4 scipy==1.9.3 cvxpy==1.2.3 pandas==1.5.0 osqp==0.6.2.post9 ecos==2.0.12 scs==3.2.2
 
       - name: Install package
         run: |
-              pip install .
-              pip install coverage
+              python -m pip install .
+              python -m pip install coverage
 
       - name: Run tests with coverage
         run: |

diff --git a/cvxportfolio/simulator.py b/cvxportfolio/simulator.py
@@ -179,13 +179,14 @@ def _downsample(self, interval):
         # print(new_returns_index)
         self.returns = np.exp(np.log(
             1+self.returns).resample(interval, closed='left', label='left'
-                ).sum(False, 1))-1
+                ).sum(numeric_only=False, min_count=1))-1
         self.returns.index = new_returns_index
         if self.volumes is not None:
             new_volumes_index = pd.Series(self.volumes.index, self.volumes.index
                 ).resample(interval, closed='left', label='left').first().values
             self.volumes = self.volumes.resample(
-                interval, closed='left', label='left').sum(False, 1)
+                interval, closed='left', label='left').sum(
+                    numeric_only=False, min_count=1)
             self.volumes.index = new_volumes_index
         if self.prices is not None:
             new_prices_index = pd.Series(self.prices.index, self.prices.index

diff --git a/cvxportfolio/tests/test_simulator.py b/cvxportfolio/tests/test_simulator.py
@@ -57,7 +57,7 @@ def tearDownClass(cls):
 
     def test_market_data__downsample(self):
         "Test downsampling of market data."
-        md = MarketData(['AAPL', 'GOOG'])
+        md = MarketData(['AAPL', 'GOOG'], base_location=self.datadir)
 
         idx = md.returns.index
 
@@ -474,7 +474,7 @@ def test_backtest(self):
         print(result)
 
     def test_backtest_concatenation(self):
-        sim = cvx.MarketSimulator(['AAPL', 'ZM'])
+        sim = cvx.MarketSimulator(['AAPL', 'ZM'], base_location=self.datadir)
         pol = cvx.SinglePeriodOptimization(cvx.ReturnsForecast() -
                                            cvx.ReturnsForecastError() -
                                            .5 * cvx.FullCovariance(),