okama.AssetList.kstest

AssetList.kstest(distr='norm')

Perform Kolmogorov-Smirnov test for goodness of fit the asset returns to a given distribution.

Kolmogorov-Smirnov is a test of the distribution of assets returns historical data against a given distribution. Under the null hypothesis (H0), the two distributions are identical.

Parameters:

distr{‘norm’, ‘lognorm’, ‘t’}, default ‘norm’

Distribution type for the rate of return of portfolio. ‘norm’ - for normal distribution. ‘lognorm’ - for lognormal distribution. ‘t’ - for Student’s T distribution.

Returns:

DataFrame

Returns test statistic and the p-value for the hypothesis test. Large test statistics and tiny p-value indicate that null hypothesis (H0) is rejected.

Examples

>>> al = ok.AssetList(['EDV.US'], last_date='2021-01')
>>> al.kstest(distr='lognorm')
             EDV.US
p-value    0.402179
statistic  0.070246

H0 is not rejected for EDV ETF and it seems to have lognormal distribution.