def testDividedSecurityValueHolders(self):
window1 = 10
window2 = 5
dependency1 = Factors.CLOSE
dependency2 = Factors.OPEN
ma = SecurityMovingAverage(window1, dependency1)
mm = SecurityMovingSum(window2, dependency2)
combined = ma / mm
for i in range(len(self.datas['aapl']['close'])):
data = {
'aapl': {
Factors.CLOSE: self.datas['aapl'][Factors.CLOSE][i],
Factors.OPEN: self.datas['aapl'][Factors.OPEN][i]
},
'ibm': {
Factors.CLOSE: self.datas['ibm'][Factors.CLOSE][i],
Factors.OPEN: self.datas['ibm'][Factors.OPEN][i]
}
}
ma.push(data)
mm.push(data)
combined.push(data)
expected = ma.value / mm.value
calculated = combined.value
for name in expected.index:
self.assertAlmostEqual(expected[name], calculated[name], 12)
def testSecurityMovingSum(self):
window = 10
ma1 = SecurityMovingSum(window, ['close'])
for i in range(len(self.aapl['close'])):
data = {
'aapl': {
'close': self.aapl['close'][i],
'open': self.aapl['open'][i]
}
}
data['ibm'] = {
'close': self.ibm['close'][i],
'open': self.ibm['open'][i]
}
ma1.push(data)
if i < 10:
start = 0
else:
start = i + 1 - window
value = ma1.value
for name in value.index:
expected = np.sum(self.dataSet[name]['close'][start:(i + 1)])
calculated = value[name]
self.assertAlmostEqual(
expected, calculated, 12, 'at index {0}\n'
'expected: {1:.12f}\n'
'calculated: {2:.12f}'.format(i, expected, calculated))
def testAddedSecurityValueHolderWithName(self):
window = 10
dependency = ['close']
mm = SecurityMovingSum(window, dependency)
combined = 'open' + mm
for i in range(len(self.datas['aapl']['close'])):
data = {
'aapl': {
Factors.CLOSE: self.datas['aapl'][Factors.CLOSE][i],
Factors.OPEN: self.datas['aapl'][Factors.OPEN][i]
},
'ibm': {
Factors.CLOSE: self.datas['ibm'][Factors.CLOSE][i],
Factors.OPEN: self.datas['ibm'][Factors.OPEN][i]
}
}
mm.push(data)
combined.push(data)
base = mm.value
calculated = combined.value
for name in calculated.index():
self.assertAlmostEqual(base[name] + data[name]['open'],
calculated[name], 12)
def MSUM(window, x='x', closed="right"):
if isinstance(window, int):
return SecurityMovingSum(window, x)
elif isinstance(window, str):
return SecurityTimeMovingSum(window, x, closed)
else:
raise ValueError("wrong window format <{0}>".format(window))
def testDividedSecurityValueHoldersWithScalar(self):
window = 10
dependency = 'close'
mm = SecurityMovingSum(window, dependency)
combined = 2.0 / mm
for i in range(len(self.datas['aapl']['close'])):
data = {'aapl': {Factors.CLOSE: self.datas['aapl'][Factors.CLOSE][i],
Factors.OPEN: self.datas['aapl'][Factors.OPEN][i]},
'ibm': {Factors.CLOSE: self.datas['ibm'][Factors.CLOSE][i],
Factors.OPEN: self.datas['ibm'][Factors.OPEN][i]}}
mm.push(data)
combined.push(data)
expected = 2.0 / mm.value
calculated = combined.value
for name in expected.index():
self.assertAlmostEqual(expected[name], calculated[name], 12)
def testDividedSecurityValueHoldersWithScalar(self):
window = 10
dependency = ['close']
mm = SecurityMovingSum(window, dependency, ['aapl', 'ibm'])
combined = 2.0 / mm
for i in range(len(self.datas['aapl']['close'])):
data = {'aapl': {Factors.CLOSE: self.datas['aapl'][Factors.CLOSE][i],
Factors.OPEN: self.datas['aapl'][Factors.OPEN][i]},
'ibm': {Factors.CLOSE: self.datas['ibm'][Factors.CLOSE][i],
Factors.OPEN: self.datas['ibm'][Factors.OPEN][i]}}
mm.push(data)
combined.push(data)
expected = 2.0 / mm.value
calculated = combined.value
for name in expected:
self.assertAlmostEqual(expected[name], calculated[name], 12)
def testSecurityMovingSum(self):
window = 10
ma1 = SecurityMovingSum(window, ['close'])
for i in range(len(self.aapl['close'])):
data = {'aapl': {'close': self.aapl['close'][i], 'open': self.aapl['open'][i]}}
data['ibm'] = {'close': self.ibm['close'][i], 'open': self.ibm['open'][i]}
ma1.push(data)
if i < 10:
start = 0
else:
start = i + 1 - window
value = ma1.value
for name in value.index:
expected = np.sum(self.dataSet[name]['close'][start:(i + 1)])
calculated = value[name]
self.assertAlmostEqual(expected, calculated, 12, 'at index {0}\n'
'expected: {1:.12f}\n'
'calculated: {2:.12f}'.format(i, expected, calculated))
def testDividedSecurityValueHolders(self):
window1 = 10
window2 = 5
dependency1 = Factors.CLOSE
dependency2 = Factors.OPEN
ma = SecurityMovingAverage(window1, dependency1, ['aapl', 'ibm'])
mm = SecurityMovingSum(window2, dependency2, ['aapl', 'ibm'])
combined = ma / mm
for i in range(len(self.datas['aapl']['close'])):
data = {'aapl': {Factors.CLOSE: self.datas['aapl'][Factors.CLOSE][i],
Factors.OPEN: self.datas['aapl'][Factors.OPEN][i]},
'ibm': {Factors.CLOSE: self.datas['ibm'][Factors.CLOSE][i],
Factors.OPEN: self.datas['ibm'][Factors.OPEN][i]}}
ma.push(data)
mm.push(data)
combined.push(data)
expected = ma.value / mm.value
calculated = combined.value
for name in expected:
self.assertAlmostEqual(expected[name], calculated[name], 12)
def MSUM(window, x='x'):
return SecurityMovingSum(window, x)
def MSUM(window, dependency='x'):
return SecurityMovingSum(window, dependency)
def SUM(window, dependency='x', symbolList=None):
return SecurityMovingSum(window, dependency, symbolList)
