def testClenowTradeStart(self):
mf = MultiFeed()
self.setupFeed(mf)
strat = ClenowBreakoutStrategy(mf,
tradeStart=datetime.datetime(
2012, 8, 11))
# Attach a few analyzers to the strategy before executing it.
retAnalyzer = returns.Returns()
strat.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
strat.attachAnalyzer(tradesAnalyzer)
mf.start()
strat.exitPositions()
strat.getBroker().executeSessionClose()
tlog = '%s/trade3.log' % os.path.dirname(__file__)
tradesAnalyzer.writeTradeLog(tlog)
self.assertAlmostEqual(strat.getResult(), 986794.67, places=2)
self.assertEqual(tradesAnalyzer.getCount(), 5)
self.assertEqual(tradesAnalyzer.getProfitableCount(), 1)
self.assertEqual(tradesAnalyzer.getUnprofitableCount(), 4)
self.assertTrue(
test_util.file_compare(
'%s/trade3.reflog' % os.path.dirname(__file__), tlog))
os.remove(tlog)
def testMacross(self):
mf = MultiFeed()
self.setupFeed(mf)
strat = MACrossStrategy(mf,shortPeriod=10,longPeriod=100)
# Attach a few analyzers to the strategy before executing it.
retAnalyzer = returns.Returns()
strat.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
strat.attachAnalyzer(tradesAnalyzer)
mf.start()
strat.exitPositions()
tlog = '%s/trade5.log' % os.path.dirname(__file__)
tradesAnalyzer.writeTradeLog(tlog)
self.assertAlmostEqual(strat.getResult(),992595.00,places=2)
self.assertEqual(tradesAnalyzer.getCount(),10)
self.assertEqual(tradesAnalyzer.getProfitableCount(),4)
self.assertEqual(tradesAnalyzer.getUnprofitableCount(),6)
self.assertTrue(test_util.file_compare('%s/trade5.reflog' % os.path.dirname(__file__), tlog))
os.remove(tlog)
def testBasic(self):
mf = MultiFeed()
mf.register_feed(self._feed)
strat = MyStrategy(mf)
# Attach a few analyzers to the strategy before executing it.
retAnalyzer = returns.Returns()
strat.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
strat.attachAnalyzer(tradesAnalyzer)
mf.start()
strat.exitPositions()
self.assertAlmostEqual(strat.getResult(), 996193.19, places=2)
self.assertEqual(tradesAnalyzer.getCount(), 2)
self.assertEqual(tradesAnalyzer.getProfitableCount(), 0)
self.assertEqual(tradesAnalyzer.getUnprofitableCount(), 2)
tlog = '%s/trade.log' % os.path.dirname(__file__)
tradesAnalyzer.writeTradeLog(tlog)
self.assertTrue(
test_util.file_compare(
'%s/trade1.reflog' % os.path.dirname(__file__), tlog))
os.remove(tlog)
def __init__(self, strategy):
self._strategy = strategy
# Attach analyzers to the strategy
self._retAnalyzer = returns.Returns()
self._strategy.attachAnalyzer(self._retAnalyzer)
self._sharpeRatioAnalyzer = sharpe.SharpeRatio()
self._strategy.attachAnalyzer(self._sharpeRatioAnalyzer)
self._drawDownAnalyzer = drawdown.DrawDown()
self._strategy.attachAnalyzer(self._drawDownAnalyzer)
self._tradesAnalyzer = trades.Trades()
self._strategy.attachAnalyzer(self._tradesAnalyzer)
def testBasic(self):
mf = MultiFeed()
mf.register_feed(self._feed)
strat = MyStrategy(mf)
# Attach a few analyzers to the strategy before executing it.
retAnalyzer = returns.Returns()
strat.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
strat.attachAnalyzer(tradesAnalyzer)
mf.start()
self.assertAlmostEqual(strat.getResult(), 1007071.67, places=2)
self.assertEqual(tradesAnalyzer.getCount(), 1)
self.assertEqual(tradesAnalyzer.getProfitableCount(), 1)
self.assertEqual(tradesAnalyzer.getUnprofitableCount(), 0)