def testLongShortEqualAmount(self):
position_trackerXYZ = returns.PositionTracker()
position_trackerXYZ.buy(11, 10)
position_trackerXYZ.sell(11, 30)
self.assertTrue(position_trackerXYZ.get_cost() == 11 * 10)
self.assertTrue(
position_trackerXYZ.get_net_profit(
PosTrackerTestCase.invalid_price) == 20 * 11)
self.assertTrue(
position_trackerXYZ.get_return(PosTrackerTestCase.invalid_price) ==
2)
position_trackerABC = returns.PositionTracker()
position_trackerABC.sell(100, 1.1)
position_trackerABC.buy(100, 1)
self.assertTrue(position_trackerABC.get_cost() == 100 * 1.1)
self.assertTrue(
round(
position_trackerABC.get_net_profit(
PosTrackerTestCase.invalid_price), 2) == 100 * 0.1)
self.assertEqual(
round(
position_trackerABC.get_return(
PosTrackerTestCase.invalid_price), 2), 0.09)
combinedCost = position_trackerXYZ.get_cost(
) + position_trackerABC.get_cost()
combinedPL = position_trackerXYZ.get_net_profit(
PosTrackerTestCase.invalid_price
) + position_trackerABC.get_net_profit(
PosTrackerTestCase.invalid_price)
combinedReturn = combinedPL / float(combinedCost)
self.assertTrue(round(combinedReturn, 9) == 1.045454545)
def __on_order_update(self, broker_, order):
# Only interested in filled orders.
if not order.is_filled():
return
# Get or create the tracker for this symbol.
try:
position_tracker = self.__position_trackers[order.get_symbol()]
except KeyError:
position_tracker = returns.PositionTracker()
self.__position_trackers[order.get_symbol()] = position_tracker
# Update the tracker for this order.
price = order.get_execution_info().get_price()
commission = order.get_execution_info().get_commission()
action = order.get_action()
if action in [
broker.Order.Action.BUY, broker.Order.Action.BUY_TO_COVER
]:
quantity = order.get_execution_info().get_quantity()
elif action in [
broker.Order.Action.SELL, broker.Order.Action.SELL_SHORT
]:
quantity = order.get_execution_info().get_quantity() * -1
else: # Unknown action
assert (False)
self.__update_position_tracker(position_tracker, price, commission,
quantity)
def testBuyUpdateAndSell(self):
position_tracker = returns.PositionTracker()
position_tracker.buy(1, 10)
self.assertTrue(position_tracker.get_cost() == 10)
self.assertTrue(position_tracker.get_net_profit(15) == 5)
self.assertTrue(position_tracker.get_return(15) == 0.5)
position_tracker.update(15)
self.assertTrue(position_tracker.get_cost() == 15)
position_tracker.sell(1, 20)
self.assertTrue(position_tracker.get_cost() == 15)
self.assertTrue(
position_tracker.get_net_profit(PosTrackerTestCase.invalid_price)
== 5)
self.assertTrue(
round(
position_tracker.get_return(PosTrackerTestCase.invalid_price),
2) == 0.33)
position_tracker.update(100)
self.assertTrue(position_tracker.get_cost() == 0)
self.assertTrue(
position_tracker.get_net_profit(PosTrackerTestCase.invalid_price)
== 0)
self.assertTrue(
position_tracker.get_return(PosTrackerTestCase.invalid_price) == 0)
def testBuyAndSellBreakEven(self):
position_tracker = returns.PositionTracker()
position_tracker.buy(1, 10)
position_tracker.sell(1, 10)
self.assertTrue(position_tracker.get_cost() == 10)
self.assertTrue(
position_tracker.get_net_profit(PosTrackerTestCase.invalid_price)
== 0)
self.assertTrue(
position_tracker.get_return(PosTrackerTestCase.invalid_price) == 0)
def testSellAndBuyWin(self):
position_tracker = returns.PositionTracker()
position_tracker.sell(1, 11)
position_tracker.buy(1, 10)
self.assertTrue(position_tracker.get_cost() == 11)
self.assertTrue(
position_tracker.get_net_profit(PosTrackerTestCase.invalid_price)
== 1)
self.assertTrue(
round(
position_tracker.get_return(PosTrackerTestCase.invalid_price),
4) == round(0.090909091, 4))
def testBuyAndUpdate(self):
position_tracker = returns.PositionTracker()
position_tracker.buy(1, 10)
self.assertTrue(position_tracker.get_cost() == 10)
self.assertTrue(position_tracker.get_net_profit(20) == 10)
self.assertTrue(position_tracker.get_return(20) == 1)
position_tracker.update(15)
self.assertTrue(position_tracker.get_cost() == 15)
self.assertTrue(position_tracker.get_net_profit(15) == 0)
self.assertTrue(position_tracker.get_return(15) == 0)
self.assertTrue(position_tracker.get_net_profit(20) == 5)
self.assertTrue(round(position_tracker.get_return(20), 2) == 0.33)
def testBuySellBuy(self):
position_tracker = returns.PositionTracker()
position_tracker.buy(1, 10)
self.assertTrue(position_tracker.get_cost() == 10)
position_tracker.sell(2, 13) # Short selling 1 @ $13
self.assertTrue(position_tracker.get_cost() == 10 + 13)
position_tracker.buy(1, 10)
self.assertTrue(position_tracker.get_cost() == 10 + 13)
self.assertTrue(
position_tracker.get_net_profit(PosTrackerTestCase.invalid_price)
== 6)
self.assertTrue(
round(
position_tracker.get_return(PosTrackerTestCase.invalid_price),
4) == round(0.260869565, 4))
def testBuyAndSellBreakEvenWithCommision(self):
position_tracker = returns.PositionTracker()
position_tracker.buy(1, 10, 0.5)
position_tracker.sell(1, 11, 0.5)
self.assertTrue(position_tracker.get_cost() == 10)
self.assertTrue(
position_tracker.get_net_profit(PosTrackerTestCase.invalid_price,
False) == 1)
self.assertTrue(
position_tracker.get_return(PosTrackerTestCase.invalid_price,
False) == 0.1)
self.assertTrue(
position_tracker.get_net_profit(PosTrackerTestCase.invalid_price,
True) == 0)
self.assertTrue(
position_tracker.get_return(PosTrackerTestCase.invalid_price, True)
== 0)
def testBuyAndSellBreakEvenWithCommission(self):
position_tracker = returns.PositionTracker()
position_tracker.buy(1, 10, 0.01)
position_tracker.sell(1, 10.02, 0.01)
self.assertTrue(position_tracker.get_cost() == 10)
# We need to round here or else the testcase fails since the value returned is not exactly 0.<
# The same issue can be reproduced with this piece of code:
# a = 10.02 - 10
# b = 0.02
# print a - b
# print a - b == 0
self.assertTrue(
round(
position_tracker.get_net_profit(
PosTrackerTestCase.invalid_price), 2) == 0.0)
self.assertTrue(
round(
position_tracker.get_return(PosTrackerTestCase.invalid_price),
2) == 0.0)
def testSellAndBuyMultipleEvals(self):
position_tracker = returns.PositionTracker()
position_tracker.sell(2, 11)
self.assertTrue(position_tracker.get_cost() == 22)
self.assertTrue(position_tracker.get_net_profit(11) == 0)
self.assertTrue(position_tracker.get_return(11) == 0)
position_tracker.buy(1, 10)
self.assertTrue(position_tracker.get_cost() == 22)
self.assertTrue(position_tracker.get_net_profit(11) == 1)
self.assertTrue(
round(position_tracker.get_return(11), 4) == round(0.045454545, 4))
position_tracker.buy(1, 10)
self.assertTrue(position_tracker.get_cost() == 22)
self.assertTrue(
position_tracker.get_net_profit(PosTrackerTestCase.invalid_price)
== 2)
self.assertTrue(
round(
position_tracker.get_return(PosTrackerTestCase.invalid_price),
4) == round(0.090909091, 4))
def testBuyAndSellMultipleEvals(self):
position_tracker = returns.PositionTracker()
position_tracker.buy(2, 10)
self.assertTrue(position_tracker.get_cost() == 20)
self.assertTrue(position_tracker.get_net_profit(10) == 0)
self.assertTrue(position_tracker.get_return(10) == 0)
self.assertTrue(position_tracker.get_net_profit(11) == 2)
self.assertTrue(position_tracker.get_return(11) == 0.1)
self.assertTrue(position_tracker.get_net_profit(20) == 20)
self.assertTrue(position_tracker.get_return(20) == 1)
position_tracker.sell(1, 11)
self.assertTrue(position_tracker.get_cost() == 20)
self.assertTrue(position_tracker.get_net_profit(11) == 2)
self.assertTrue(position_tracker.get_return(11) == 0.1)
position_tracker.sell(1, 10)
self.assertTrue(position_tracker.get_cost() == 20)
self.assertTrue(
position_tracker.get_net_profit(PosTrackerTestCase.invalid_price)
== 1)
self.assertTrue(position_tracker.get_return(11) == 0.05)
