def test__calculate_pl(symbol, currency_unit):
periods = 3
dates = pd.date_range(start="2018-12-01", periods=periods)
amounts = [1.0, -1.0]
t00 = tr.Transaction(timestamp=dates[0], amount=amounts[0])
t11 = tr.Transaction(timestamp=dates[1], amount=amounts[1])
t10 = tr.Transaction(timestamp=dates[1], amount=amounts[0])
t01 = tr.Transaction(timestamp=dates[0], amount=amounts[1])
t20 = tr.Transaction(timestamp=dates[2], amount=amounts[0])
mkt = backlight.datasource.from_dataframe(
pd.DataFrame(index=dates, data=[[0], [1], [2]], columns=["mid"]),
symbol,
currency_unit,
)
trade = tr.make_trade([t00, t11])
assert module._calculate_pl(trade, mkt) == 1.0
trade = tr.make_trade([t00, t01])
assert module._calculate_pl(trade, mkt) == 0.0
trade = tr.make_trade([t11, t20])
assert module._calculate_pl(trade, mkt) == -1.0
trade = tr.make_trade([t00, t10, t20])
assert module._calculate_pl(trade, mkt) == 3.0
def test_make_trade():
periods = 2
dates = pd.date_range(start="2018-12-01", periods=periods)
amounts = range(periods)
t00 = module.Transaction(timestamp=dates[0], amount=amounts[0])
t11 = module.Transaction(timestamp=dates[1], amount=amounts[1])
t01 = module.Transaction(timestamp=dates[0], amount=amounts[1])
trade = module.make_trade([t00, t11])
expected = pd.Series(index=dates, data=amounts[:2], name="amount")
pd.testing.assert_series_equal(trade, expected)
trade = module.make_trade([t00, t01])
expected = pd.Series(index=[dates[0]],
data=[amounts[0] + amounts[1]],
name="amount")
pd.testing.assert_series_equal(trade, expected)
trade = module.make_trade([t11, t01, t00])
expected = pd.Series(index=dates,
data=[amounts[0] + amounts[1], amounts[1]],
name="amount")
pd.testing.assert_series_equal(trade, expected)
def test_exit_by_trailing_stop(market, signal, entries):
symbol = "usdjpy"
data = [
[1.0], # 00:00:00
[2.0], # 00:01:00
[3.0], # 00:02:00
[4.0], # 00:03:00
[5.0], # 00:04:00
[4.0], # 00:05:00
[3.0], # 00:06:00
[2.0], # 00:07:00
[1.0], # 00:08:00
[0.0], # 00:09:00
[1.0], # 00:10:00
]
periods = len(data)
market = backlight.datasource.from_dataframe(
pd.DataFrame(
index=pd.date_range(start="2018-06-06",
freq="1min",
periods=periods),
data=data,
columns=["mid"],
),
symbol,
)
entries = make_trades(
symbol,
(
make_trade([Transaction(pd.Timestamp("2018-06-06 00:00:00"), 1.0)
]),
make_trade(
[Transaction(pd.Timestamp("2018-06-06 00:00:00"), -1.0)]),
make_trade([Transaction(pd.Timestamp("2018-06-06 00:00:00"), 0.0)
]),
make_trade([Transaction(pd.Timestamp("2018-06-06 00:03:00"), 1.0)
]),
make_trade([Transaction(pd.Timestamp("2018-06-06 00:03:00"), 0.5)
]),
make_trade(
[Transaction(pd.Timestamp("2018-06-06 00:03:00"), -1.0)]),
),
)
initial_stop = 2.0
trailing_stop = 1.0
trades = module.exit_by_trailing_stop(market, entries, initial_stop,
trailing_stop)
expected = make_trades(
symbol,
(
make_trade([
Transaction(pd.Timestamp("2018-06-06 00:00:00"), 1.0),
Transaction(pd.Timestamp("2018-06-06 00:05:00"),
-1.0), # trail stop
]),
make_trade([
Transaction(pd.Timestamp("2018-06-06 00:00:00"), -1.0),
Transaction(pd.Timestamp("2018-06-06 00:02:00"),
1.0), # loss cut
]),
make_trade([Transaction(pd.Timestamp("2018-06-06 00:00:00"), 0.0)
]),
make_trade([
Transaction(pd.Timestamp("2018-06-06 00:03:00"), 1.0),
Transaction(pd.Timestamp("2018-06-06 00:05:00"),
-1.0), # trail stop
]),
make_trade([
Transaction(pd.Timestamp("2018-06-06 00:03:00"), 0.5),
Transaction(pd.Timestamp("2018-06-06 00:05:00"),
-0.5), # loss cut
]),
make_trade([
Transaction(pd.Timestamp("2018-06-06 00:03:00"), -1.0),
Transaction(pd.Timestamp("2018-06-06 00:10:00"),
1.0), # trail stop
]),
),
)
pd.testing.assert_frame_equal(trades, expected)