def test_1(self):
"""
Loads solution from csv file and test the values
Tests
-----
1. Name of the solution Series: cash, equities, portfolio
2. Values of the solution Series: cash, equities, portfolio
"""
# Set up
self.setUpDataAccess()
self_dir = os.path.dirname(os.path.abspath(inspect.getfile(inspect.currentframe())))
tests = ["Test_1.csv"]
tests = [os.path.join(self_dir, "docs", test) for test in tests]
orders = ["orders_1.csv"]
orders = [os.path.join(self_dir, "docs", order) for order in orders]
for test_file, order in zip(tests, orders):
solution = pd.read_csv(test_file)
solution = solution.set_index(pd.to_datetime(solution["Date"]))
simulator = MarketSimulator()
simulator.initial_cash = 1000000
simulator.load_trades(order)
simulator.simulate()
# Test 1
self.assertEqual(simulator.cash.name, "Cash")
self.assertEqual(simulator.equities.name, "Equities value")
self.assertEqual(simulator.portfolio.name, "Portfolio value")
# Test 2
self.assertEqual(simulator.cash, solution["Cash"])
self.assertEqual(simulator.equities, solution["Equities value"])
self.assertEqual(simulator.portfolio, solution["Portfolio value"])
def test_total_return(self):
sim = MarketSimulator('./data')
sim.initial_cash = 1000000
sim.simulate("../../sim/test/orders.csv")
# Test without giving the column
tr1 = BasicUtils.total_return(sim.portfolio)
self.assertEquals(tr1, 0.1332629999999999)
# Test giving the column we want to calculate
tr2 = BasicUtils.total_return(sim.portfolio, 'Portfolio')
self.assertEquals(tr2, 0.1332629999999999)
def test_sharpe_ratio(self):
sim = MarketSimulator('./data')
sim.initial_cash = 1000000
sim.simulate("../../sim/test/orders.csv")
# Test without giving the column
sr1 = BasicUtils.sharpe_ratio(sim.portfolio, extraAnswers=True)
self.assertEquals(sr1['sharpe_ratio'], 1.1825359272456812)
self.assertEquals(sr1['std'], 0.0071658104790118396)
self.assertEquals(sr1['mean'], 0.00054698326727656884)
# Test giving the column we want to calculate
sr2 = BasicUtils.sharpe_ratio(sim.portfolio, 'Portfolio', extraAnswers=True)
self.assertEquals(sr2['sharpe_ratio'], 1.1825359272456812)
self.assertEquals(sr2['std'], 0.0071658104790118396)
self.assertEquals(sr2['mean'], 0.00054698326727656884)
def test_1(self):
'''
Loads solution from csv file and test the values
Tests
-----
1. Name of the solution Series: cash, equities, portfolio
2. Values of the solution Series: cash, equities, portfolio
'''
# Set up
self.setUpDataAccess()
self_dir = os.path.dirname(
os.path.abspath(inspect.getfile(inspect.currentframe())))
tests = ['Test_1.csv']
tests = [os.path.join(self_dir, 'docs', test) for test in tests]
orders = ['orders_1.csv']
orders = [os.path.join(self_dir, 'docs', order) for order in orders]
for test_file, order in zip(tests, orders):
solution = pd.read_csv(test_file)
solution = solution.set_index(pd.to_datetime(solution['Date']))
simulator = MarketSimulator()
simulator.initial_cash = 1000000
simulator.load_trades(order)
simulator.simulate()
# Test 1
self.assertEqual(simulator.cash.name, 'Cash')
self.assertEqual(simulator.equities.name, 'Equities value')
self.assertEqual(simulator.portfolio.name, 'Portfolio value')
# Test 2
self.assertEqual(simulator.cash, solution['Cash'])
self.assertEqual(simulator.equities, solution['Equities value'])
self.assertEqual(simulator.portfolio, solution['Portfolio value'])
from datetime import datetime
from finance.utils.BasicUtils import *
from finance.sim import MarketSimulator
sim = MarketSimulator("../sim/test/data")
sim.initial_cash = 1000000
sim.simulate("MarketSimulator_orders.csv")
print(sim.portfolio[0:10])
print("Total Return:", total_return(sim.portfolio))
print(sharpe_ratio(sim.portfolio, extraAnswers=True))
from datetime import datetime
import matplotlib.pyplot as plt
from finance.utils import Calculator
from finance.sim import MarketSimulator
# from finance.utils import DataAccess
# DataAccess.path = 'data'
sim = MarketSimulator()
sim.initial_cash = 1000000
sim.load_trades("MarketSimulator_orders.csv")
sim.simulate()
print(sim.portfolio[0:10])
print('Total Return:', Calculator.ret(sim.portfolio))
print(Calculator.sharpe_ratio(sim.portfolio))
sim.portfolio.plot()
# plt.grid(True)
plt.show()
