def test_decimals(self):
# Long with decimals
a = exchange.Account(2)
a.enter_position('Long', 1, 0.00000001)
self.assertEqual(a.total_value(0.00000002), 3)
a.close_position(a.positions[0], 1, 0.00000002)
self.assertEqual(a.buying_power, 3)
# Short with decimals
a = exchange.Account(2)
a.enter_position('Short', 1, 0.00000002)
self.assertEqual(a.total_value(0.00000001), 2.5)
a.close_position(a.positions[0], 1, 0.00000001)
self.assertEqual(a.buying_power, 2.5)
def run(self, data, **kwargs):
"""
Main method to start backtest
:param data :: history data with ticks or bars
:param logic:
:param trading_interval:
:param lookback_period:
:return:
"""
self.account = exchange.Account(
self.sim_params.get('capital_base', 10e5),
fee=self.sim_params.get('fee', None)
)
self.records = []
self.initialize()
# TODO Add filter between start & end session from sim_params
# resample data frame to 'D' by default
self.data = resample(data, self.sim_params.get('data_frequency', 'D'))
# start cycle
for index, tick in self.data.iterrows():
# Update account variables
self.account.date = index
# update total value in account
# TODO Replace by pandas DataFrame
self.account.equity.append(
(index, self.account.total_value(tick['close'])))
# Execute trading logic
lookback_data = self.data.loc[:index]
try:
self.logic(lookback_data)
self.account.check_orders(tick)
except Exception as ex:
logger.exception(ex)
raise ex
# Cleanup empty positions
self.account.purge_positions()
self.performance = self.prepare_performance()
self.results()
self.analyze(**kwargs)
return self.performance
def test_errors(self):
a = exchange.Account(1000)
self.assertRaises(ValueError, a.enter_position, 'Long', 2000, 10)
self.assertRaises(ValueError, a.enter_position, 'Long', -500, 10)
self.assertRaises(ValueError, a.enter_position, 'Long', 500, -10)
# Enter valid position
a.enter_position('Long', 250, 10)
a.enter_position('Short', 250, 10)
long = a.positions[0]
short = a.positions[1]
self.assertRaises(ValueError, a.close_position, long, 0.5, -20)
self.assertRaises(ValueError, a.close_position, long, 1.01, 20)
self.assertRaises(ValueError, a.close_position, long, -0.5, 20)
self.assertRaises(ValueError, a.close_position, short, 1.01, 20)
self.assertRaises(ValueError, a.close_position, short, -0.5, 20)
def test_both(self):
a = exchange.Account(1000)
a.enter_position('Long', 200, 20) # 10
a.enter_position('Short', 250, 25) # 10
self.assertEqual(a.buying_power, 550)
self.assertEqual(a.total_value(25), 1050)
long = a.positions[0]
short = a.positions[1]
a.close_position(long, 0.5, 40) # 5
a.close_position(short, 0.5, 12.5) # 5
self.assertEqual(a.buying_power, 937.5)
self.assertEqual(a.total_value(12.5), 1187.5)
a.close_position(long, 1.0, 50)
a.close_position(short, 1.0, 50)
self.assertEqual(a.buying_power, 1187.5)
self.assertEqual(a.total_value(100), 1187.5)
def test_errors(self):
a = exchange.Account(1000)
with pytest.raises(ValueError):
a.enter_position('Long', -500, 10)
a.enter_position('Long', 500, -10)
a.enter_position('Long', 2000, 10)
# Enter valid position
a.enter_position('Long', 250, 10)
a.enter_position('Short', 250, 10)
long = a.positions[0]
short = a.positions[1]
with pytest.raises(ValueError):
a.close_position(long, 0.5, -20)
a.close_position(long, 1.01, -20)
a.close_position(long, -0.5, 20)
a.close_position(short, 0.5, -20)
a.close_position(short, -0.5, 20)
def test_short(self):
a = exchange.Account(1000)
# Win on a short
a.enter_position('Short', 500, 10)
a.enter_position('Short', 500, 10)
self.assertEqual(a.buying_power, 0)
self.assertEqual(a.total_value(10), 1000)
S0 = a.positions[0]
S1 = a.positions[1]
a.close_position(S0, 0.5, 5)
a.close_position(S1, 0.5, 5)
self.assertEqual(a.buying_power, 750)
self.assertEqual(a.total_value(5), 1500)
a.close_position(S0, 0.5, 2.5)
a.close_position(S1, 0.5, 2.5)
self.assertEqual(a.buying_power, 1187.5)
self.assertEqual(a.total_value(2.5), 1625)
# Lose on a short
a.enter_position('Short', 1000, 2)
S2 = a.positions[2]
a.close_position(S2, 0.5, 4)
self.assertEqual(a.buying_power, 187.5)
self.assertEqual(a.total_value(4), 587.5)
def test_long(self):
a = exchange.Account(1000)
# Win on a long
a.enter_position('Long', 500, 10)
a.enter_position('Long', 500, 10)
self.assertEqual(a.buying_power, 0)
self.assertEqual(a.total_value(10), 1000)
L0 = a.positions[0]
L1 = a.positions[1]
a.close_position(L0, 0.5, 20)
a.close_position(L1, 0.5, 20)
self.assertEqual(a.buying_power, 1000)
self.assertEqual(a.total_value(20), 2000)
a.close_position(L0, 0.5, 40)
a.close_position(L1, 0.5, 40)
self.assertEqual(a.buying_power, 2000)
self.assertEqual(a.total_value(40), 3000)
# Lose on a long
a.enter_position('Long', 1000, 50)
L2 = a.positions[2]
a.close_position(L2, 0.5, 25)
self.assertEqual(a.buying_power, 1250)
self.assertEqual(a.total_value(25), 2125)
