def testBasic3(self):
w = Feed(self._inst)
w.insert(talibfunc.ATR('ATR10', w, 10))
self.assertEqual(len(w.values()), 7)
self.assertEqual(len(w.values()[0]), 252)
self.assertAlmostEqual(w.get_series('ATR10')[251], 0.031196, places=6)
def testDup(self):
w = Feed(self._inst)
w.insert(ATR())
with self.assertRaisesRegexp(Exception,
"Workspace already has an indicator.*"):
w.insert(ATR())
def testBasic3(self):
w = Feed(self._inst)
w.insert( talibfunc.ATR('ATR10',w,10) )
self.assertEqual( len(w.values()), 7 )
self.assertEqual( len(w.values()[0]), 252 )
self.assertAlmostEqual( w.get_series('ATR10')[251], 0.031196, places=6 )
def testCum(self):
w = Feed(self._inst)
w.insert(talibfunc.SMA('SMA50', w, 50))
w.insert(CUM(name='cum2(SMA50)', period=2, baseIndicator='SMA50'))
# just going to spot check a few values randomly (but hard-coded)
# we know that the base indicator is NAN up through at least 50
cum = w.get_series('cum2(SMA50)')
base = w.get_series('SMA50')
self.assertAlmostEqual(cum[79], base[79] + base[78], places=4)
self.assertAlmostEqual(cum[112], base[112] + base[111], places=4)
self.assertAlmostEqual(cum[176], base[176] + base[175], places=4)
def testCum(self):
w = Feed(self._inst)
w.insert( talibfunc.SMA('SMA50',w,50))
w.insert( CUM( name='cum2(SMA50)', period=2, baseIndicator='SMA50') )
# just going to spot check a few values randomly (but hard-coded)
# we know that the base indicator is NAN up through at least 50
cum = w.get_series('cum2(SMA50)')
base = w.get_series('SMA50')
self.assertAlmostEqual( cum[79], base[79] + base[78], places=4 )
self.assertAlmostEqual( cum[112], base[112] + base[111], places=4 )
self.assertAlmostEqual( cum[176], base[176] + base[175], places=4 )
def testBasic2(self):
w = Feed(self._inst)
w.insert( talibfunc.MAX('MAX50',w,50) )
w.insert( talibfunc.MAX('MAX25',w,25) )
w.insert( talibfunc.MIN('MIN50',w,50) )
w.insert( talibfunc.MIN('MIN25',w,25) )
self.assertEqual( len(w.values()), 10 )
self.assertEqual( len(w.values()[0]), 252 )
self.assertAlmostEqual( w.get_series('MAX50')[232], 2.459 )
self.assertAlmostEqual( w.get_series('MAX25')[231], 2.448 )
self.assertAlmostEqual( w.get_series('MIN50')[230], 2.267 )
self.assertAlmostEqual( w.get_series('MIN25')[229], 2.289 )
def testBasic2(self):
w = Feed(self._inst)
w.insert(talibfunc.MAX('MAX50', w, 50))
w.insert(talibfunc.MAX('MAX25', w, 25))
w.insert(talibfunc.MIN('MIN50', w, 50))
w.insert(talibfunc.MIN('MIN25', w, 25))
self.assertEqual(len(w.values()), 10)
self.assertEqual(len(w.values()[0]), 252)
self.assertAlmostEqual(w.get_series('MAX50')[232], 2.459)
self.assertAlmostEqual(w.get_series('MAX25')[231], 2.448)
self.assertAlmostEqual(w.get_series('MIN50')[230], 2.267)
self.assertAlmostEqual(w.get_series('MIN25')[229], 2.289)
def testBasic(self):
w = Feed(self._inst)
w.insert( ATR() )
w.insert( talibfunc.SMA('SMA10',w,10))
self.assertEqual( len(w.values()), 8 )
self.assertEqual( len(w.values()[0]), 252 )
self.assertEqual( w.values()[0][251], datetime.datetime(2013,1,18,0,0) )
self.assertTrue( math.isnan(w.get_series('ATR')[5]))
self.assertTrue( math.isnan(w.get_series('ATR')[98]))
self.assertAlmostEqual( w.get_series('ATR')[99], 0.03493, places=5 )
self.assertAlmostEqual( w.get_series('ATR')[251], 0.03307, places=5 )
self.assertAlmostEqual( w.get_series('SMA10')[251], 2.2921 )
self.assertAlmostEqual( w.get_series('SMA10')[188], 2.3989 )
def testBasic(self):
w = Feed(self._inst)
w.insert(ATR())
w.insert(talibfunc.SMA('SMA10', w, 10))
self.assertEqual(len(w.values()), 8)
self.assertEqual(len(w.values()[0]), 252)
self.assertEqual(w.values()[0][251],
datetime.datetime(2013, 1, 18, 0, 0))
self.assertTrue(math.isnan(w.get_series('ATR')[5]))
self.assertTrue(math.isnan(w.get_series('ATR')[98]))
self.assertAlmostEqual(w.get_series('ATR')[99], 0.03493, places=5)
self.assertAlmostEqual(w.get_series('ATR')[251], 0.03307, places=5)
self.assertAlmostEqual(w.get_series('SMA10')[251], 2.2921)
self.assertAlmostEqual(w.get_series('SMA10')[188], 2.3989)
def testCursor(self):
w = Feed(self._inst)
w.insert( talibfunc.ATR('ATR10',w,10) )
w.set_cursor(None)
self.assertEqual(w.get_last_close(), 0.0 )
b = w.get_current_bar()
self.assertEqual(b.datetime(), datetime.datetime(2012,1,23,0,0))
self.assertTrue(math.isnan(b.ATR10()))
self.assertEqual(w.get_next_bar_date(), datetime.datetime(2012,1,24,0,0))
count = 1
while w.get_next_bar_date()!= None:
count += 1
lastbar = w.get_current_bar()
self.assertEqual(count, 252)
self.assertEqual(lastbar.datetime(),datetime.datetime(2013,1,18,0,0))
def testPriceVelocity(self):
w = Feed(self._inst)
w.insert( talibfunc.SMA('SMA50',w,50))
w.insert( PriceVelocity('PVEL',period=10,baseIndicator='SMA50') )
self.assertEqual( len(w.values()), 8 )
self.assertEqual( len(w.values()[0]), 252 )
self.assertAlmostEqual( w.get_series('PVEL')[251], -0.001576, places=4 )
feedout = '%s/writefeed.csv' % os.path.dirname(__file__)
wf = open(feedout,'w')
w.write_csv(wf)
wf.close()
self.assertTrue(test_util.file_compare('%s/writefeed.refcsv' % os.path.dirname(__file__), feedout))
os.remove(feedout)
def testCursor(self):
w = Feed(self._inst)
w.insert(talibfunc.ATR('ATR10', w, 10))
w.set_cursor(None)
self.assertEqual(w.get_last_close(), 0.0)
b = w.get_current_bar()
self.assertEqual(b.datetime(), datetime.datetime(2012, 1, 23, 0, 0))
self.assertTrue(math.isnan(b.ATR10()))
self.assertEqual(w.get_next_bar_date(),
datetime.datetime(2012, 1, 24, 0, 0))
count = 1
while w.get_next_bar_date() != None:
count += 1
lastbar = w.get_current_bar()
self.assertEqual(count, 252)
self.assertEqual(lastbar.datetime(),
datetime.datetime(2013, 1, 18, 0, 0))
def testPriceVelocity(self):
w = Feed(self._inst)
w.insert(talibfunc.SMA('SMA50', w, 50))
w.insert(PriceVelocity('PVEL', period=10, baseIndicator='SMA50'))
self.assertEqual(len(w.values()), 8)
self.assertEqual(len(w.values()[0]), 252)
self.assertAlmostEqual(w.get_series('PVEL')[251], -0.001576, places=4)
feedout = '%s/writefeed.csv' % os.path.dirname(__file__)
wf = open(feedout, 'w')
w.write_csv(wf)
wf.close()
self.assertTrue(
test_util.file_compare(
'%s/writefeed.refcsv' % os.path.dirname(__file__), feedout))
os.remove(feedout)
class Test(unittest.TestCase):
def setUp(self):
manifest = '%s/data/manifest1.csv' % os.path.dirname(__file__)
self._db = InstrumentDb.Instance()
self._db.load(manifest)
self._feed = Feed(self._db.get('RR'))
self._feed.insert(talibfunc.SMA('SMA50', self._feed, 50))
self._feed.insert(talibfunc.SMA('SMA100', self._feed, 100))
self._feed.insert(talibfunc.MAX('MAX50', self._feed, 50))
self._feed.insert(talibfunc.MIN('MIN50', self._feed, 50))
self._feed.insert(talibfunc.ATR('ATR10', self._feed, 10))
def tearDown(self):
pass
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)
class Test(unittest.TestCase):
def setUp(self):
manifest = "%s/data/manifest1.csv" % os.path.dirname(__file__)
self._db = InstrumentDb.Instance()
self._db.load(manifest)
self._feed = Feed(self._db.get("RR"))
self._feed.insert(talibfunc.SMA("SMA50", self._feed, 50))
self._feed.insert(talibfunc.SMA("SMA100", self._feed, 100))
self._feed.insert(talibfunc.MAX("MAX50", self._feed, 50))
self._feed.insert(talibfunc.MIN("MIN50", self._feed, 50))
self._feed.insert(talibfunc.ATR("ATR10", self._feed, 10))
def tearDown(self):
pass
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)
class Test(unittest.TestCase):
def setUp(self):
manifest = '%s/data/manifest1.csv' % os.path.dirname(__file__)
self._db = InstrumentDb.Instance()
self._db.load(manifest)
self._feed = Feed(self._db.get('AC'))
self._feed.insert( talibfunc.SMA('SMA50',self._feed,50) )
self._feed.insert( talibfunc.SMA('SMA100',self._feed,100) )
self._feed.insert( talibfunc.MAX('MAX50',self._feed,50) )
self._feed.insert( talibfunc.MIN('MIN50',self._feed,50) )
self._feed.insert( talibfunc.ATR('ATR10',self._feed,10) )
def tearDown(self):
pass
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)
def testDup(self):
w = Feed(self._inst)
w.insert( ATR() )
with self.assertRaisesRegexp(Exception,"Workspace already has an indicator.*"):
w.insert( ATR() )
