def testCallingTradingRule(self):
# config=Config(dict(trading_rules=dict(ewmac=dict(function="systems.provided.rules.ewmac..ewmac_forecast_with_defaults"))))
NOTUSEDrawdata, data, NOTUSEDconfig = get_test_object()
rawdata = RawData()
rules = Rules()
system = System([rawdata, rules], data)
# Call with default data and config
rule = TradingRule(ewmac_forecast_with_defaults)
ans = rule.call(system, "EDOLLAR")
self.assertAlmostEqual(ans.tail(1).values[0], -3.280028, 5)
# Change the data source
rule = TradingRule(
(
"systems.provided.rules.ewmac.ewmac_forecast_with_defaults_no_vol",
["rawdata.get_daily_prices", "rawdata.daily_returns_volatility"],
dict(),
)
)
ans = rule.call(system, "EDOLLAR")
self.assertAlmostEqual(ans.tail(1).values[0], -1.24349, 5)
rule = TradingRule(
dict(
function="systems.provided.rules.ewmac.ewmac_forecast_with_defaults_no_vol",
data=["rawdata.get_daily_prices", "rawdata.daily_returns_volatility"],
other_args=dict(Lfast=50, Lslow=200),
)
)
ans = rule.call(system, "EDOLLAR")
self.assertAlmostEqual(ans.tail(1).values[0], -3.025001057146)
def testCarryRule(self):
NOTUSEDrawdata, data, NOTUSEDconfig = get_test_object()
rawdata = RawData()
rules = Rules()
system = System([rawdata, rules], data)
rule = TradingRule(
carry,
[
"rawdata.daily_annualised_roll",
],
dict(smooth_days=90),
)
ans = rule.call(system, "EDOLLAR")
self.assertAlmostEqual(ans.tail(1).values[0], 0.138302, 5)