def test_stats_exposure_delta(self):
data = pd.DataFrame(
{
'exo': pd.Series(range(10)),
'delta': pd.Series(np.ones(10) * 2)
},
dtype=np.float)
entry_rule = pd.Series([0, 1, 0, 0, 0, 1, 0, 0, 0, 0], dtype=np.uint8)
exit_rule = pd.Series([0, 0, 0, 1, 0, 0, 0, 0, 1, 0], dtype=np.uint8)
pl, inpos = backtest(data,
entry_rule.values,
exit_rule.values,
direction=1)
equity, statistics = stats_exposure(data,
inpos * 1.0,
costs=None,
extendedstats=True)
self.assertTrue('delta' in equity)
delta = equity['delta']
self.assertEqual(delta[0], 0)
self.assertEqual(delta[1], 2)
self.assertEqual(delta[2], 2)
self.assertEqual(delta[3], 0)
self.assertEqual(delta[4], 0)
self.assertEqual(delta[5], 2)
self.assertEqual(delta[6], 2)
self.assertEqual(delta[7], 2)
self.assertEqual(delta[8], 0)
self.assertEqual(delta[9], 0)
def test_pnl(self):
data = pd.DataFrame({'exo': pd.Series(range(10))}, dtype=np.float)
entry_rule = pd.Series([0, 1, 0, 0, 0, 0, 0, 0, 0, 0], dtype=np.uint8)
exit_rule = pd.Series([0, 0, 0, 1, 0, 0, 0, 0, 0, 0], dtype=np.uint8)
pl, inpos = backtest(data,
entry_rule.values,
exit_rule.values,
direction=-1)
for i in range(len(inpos)):
exp = pd.Series([0, 0, -1, -1, 0, 0, 0, 0, 0, 0])
self.assertEqual(exp[i], pl.values[i])
def test_inposition(self):
data = pd.DataFrame({'exo': pd.Series(range(10))}, dtype=np.float)
entry_rule = pd.Series([0, 1, 0, 0, 0, 0, 0, 0, 0, 0], dtype=np.uint8)
exit_rule = pd.Series([0, 0, 0, 1, 0, 0, 0, 0, 0, 0], dtype=np.uint8)
pl, inpos = backtest(data,
entry_rule.values,
exit_rule.values,
direction=1)
for i in range(len(inpos)):
# Fix: 2016-05-30 Exit bar is not in position
exp = pd.Series([0, 1, 1, 0, 0, 0, 0, 0, 0, 0])
self.assertEqual(exp[i], inpos.values[i])
def test_stats_exposure_size(self):
data = pd.DataFrame({'exo': pd.Series(range(10))}, dtype=np.float)
entry_rule = pd.Series([0, 1, 0, 0, 0, 1, 0, 0, 0, 0], dtype=np.uint8)
exit_rule = pd.Series([0, 0, 0, 1, 0, 0, 0, 0, 1, 0], dtype=np.uint8)
pl, inpos = backtest(data,
entry_rule.values,
exit_rule.values,
direction=1)
#equity, statsistics = stats(pl, inpos, positionsize=pd.Series(2, index=inpos.index, dtype=np.float), costs=None)
equity, statsistics = stats_exposure(data, inpos * 2.0, costs=None)
for i in range(len(equity)):
exp = pd.Series([0, 0, 2, 4, 4, 4, 6, 8, 10, 10])
self.assertEqual(exp[i], equity.values[i])
def test_stats_exposure_no_costs(self):
data = pd.DataFrame({'exo': pd.Series(range(10))}, dtype=np.float)
entry_rule = pd.Series([0, 1, 0, 0, 0, 0, 0, 0, 0, 0], dtype=np.uint8)
exit_rule = pd.Series([0, 0, 0, 1, 0, 0, 0, 0, 0, 0], dtype=np.uint8)
pl, inpos = backtest(data,
entry_rule.values,
exit_rule.values,
direction=1)
equity, statsistics = stats_exposure(data, inpos * 1.0, costs=None)
self.assertEqual(statsistics, {})
for i in range(len(equity)):
exp = pd.Series([0, 0, 1, 2, 2, 2, 2, 2, 2, 2])
self.assertEqual(exp[i], equity.values[i])
def test_same_bar_exit(self):
"""
Entering to position even is we have exit_signal on the same bar
:return:
"""
data = pd.DataFrame({'exo': pd.Series(range(10))}, dtype=np.float)
entry_rule = pd.Series([0, 1, 0, 0, 0, 0, 0, 0, 0, 0], dtype=np.uint8)
exit_rule = pd.Series([0, 1, 0, 1, 0, 0, 0, 0, 0, 0], dtype=np.uint8)
pl, inpos = backtest(data,
entry_rule.values,
exit_rule.values,
direction=1)
for i in range(len(inpos)):
exp = pd.Series([0, 1, 1, 0, 0, 0, 0, 0, 0, 0])
self.assertEqual(exp[i], inpos.values[i])
def test_stats_exposure_costs(self):
data = pd.DataFrame({'exo': pd.Series(range(10))}, dtype=np.float)
entry_rule = pd.Series([0, 1, 0, 0, 0, 0, 0, 0, 0, 0], dtype=np.uint8)
exit_rule = pd.Series([0, 0, 0, 1, 0, 0, 0, 0, 0, 0], dtype=np.uint8)
pl, inpos = backtest(data,
entry_rule.values,
exit_rule.values,
direction=1)
costs = pd.DataFrame({
'rollover_costs':
pd.Series(0.0, index=inpos.index),
'transaction_costs':
pd.Series(1.0, index=inpos.index)
})
series_df, statsistics = stats_exposure(data, inpos * 1.0, costs=costs)
for i in range(len(series_df)):
exp = pd.Series([0, -1, 0, 0, 0, 0, 0, 0, 0, 0])
self.assertEqual(exp[i], series_df['equity'].values[i])
def _calc_swarm_member(self, opts):
# In bi-directional mode 1-st opt argument must be *direction* of the swarm
direction = opts[0]
if direction != 1 and direction != -1:
raise Exception(
'In bi-direction mode fist opt argument must be Direction: 1 or -1'
)
swarm_name, entry_rule, exit_rule, calc_info = self.calculate(opts)
# Backtesting routine
pl, inposition = backtest(self.data, entry_rule.values,
exit_rule.values, direction)
#pl, inposition = backtester.backtest(self.data, entry_rule, exit_rule, direction)
# Apply global filter to trading system entries
if self._filtered_swarm is not None:
filtered_inpos = self._filtered_swarm[self.get_member_name(opts)]
# Binary AND to arrays
if self.global_filter is not None:
inposition = inposition & filtered_inpos & self.global_filter
else:
inposition = inposition & filtered_inpos
# Do backtest (exposure based)
# Exposure Direction * PositionSize * InPositionFlag
exposure = inposition.astype(
np.uint8) * float(direction) * self.positionsize
# Do quick backtest (equity line only without stats)
series_df, stats_dict = stats_exposure(self.data,
exposure,
self.costs,
extendedstats=False)
return (swarm_name, series_df['equity'], exposure, inposition)
