Example #1
0
def test_strategybase_flatten():
    s = StrategyBase('s')

    dts = pd.date_range('2010-01-01', periods=3)
    data = pd.DataFrame(index=dts, columns=['c1', 'c2'], data=100)

    s.setup(data)

    i = 0
    s.update(dts[i])

    s.adjust(1000)
    s.allocate(100, 'c1')
    c1 = s['c1']
    s.allocate(100, 'c2')
    c2 = s['c2']

    assert c1.position == 1
    assert c1.value == 100
    assert c2.position == 1
    assert c2.value == 100
    assert s.value == 998

    s.flatten()

    assert c1.position == 0
    assert c1.value == 0
    assert s.value == 996
Example #2
0
def test_strategybase_flatten():
    s = StrategyBase('s')

    dts = pd.date_range('2010-01-01', periods=3)
    data = pd.DataFrame(index=dts, columns=['c1', 'c2'], data=100)

    s.setup(data)

    i = 0
    s.update(dts[i])

    s.adjust(1000)
    s.allocate(100, 'c1')
    c1 = s['c1']
    s.allocate(100, 'c2')
    c2 = s['c2']

    assert c1.position == 1
    assert c1.value == 100
    assert c2.position == 1
    assert c2.value == 100
    assert s.value == 1000

    s.flatten()

    assert c1.position == 0
    assert c1.value == 0
    assert s.value == 1000
Example #3
0
def test_strategybase_tree_rebalance_base():
    c1 = SecurityBase('c1')
    c2 = SecurityBase('c2')
    s = StrategyBase('p', [c1, c2])

    c1 = s['c1']
    c2 = s['c2']

    dts = pd.date_range('2010-01-01', periods=3)
    data = pd.DataFrame(index=dts, columns=['c1', 'c2'], data=100)
    data['c1'][dts[1]] = 105
    data['c2'][dts[1]] = 95

    s.setup(data)

    i = 0
    s.update(dts[i], data.ix[dts[i]])

    s.adjust(1000)

    assert s.value == 1000
    assert s.capital == 1000
    assert c1.value == 0
    assert c2.value == 0

    # check that 2 rebalances of equal weight lead to two different allocs
    # since value changes after first call
    s.rebalance(0.5, 'c1')

    assert c1.position == 5
    assert c1.value == 500
    assert s.capital == 1000 - 501
    assert s.value == 999
    assert c1.weight == 500.0 / 999
    assert c2.weight == 0

    s.rebalance(0.5, 'c2')

    assert c2.position == 4
    assert c2.value == 400
    assert s.capital == 1000 - 501 - 401
    assert s.value == 998
    assert c2.weight == 400.0 / 998
    assert c1.weight == 500.0 / 998

    # close out everything
    s.flatten()

    # adjust to get back to 1000
    s.adjust(4)

    assert s.value == 1000
    assert s.capital == 1000
    assert c1.value == 0
    assert c2.value == 0

    # now rebalance but set fixed base
    base = s.value
    s.rebalance(0.5, 'c1', base=base)

    assert c1.position == 5
    assert c1.value == 500
    assert s.capital == 1000 - 501
    assert s.value == 999
    assert c1.weight == 500.0 / 999
    assert c2.weight == 0

    s.rebalance(0.5, 'c2', base=base)

    assert c2.position == 5
    assert c2.value == 500
    assert s.capital == 1000 - 501 - 501
    assert s.value == 998
    assert c2.weight == 500.0 / 998
    assert c1.weight == 500.0 / 998
Example #4
0
def test_strategybase_tree_rebalance_base():
    c1 = SecurityBase('c1')
    c2 = SecurityBase('c2')
    s = StrategyBase('p', [c1, c2])
    s.set_commissions(lambda q, p: 1)

    c1 = s['c1']
    c2 = s['c2']

    dts = pd.date_range('2010-01-01', periods=3)
    data = pd.DataFrame(index=dts, columns=['c1', 'c2'], data=100)
    data['c1'][dts[1]] = 105
    data['c2'][dts[1]] = 95

    s.setup(data)

    i = 0
    s.update(dts[i], data.ix[dts[i]])

    s.adjust(1000)

    assert s.value == 1000
    assert s.capital == 1000
    assert c1.value == 0
    assert c2.value == 0

    # check that 2 rebalances of equal weight lead to two different allocs
    # since value changes after first call
    s.rebalance(0.5, 'c1')

    assert c1.position == 4
    assert c1.value == 400
    assert s.capital == 1000 - 401
    assert s.value == 999
    assert c1.weight == 400.0 / 999
    assert c2.weight == 0

    s.rebalance(0.5, 'c2')

    assert c2.position == 4
    assert c2.value == 400
    assert s.capital == 1000 - 401 - 401
    assert s.value == 998
    assert c2.weight == 400.0 / 998
    assert c1.weight == 400.0 / 998

    # close out everything
    s.flatten()

    # adjust to get back to 1000
    s.adjust(4)

    assert s.value == 1000
    assert s.capital == 1000
    assert c1.value == 0
    assert c2.value == 0

    # now rebalance but set fixed base
    base = s.value
    s.rebalance(0.5, 'c1', base=base)

    assert c1.position == 4
    assert c1.value == 400
    assert s.capital == 1000 - 401
    assert s.value == 999
    assert c1.weight == 400.0 / 999
    assert c2.weight == 0

    s.rebalance(0.5, 'c2', base=base)

    assert c2.position == 4
    assert c2.value == 400
    assert s.capital == 1000 - 401 - 401
    assert s.value == 998
    assert c2.weight == 400.0 / 998
    assert c1.weight == 400.0 / 998