def test_getitem(self):
s0 = create_strategy(lambda universe: [])
s1 = create_strategy(lambda universe: [])
container = StrategyDict({"s0": s0, "s1": s1})
assert container["s0"] == s0
assert container["s1"] == s1
def test_values(self):
s0 = create_strategy(lambda universe: [])
s1 = create_strategy(lambda universe: [])
container = StrategyContainer(s0=s0, s1=s1)
for i, strategy in enumerate(container.values()):
assert strategy == [s0, s1][i]
def test_repr(self):
s0 = create_strategy(lambda universe: [])
s1 = create_strategy(lambda universe: [])
container = StrategyList([s0, s1])
assert (
repr(container) == "StrategyList([strategy(<lambda>), strategy(<lambda>)])"
)
def test_key(self):
s0 = create_strategy(lambda universe: [])
s1 = create_strategy(lambda universe: [])
container = StrategyContainer(s0=s0, s1=s1)
for i, name in enumerate(container.keys()):
assert name == ["s0", "s1"][i]
def test_getitem(self):
s0 = create_strategy(lambda universe: [])
s1 = create_strategy(lambda universe: [])
container = StrategyList([s0, s1])
assert container[0] == s0
assert container[1] == s1
def test_logic(self):
s0 = create_strategy(lambda universe: [trade("A")])
s1 = create_strategy(lambda universe: [trade("B"), trade("C")])
container = StrategyContainer(s0=s0, s1=s1)
universe = ...
result = container(universe)
assert container(universe) == s0(universe) + s1(universe)
def test_repr(self):
s0 = create_strategy(lambda universe: [])
s1 = create_strategy(lambda universe: [])
container = StrategyDict({"s0": s0, "s1": s1})
assert (
repr(container)
== "StrategyDict(OrderedDict([('s0', strategy(<lambda>)), ('s1', strategy(<lambda>))]))"
)
def test_append(self):
s0 = create_strategy(lambda universe: [])
s1 = create_strategy(lambda universe: [])
container = StrategyList([])
container.append(s0)
assert container[0] == s0
container.append(s1)
assert container[1] == s1
def test_len(self):
s0 = create_strategy(lambda universe: [])
s1 = create_strategy(lambda universe: [])
container = StrategyContainer()
assert len(container) == 0
container.add_strategy("s0", s0)
assert len(container) == 1
container.add_strategy("s1", s1)
assert len(container) == 2
def test_items(self):
s0 = create_strategy(lambda universe: [])
s1 = create_strategy(lambda universe: [])
container = StrategyContainer(s0=s0, s1=s1)
for (k1), (k2, _) in zip(container.keys(), container.items()):
assert k1 == k2
for (v1), (_, v2) in zip(container.values(), container.items()):
assert v1 == v2
def test_add_strategy(self):
s0 = create_strategy(lambda universe: [])
s1 = create_strategy(lambda universe: [])
container = StrategyContainer()
assert container._strategies == OrderedDict()
container.add_strategy("s0", s0)
assert container._strategies == OrderedDict({"s0": s0})
container.add_strategy("s1", s1)
assert container._strategies == OrderedDict({"s0": s0, "s1": s1})
def test_setitem(self):
s0 = create_strategy(lambda universe: [])
s1 = create_strategy(lambda universe: [])
t0 = create_strategy(lambda universe: [])
t1 = create_strategy(lambda universe: [])
container = StrategyDict({"s0": s0, "s1": s1})
container["s0"] = t0
assert container["s0"] == t0
container["s1"] = t1
assert container["s1"] == t1
def test_setitem(self):
s0 = create_strategy(lambda universe: [])
s1 = create_strategy(lambda universe: [])
t0 = create_strategy(lambda universe: [])
t1 = create_strategy(lambda universe: [])
container = StrategyList([s0, s1])
container[0] = t0
assert container[0] == t0
container[1] = t1
assert container[1] == t1
def test_set_params(self):
strategy = create_strategy(self.my_strategy, param_1=1.0, param_2=2.0)
assert strategy.get_params() == {"param_1": 1.0, "param_2": 2.0}
strategy.set_params(param_1=3.0)
assert strategy.get_params() == {"param_1": 3.0, "param_2": 2.0}
with pytest.raises(ValueError):
strategy.set_params(nonexistent_param=1.0)
def test_score_deprecation_warning(self):
"""
`strategy.evaluate` is deprecated
"""
strategy = create_strategy(self.my_strategy, param_1=1.0, param_2=2.0)
with pytest.raises(DeprecationWarning):
strategy.evaluate(None)
def test_add_strategy_typeerror(self):
s = create_strategy(lambda universe: [])
container = StrategyContainer()
with pytest.raises(TypeError):
container.add_strategy(0, s)
with pytest.raises(TypeError):
container.add_strategy("name", None)
def test_run_trades(self, verbose):
"""Test if trades are the same with call"""
strategy = create_strategy(self.my_strategy, param_1=1.0, param_2=2.0)
universe = self.universe
result = strategy.run(universe, verbose=verbose).trades
expected = strategy(universe)
assert result == expected
def test_abs_exposure(self):
universe = pd.DataFrame(
{
"A0": [1.0, 2.0, 3.0, 4.0, 5.0],
"A1": [2.0, 3.0, 4.0, 5.0, 6.0],
"A2": [3.0, 4.0, 5.0, 6.0, 7.0],
},
dtype=float,
)
strategy = create_strategy(lambda _: [
[1, -1] * trade(["A0", "A2"], entry=1, exit=3),
[-1, 2] * trade(["A1", "A2"], entry=2, exit=4),
]).run(universe, verbose=False)
result = strategy.abs_exposure()
expect = pd.Series([0, 0, 8, 15, 20], index=universe.index)
pd.testing.assert_series_equal(result, expect, check_dtype=False)
def test_exposure(self):
universe = pd.DataFrame(
{
"A0": [1.0, 2.0, 3.0, 4.0, 5.0],
"A1": [2.0, 3.0, 4.0, 5.0, 6.0],
"A2": [3.0, 4.0, 5.0, 6.0, 7.0],
},
dtype=float,
)
strategy = create_strategy(lambda universe: [
[1, -1] * trade(["A0", "A2"], entry=1, exit=3),
[-1, 2] * trade(["A1", "A2"], entry=2, exit=4),
]).run(universe, verbose=False)
result = strategy.exposure()
expect = pd.DataFrame(
[[0, 0, 0], [0, 0, 0], [3, 0, -5], [4, -5, 6], [0, -6, 14]],
index=universe.index,
columns=universe.columns,
)
pd.testing.assert_frame_equal(result, expect, check_dtype=False)
def test_get_params(self):
strategy = create_strategy(self.my_strategy, param_1=1.0, param_2=2.0)
assert strategy.get_params() == {"param_1": 1.0, "param_2": 2.0}
strategy = MyStrategy(param_1=1.0, param_2=2.0)
assert strategy.get_params() == {}
if __name__ == "__main__":
sys.path.append("..")
seaborn.set_style("whitegrid")
# ---
import pandas as pd
import epymetheus as ep
from epymetheus.benchmarks import dumb_strategy
# ---
my_strategy = ep.create_strategy(dumb_strategy,
profit_take=20.0,
stop_loss=-10.0)
# ---
from epymetheus.datasets import fetch_usstocks
universe = fetch_usstocks()
print(">>> universe.head()")
print_as_comment(universe.head())
print(">>> my_strategy.run(universe)")
my_strategy.run(universe)
# ---
def test_repr(self):
strategy = create_strategy(my_func, param_1=1.0, param_2=2.0)
assert repr(strategy) == "strategy(my_func, param_1=1.0, param_2=2.0)"
strategy = MyStrategy(param_1=1.0, param_2=2.0)
assert repr(strategy) == "MyStrategy"
def test_init_from_func(self):
strategy = create_strategy(self.my_strategy, param_1=1.0, param_2=2.0)
universe = self.universe
assert strategy(universe) == [1.0 * trade("A"), 2.0 * trade("B")]
def test_run_notradeerror(self, verbose):
strategy = create_strategy(lambda universe: [])
universe = self.universe
with pytest.raises(NoTradeError):
strategy.run(universe, verbose=verbose)
def test_list(self):
s0 = create_strategy(lambda universe: [])
s1 = create_strategy(lambda universe: [])
container = StrategyList([s0, s1])
assert container.list() == [s0, s1]
def test_dict(self):
s0 = create_strategy(lambda universe: [])
s1 = create_strategy(lambda universe: [])
container = StrategyDict({"s0": s0, "s1": s1})
assert container.dict() == OrderedDict(s0=s0, s1=s1)