def test_TurtleStrategy_4():
symbol = '123456'
holds = {
symbol: [
TurtleStrategy.Hold(
symbol,
datetime.date(1999, 1, 1),
10, # 买入价
100, # 持仓数量
9, # 止损价
11, # 止盈价
10.5 # 下一个仓位价格
)
]
}
ts = TurtleStrategy('', holds=holds)
assert 1 == len(ts.holds[symbol])
# 虽然有持仓，但是没有任何的卖出点标记，也没有到止盈/止损/加仓点位
assert not ts.on_check_sell(datetime.date(2000, 1, 1), symbol, 10.2, 1000,
0, 10)
# 没有到达止盈点位
assert 0 == ts.on_calc_sell_amount(datetime.date(2000, 1, 1), symbol,
10.99, 1000, 0, 10)
# 到达止盈点位
assert 100 == ts.on_calc_sell_amount(datetime.date(2000, 1, 1), symbol, 11,
1000, 0, 10)
assert 0 == len(ts.holds[symbol])
def test_TurtleStrategy_7():
"""买卖在同一天时，不更新止盈/下一个买点价格"""
symbol = '123456'
holds = {
symbol: [
TurtleStrategy.Hold(
symbol,
datetime.date(1999, 1, 1),
10, # 买入价
100, # 持仓数量
9, # 止损价
11, # 止盈价
10.5 # 下一个仓位价格
),
TurtleStrategy.Hold(
symbol,
datetime.date(1999, 2, 1),
20, # 买入价
200, # 持仓数量
18, # 止损价
25, # 止盈价
30 # 下一个仓位价格
)
]
}
ts = TurtleStrategy(colname='atr5',
update_price_onsameday=False,
holds=holds,
buy_dict={symbol: [datetime.date(2000, 1, 1)]})
assert ts.holds[symbol][-1].stopprofit_price == 25
assert ts.holds[symbol][-1].next_price == 30
row = pd.Series({'atr5': 0.05})
ts.on_buy_sell_on_same_day(datetime.date(2000, 1, 1),
symbol,
50,
row=row,
verbose=2)
new_stoploss, new_stopprofit, new_next = ts.calc_price(50, row=row)
assert ts.holds[symbol][-1].stopprofit_price == 25
assert ts.holds[symbol][-1].next_price == 30
assert not ts.holds[symbol][-1].stopprofit_price == new_stopprofit
assert not ts.holds[symbol][-1].next_price == new_next
def test_TurtleStrategy_1():
symbol = '123456'
holds = {
symbol: [
TurtleStrategy.Hold(
symbol,
datetime.date(1999, 1, 1),
10, #买入价
100, #持仓数量
9, #止损价
11, #止盈价
10.5 #下一个仓位价格
)
]
}
ts = TurtleStrategy('', holds=holds)
# 当前时间不包含在卖出点字典中-开始
assert 1 == len(ts.holds[symbol])
assert 0 == ts.on_calc_sell_amount(datetime.date(2000, 1, 1), symbol, 10.2,
1000, 0, 10)
assert not ts.on_check_sell(datetime.date(2000, 1, 1), symbol, 10.2, 1000,
0, 10)
assert 1 == len(ts.holds[symbol])
def test_TurtleStrategy_5():
symbol = '123456'
holds = {
symbol: [
TurtleStrategy.Hold(
symbol,
datetime.date(1999, 1, 1),
10, # 买入价
100, # 持仓数量
9, # 止损价
11, # 止盈价
10.5 # 下一个仓位价格
)
]
}
ts = TurtleStrategy('',
holds=holds,
buy_dict={symbol: [datetime.date(2000, 1, 1)]},
sell_dict={symbol: [datetime.date(2000, 1, 2)]})
assert 100 == ts.on_calc_buy_amount(datetime.date(2000, 1, 1), symbol, 20,
10000)
assert 2 == len(ts.holds[symbol])
assert 100 == ts.holds[symbol][0].amount
assert 10 == ts.holds[symbol][0].price
assert 100 == ts.holds[symbol][-1].amount
assert 20 == ts.holds[symbol][-1].price
assert ts.on_check_sell(datetime.date(2000, 1, 2), symbol, 15, 9999, 300,
-1)
assert ts.on_check_sell(datetime.date(2000, 1, 2), symbol, 15, 9999, -1,
-1)
assert 200 == ts.on_calc_sell_amount(datetime.date(2000, 1, 2), symbol, 15,
9999, -1, -1)
assert 0 == len(ts.holds[symbol])
def test_TurtleStrategy_MaxDays():
symbol = '123456'
holds = {
symbol: [
TurtleStrategy.Hold(
symbol,
datetime.date(1999, 1, 1),
10, # 买入价
100, # 持仓数量
9, # 止损价
11, # 止盈价
10.5 # 下一个仓位价格
),
TurtleStrategy.Hold(
symbol,
datetime.date(1999, 1, 2),
20, # 买入价
100, # 持仓数量
9, # 止损价
11, # 止盈价
10.5 # 下一个仓位价格
),
]
}
ts = TurtleStrategy(
colname='',
holds=holds,
)
assert ts._get_overdue(symbol, datetime.date(2222, 1, 1)) is None
ts = TurtleStrategy(
colname='',
holds=holds,
max_days=10,
)
assert not ts._get_overdue(symbol, datetime.date(1999, 1, 9))
assert not ts._get_overdue(symbol, datetime.date(1999, 1, 10))
assert len(ts._get_overdue(symbol, datetime.date(1999, 1, 11))) > 0
assert ts.on_calc_sell_amount(datetime.date(1999, 1, 9),
symbol,
10,
0,
0,
0,
verbose=2) == 0
assert sum([h.amount for h in ts.holds[symbol]]) == 200
assert ts.on_calc_sell_amount(datetime.date(1999, 1, 10),
symbol,
10,
0,
0,
0,
verbose=2) == 0
assert sum([h.amount for h in ts.holds[symbol]]) == 200
assert ts.on_calc_sell_amount(datetime.date(1999, 1, 11),
symbol,
10,
0,
0,
0,
verbose=2) == 100
assert sum([h.amount for h in ts.holds[symbol]]) == 100
assert ts.holds[symbol][0].price == 20
def test_TurtleStrategy_4():
symbol = '123456'
holds = {
symbol: [
TurtleStrategy.Hold(
symbol,
datetime.date(1999, 1, 1),
10, # 买入价
100, # 持仓数量
9, # 止损价
11, # 止盈价
10.5 # 下一个仓位价格
)
]
}
ts = TurtleStrategy('',
holds=holds,
buy_dict={symbol: [datetime.date(2000, 1, 1)]})
assert 1 == len(ts.holds[symbol])
# 没有到达加仓点位
assert not ts.on_check_buy(
datetime.date(2000, 1, 1), symbol, 10.49, 1000, verbose=2)
# 到达加仓点位
assert ts.on_check_buy(datetime.date(2000, 1, 1),
symbol,
10.50,
1000,
verbose=2)
# 没有加仓点位
assert 0 == ts.on_calc_buy_amount(datetime.date(2000, 1, 1),
symbol,
10.49,
1000,
verbose=2)
# 到达购买点，但是资金不足
assert 0 == ts.on_calc_buy_amount(datetime.date(2000, 1, 1),
symbol,
10.50,
1000,
verbose=2)
# 到达购买点，资金充足
assert 100 == ts.on_calc_buy_amount(datetime.date(2000, 1, 1),
symbol,
10.50,
1200,
verbose=2)
assert 2 == len(ts.holds[symbol])
assert ts.holds[symbol][-1].amount == 100
assert ts.holds[symbol][-1].stoploss_price == -1
assert ts.holds[symbol][-1].stopprofit_price == -1
assert ts.holds[symbol][-1].next_price == -1
# 到达加仓点位
assert ts.on_check_buy(datetime.date(2000, 1, 1), symbol, 10.50, 1000)
assert 100 == ts.on_calc_buy_amount(datetime.date(2000, 1, 1),
symbol,
10.50,
1200,
verbose=2)
# 到达加仓点位
assert ts.on_check_buy(datetime.date(2000, 1, 1), symbol, 10.50, 1000)
assert 100 == ts.on_calc_buy_amount(datetime.date(2000, 1, 1),
symbol,
10.50,
1200,
verbose=2)
# 到达加仓点位。但是到达持仓限制
assert not ts.on_check_buy(
datetime.date(2000, 1, 1), symbol, 10.50, 1000, verbose=2)