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():
ts = TurtleStrategy(colname='atr5')
assert ts.stoploss_point == 2
assert ts.stopprofit_point == 10
assert ts.next_point == 1
row = pd.Series({'atr5': 0.05})
ls, lf, n = ts.calc_price(1, row=row)
assert ls == (1 - ts.stoploss_point * 0.05)
assert lf == (1 + ts.stopprofit_point * 0.05)
assert n == (1 + ts.next_point * 0.05)
print(">>> from finance_tools_py.backtest import TurtleStrategy")
print(">>> ts = TurtleStrategy(colname='atr5')")
print(">>> row = pd.Series({'atr5': 0.05})")
print(">>> ts.calc_price(1, row=row")
print("(0.9, 1.5, 1.05)")
ts = TurtleStrategy(colname='',
stoploss_point=0.5,
stopprofit_point=20,
next_point=2)
assert ts.stoploss_point == 0.5
assert ts.stopprofit_point == 20
assert ts.next_point == 2
ls, lf, n = ts.calc_price(1, row=row)
assert ls == -1
assert lf == -1
assert n == -1
# 只有一笔持仓时的判断-开始
ts = TurtleStrategy(
colname='atr5',
max_amount={'0': 100},
verbose=2,
buy_dict={'0': [datetime.date(2000, 1, 1),
datetime.date(2000, 1, 2)]})
ts.on_calc_buy_amount(datetime.date(2000, 1, 1),
'0',
1,
1000,
row=row,
verbose=2)
print(ts.holds['0'][0])
# 超过最大持仓线时不再购买
assert not ts.on_check_buy(
datetime.date(2000, 1, 2), '0', 1.01, 500, row=row, verbose=2)
print(ts.holds['0'][0])
assert not ts.on_check_buy(
datetime.date(2000, 1, 2), '0', 1.1, 500, row=row, verbose=2)
# 没有达到止损线，不卖
assert not ts.on_check_sell(
datetime.date(2000, 1, 3), '0', 0.95, 0, 0, 0, row=row, verbose=2)
# 低于止损线，卖出
assert ts.on_check_sell(datetime.date(2000, 1, 3),
'0',
0.89,
0,
0,
0,
row=row,
verbose=2)
# 低于止盈，不卖
assert not ts.on_check_sell(
datetime.date(2000, 1, 3), '0', 1.49, 0, 0, 0, row=row, verbose=2)
# 超过止盈，卖出
assert ts.on_check_sell(datetime.date(2000, 1, 3),
'0',
1.51,
0,
0,
0,
row=row,
verbose=2)
# 止损数量
assert 100 == ts.on_calc_sell_amount(datetime.date(2000, 1, 3),
'0',
0,
0,
0,
0,
row=row,
verbose=2)
# 只有一笔持仓时的判断-结束
# 多笔持仓时的判断-开始
ts = TurtleStrategy(colname='atr5',
max_amount={'0': 100},
verbose=2,
buy_dict={
'0': [
datetime.date(2000, 1, 1),
datetime.date(2000, 1, 2),
datetime.date(2000, 1, 3)
]
})
ts.on_calc_buy_amount(datetime.date(2000, 1, 1),
'0',
1,
1000,
row=row,
verbose=2)
ts.on_calc_buy_amount(datetime.date(2000, 1, 2),
'0',
2,
1000,
row=row,
verbose=2)
print(ts.holds['0'][0])
print(ts.holds['0'][1])
# 超过最大持仓线时不再购买
assert not ts.on_check_buy(
datetime.date(2000, 1, 2), '0', 1.01, 500, row=row, verbose=2)
print(ts.holds['0'][0])
assert not ts.on_check_buy(
datetime.date(2000, 1, 2), '0', 1.1, 500, row=row, verbose=2)
# 止损数量
assert 100 == ts.on_calc_sell_amount(datetime.date(2000, 1, 3),
'0',
1.8,
0,
0,
0,
row=row,
verbose=2)
print(ts.holds['0'][0])
assert 100 == ts.holds['0'][0].amount
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)