def test_calculate_portfolio(self):
goal1 = Fixture1.goal1()
goal1.portfolio_set.asset_classes = [
AssetClass.objects.get(name="US_BONDS"),
AssetClass.objects.get(name="AU_STOCKS"),
AssetClass.objects.get(name="AU_STOCK_MUTUALS")
]
goal1.selected_settings.metric_group.metrics = [GoalMetric.objects.create(group=Fixture1.metric_group1(),
type=GoalMetric.METRIC_TYPE_RISK_SCORE,
rebalance_type="1",
configured_val=0.0,
comparison=2,
rebalance_thr=0.05)
]
goal1.selected_settings.SYSTEM_CURRENCY = 'USD'
goal1.cash_balance = 1000
idata = get_instruments(self._data_provider)
portfolio, er, var = calculate_portfolio(settings=goal1.selected_settings,
data_provider=self._data_provider,
execution_provider=self._execution_provider,
idata=idata)
self.assertEqual(len(portfolio), 4)
def test_calculate_portfolios(self):
goal1 = Fixture1.goal1()
goal1.portfolio_set.asset_classes = [
AssetClass.objects.get(name="US_BONDS"),
AssetClass.objects.get(name="AU_STOCKS"),
AssetClass.objects.get(name="AU_STOCK_MUTUALS")
]
goal1.selected_settings.metric_group.metrics = [GoalMetric.objects.create(group=Fixture1.metric_group1(),
type=GoalMetric.METRIC_TYPE_RISK_SCORE,
rebalance_type="1",
configured_val=0.0,
comparison=2,
rebalance_thr=0.05)
]
goal1.selected_settings.SYSTEM_CURRENCY = 'USD'
goal1.cash_balance = 1000
portfolio = Portfolio.objects.create(id=1, er=1, stdev=2, setting=goal1.selected_settings)
PortfolioItem.objects.create(asset=Ticker.objects.get(symbol='ASS'),
portfolio=portfolio,
weight=0.1,
volatility=0.2)
portfolios = calculate_portfolios(goal1.selected_settings, data_provider=self._data_provider,
execution_provider=self._execution_provider)
self.assertEqual(len(portfolios), 101)