def test_generate_trace_calculates_holdings_as_of_start_to_sum_to_a_million(self):
portfolio = Portfolio([
("BACK.L", 40),
("BACS.L", 60),
])
start_date = datetime(2016, 1, 1)
end_date = datetime(2016, 1, 4)
ticker1_price = 1
ticker1_frame = pd.DataFrame({
"Close": pd.Series(
[
ticker1_price,
1.01,
],
index=[
datetime(2016, 1, 1),
datetime(2016, 1, 2),
]
)
})
ticker2_price = 2
ticker2_frame = pd.DataFrame({
"Close": pd.Series(
[
2.1,
ticker2_price,
],
index=[
datetime(2015, 12, 31),
datetime(2016, 1, 1),
]
)
})
market_data = {
"BACK.L": ticker1_frame,
"BACS.L": ticker2_frame,
}
trace = portfolio.trace(market_data, start_date, end_date)
expected_ticker1_holding = (10000 / ticker1_price) * 40
expected_ticker2_holding = (10000 / ticker2_price) * 60
self.assertEqual(
trace.holdings,
[
("BACK.L", expected_ticker1_holding),
("BACS.L", expected_ticker2_holding),
]
)
ticker1_value = expected_ticker1_holding * ticker1_price
ticker2_value = expected_ticker2_holding * ticker2_price
total_value = ticker1_value + ticker2_value
self.assertEqual(total_value, 1000000)
self.assertEqual(ticker1_value / total_value, 0.4)
self.assertEqual(ticker2_value / total_value, 0.6)
def test_generate_trace_generates_frame(self):
portfolio = Portfolio([
("BACK.L", 40),
("BACS.L", 60),
])
start_date = datetime(2016, 1, 1)
end_date = datetime(2016, 1, 4)
ticker1_frame = pd.DataFrame({
"Close": pd.Series(
[
1,
1.01,
1.02,
1.03,
1.04,
],
index=[
datetime(2016, 1, 1),
datetime(2016, 1, 2),
datetime(2016, 1, 3),
datetime(2016, 1, 4),
datetime(2016, 1, 5),
]
)
})
ticker2_frame = pd.DataFrame({
"Close": pd.Series(
[
2.1,
2,
1.9,
1.8,
1.7,
],
index=[
datetime(2015, 12, 31),
datetime(2016, 1, 1),
datetime(2016, 1, 2),
datetime(2016, 1, 3),
datetime(2016, 1, 4),
]
)
})
market_data = {
"BACK.L": ticker1_frame,
"BACS.L": ticker2_frame,
}
trace = portfolio.trace(market_data, start_date, end_date)
expected_ticker1_holding = (10000 / 1) * 40
expected_ticker2_holding = (10000 / 2) * 60
expected_frame = pd.DataFrame({
"Close": pd.Series(
[
expected_ticker1_holding * 1 + expected_ticker2_holding * 2,
expected_ticker1_holding * 1.01 + expected_ticker2_holding * 1.9,
expected_ticker1_holding * 1.02 + expected_ticker2_holding * 1.8,
expected_ticker1_holding * 1.03 + expected_ticker2_holding * 1.7,
],
index=[
datetime(2016, 1, 1),
datetime(2016, 1, 2),
datetime(2016, 1, 3),
datetime(2016, 1, 4),
]
)
})
self.assertTrue((trace.frame == expected_frame).all()["Close"])
