def testCumulativeReturn(self): initialCash = 33.06 barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV( AnalyzerTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv")) strat = position_test.TestStrategy(barFeed, AnalyzerTestCase.TestInstrument, initialCash) strat.addPosEntry(datetime.datetime(2001, 1, 12), strat.enterLong, AnalyzerTestCase.TestInstrument, 1) # 33.06 strat.addPosExitMarket(datetime.datetime(2001, 11, 27)) # 14.32 stratAnalyzer = returns.Returns(maxLen=10) strat.attachAnalyzer(stratAnalyzer) strat.run() self.assertTrue( round(strat.getBroker().getCash(), 2) == round( initialCash + (14.32 - 33.06), 2)) self.assertTrue( round(33.06 * (1 + stratAnalyzer.getCumulativeReturns()[-1]), 2) == 14.32) self.assertEqual(len(stratAnalyzer.getCumulativeReturns()), 10) self.assertEqual(len(stratAnalyzer.getReturns()), 10)
def __createPositionStrategy(self): barFeed = self.__loadBarFeed() return position_test.TestStrategy( barFeed, TradesAnalyzerTestCase.TestInstrument, 1000)