def testBuyAndSellMultipleEvals(self):
posTracker = returns.PositionTracker(INSTRUMENT, DefaultInstrumentTraits())
posTracker.buy(2, 10)
self.assertEqual(posTracker.getAvgPrice(), 10)
self.assertEqual(posTracker.getPnL(), 0)
self.assertEqual(posTracker.getPnL(price=9), -2)
self.assertEqual(posTracker.getPnL(price=10), 0)
self.assertEqual(posTracker.getPnL(price=11), 2)
self.assertEqual(posTracker.getReturn(10), 0)
self.assertEqual(posTracker.getPnL(price=11), 2)
self.assertEqual(round(posTracker.getReturn(11), 2), 0.1)
self.assertEqual(posTracker.getPnL(price=20), 20)
self.assertEqual(posTracker.getReturn(20), 1)
posTracker.sell(1, 11)
self.assertEqual(posTracker.getAvgPrice(), 10)
self.assertEqual(posTracker.getPnL(price=11), 2)
self.assertEqual(posTracker.getReturn(11), 0.1)
posTracker.sell(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 0)
self.assertEqual(posTracker.getPnL(), 1)
self.assertEqual(posTracker.getReturn(11), 0.05)
def testBuyAndSellWin(self):
posTracker = returns.PositionTracker(INSTRUMENT, DefaultInstrumentTraits())
posTracker.buy(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 10)
posTracker.sell(1, 11)
self.assertEqual(posTracker.getAvgPrice(), 0)
self.assertEqual(posTracker.getPnL(), 1)
self.assertTrue(posTracker.getReturn() == 0.1)
def testBuyAndSellBreakEvenWithCommision(self):
posTracker = returns.PositionTracker(INSTRUMENT, DefaultInstrumentTraits())
posTracker.buy(1, 10, 0.5)
self.assertEqual(posTracker.getAvgPrice(), 10)
posTracker.sell(1, 11, 0.5)
self.assertEqual(posTracker.getPnL(includeCommissions=False), 1)
self.assertEqual(posTracker.getPnL(), 0)
self.assertEqual(posTracker.getReturn(includeCommissions=False), 0.1)
self.assertEqual(posTracker.getReturn(), 0)
def testSellAndBuyWin(self):
posTracker = returns.PositionTracker(INSTRUMENT, DefaultInstrumentTraits())
posTracker.sell(1, 13)
self.assertEqual(posTracker.getAvgPrice(), 13)
self.assertEqual(posTracker.getPnL(), 0)
self.assertEqual(posTracker.getPnL(price=10), 3)
posTracker.buy(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 0)
self.assertEqual(posTracker.getPnL(), 3)
self.assertEqual(round(posTracker.getReturn(), 9), round(0.23076923076923, 9))
def testBuyAndSellInTwoTrades(self):
posTracker = returns.PositionTracker(INSTRUMENT, DefaultInstrumentTraits())
posTracker.buy(2, 10)
self.assertEqual(posTracker.getAvgPrice(), 10)
posTracker.sell(1, 11)
self.assertEqual(posTracker.getAvgPrice(), 10)
self.assertEqual(posTracker.getPnL(), 1)
self.assertEqual(posTracker.getReturn(), 0.05)
posTracker.sell(1, 12)
self.assertEqual(posTracker.getPnL(), 3)
self.assertEqual(posTracker.getReturn(), 3/20.0)
def testSeparateAndCombined(self):
posA = returns.PositionTracker(INSTRUMENT, DefaultInstrumentTraits())
posA.buy(11, 10)
posA.sell(11, 30)
self.assertEqual(posA.getPnL(), 20*11)
self.assertEqual(posA.getReturn(), 2)
posB = returns.PositionTracker(INSTRUMENT, DefaultInstrumentTraits())
posB.sell(100, 1.1)
posB.buy(100, 1)
self.assertEqual(round(posB.getPnL(), 2), 100*0.1)
self.assertEqual(round(posB.getReturn(), 2), 0.09)
combinedPos = returns.PositionTracker(INSTRUMENT, DefaultInstrumentTraits())
combinedPos.buy(11, 10)
combinedPos.sell(11, 30)
combinedPos.sell(100, 1.1)
combinedPos.buy(100, 1)
self.assertEqual(round(combinedPos.getReturn(), 6), 2.090909)
# The return of the combined position is less than the two returns combined
# because when the second position gets opened the amount of cash not invested is greater
# than that of posB alone.
self.assertLess(round(combinedPos.getReturn(), 6), ((1+posA.getReturn())*(1+posB.getReturn())-1))
def testBuyAndSellBreakEvenWithCommission(self):
posTracker = returns.PositionTracker(INSTRUMENT, DefaultInstrumentTraits())
posTracker.buy(1, 10, 0.01)
self.assertEqual(posTracker.getPosition(), 1)
self.assertEqual(posTracker.getAvgPrice(), 10)
posTracker.sell(1, 10.02, 0.01)
self.assertEqual(posTracker.getPosition(), 0)
self.assertEqual(posTracker.getAvgPrice(), 0)
# We need to round to avoid floating point errors.
# The same issue can be reproduced with this piece of code:
# a = 10.02 - 10
# b = 0.02
# print a - b
# print a - b == 0
self.assertEqual(posTracker.getPosition(), 0)
self.assertEqual(round(posTracker.getPnL(), 2), 0)
self.assertEqual(round(posTracker.getReturn(), 2), 0)
def testSellAndBuyMultipleEvals(self):
posTracker = returns.PositionTracker(INSTRUMENT, DefaultInstrumentTraits())
posTracker.sell(2, 11)
self.assertEqual(posTracker.getAvgPrice(), 11)
self.assertEqual(posTracker.getPnL(price=10), 2)
self.assertEqual(posTracker.getPnL(price=11), 0)
self.assertEqual(posTracker.getPnL(price=12), -2)
self.assertEqual(posTracker.getReturn(11), 0)
posTracker.buy(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 11)
self.assertEqual(posTracker.getPnL(price=11), 1)
self.assertEqual(round(posTracker.getReturn(11), 9), round(0.045454545, 9))
posTracker.buy(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 0)
self.assertEqual(posTracker.getPnL(), 2)
self.assertEqual(posTracker.getPnL(price=100), 2)
self.assertEqual(round(posTracker.getReturn(), 9), round(0.090909091, 9))
def testSellBuySell(self):
posTracker = returns.PositionTracker(INSTRUMENT, DefaultInstrumentTraits())
posTracker.sell(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 10)
self.assertEqual(posTracker.getPnL(), 0)
self.assertEqual(posTracker.getReturn(), 0)
self.assertEqual(posTracker.getPnL(price=13), -3)
self.assertEqual(posTracker.getReturn(13), -0.3)
# Closing the short position and going long 1 @ $13.
# The cost basis for the new position is $13.
posTracker.buy(2, 13)
self.assertEqual(posTracker.getAvgPrice(), 13)
self.assertEqual(posTracker.getPnL(), -3)
self.assertEqual(round(posTracker.getReturn(), 9), round(-0.23076923076923, 9))
posTracker.sell(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 0)
self.assertEqual(posTracker.getPnL(), -6)
self.assertEqual(round(posTracker.getReturn(), 9), round(-0.46153846153846, 9))
def testBuySellBuy(self):
posTracker = returns.PositionTracker(INSTRUMENT, DefaultInstrumentTraits())
posTracker.buy(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 10)
self.assertEqual(posTracker.getPnL(price=9), -1)
self.assertEqual(posTracker.getPnL(), 0)
self.assertEqual(posTracker.getPnL(price=10), 0)
self.assertEqual(posTracker.getPnL(price=11), 1)
self.assertEqual(posTracker.getReturn(), 0)
self.assertEqual(posTracker.getReturn(13), 0.3)
# Closing the long position and short selling 1 @ $13.
# The cost basis for the new position is $13.
posTracker.sell(2, 13)
self.assertEqual(posTracker.getAvgPrice(), 13)
self.assertEqual(posTracker.getPnL(), 3)
self.assertEqual(round(posTracker.getReturn(), 8), 0.23076923)
posTracker.buy(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 0)
self.assertEqual(posTracker.getPnL(), 6)
self.assertEqual(round(posTracker.getReturn(), 9), round(0.46153846153846, 9))
def testProfitReturnsAndCost(self):
posTracker = returns.PositionTracker(INSTRUMENT, DefaultInstrumentTraits())
posTracker.buy(10, 1)
self.assertEqual(posTracker.getPnL(), 0)
self.assertEqual(posTracker.getAvgPrice(), 1)
self.assertEqual(posTracker.getCommissions(), 0)
self.assertEqual(posTracker.getPosition(), 10)
posTracker.buy(20, 1, 10)
self.assertEqual(posTracker.getPnL(), -10)
self.assertEqual(posTracker.getAvgPrice(), 1)
self.assertEqual(posTracker.getCommissions(), 10)
self.assertEqual(posTracker.getPosition(), 30)
posTracker.sell(30, 1)
self.assertEqual(posTracker.getAvgPrice(), 0)
self.assertEqual(posTracker.getPnL(), -10)
self.assertEqual(posTracker.getPosition(), 0)
self.assertEqual(posTracker.getCommissions(), 10)
self.assertEqual(posTracker.getReturn(), -10/30.0)
posTracker.buy(10, 1)
self.assertEqual(posTracker.getPnL(), -10)
self.assertEqual(posTracker.getAvgPrice(), 1)