def setUp(self):
self.DEBUG = True
assets = ['a', 'b', 'c', 'd', 'e']
position = [-10, -5, 3, 2, 1]
price = [1, 2, 10/3, 5, 10]
factor_value = [-1, 0, 1, 2, 3]
sector_id = [1, 1, 2, 2, 1]
self.portfolio_df = pd.DataFrame(index=assets,
data={'position': position,
'price': price,
'factor_value': factor_value,
'sector_id': sector_id})
self.pf = Portfolio.from_dataframe(dataframe=self.portfolio_df)
def test_dollar_neutral_top_selection(self):
def trade_portfolio(buy_low=True):
if buy_low:
# liquidate not wanted longs
for stock in pf1.longs().index:
if signal[stock] >= 0:
pf1.trade(asset=stock, amount=-pf1.position(stock),
price=1, factor_value=signal[stock],
sector_id=1)
# liquidate not wanted shorts
for stock in pf1.shorts().index:
if signal[stock] <= 0:
pf1.trade(asset=stock, amount=-pf1.position(stock),
price=1, factor_value=signal[stock],
sector_id=1)
# order new longs and shorts
for stock in new_pos['new_longs']:
pf1.trade(asset=stock, amount=10-pf1.position(stock),
price=1, factor_value=signal[stock], sector_id=1)
for stock in new_pos['new_shorts']:
pf1.trade(asset=stock, amount=-10-pf1.position(stock),
price=1, factor_value=signal[stock], sector_id=1)
else:
# liquidate not wanted longs
for stock in pf1.longs().index:
if signal[stock] <= 0:
pf1.trade(asset=stock, amount=-pf1.position(stock),
price=1, factor_value=signal[stock],
sector_id=1)
# liquidate not wanted shorts
for stock in pf1.shorts().index:
if signal[stock] >= 0:
pf1.trade(asset=stock, amount=-pf1.position(stock),
price=1, factor_value=signal[stock],
sector_id=1)
# order new longs and shorts
for stock in new_pos['new_longs']:
pf1.trade(asset=stock, amount=10-pf1.position(stock),
price=1, factor_value=signal[stock], sector_id=1)
for stock in new_pos['new_shorts']:
pf1.trade(asset=stock, amount=-10-pf1.position(stock),
price=1, factor_value=signal[stock], sector_id=1)
signal = pd.Series(data={'a': -2, 'b': 0, 'c': 1, 'd': 2, 'e': 3,
'f': -6, 'g': 9, 'h': -10, 'i': 10})
new_pos = dollar_neutral_top_selection(self.pf, signal,
long_quantile=1e-8,
short_quantile=1e-8,
min_th=1e-8,
buy_low=True)
self.assertEqual(new_pos['new_longs'], ['h'])
self.assertEqual(new_pos['new_shorts'], ['i'])
self.assertEqual(new_pos['long_th'], signal['h'])
self.assertEqual(new_pos['short_th'], signal['i'])
self.assertEqual(new_pos['current_longs_incr'], [])
self.assertEqual(new_pos['current_shorts_incr'], [])
pf1 = Portfolio.from_dataframe(dataframe=self.portfolio_df)
trade_portfolio()
if self.DEBUG:
print(pf1.longs(), '\n', pf1.shorts())
self.assertEqual(pf1.longs().index.tolist(), ['h'])
self.assertEqual(pf1.shorts().index.tolist(), ['i'])
new_pos = dollar_neutral_top_selection(self.pf, signal,
long_quantile=1,
short_quantile=1,
min_th=1e-8,
buy_low=True)
self.assertEqual(new_pos['new_longs'], ['h', 'f', 'a'])
self.assertEqual(new_pos['new_shorts'], ['i', 'g', 'e'])
self.assertEqual(new_pos['long_th'], -1e-8)
self.assertEqual(new_pos['short_th'], 1e-8)
self.assertEqual(new_pos['current_longs_incr'], [])
self.assertEqual(new_pos['current_shorts_incr'], [])
pf1 = Portfolio.from_dataframe(dataframe=self.portfolio_df)
trade_portfolio()
if self.DEBUG:
print(pf1.longs(), '\n', pf1.shorts())
self.assertEqual(pf1.longs().index.tolist(), ['h', 'f', 'a'])
self.assertEqual(pf1.shorts().index.tolist(), ['i', 'g', 'e'])
new_pos = dollar_neutral_top_selection(self.pf, signal,
long_quantile=1e-8,
short_quantile=1e-8,
min_th=1e-8,
buy_low=False)
self.assertEqual(new_pos['new_longs'], [])
self.assertEqual(new_pos['new_shorts'], ['h'])
self.assertEqual(new_pos['long_th'], 10)
self.assertEqual(new_pos['short_th'], -10)
self.assertEqual(new_pos['current_longs_incr'], [])
self.assertEqual(new_pos['current_shorts_incr'], [])
pf1 = Portfolio.from_dataframe(dataframe=self.portfolio_df)
trade_portfolio(buy_low=False)
if self.DEBUG:
print(pf1.longs(), '\n', pf1.shorts())
self.assertEqual(pf1.longs().index.tolist(), ['c', 'd', 'e'])
self.assertEqual(pf1.shorts().index.tolist(), ['a', 'h'])
new_pos = dollar_neutral_top_selection(self.pf, signal,
long_quantile=1,
short_quantile=1,
min_th=1e-8,
buy_low=False)
self.assertEqual(new_pos['new_longs'], [])
self.assertEqual(new_pos['new_shorts'], ['h', 'f'])
self.assertEqual(new_pos['long_th'], 1e-8)
self.assertEqual(new_pos['short_th'], -1e-8)
pf1 = Portfolio.from_dataframe(dataframe=self.portfolio_df)
trade_portfolio(buy_low=False)
if self.DEBUG:
print(pf1.longs(), '\n', pf1.shorts())
self.assertEqual(pf1.longs().index.tolist(), ['c', 'd', 'e'])
self.assertEqual(pf1.shorts().index.tolist(), ['a', 'h', 'f'])
new_pos = dollar_neutral_top_selection(self.pf, signal,
long_quantile=0.5,
short_quantile=0.5,
min_th=1e-8,
buy_low=True)
self.assertEqual(new_pos['new_longs'], ['h', 'f', 'a'])
self.assertEqual(new_pos['new_shorts'], ['i', 'g', 'e'])
self.assertEqual(new_pos['long_th'], -1e-8)
self.assertEqual(new_pos['short_th'], 1)
pf1 = Portfolio.from_dataframe(dataframe=self.portfolio_df)
trade_portfolio()
if self.DEBUG:
print(pf1.longs(), '\n', pf1.shorts())
self.assertEqual(pf1.longs().index.tolist(), ['h', 'f', 'a'])
self.assertEqual(pf1.shorts().index.tolist(), ['i', 'g', 'e'])
new_pos = dollar_neutral_top_selection(self.pf, signal,
long_quantile=0.5,
short_quantile=0.5,
min_th=1e-8,
buy_low=False)
self.assertEqual(new_pos['new_longs'], [])
self.assertEqual(new_pos['new_shorts'], ['h', 'f'])
self.assertEqual(new_pos['long_th'], 1)
self.assertEqual(new_pos['short_th'], -1e-8)
pf1 = Portfolio.from_dataframe(dataframe=self.portfolio_df)
trade_portfolio(buy_low=False)
if self.DEBUG:
print(pf1.longs(), '\n', pf1.shorts())
self.assertEqual(pf1.longs().index.tolist(), ['c', 'd', 'e'])
self.assertEqual(pf1.shorts().index.tolist(), ['a', 'h', 'f'])
signal = pd.Series(data={'b': 0, 'c': 1, 'd': 2, 'e': 3, 'a': -20,
'f': -6, 'g': -9, 'h': -10, 'i': -10})
new_pos = dollar_neutral_top_selection(self.pf, signal,
long_quantile=1e-8,
short_quantile=1e-8,
min_th=1e-8,
buy_low=False)
self.assertEqual(new_pos['new_longs'], [])
self.assertEqual(new_pos['new_shorts'], [])
self.assertEqual(new_pos['long_th'], 3)
self.assertEqual(new_pos['short_th'], -20)
self.assertEqual(new_pos['current_longs_incr'], ['e'])
self.assertEqual(new_pos['current_shorts_incr'], ['a'])
pf1 = Portfolio.from_dataframe(dataframe=self.portfolio_df)
trade_portfolio(buy_low=False)
if self.DEBUG:
print(pf1.longs(), '\n', pf1.shorts())
self.assertEqual(pf1.longs().index.tolist(), ['c', 'd', 'e'])
self.assertEqual(pf1.shorts().index.tolist(), ['a'])
signal = pd.Series(data={'b': 0, 'c': 1, 'd': 2, 'e': 3,
'a': -2, 'f': -6, 'g': -9,
'h': -10, 'i': -10})
new_pos = dollar_neutral_top_selection(self.pf, signal,
long_quantile=1,
short_quantile=1,
min_th=1e-8,
buy_low=False)
self.assertEqual(new_pos['new_longs'], [])
self.assertEqual(new_pos['new_shorts'], ['i', 'h'])
self.assertEqual(new_pos['long_th'], 1e-8)
self.assertEqual(new_pos['short_th'], -1e-8)
pf1 = Portfolio.from_dataframe(dataframe=self.portfolio_df)
trade_portfolio(buy_low=False)
if self.DEBUG:
print(pf1.longs(), '\n', pf1.shorts())
self.assertEqual(pf1.longs().index.tolist(), ['c', 'd', 'e'])
self.assertEqual(pf1.shorts().index.tolist(), ['a', 'i', 'h'])
new_pos = dollar_neutral_top_selection(self.pf, signal,
long_quantile=1,
short_quantile=1,
min_th=11,
buy_low=False)
self.assertEqual(new_pos['new_longs'], [])
self.assertEqual(new_pos['new_shorts'], [])
self.assertEqual(new_pos['long_th'], 11)
self.assertEqual(new_pos['short_th'], -11)
pf1 = Portfolio.from_dataframe(dataframe=self.portfolio_df)
trade_portfolio(buy_low=False)
if self.DEBUG:
print(pf1.longs(), '\n', pf1.shorts())
self.assertEqual(pf1.longs().index.tolist(), ['c', 'd', 'e'])
self.assertEqual(pf1.shorts().index.tolist(), ['a'])
new_pos = dollar_neutral_top_selection(self.pf, signal,
long_quantile=1,
short_quantile=1,
min_th=11,
buy_low=True)
self.assertEqual(new_pos['new_longs'], [])
self.assertEqual(new_pos['new_shorts'], [])
self.assertEqual(new_pos['long_th'], -11)
self.assertEqual(new_pos['short_th'], 11)
pf1 = Portfolio.from_dataframe(dataframe=self.portfolio_df)
trade_portfolio(buy_low=True)
if self.DEBUG:
print(pf1.longs(), '\n', pf1.shorts())
self.assertEqual(pf1.longs().index.tolist(), [])
self.assertEqual(pf1.shorts().index.tolist(), [])
signal = pd.Series(data={'a': -2, 'f': 2, 'g': np.nan, 'h': -9,
'i': -10, 'j': 3})
new_pos = dollar_neutral_top_selection(self.pf, signal,
long_quantile=1,
short_quantile=1,
min_th=1e-8,
buy_low=True)
self.assertEqual(new_pos['new_longs'], [])
self.assertEqual(new_pos['new_shorts'], ['j', 'f'])
self.assertEqual(new_pos['long_th'], -1e-8)
self.assertEqual(new_pos['short_th'], 1e-8)
signal = pd.Series(data={'a': np.nan, 'f': np.nan,
'g': np.nan, 'h': np.nan,
'i': 10, 'j': np.nan})
new_pos = dollar_neutral_top_selection(self.pf, signal,
long_quantile=1,
short_quantile=1,
min_th=1e-8,
buy_low=True)
self.assertEqual(new_pos['new_longs'], [])
self.assertEqual(new_pos['new_shorts'], ['i'])
self.assertEqual(new_pos['long_th'], -1e-8)
self.assertEqual(new_pos['short_th'], 10)
assets = ['a', 'b', 'c', 'd', 'e']
position = [-10, -5, 3, 2, 1]
price = [1, 2, 10 / 3, 5, 10]
factor_value = [-1, 0, 1, 2, 3]
sector_id = [1, 1, 2, 2, 1]
portfolio_df = pd.DataFrame(index=assets,
data={
'position': position,
'price': price,
'factor_value': factor_value,
'sector_id': sector_id
})
pf = Portfolio.from_dataframe(dataframe=portfolio_df)
print(pf)
print(pf.sector_net_exposures())
pf.trade(asset='a', amount=10, price=1.1)
print(pf)
print(pf.sector_net_exposures())
print('longs', pf.longs())
print('shorts', pf.shorts())
signal = pd.Series(data={'a': -2, 'f': -6, 'g': 9, 'h': -10, 'i': 10})
new_pos = dollar_neutral_top_selection(pf,
signal,
long_quantile=1,
short_quantile=1,
min_th=0,