def test_multiple_talib_with_args(self):
zipline_transforms = [ta.MA(timeperiod=10),
ta.MA(timeperiod=25)]
talib_fn = talib.abstract.MA
algo = TALIBAlgorithm(talib=zipline_transforms)
algo.run(self.source)
# Test if computed values match those computed by pandas rolling mean.
sid = 0
talib_values = np.array([x[sid] for x in
algo.talib_results[zipline_transforms[0]]])
np.testing.assert_array_equal(talib_values,
pd.rolling_mean(self.panel[0]['price'],
10).values)
talib_values = np.array([x[sid] for x in
algo.talib_results[zipline_transforms[1]]])
np.testing.assert_array_equal(talib_values,
pd.rolling_mean(self.panel[0]['price'],
25).values)
for t in zipline_transforms:
talib_result = np.array(algo.talib_results[t][-1])
talib_data = dict()
data = t.window
# TODO: Figure out if we are clobbering the tests by this
# protection against empty windows
if not data:
continue
for key in ['open', 'high', 'low', 'volume']:
if key in data:
talib_data[key] = data[key][0].values
talib_data['close'] = data['price'][0].values
expected_result = talib_fn(talib_data, **t.call_kwargs)[-1]
np.testing.assert_allclose(talib_result, expected_result)
def test_talib_with_default_params(self):
BLACKLIST = [
'make_transform',
'BatchTransform',
# TODO: Figure out why MAVP generates a KeyError
'MAVP'
]
names = [
name for name in dir(ta)
if name[0].isupper() and name not in BLACKLIST
]
for name in names:
print(name)
zipline_transform = getattr(ta, name)(sid=0)
talib_fn = getattr(talib.abstract, name)
start = datetime(1990, 1, 1, tzinfo=pytz.utc)
end = start + timedelta(days=zipline_transform.lookback + 10)
sim_params = factory.create_simulation_parameters(start=start,
end=end)
source, panel = \
factory.create_test_panel_ohlc_source(sim_params, self.env)
algo = TALIBAlgorithm(talib=zipline_transform)
algo.run(source)
zipline_result = np.array(
algo.talib_results[zipline_transform][-1])
talib_data = dict()
data = zipline_transform.window
# TODO: Figure out if we are clobbering the tests by this
# protection against empty windows
if not data:
continue
for key in ['open', 'high', 'low', 'volume']:
if key in data:
talib_data[key] = data[key][0].values
talib_data['close'] = data['price'][0].values
expected_result = talib_fn(talib_data)
if isinstance(expected_result, list):
expected_result = np.array([e[-1] for e in expected_result])
else:
expected_result = np.array(expected_result[-1])
if not (np.all(np.isnan(zipline_result))
and np.all(np.isnan(expected_result))):
self.assertTrue(np.allclose(zipline_result, expected_result))
else:
print('--- NAN')
def test_talib_with_default_params(self):
BLACKLIST = ['make_transform', 'BatchTransform',
# TODO: Figure out why MAVP generates a KeyError
'MAVP']
names = [n for n in dir(ta) if n[0].isupper()
and n not in BLACKLIST]
for name in names:
print name
zipline_transform = getattr(ta, name)(sid=0)
talib_fn = getattr(talib.abstract, name)
start = datetime(1990, 1, 1, tzinfo=pytz.utc)
end = start + timedelta(days=zipline_transform.lookback + 10)
sim_params = factory.create_simulation_parameters(
start=start, end=end)
source, panel = \
factory.create_test_panel_ohlc_source(sim_params)
algo = TALIBAlgorithm(talib=zipline_transform)
algo.run(source)
zipline_result = np.array(
algo.talib_results[zipline_transform][-1])
talib_data = dict()
data = zipline_transform.window
# TODO: Figure out if we are clobbering the tests by this
# protection against empty windows
if not data:
continue
for key in ['open', 'high', 'low', 'volume']:
if key in data:
talib_data[key] = data[key][0].values
talib_data['close'] = data['price'][0].values
expected_result = talib_fn(talib_data)
if isinstance(expected_result, list):
expected_result = np.array([e[-1] for e in expected_result])
else:
expected_result = np.array(expected_result[-1])
if not (np.all(np.isnan(zipline_result))
and np.all(np.isnan(expected_result))):
self.assertTrue(np.allclose(zipline_result, expected_result))
else:
print '--- NAN'
def test_multiple_talib_with_args(self):
zipline_transforms = [ta.MA(0, timeperiod=10), ta.MA(0, timeperiod=25)]
talib_fn = talib.abstract.MA
algo = TALIBAlgorithm(talib=zipline_transforms)
algo.run(self.source)
for t in zipline_transforms:
talib_result = np.array(algo.talib_results[t][-1])
talib_data = dict()
data = t.window
# TODO: Figure out if we are clobbering the tests by this
# protection against empty windows
if not data:
continue
for key in ['open', 'high', 'low', 'volume']:
if key in data:
talib_data[key] = data[key][0].values
talib_data['close'] = data['price'][0].values
expected_result = talib_fn(talib_data, **t.call_kwargs)[-1]
self.assertTrue(np.allclose(talib_result, expected_result))