class TestBackTest(unittest.TestCase): def setUp(self): self.sym = "EURUSD" self.aEq = self.assertEqual self.aIn = self.assertIn self.aRaise = self.assertRaises self.aItEq = self.assertItemsEqual self.bt = BackTest() def tearDown(self): pass def bar_close(self, sym, b): print "bar_close: ", b.date def testAddSym(self): f = "yo" self.bt.add_input(self.sym, f, bartype=Bar) self.aEq([(self.sym, f, Bar)], self.bt.inputs) self.aEq(self.bt.bars.keys(), [self.sym]) def testBuyMarket(self): b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506") o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=0.9508, size=10000) self.bt.book.add(o1) #self.bt.bar_close = self.bar_close self.bt.next_bar(self.sym, b1) #should have an open position self.aEq(len(self.bt.poslist.open), 1) p = self.bt.poslist.open[0] self.aEq(p.order_id, o1.id) self.aEq(p.mark, b1.cl) self.aEq(p.entry, o1.level) def testBuyLimit(self): b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506") b2 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9500,0.9506") o1 = Order(self.sym, dir=Order.BUY, type=Order.LIMIT, level=0.9501, size=10000) self.bt.book.add(o1) self.bt.next_bar(self.sym, b1) #should be no fill for b1 self.aEq(len(self.bt.poslist.open), 0) self.bt.next_bar(self.sym, b2) self.aEq(len(self.bt.poslist.open), 1) def testBuyStop(self): b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506") b2 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9511,0.9500,0.9506") o1 = Order(self.sym, dir=Order.BUY, type=Order.STOP, level=0.9510, size=10000) self.bt.book.add(o1) self.bt.next_bar(self.sym, b1) self.aEq(len(self.bt.poslist.open), 0) self.bt.next_bar(self.sym, b2) self.aEq(len(self.bt.poslist.open), 1) def testSellLimit(self): b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506") b2 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9511,0.9505,0.9506") o1 = Order(self.sym, dir=Order.SELL, type=Order.LIMIT, level=0.9510, size=-10000) self.bt.book.add(o1) self.bt.next_bar(self.sym, b1) self.aEq(len(self.bt.poslist.open), 0) self.bt.next_bar(self.sym, b2) self.aEq(len(self.bt.poslist.open), 1) def testSellStop(self): b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506") b2 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9499,0.9506") o1 = Order(self.sym, dir=Order.SELL, type=Order.STOP, level=0.9499, size=-10000) self.bt.book.add(o1) self.bt.next_bar(self.sym, b1) self.aEq(len(self.bt.poslist.open), 0) self.bt.next_bar(self.sym, b2) self.aEq(len(self.bt.poslist.open), 1) def testTP(self): #stop loss/take profit b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506") b2 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9511,0.9505,0.9506") #buy order at 9505 o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=0.9505, size=10000) #stop loss at 9499 sl = Order(self.sym, dir=Order.SELL, type=Order.STOP, level=0.9499, size=-10000) #take profit at 9510 tp = Order(self.sym, dir=Order.SELL, type=Order.LIMIT, level=0.9510, size=-10000) #stop loss hit cancels tp and vice versa Order.OCO(sl, tp) #when the order is filled it activates sl/tp o1.trigger(sl, tp) self.bt.book.add(o1, sl, tp) self.bt.next_bar(self.sym, b1) #the order should be filled self.aEq(len(self.bt.poslist.open), 1) self.aItEq([sl.id, tp.id], self.bt.book.active) self.bt.next_bar(self.sym, b2) self.aEq(len(self.bt.poslist.open), 0) self.aEq(len(self.bt.poslist.closed), 1) self.aEq(len(self.bt.book.active), 0) self.aEq(self.bt.equity, 100005) def testSL(self): #stop loss/take profit b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506") b2 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9499,0.9506") #buy order at 9505 o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=0.9505, size=10000) #stop loss at 9499 sl = Order(self.sym, dir=Order.SELL, type=Order.STOP, level=0.9499, size=-10000) #take profit at 9510 tp = Order(self.sym, dir=Order.SELL, type=Order.LIMIT, level=0.9510, size=-10000) #stop loss hit cancels tp and vice versa Order.OCO(sl, tp) #when the order is filled it activates sl/tp o1.trigger(sl, tp) self.bt.book.add(o1, sl, tp) self.bt.next_bar(self.sym, b1) #the order should be filled self.aEq(len(self.bt.poslist.open), 1) self.aItEq([sl.id, tp.id], self.bt.book.active) self.bt.next_bar(self.sym, b2) self.aEq(len(self.bt.poslist.open), 0) self.aEq(len(self.bt.poslist.closed), 1) self.aEq(len(self.bt.book.active), 0) self.aEq(self.bt.equity, 99994) def testRewind(self): #in this case we have a sl/tp, and get a bar which triggers them both #when this happens, we cancel both the orders and unwind the original position #as if it never happened. If this is happening a lot you need lower time frame data #stop loss/take profit b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506") b2 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9510,0.9499,0.9506") #buy order at 9505 o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=0.9505, size=10000) #stop loss at 9499 sl = Order(self.sym, dir=Order.SELL, type=Order.STOP, level=0.9499, size=-10000) #take profit at 9510 tp = Order(self.sym, dir=Order.SELL, type=Order.LIMIT, level=0.9510, size=-10000) #stop loss hit cancels tp and vice versa Order.OCO(sl, tp) #when the order is filled it activates sl/tp o1.trigger(sl, tp) self.bt.book.add(o1, sl, tp) self.bt.next_bar(self.sym, b1) #the order should be filled self.aEq(len(self.bt.poslist.open), 1) self.aItEq([sl.id, tp.id], self.bt.book.active) self.bt.next_bar(self.sym, b2) self.aEq(len(self.bt.poslist.open), 0) self.aEq(len(self.bt.poslist.closed), 0) self.aEq(len(self.bt.poslist.rewinded), 1) self.aEq(len(self.bt.book.active), 0) self.aEq(self.bt.equity, 100000) def testOpenRewind(self): #in this case we have a sl/tp, and get a bar which triggers them both #when this happens, we cancel both the orders and unwind the original position #as if it never happened. If this is happening a lot you need lower time frame data #stop loss/take profit b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9510,0.9499,0.9506") #buy order at 9505 o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=0.9505, size=10000) #stop loss at 9499 sl = Order(self.sym, dir=Order.SELL, type=Order.STOP, level=0.9499, size=-10000) #take profit at 9510 tp = Order(self.sym, dir=Order.SELL, type=Order.LIMIT, level=0.9510, size=-10000) #stop loss hit cancels tp and vice versa Order.OCO(sl, tp) #when the order is filled it activates sl/tp o1.trigger(sl, tp) self.bt.book.add(o1, sl, tp) self.bt.next_bar(self.sym, b1) #the order should be filled self.aEq(len(self.bt.poslist.open), 1) self.aItEq([sl.id, tp.id], self.bt.book.active) self.bt.next_bar(self.sym, b1) self.aEq(len(self.bt.poslist.open), 0) self.aEq(len(self.bt.poslist.closed), 0) self.aEq(len(self.bt.poslist.rewinded), 1) self.aEq(len(self.bt.book.active), 0) self.aEq(self.bt.equity, 100000)
class TestBackTest(unittest.TestCase): def setUp(self): self.sym = "EURUSD" self.aEq = self.assertEqual self.aIn = self.assertIn self.aRaise = self.assertRaises self.aItEq = self.assertItemsEqual self.bt = BackTest() def tearDown(self): pass def bar_close(self, sym, b): print "bar_close: ", b.date def testAddSym(self): f = "yo" self.bt.add_input(self.sym, f, bartype=Bar) self.aEq([(self.sym, f, Bar)], self.bt.inputs) self.aEq(self.bt.bars.keys(), [self.sym]) def testBuyMarket(self): b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506") o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=0.9508, size=10000) self.bt.book.add(o1) #self.bt.bar_close = self.bar_close self.bt.next_bar(self.sym, b1) #should have an open position self.aEq(len(self.bt.poslist.open), 1) p = self.bt.poslist.open[0] self.aEq(p.order_id, o1.id) self.aEq(p.mark, b1.cl) self.aEq(p.entry, o1.level) def testBuyLimit(self): b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506") b2 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9500,0.9506") o1 = Order(self.sym, dir=Order.BUY, type=Order.LIMIT, level=0.9501, size=10000) self.bt.book.add(o1) self.bt.next_bar(self.sym, b1) #should be no fill for b1 self.aEq(len(self.bt.poslist.open), 0) self.bt.next_bar(self.sym, b2) self.aEq(len(self.bt.poslist.open), 1) def testBuyStop(self): b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506") b2 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9511,0.9500,0.9506") o1 = Order(self.sym, dir=Order.BUY, type=Order.STOP, level=0.9510, size=10000) self.bt.book.add(o1) self.bt.next_bar(self.sym, b1) self.aEq(len(self.bt.poslist.open), 0) self.bt.next_bar(self.sym, b2) self.aEq(len(self.bt.poslist.open), 1) def testSellLimit(self): b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506") b2 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9511,0.9505,0.9506") o1 = Order(self.sym, dir=Order.SELL, type=Order.LIMIT, level=0.9510, size=-10000) self.bt.book.add(o1) self.bt.next_bar(self.sym, b1) self.aEq(len(self.bt.poslist.open), 0) self.bt.next_bar(self.sym, b2) self.aEq(len(self.bt.poslist.open), 1) def testSellStop(self): b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506") b2 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9499,0.9506") o1 = Order(self.sym, dir=Order.SELL, type=Order.STOP, level=0.9499, size=-10000) self.bt.book.add(o1) self.bt.next_bar(self.sym, b1) self.aEq(len(self.bt.poslist.open), 0) self.bt.next_bar(self.sym, b2) self.aEq(len(self.bt.poslist.open), 1) def testTP(self): #stop loss/take profit b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506") b2 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9511,0.9505,0.9506") #buy order at 9505 o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=0.9505, size=10000) #stop loss at 9499 sl = Order(self.sym, dir=Order.SELL, type=Order.STOP, level=0.9499, size=-10000) #take profit at 9510 tp = Order(self.sym, dir=Order.SELL, type=Order.LIMIT, level=0.9510, size=-10000) #stop loss hit cancels tp and vice versa Order.OCO(sl, tp) #when the order is filled it activates sl/tp o1.trigger(sl, tp) self.bt.book.add(o1, sl, tp) self.bt.next_bar(self.sym, b1) #the order should be filled self.aEq(len(self.bt.poslist.open), 1) self.aItEq([sl.id, tp.id], self.bt.book.active) self.bt.next_bar(self.sym, b2) self.aEq(len(self.bt.poslist.open), 0) self.aEq(len(self.bt.poslist.closed), 1) self.aEq(len(self.bt.book.active), 0) self.aEq(self.bt.equity, 100005) def testSL(self): #stop loss/take profit b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506") b2 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9499,0.9506") #buy order at 9505 o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=0.9505, size=10000) #stop loss at 9499 sl = Order(self.sym, dir=Order.SELL, type=Order.STOP, level=0.9499, size=-10000) #take profit at 9510 tp = Order(self.sym, dir=Order.SELL, type=Order.LIMIT, level=0.9510, size=-10000) #stop loss hit cancels tp and vice versa Order.OCO(sl, tp) #when the order is filled it activates sl/tp o1.trigger(sl, tp) self.bt.book.add(o1, sl, tp) self.bt.next_bar(self.sym, b1) #the order should be filled self.aEq(len(self.bt.poslist.open), 1) self.aItEq([sl.id, tp.id], self.bt.book.active) self.bt.next_bar(self.sym, b2) self.aEq(len(self.bt.poslist.open), 0) self.aEq(len(self.bt.poslist.closed), 1) self.aEq(len(self.bt.book.active), 0) self.aEq(self.bt.equity, 99994) def testRewind(self): #in this case we have a sl/tp, and get a bar which triggers them both #when this happens, we cancel both the orders and unwind the original position #as if it never happened. If this is happening a lot you need lower time frame data #stop loss/take profit b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506") b2 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9510,0.9499,0.9506") #buy order at 9505 o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=0.9505, size=10000) #stop loss at 9499 sl = Order(self.sym, dir=Order.SELL, type=Order.STOP, level=0.9499, size=-10000) #take profit at 9510 tp = Order(self.sym, dir=Order.SELL, type=Order.LIMIT, level=0.9510, size=-10000) #stop loss hit cancels tp and vice versa Order.OCO(sl, tp) #when the order is filled it activates sl/tp o1.trigger(sl, tp) self.bt.book.add(o1, sl, tp) self.bt.next_bar(self.sym, b1) #the order should be filled self.aEq(len(self.bt.poslist.open), 1) self.aItEq([sl.id, tp.id], self.bt.book.active) self.bt.next_bar(self.sym, b2) self.aEq(len(self.bt.poslist.open), 0) self.aEq(len(self.bt.poslist.closed), 0) self.aEq(len(self.bt.poslist.rewinded), 1) self.aEq(len(self.bt.book.active), 0) self.aEq(self.bt.equity, 100000) def testOpenRewind(self): #in this case we have a sl/tp, and get a bar which triggers them both #when this happens, we cancel both the orders and unwind the original position #as if it never happened. If this is happening a lot you need lower time frame data #stop loss/take profit b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9510,0.9499,0.9506") #buy order at 9505 o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=0.9505, size=10000) #stop loss at 9499 sl = Order(self.sym, dir=Order.SELL, type=Order.STOP, level=0.9499, size=-10000) #take profit at 9510 tp = Order(self.sym, dir=Order.SELL, type=Order.LIMIT, level=0.9510, size=-10000) #stop loss hit cancels tp and vice versa Order.OCO(sl, tp) #when the order is filled it activates sl/tp o1.trigger(sl, tp) self.bt.book.add(o1, sl, tp) self.bt.next_bar(self.sym, b1) #the order should be filled self.aEq(len(self.bt.poslist.open), 1) self.aItEq([sl.id, tp.id], self.bt.book.active) self.bt.next_bar(self.sym, b1) self.aEq(len(self.bt.poslist.open), 0) self.aEq(len(self.bt.poslist.closed), 0) self.aEq(len(self.bt.poslist.rewinded), 1) self.aEq(len(self.bt.book.active), 0) self.aEq(self.bt.equity, 100000)
