def setUp(self):
parser = CSVOrderParser("data/SimpleOrdersFile.csv")
parser.parse()
orders = parser.get_parsed_orders()
start_date, end_date = parser.get_dates_range()
self.market = Market(parser.get_symbols_traded(), start_date, end_date)
self.portfolio = Portfolio(self.market, 1000000)
for order in orders:
self.portfolio.add_order(order)
self.portfolio.calculate_number_of_shares_held()
self.portfolio.calculate_portfolio_value()
self.portfolio_report = PortfolioReport(self.portfolio)
def setUp(self):
self.date_range = date_range('1/1/2011', periods=30, freq='D')
self.ts = Series(0, index=self.date_range)
start_date = datetime(2011, 1, 1)
end_date = datetime(2011, 12, 31)
self.market = Market(["AAPL", "IBM"], start_date, end_date)
self.portfolio = Portfolio(self.market, 1000000)
self.buy_aapl_order = Order(self.market, "2011-01-10", "AAPL", "Buy",
100)
self.buy_ibm_order = Order(self.market, "2011-01-11", "IBM", "Buy", 15)
self.sell_aapl_order = Order(self.market, "2011-01-12", "AAPL", "Sell",
50)
self.sell_ibm_order = Order(self.market, "2011-01-14", "IBM", "Sell",
15)
def setUp(self):
self.date_range = date_range('1/1/2011', periods=30, freq='D')
self.ts = Series(0, index=self.date_range)
start_date = datetime(2011, 1, 1)
end_date = datetime(2011, 12, 31)
self.market = Market(["AAPL","IBM"],start_date,end_date)
self.portfolio = Portfolio(self.market, 1000000)
self.buy_aapl_order = Order(self.market, "2011-01-10", "AAPL", "Buy", 100)
self.buy_ibm_order = Order(self.market, "2011-01-11", "IBM", "Buy", 15)
self.sell_aapl_order = Order(self.market, "2011-01-12", "AAPL", "Sell", 50)
self.sell_ibm_order = Order(self.market, "2011-01-14", "IBM", "Sell", 15)
def setUp(self):
parser = CSVOrderParser("data/SimpleOrdersFile.csv")
parser.parse()
orders = parser.get_parsed_orders()
start_date, end_date = parser.get_dates_range()
self.market = Market(parser.get_symbols_traded(),start_date,end_date)
self.portfolio = Portfolio(self.market, 1000000)
for order in orders:
self.portfolio.add_order(order)
self.portfolio.calculate_number_of_shares_held()
self.portfolio.calculate_portfolio_value()
self.portfolio_report = PortfolioReport(self.portfolio)
class PortfolioReportTest(unittest.TestCase):
def setUp(self):
parser = CSVOrderParser("data/SimpleOrdersFile.csv")
parser.parse()
orders = parser.get_parsed_orders()
start_date, end_date = parser.get_dates_range()
self.market = Market(parser.get_symbols_traded(),start_date,end_date)
self.portfolio = Portfolio(self.market, 1000000)
for order in orders:
self.portfolio.add_order(order)
self.portfolio.calculate_number_of_shares_held()
self.portfolio.calculate_portfolio_value()
self.portfolio_report = PortfolioReport(self.portfolio)
def test_get_total_return(self):
self.assertEqual(self.portfolio_report.get_total_return(), -61900)
def test_get_return(self):
self.assertEqual(self.portfolio_report.get_return(), -0.1267)
class PortfolioReportTest(unittest.TestCase):
def setUp(self):
parser = CSVOrderParser("data/SimpleOrdersFile.csv")
parser.parse()
orders = parser.get_parsed_orders()
start_date, end_date = parser.get_dates_range()
self.market = Market(parser.get_symbols_traded(), start_date, end_date)
self.portfolio = Portfolio(self.market, 1000000)
for order in orders:
self.portfolio.add_order(order)
self.portfolio.calculate_number_of_shares_held()
self.portfolio.calculate_portfolio_value()
self.portfolio_report = PortfolioReport(self.portfolio)
def test_get_total_return(self):
self.assertEqual(self.portfolio_report.get_total_return(), -61900)
def test_get_return(self):
self.assertEqual(self.portfolio_report.get_return(), -0.1267)
class PortfolioTest(unittest.TestCase):
def setUp(self):
self.date_range = date_range('1/1/2011', periods=30, freq='D')
self.ts = Series(0, index=self.date_range)
start_date = datetime(2011, 1, 1)
end_date = datetime(2011, 12, 31)
self.market = Market(["AAPL", "IBM"], start_date, end_date)
self.portfolio = Portfolio(self.market, 1000000)
self.buy_aapl_order = Order(self.market, "2011-01-10", "AAPL", "Buy",
100)
self.buy_ibm_order = Order(self.market, "2011-01-11", "IBM", "Buy", 15)
self.sell_aapl_order = Order(self.market, "2011-01-12", "AAPL", "Sell",
50)
self.sell_ibm_order = Order(self.market, "2011-01-14", "IBM", "Sell",
15)
def test_add_orders(self):
self.portfolio.add_order(self.buy_aapl_order)
self.assertEqual(len(self.portfolio.orders), 1)
def test_sort_orders(self):
self.portfolio.add_order(self.buy_aapl_order)
self.portfolio.add_order(self.sell_ibm_order)
self.portfolio.add_order(self.sell_aapl_order)
self.portfolio.sort_orders()
self.assertEqual(self.portfolio.orders[0].symbol,
self.buy_aapl_order.symbol)
self.assertEqual(self.portfolio.orders[0].type,
self.buy_aapl_order.type)
self.assertEqual(self.portfolio.orders[1].type,
self.sell_aapl_order.type)
self.assertEqual(self.portfolio.orders[1].symbol,
self.sell_aapl_order.symbol)
self.assertEqual(self.portfolio.orders[2].symbol,
self.sell_ibm_order.symbol)
def test_execute_on_cash_ts(self):
#assert initial amount
self.assertEqual(self.portfolio.cash_ts["2011-01-07"], 1000000)
self.portfolio.update_cash_ts_with_order(self.buy_aapl_order)
self.assertEqual(self.portfolio.cash_ts["2011-01-11"], 965901)
self.portfolio.update_cash_ts_with_order(self.buy_ibm_order)
self.assertEqual(self.portfolio.cash_ts["2011-01-12"], 963755)
self.portfolio.update_cash_ts_with_order(self.sell_aapl_order)
self.assertEqual(self.portfolio.cash_ts["2011-01-14"], 980902)
def test_execute_orders(self):
self.add_all_orders()
self.portfolio.calculate_number_of_shares_held()
apple_ts = self.portfolio.holdings_shares["AAPL"]
ibm_ts = self.portfolio.holdings_shares["IBM"]
self.assertEqual(apple_ts["2011-01-04"], 0)
self.assertEqual(apple_ts["2011-01-04"], 0)
self.assertEqual(apple_ts["2011-01-11"], 100)
self.assertEqual(ibm_ts["2011-01-10"], 0)
self.assertEqual(ibm_ts["2011-01-12"], 15)
self.assertEqual(apple_ts["2011-01-14"], 50)
def test_calculate_holdings_value(self):
self.add_all_orders()
self.portfolio.calculate_number_of_shares_held()
self.portfolio.calculate_holdings_value_for_each_symbol()
self.assertEqual(
self.portfolio.get_holding_value("AAPL", "2011-01-04"), 0)
self.assertEqual(
self.portfolio.get_holding_value("AAPL", "2011-01-11"), 34018)
self.assertEqual(
self.portfolio.get_holding_value("AAPL", "2011-01-14"), 17349.5)
self.assertEqual(self.portfolio.get_holding_value("IBM", "2011-01-04"),
0)
self.assertEqual(self.portfolio.get_holding_value("IBM", "2011-01-13"),
2168.25)
self.portfolio.get_holding_value("IBM", "2011-01-18")
self.assertEqual(self.portfolio.get_holding_value("IBM", "2011-01-18"),
0)
def test_calculate_portfolio_value(self):
self.add_all_orders()
self.portfolio.calculate_number_of_shares_held()
self.portfolio.calculate_holdings_value_for_each_symbol()
self.portfolio.calculate_portfolio_value()
self.assertEqual(self.portfolio.portfolio_value["2011-01-04"], 1000000)
self.assertEqual(self.portfolio.portfolio_value["2011-01-10"], 965901)
#helper method
def add_all_orders(self):
self.portfolio.add_order(self.buy_ibm_order)
self.portfolio.add_order(self.buy_aapl_order)
self.portfolio.add_order(self.sell_aapl_order)
self.portfolio.add_order(self.sell_ibm_order)
from backtesting.Portfolio import Portfolio
from backtesting.Report.PortfolioReport import PortfolioReport
import matplotlib.pyplot as plt
import pylab
#A simple program used to run and play around with
#Portfolio and Market
#Plots value of all holdings
order_parser = CSVOrderParser("test/data/SimpleOrdersFile.csv")
order_parser.parse()
start_date, end_date = order_parser.get_dates_range()
market = Market(order_parser.get_symbols_traded(), start_date, end_date)
portfolio = Portfolio(market, 1000000)
for order in order_parser.get_parsed_orders():
portfolio.add_order(order)
portfolio.execute()
portfolio.calculate_portfolio_value()
report = PortfolioReport(portfolio)
print report.get_return()
figure = plt.figure()
figure.axes.append(portfolio.holdings_value_sum.plot())
pylab.show()
from backtesting.Portfolio import Portfolio
from backtesting.Report.PortfolioReport import PortfolioReport
import matplotlib.pyplot as plt
import pylab
#A simple program used to run and play around with
#Portfolio and Market
#Plots value of all holdings
order_parser = CSVOrderParser("test/data/SimpleOrdersFile.csv")
order_parser.parse()
start_date, end_date = order_parser.get_dates_range()
market = Market(order_parser.get_symbols_traded(),start_date,end_date)
portfolio = Portfolio(market, 1000000)
for order in order_parser.get_parsed_orders():
portfolio.add_order(order)
portfolio.execute()
portfolio.calculate_portfolio_value()
report = PortfolioReport(portfolio)
print report.get_return()
figure = plt.figure()
figure.axes.append(portfolio.holdings_value_sum.plot())
pylab.show()
class PortfolioTest(unittest.TestCase):
def setUp(self):
self.date_range = date_range('1/1/2011', periods=30, freq='D')
self.ts = Series(0, index=self.date_range)
start_date = datetime(2011, 1, 1)
end_date = datetime(2011, 12, 31)
self.market = Market(["AAPL","IBM"],start_date,end_date)
self.portfolio = Portfolio(self.market, 1000000)
self.buy_aapl_order = Order(self.market, "2011-01-10", "AAPL", "Buy", 100)
self.buy_ibm_order = Order(self.market, "2011-01-11", "IBM", "Buy", 15)
self.sell_aapl_order = Order(self.market, "2011-01-12", "AAPL", "Sell", 50)
self.sell_ibm_order = Order(self.market, "2011-01-14", "IBM", "Sell", 15)
def test_add_orders(self):
self.portfolio.add_order(self.buy_aapl_order)
self.assertEqual(len(self.portfolio.orders), 1)
def test_sort_orders(self):
self.portfolio.add_order(self.buy_aapl_order)
self.portfolio.add_order(self.sell_ibm_order)
self.portfolio.add_order(self.sell_aapl_order)
self.portfolio.sort_orders()
self.assertEqual(self.portfolio.orders[0].symbol, self.buy_aapl_order.symbol)
self.assertEqual(self.portfolio.orders[0].type, self.buy_aapl_order.type)
self.assertEqual(self.portfolio.orders[1].type, self.sell_aapl_order.type)
self.assertEqual(self.portfolio.orders[1].symbol, self.sell_aapl_order.symbol)
self.assertEqual(self.portfolio.orders[2].symbol, self.sell_ibm_order.symbol)
def test_execute_on_cash_ts(self):
#assert initial amount
self.assertEqual(self.portfolio.cash_ts["2011-01-07"],1000000)
self.portfolio.update_cash_ts_with_order(self.buy_aapl_order)
self.assertEqual(self.portfolio.cash_ts["2011-01-11"],965901)
self.portfolio.update_cash_ts_with_order(self.buy_ibm_order)
self.assertEqual(self.portfolio.cash_ts["2011-01-12"],963755)
self.portfolio.update_cash_ts_with_order(self.sell_aapl_order)
self.assertEqual(self.portfolio.cash_ts["2011-01-14"],980902)
def test_execute_orders(self):
self.add_all_orders()
self.portfolio.calculate_number_of_shares_held()
apple_ts = self.portfolio.holdings_shares["AAPL"]
ibm_ts = self.portfolio.holdings_shares["IBM"]
self.assertEqual(apple_ts["2011-01-04"],0)
self.assertEqual(apple_ts["2011-01-04"],0)
self.assertEqual(apple_ts["2011-01-11"],100)
self.assertEqual(ibm_ts["2011-01-10"],0)
self.assertEqual(ibm_ts["2011-01-12"],15)
self.assertEqual(apple_ts["2011-01-14"],50)
def test_calculate_holdings_value(self):
self.add_all_orders()
self.portfolio.calculate_number_of_shares_held()
self.portfolio.calculate_holdings_value_for_each_symbol()
self.assertEqual(self.portfolio.get_holding_value("AAPL","2011-01-04"),0)
self.assertEqual(self.portfolio.get_holding_value("AAPL","2011-01-11"),34018)
self.assertEqual(self.portfolio.get_holding_value("AAPL","2011-01-14"),17349.5)
self.assertEqual(self.portfolio.get_holding_value("IBM","2011-01-04"),0)
self.assertEqual(self.portfolio.get_holding_value("IBM","2011-01-13"),2168.25)
self.portfolio.get_holding_value("IBM","2011-01-18")
self.assertEqual(self.portfolio.get_holding_value("IBM","2011-01-18"),0)
def test_calculate_portfolio_value(self):
self.add_all_orders()
self.portfolio.calculate_number_of_shares_held()
self.portfolio.calculate_holdings_value_for_each_symbol()
self.portfolio.calculate_portfolio_value()
self.assertEqual(self.portfolio.portfolio_value["2011-01-04"], 1000000)
self.assertEqual(self.portfolio.portfolio_value["2011-01-10"], 965901)
#helper method
def add_all_orders(self):
self.portfolio.add_order(self.buy_ibm_order)
self.portfolio.add_order(self.buy_aapl_order)
self.portfolio.add_order(self.sell_aapl_order)
self.portfolio.add_order(self.sell_ibm_order)