def test_rebalance_with_commissions():
algo = algos.Rebalance()
s = bt.Strategy('s')
s.set_commissions(lambda q, p: 1)
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame(index=dts, columns=['c1', 'c2'], data=100)
s.setup(data)
s.adjust(1000)
s.update(dts[0])
s.temp['weights'] = {'c1': 1}
assert algo(s)
assert s.value == 999
assert s.capital == 99
c1 = s['c1']
assert c1.value == 900
assert c1.position == 9
assert c1.weight == 900 / 999.
s.temp['weights'] = {'c2': 1}
assert algo(s)
assert s.value == 997
assert s.capital == 97
c2 = s['c2']
assert c1.value == 0
assert c1.position == 0
assert c1.weight == 0
assert c2.value == 900
assert c2.position == 9
assert c2.weight == 900. / 997
def test_rebalance():
algo = algos.Rebalance()
s = bt.Strategy('s')
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame(index=dts, columns=['c1', 'c2'], data=100)
s.setup(data)
s.adjust(1000)
s.update(dts[0])
s.temp['weights'] = {'c1': 1}
assert algo(s)
assert s.value == 1000
assert s.capital == 0
c1 = s['c1']
assert c1.value == 1000
assert c1.position == 10
assert c1.weight == 1.
s.temp['weights'] = {'c2': 1}
assert algo(s)
assert s.value == 1000
assert s.capital == 0
c2 = s['c2']
assert c1.value == 0
assert c1.position == 0
assert c1.weight == 0
assert c2.value == 1000
assert c2.position == 10
assert c2.weight == 1.
def test_rebalance_with_cash():
algo = algos.Rebalance()
s = bt.Strategy('s')
s.set_commissions(lambda q, p: 1)
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame(index=dts, columns=['c1', 'c2'], data=100)
data['c1'][dts[1]] = 105
data['c2'][dts[1]] = 95
s.setup(data)
s.adjust(1000)
s.update(dts[0])
s.temp['weights'] = {'c1': 1}
# set cash amount
s.temp['cash'] = 0.5
assert algo(s)
assert s.value == 999
assert s.capital == 599
c1 = s['c1']
assert c1.value == 400
assert c1.position == 4
assert c1.weight == 400.0 / 999
s.temp['weights'] = {'c2': 1}
# change cash amount
s.temp['cash'] = 0.25
assert algo(s)
assert s.value == 997
assert s.capital == 297
c2 = s['c2']
assert c1.value == 0
assert c1.position == 0
assert c1.weight == 0
assert c2.value == 700
assert c2.position == 7
assert c2.weight == 700.0 / 997
def bt_strategy(self, data, cats, graph_path):
rsmpl = {
'days': 'B',
'weeks': 'W-Fri',
'months': 'BM',
'years': 'BY'
}[self.roll_ptype]
first_date = data.index[0] + relativedelta(**{self.est_ptype: self.est_plen})
run_dates = asfreq_actual(data[data.columns[0]], str(self.roll_plen) + rsmpl)
run_dates = data.loc[run_dates.index]
run_dates = run_dates.loc[run_dates.index > first_date]
run_dates = run_dates.iloc[:-1]
run_dates.loc[data.index[-1]] = data.iloc[-1]
fee_func_parial = partial(fee_func, ff=self.fix_fee, pf=self.prc_fee)
algo_stack = [
algos.RunOnDate(*run_dates.index.tolist()),
algos.SelectAll(),
SaveWeights(),
WeightHRP(plen=self.est_plen, ptype=self.est_ptype, robust=self.robust, ddev=self.ddev, cats=cats, graph_path=graph_path),
GapWeights(self.reb_gap),
]
if self.is_tvol:
algo_stack.append(WeightTargetVol(self.tvol, plen=self.est_plen, ptype=self.est_ptype, kmax=self.leverage))
algo_stack.extend([
WeightAdjust(self.leverage, self.weight_round),
LimitWeights(self.min_weight, self.max_weight, self.leverage),
WeightsToPerm(),
CheckFeeBankrupt(fee_func_parial),
algos.Rebalance()
])
strategy = bt.Strategy(self.name(), algo_stack)
return bt.Backtest(strategy, data.copy(), initial_capital=self.init_balance,
commissions=fee_func_parial, integer_positions=self.int_pos, progress_bar=True)
def test_rebalance_fixedincome():
algo = algos.Rebalance()
c1 = bt.Security('c1')
c2 = bt.CouponPayingSecurity('c2')
s = bt.FixedIncomeStrategy('s', children = [c1, c2])
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame(index=dts, columns=['c1', 'c2'], data=100)
coupons = pd.DataFrame(index=dts, columns=['c2'], data=0)
s.setup(data, coupons=coupons)
s.update(dts[0])
s.temp['notional_value'] = 1000
s.temp['weights'] = {'c1': 1}
assert algo(s)
assert s.value == 0.
assert s.notional_value == 1000
assert s.capital == -1000
c1 = s['c1']
assert c1.value == 1000
assert c1.notional_value == 1000
assert c1.position == 10
assert c1.weight == 1.
s.temp['weights'] = {'c2': 1}
assert algo(s)
assert s.value == 0.
assert s.notional_value == 1000
assert s.capital == -1000*100
c2 = s['c2']
assert c1.value == 0
assert c1.notional_value == 0
assert c1.position == 0
assert c1.weight == 0
assert c2.value == 1000*100
assert c2.notional_value == 1000
assert c2.position == 1000
assert c2.weight == 1.
def test_rebalance_updatecount():
algo = algos.Rebalance()
s = bt.Strategy('s')
s.use_integer_positions(False)
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame(index=dts, columns=['c1', 'c2', 'c3', 'c4','c5'], data=100)
s.setup(data)
s.adjust(1000)
s.update(dts[0])
s.temp['weights'] = {'c1': 0.25, 'c2':0.25, 'c3':0.25, 'c4':0.25}
update = bt.core.SecurityBase.update
bt.core.SecurityBase._update_call_count = 0
def side_effect(self, *args, **kwargs):
bt.core.SecurityBase._update_call_count += 1
return update(self, *args, **kwargs)
with mock.patch.object(bt.core.SecurityBase, 'update', side_effect) as mock_update:
assert algo(s)
assert s.value == 1000
assert s.capital == 0
# Update is called once when each weighted security is created (4)
# and once for each security after all allocations are made (4)
assert bt.core.SecurityBase._update_call_count == 8
s.update(dts[1])
s.temp['weights'] = {'c1': 0.5, 'c2':0.5}
update = bt.core.SecurityBase.update
bt.core.SecurityBase._update_call_count = 0
def side_effect(self, *args, **kwargs):
bt.core.SecurityBase._update_call_count += 1
return update(self, *args, **kwargs)
with mock.patch.object(bt.core.SecurityBase, 'update', side_effect) as mock_update:
assert algo(s)
# Update is called once for each weighted security before allocation (4)
# and once for each security after all allocations are made (4)
assert bt.core.SecurityBase._update_call_count == 8
s.update(dts[2])
s.temp['weights'] = {'c1': 0.25, 'c2':0.25, 'c3':0.25, 'c4':0.25}
update = bt.core.SecurityBase.update
bt.core.SecurityBase._update_call_count = 0
def side_effect(self, *args, **kwargs):
bt.core.SecurityBase._update_call_count += 1
return update(self, *args, **kwargs)
with mock.patch.object(bt.core.SecurityBase, 'update', side_effect) as mock_update:
assert algo(s)
# Update is called once for each weighted security before allocation (2)
# and once for each security after all allocations are made (4)
assert bt.core.SecurityBase._update_call_count == 6
