def testCumulativeReturn(self): initialCash = 33.06 barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV( AnalyzerTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv")) strat = position_test.TestStrategy(barFeed, AnalyzerTestCase.TestInstrument, initialCash) strat.addPosEntry(datetime.datetime(2001, 1, 12), strat.enterLong, AnalyzerTestCase.TestInstrument, 1) # 33.06 strat.addPosExitMarket(datetime.datetime(2001, 11, 27)) # 14.32 stratAnalyzer = returns.Returns(maxLen=10) strat.attachAnalyzer(stratAnalyzer) strat.run() self.assertTrue( round(strat.getBroker().getCash(), 2) == round( initialCash + (14.32 - 33.06), 2)) self.assertTrue( round(33.06 * (1 + stratAnalyzer.getCumulativeReturns()[-1]), 2) == 14.32) self.assertEqual(len(stratAnalyzer.getCumulativeReturns()), 10) self.assertEqual(len(stratAnalyzer.getReturns()), 10)
def testBaseBarFeed(self): barFeed = yahoofeed.Feed() barFeed.sanitizeBars(True) barFeed.addBarsFromCSV( FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv")) barfeed_test.check_base_barfeed(self, barFeed, True)
def testTwoBarReturns_CloseClose(self): initialCash = 15.90 barFeed = yahoofeed.Feed() barFeed.setBarFilter( csvfeed.DateRangeFilter(datetime.datetime(2001, 12, 06), datetime.datetime(2001, 12, 07))) barFeed.addBarsFromCSV( AnalyzerTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv")) strat = strategy_test.TestStrategy(barFeed, initialCash) # 2001-12-06,15.61,16.03,15.50,15.90,66944900,15.55 # 2001-12-07,15.74,15.95,15.55,15.91,42463200,15.56 # Manually place the entry order, to get it filled on the first bar. order = strat.getBroker().createMarketOrder( broker.Order.Action.BUY, AnalyzerTestCase.TestInstrument, 1, True) # Close: 15.90 strat.getBroker().submitOrder(order) strat.addOrder(datetime.datetime(2001, 12, 06), strat.getBroker().createMarketOrder, broker.Order.Action.SELL, AnalyzerTestCase.TestInstrument, 1, True) # Close: 15.91 stratAnalyzer = returns.Returns() strat.attachAnalyzer(stratAnalyzer) strat.run() self.assertTrue(strat.getBroker().getCash() == initialCash + (15.91 - 15.90)) # First day returns: 0 self.assertTrue(stratAnalyzer.getReturns()[0] == 0) # Second day returns: Open vs Prev. day's close self.assertTrue(stratAnalyzer.getReturns()[1] == (15.91 - 15.90) / 15.90)
def __getFeed(self): # Load the feed and process all bars. barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV( LineBreakTestCase.Instrument, common.get_data_file_path("orcl-2001-yahoofinance.csv")) return barFeed
def testBounded(self): tmpFeed = TemporarySQLiteFeed(SQLiteFeedTestCase.dbName, bar.Frequency.DAY, maxLen=2) with tmpFeed: # Load bars using a Yahoo! feed. yahooFeed = yahoofeed.Feed(maxLen=1) yahooFeed.addBarsFromCSV( "orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv"), marketsession.USEquities.timezone) yahooFeed.addBarsFromCSV( "orcl", common.get_data_file_path("orcl-2001-yahoofinance.csv"), marketsession.USEquities.timezone) # Fill the database using the bars from the Yahoo! feed. sqliteFeed = tmpFeed.getFeed() sqliteFeed.getDatabase().addBarsFromFeed(yahooFeed) # Load the SQLite feed and process all bars. sqliteFeed.loadBars("orcl") for bars in sqliteFeed: pass barDS = sqliteFeed["orcl"] self.assertEqual(len(barDS), 2) self.assertEqual(len(barDS.getDateTimes()), 2) self.assertEqual(len(barDS.getCloseDataSeries()), 2) self.assertEqual(len(barDS.getCloseDataSeries().getDateTimes()), 2) self.assertEqual(len(barDS.getOpenDataSeries()), 2) self.assertEqual(len(barDS.getHighDataSeries()), 2) self.assertEqual(len(barDS.getLowDataSeries()), 2) self.assertEqual(len(barDS.getAdjCloseDataSeries()), 2)
def testIGE_BrokerWithCommission(self): commision = 0.5 initialCash = 42.09 + commision # This testcase is based on an example from Ernie Chan's book: # 'Quantitative Trading: How to Build Your Own Algorithmic Trading Business' barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV("ige", common.get_data_file_path("sharpe-ratio-test-ige.csv")) strat = strategy_test.TestStrategy(barFeed, initialCash) strat.getBroker().setCommission(backtesting.FixedPerTrade(commision)) strat.setUseAdjustedValues(True) strat.setBrokerOrdersGTC(True) stratAnalyzer = sharpe.SharpeRatio() strat.attachAnalyzer(stratAnalyzer) # Disable volume checks to match book results. strat.getBroker().getFillStrategy().setVolumeLimit(None) # Manually place the order to get it filled on the first bar. order = strat.getBroker().createMarketOrder(broker.Order.Action.BUY, "ige", 1, True) # Adj. Close: 42.09 order.setGoodTillCanceled(True) strat.getBroker().submitOrder(order) strat.addOrder(datetime.datetime(2007, 11, 13), strat.getBroker().createMarketOrder, broker.Order.Action.SELL, "ige", 1, True) # Adj. Close: 127.64 strat.run() self.assertTrue(round(strat.getBroker().getCash(), 2) == initialCash + (127.64 - 42.09 - commision*2)) self.assertEqual(strat.orderUpdatedCalls, 6) # The results are slightly different only because I'm taking into account the first bar as well, # and I'm also adding commissions. self.assertEqual(round(stratAnalyzer.getSharpeRatio(0.04, True), 6), 0.776443)
def testFirstBar(self): initialCash = 1000 barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV( AnalyzerTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv")) strat = strategy_test.TestStrategy(barFeed, initialCash) strat.addOrder(datetime.datetime(2001, 01, 02), strat.getBroker().createMarketOrder, broker.Order.Action.BUY, AnalyzerTestCase.TestInstrument, 1, False) # 2001-01-03 Open: 25.25 Close: 32.00 stratAnalyzer = returns.Returns() strat.attachAnalyzer(stratAnalyzer) strat.run() self.assertEqual(stratAnalyzer.getReturns()[0], 0) self.assertEqual(stratAnalyzer.getReturns()[1], (32.00 - 25.25) / 1000) # Check date times. datetimes = barFeed[AnalyzerTestCase.TestInstrument].getDateTimes() for i in [0, -1]: self.assertEqual(stratAnalyzer.getReturns().getDateTimes()[i], datetimes[i]) self.assertEqual( stratAnalyzer.getCumulativeReturns().getDateTimes()[i], datetimes[i])
def testOneBarReturn(self): initialCash = 1000 barFeed = yahoofeed.Feed() barFeed.setBarFilter( csvfeed.DateRangeFilter(datetime.datetime(2001, 12, 07), datetime.datetime(2001, 12, 07))) barFeed.addBarsFromCSV( AnalyzerTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv")) strat = strategy_test.TestStrategy(barFeed, initialCash) # 2001-12-07,15.74,15.95,15.55,15.91,42463200,15.56 # Manually place the orders to get them filled on the first (and only) bar. order = strat.getBroker().createMarketOrder( broker.Order.Action.BUY, AnalyzerTestCase.TestInstrument, 1, False) # Open: 15.74 strat.getBroker().submitOrder(order) order = strat.getBroker().createMarketOrder( broker.Order.Action.SELL, AnalyzerTestCase.TestInstrument, 1, True) # Close: 15.91 strat.getBroker().submitOrder(order) stratAnalyzer = returns.Returns() strat.attachAnalyzer(stratAnalyzer) strat.run() self.assertTrue(strat.getBroker().getCash() == initialCash + (15.91 - 15.74)) finalValue = 1000 - 15.74 + 15.91 rets = (finalValue - initialCash) / float(initialCash) self.assertEqual(stratAnalyzer.getReturns()[-1], rets)
def testDefaultInstrument(self): barFeed = yahoofeed.Feed() self.assertEquals(barFeed.getDefaultInstrument(), None) barFeed.addBarsFromCSV( FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv")) self.assertEquals(barFeed.getDefaultInstrument(), FeedTestCase.TestInstrument)
def testWithIntegerTimezone(self): try: barFeed = yahoofeed.Feed(timezone=-5) self.assertTrue(False, "Exception expected") except Exception, e: self.assertTrue( str(e).find( "timezone as an int parameter is not supported anymore") == 0)
def __test(self, strategyClass, finalValue): feed = yahoofeed.Feed() feed.addBarsFromCSV( "orcl", common.get_data_file_path("orcl-2001-yahoofinance.csv")) myStrategy = strategyClass(feed, 10, 25) myStrategy.run() myStrategy.printDebug("Final result:", round(myStrategy.getFinalValue(), 2)) self.assertTrue(round(myStrategy.getFinalValue(), 2) == finalValue)
def testNoEvents(self): feed = yahoofeed.Feed() feed.addBarsFromCSV( "orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv")) predicate = Predicate([]) eventProfiler = eventprofiler.Profiler(predicate, 5, 5) eventProfiler.run(feed, True) self.assertEqual(eventProfiler.getResults().getEventCount(), 0)
def testLocal(self): barFeed = yahoofeed.Feed() instrument = "orcl" barFeed.addBarsFromCSV(instrument, common.get_data_file_path("orcl-2000-yahoofinance.csv")) res = local.run( sma_crossover.SMACrossOver, barFeed, parameters_generator(instrument, 5, 100), logLevel=logging.DEBUG ) self.assertEquals(round(res.getResult(), 2), 1295462.6) self.assertEquals(res.getParameters()[1], 20)
def testDuplicateBars(self): barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV( FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv")) barFeed.addBarsFromCSV( FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv")) with self.assertRaisesRegexp(Exception, "Duplicate bars found for.*"): barFeed.loadAll()
def build_feed(instruments, fromYear, toYear, storage, frequency=bar.Frequency.DAY, timezone=None, skipErrors=False): """Build and load a :class:`engine.barfeed.yahoofeed.Feed` using CSV files downloaded from Yahoo! Finance. CSV files are downloaded if they haven't been downloaded before. :param instruments: Instrument identifiers. :type instruments: list. :param fromYear: The first year. :type fromYear: int. :param toYear: The last year. :type toYear: int. :param storage: The path were the files will be loaded from, or downloaded to. :type storage: string. :param frequency: The frequency of the bars. Only **engine.bar.Frequency.DAY** or **engine.bar.Frequency.WEEK** are supported. :param timezone: The default timezone to use to localize bars. Check :mod:`engine.marketsession`. :type timezone: A pytz timezone. :param skipErrors: True to keep on loading/downloading files in case of errors. :type skipErrors: boolean. :rtype: :class:`engine.barfeed.yahoofeed.Feed`. """ logger = engine.logger.getLogger("yahoofinance") ret = yahoofeed.Feed(frequency, timezone) if not os.path.exists(storage): logger.info("Creating %s directory" % (storage)) os.mkdir(storage) for year in range(fromYear, toYear + 1): for instrument in instruments: fileName = os.path.join( storage, "%s-%d-yahoofinance.csv" % (instrument, year)) if not os.path.exists(fileName): logger.info("Downloading %s %d to %s" % (instrument, year, fileName)) try: if frequency == bar.Frequency.DAY: download_daily_bars(instrument, year, fileName) elif frequency == bar.Frequency.WEEK: download_weekly_bars(instrument, year, fileName) else: raise Exception("Invalid frequency") except Exception, e: if skipErrors: logger.error(str(e)) continue else: raise e ret.addBarsFromCSV(instrument, fileName)
def testDownloadAndParseDaily(self): instrument = "orcl" with common.TmpDir() as tmp_path: path = os.path.join(tmp_path, "orcl-2010.csv") yahoofinance.download_daily_bars(instrument, 2010, path) bf = yahoofeed.Feed() bf.addBarsFromCSV(instrument, path) bf.loadAll() self.assertEqual(round(bf[instrument][-1].getOpen(), 2), 31.22) self.assertEqual(round(bf[instrument][-1].getClose(), 2), 31.30)
def testWithoutTimezone(self): barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV( FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv")) barFeed.addBarsFromCSV( FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv")) for dateTime, bars in barFeed: bar = bars.getBar(FeedTestCase.TestInstrument) self.assertTrue(dt.datetime_is_naive(bar.getDateTime()))
def testOneEvent(self): feed = yahoofeed.Feed() feed.addBarsFromCSV( "orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv")) predicate = Predicate([datetime.date(2000, 1, 11)]) eventProfiler = eventprofiler.Profiler(predicate, 5, 5) eventProfiler.run(feed, True) self.assertEqual(eventProfiler.getResults().getEventCount(), 1) self.assertEqual(eventProfiler.getResults().getValues(0)[0], 1.0) self.assertEqual(round(eventProfiler.getResults().getValues(5)[0], 5), round(1.016745541, 5))
def testNoTrades(self): barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV("ige", common.get_data_file_path("sharpe-ratio-test-ige.csv")) strat = strategy_test.TestStrategy(barFeed, 1000) stratAnalyzer = sharpe.SharpeRatio() strat.attachAnalyzer(stratAnalyzer) strat.run() self.assertTrue(strat.getBroker().getCash() == 1000) self.assertTrue(stratAnalyzer.getSharpeRatio(0.04, True) == 0) self.assertTrue(stratAnalyzer.getSharpeRatio(0) == 0) self.assertTrue(stratAnalyzer.getSharpeRatio(0, True) == 0)
def testMapTypeOperations(self): barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV( FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"), marketsession.USEquities.getTimezone()) for dateTime, bars in barFeed: self.assertTrue(FeedTestCase.TestInstrument in bars) self.assertFalse(FeedTestCase.TestInstrument not in bars) bars[FeedTestCase.TestInstrument] with self.assertRaises(KeyError): bars["pirulo"]
def testWithDefaultTimezone(self): barFeed = yahoofeed.Feed( timezone=marketsession.USEquities.getTimezone()) barFeed.addBarsFromCSV( FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv")) barFeed.addBarsFromCSV( FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv")) for dateTime, bars in barFeed: bar = bars.getBar(FeedTestCase.TestInstrument) self.assertFalse(dt.datetime_is_naive(bar.getDateTime()))
def testDownloadAndParseWeekly(self): instrument = "aapl" with common.TmpDir() as tmp_path: path = os.path.join(tmp_path, "aapl-weekly-2013.csv") yahoofinance.download_weekly_bars(instrument, 2013, path) bf = yahoofeed.Feed(frequency=bar.Frequency.WEEK) bf.addBarsFromCSV(instrument, path) bf.loadAll() self.assertEqual(round(bf[instrument][-1].getOpen(), 2), 557.46) self.assertEqual(round(bf[instrument][-1].getHigh(), 2), 561.28) self.assertEqual(round(bf[instrument][-1].getLow(), 2), 540.43) self.assertEqual(round(bf[instrument][-1].getClose(), 2), 540.98) self.assertTrue(bf[instrument][-1].getVolume() in (9852500, 9855900, 68991600))
def testCSVFeedLoadOrder(self): barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV( FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv")) barFeed.addBarsFromCSV( FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv")) # Dispatch and handle events. handler = BarFeedEventHandler_TestLoadOrder( self, barFeed, FeedTestCase.TestInstrument) barFeed.getNewValuesEvent().subscribe(handler.onBars) while not barFeed.eof(): barFeed.dispatch() self.assertTrue(handler.getEventCount() > 0)
def testDifferentTimezones(self): # Market times in UTC: # - TSE: 0hs ~ 6hs # - US: 14:30hs ~ 21hs feed = yahoofeed.Feed() for year in [2010, 2011]: feed.addBarsFromCSV( "^n225", common.get_data_file_path("nikkei-%d-yahoofinance.csv" % year), marketsession.TSE.getTimezone()) feed.addBarsFromCSV( "spy", common.get_data_file_path("spy-%d-yahoofinance.csv" % year), marketsession.USEquities.getTimezone()) self.__testDifferentTimezonesImpl(feed)
def __testFilteredRangeImpl(self, fromDate, toDate): barFeed = yahoofeed.Feed() barFeed.setBarFilter(csvfeed.DateRangeFilter(fromDate, toDate)) barFeed.addBarsFromCSV( FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv")) barFeed.addBarsFromCSV( FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv")) # Dispatch and handle events. handler = BarFeedEventHandler_TestFilterRange( self, FeedTestCase.TestInstrument, fromDate, toDate) barFeed.getNewValuesEvent().subscribe(handler.onBars) while not barFeed.eof(): barFeed.dispatch() self.assertTrue(handler.getEventCount() > 0)
def testBounded(self): barFeed = yahoofeed.Feed(maxLen=2) barFeed.addBarsFromCSV( FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"), marketsession.USEquities.getTimezone()) for dateTime, bars in barFeed: pass barDS = barFeed[FeedTestCase.TestInstrument] self.assertEqual(len(barDS), 2) self.assertEqual(len(barDS.getDateTimes()), 2) self.assertEqual(len(barDS.getCloseDataSeries()), 2) self.assertEqual(len(barDS.getCloseDataSeries().getDateTimes()), 2) self.assertEqual(len(barDS.getOpenDataSeries()), 2) self.assertEqual(len(barDS.getHighDataSeries()), 2) self.assertEqual(len(barDS.getLowDataSeries()), 2) self.assertEqual(len(barDS.getAdjCloseDataSeries()), 2)
def testNoTrades(self): barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV( "ige", common.get_data_file_path("sharpe-ratio-test-ige.csv")) barFeed.addBarsFromCSV( "spy", common.get_data_file_path("sharpe-ratio-test-spy.csv")) strat = strategy_test.TestStrategy(barFeed, 1000) strat.setBrokerOrdersGTC(True) strat.setUseAdjustedValues(True) stratAnalyzer = drawdown.DrawDown() strat.attachAnalyzer(stratAnalyzer) strat.run() self.assertTrue(strat.getBroker().getCash() == 1000) self.assertEqual(strat.orderUpdatedCalls, 0) self.assertTrue(stratAnalyzer.getMaxDrawDown() == 0) self.assertTrue( stratAnalyzer.getLongestDrawDownDuration() == datetime.timedelta())
def testMultipleInstrumentsInterleaved(self): barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV( "spy", common.get_data_file_path("spy-2010-yahoofinance.csv"), marketsession.NYSE.getTimezone()) barFeed.addBarsFromCSV( "nikkei", common.get_data_file_path("nikkei-2010-yahoofinance.csv"), marketsession.TSE.getTimezone()) strat = strategy_test.TestStrategy(barFeed, 1000) stratAnalyzer = returns.Returns() strat.attachAnalyzer(stratAnalyzer) strat.marketOrder("spy", 1) strat.run() # The cumulative return should be the same if we load nikkei or not. self.assertEqual(round(stratAnalyzer.getCumulativeReturns()[-1], 5), 0.01338)
def testReset(self): barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV( FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"), marketsession.USEquities.getTimezone()) barFeed.loadAll() instruments = barFeed.getRegisteredInstruments() ds = barFeed[FeedTestCase.TestInstrument] barFeed.reset() barFeed.loadAll() reloadedDs = barFeed[FeedTestCase.TestInstrument] self.assertEqual(len(reloadedDs), len(ds)) self.assertNotEqual(reloadedDs, ds) self.assertEqual(instruments, barFeed.getRegisteredInstruments()) for i in range(len(ds)): self.assertEqual(ds[i].getDateTime(), reloadedDs[i].getDateTime()) self.assertEqual(ds[i].getClose(), reloadedDs[i].getClose())
def testResampledBarFeed(self): barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV("spy", common.get_data_file_path("spy-2010-yahoofinance.csv")) barFeed.addBarsFromCSV("nikkei", common.get_data_file_path("nikkei-2010-yahoofinance.csv")) resampledBarFeed = resampled_bf.ResampledBarFeed(barFeed, bar.Frequency.MONTH) disp = dispatcher.Dispatcher() disp.addSubject(barFeed) disp.addSubject(resampledBarFeed) disp.run() weeklySpyBarDS = resampledBarFeed["spy"] weeklyNikkeiBarDS = resampledBarFeed["nikkei"] # Check first bar self.assertEqual(weeklySpyBarDS[0].getDateTime().date(), datetime.date(2010, 1, 1)) self.assertEqual(weeklyNikkeiBarDS[0].getDateTime().date(), datetime.date(2010, 1, 1)) # Check last bar self.assertEqual(weeklySpyBarDS[-1].getDateTime().date(), datetime.date(2010, 11, 1)) self.assertEqual(weeklyNikkeiBarDS[-1].getDateTime().date(), datetime.date(2010, 11, 1))