def testTwoBarReturns_CloseClose(self):
barFeed = yahoofeed.Feed()
barFeed.setBarFilter(
csvfeed.DateRangeFilter(datetime.datetime(2001, 12, 06),
datetime.datetime(2001, 12, 07)))
barFeed.addBarsFromCSV(
ReturnsTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
strat = strategy_test.TestStrategy(barFeed, 1000)
# 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, ReturnsTestCase.TestInstrument, 1,
True) # Close: 15.90
strat.getBroker().placeOrder(order)
strat.addOrder(datetime.datetime(2001, 12, 06),
strat.getBroker().createMarketOrder,
broker.Order.Action.SELL,
ReturnsTestCase.TestInstrument, 1, True) # Close: 15.91
returnsDS = returns.ReturnsDataSeries(strat)
strat.run()
self.assertTrue(strat.getBroker().getCash() == 1000 + (15.91 - 15.90))
# First day returns: 0
self.assertTrue(returnsDS.getValueAbsolute(0) == 0)
# Second day returns: Open vs Prev. day's close
self.assertTrue(
returnsDS.getValueAbsolute(1) == (15.91 - 15.90) / 15.90)
from pyalgotrade import plotter
from pyalgotrade.barfeed import yahoofeed
from pyalgotrade.stratanalyzer import returns
import smacross_strategy
# Load the yahoo feed from the CSV file
feed = yahoofeed.Feed()
feed.addBarsFromCSV("orcl", "orcl-2000.csv")
# Evaluate the strategy with the feed's bars.
myStrategy = smacross_strategy.Strategy(feed, 20)
# Attach the plotter to the strategy.
plt = plotter.StrategyPlotter(myStrategy)
# Include the SMA in the instrument's subplot to get it displayed along with the closing prices.
plt.getInstrumentSubplot("orcl").addDataSeries("SMA", myStrategy.getSMA())
# Plot the strategy returns at each bar.
plt.getOrCreateSubplot("returns").addDataSeries(
"Net return", returns.ReturnsDataSeries(myStrategy))
plt.getOrCreateSubplot("returns").addDataSeries(
"Cum. return", returns.CumulativeReturnsDataSeries(myStrategy))
# Run the strategy.
myStrategy.run()
print "Final portfolio value: $%.2f" % myStrategy.getResult()
# Plot the strategy.
plt.plot()