def test_get_events_time_limit_barriers(self):
triple_barrier = labels.TripleBarrier(barrier_up=1, barrier_down=1)
events_calculated = triple_barrier.get_events(
prices=self.prices,
time_events=self.prices.index,
target=self.target,
tl=self.tl_dyn)
expected_data = {
'tl': [
dt.datetime.fromisoformat("2020-08-01 08:00:03"),
dt.datetime.fromisoformat("2020-08-01 08:00:03"),
dt.datetime.fromisoformat("2020-08-01 08:00:03"),
dt.datetime.fromisoformat("2020-08-01 08:00:04"),
dt.datetime.fromisoformat("2020-08-01 08:00:05"),
dt.datetime.fromisoformat("2020-08-01 08:00:08"),
dt.datetime.fromisoformat("2020-08-01 08:00:09"),
dt.datetime.fromisoformat("2020-08-01 08:00:10"),
dt.datetime.fromisoformat("2020-08-01 08:00:11"),
dt.datetime.fromisoformat("2020-08-01 08:00:12"),
],
'target': [0.1 for _ in range(10)]
}
events_expected = pd.DataFrame(data=expected_data,
index=self.events.index)
pdt.assert_frame_equal(events_expected, events_calculated)
def test_simulate_time_limit_barriers(self):
triple_barrier = labels.TripleBarrier(barrier_up=1, barrier_down=1)
out_calculated = triple_barrier.simulate(prices=self.prices,
events=self.events_dyn,
molecule=self.events.index)
expected_data = {
'tl': [
dt.datetime.fromisoformat("2020-08-01 08:00:03"),
dt.datetime.fromisoformat("2020-08-01 08:00:04"),
dt.datetime.fromisoformat("2020-08-01 08:00:05"),
dt.datetime.fromisoformat("2020-08-01 08:00:06"),
dt.datetime.fromisoformat("2020-08-01 08:00:07"),
dt.datetime.fromisoformat("2020-08-01 08:00:08"),
dt.datetime.fromisoformat("2020-08-01 08:00:09"),
dt.datetime.fromisoformat("2020-08-01 08:00:10"),
dt.datetime.fromisoformat("2020-08-01 08:00:11"),
dt.datetime.fromisoformat("2020-08-01 08:00:12"),
],
'sl': [
pd.NaT, pd.NaT,
dt.datetime.fromisoformat("2020-08-01 08:00:05"),
dt.datetime.fromisoformat("2020-08-01 08:00:04"),
dt.datetime.fromisoformat("2020-08-01 08:00:05"),
*(pd.NaT for _ in range(5))
],
'pt': [
dt.datetime.fromisoformat("2020-08-01 08:00:03"),
dt.datetime.fromisoformat("2020-08-01 08:00:03"),
dt.datetime.fromisoformat("2020-08-01 08:00:03"),
*(pd.NaT for _ in range(7))
]
}
out_expected = pd.DataFrame(data=expected_data,
index=self.events.index)
pdt.assert_frame_equal(out_expected, out_calculated)
def test_simulate_no_barrier(self):
triple_barrier = labels.TripleBarrier()
out_calculated = triple_barrier.simulate(prices=self.prices,
events=self.events,
molecule=self.events.index)
expected_data = {
'tl': [pd.NaT for _ in range(10)],
'sl': [pd.NaT for _ in range(10)],
'pt': [pd.NaT for _ in range(10)]
}
out_expected = pd.DataFrame(data=expected_data,
index=self.events.index)
pdt.assert_frame_equal(out_expected, out_calculated)
def test_simulate_up_barrier(self):
triple_barrier = labels.TripleBarrier(barrier_up=1)
out_calculated = triple_barrier.simulate(prices=self.prices,
events=self.events,
molecule=self.events.index)
expected_data = {
'tl': [pd.NaT for _ in range(10)],
'sl': [pd.NaT for _ in range(10)],
'pt': [
dt.datetime.fromisoformat("2020-08-01 08:00:03"),
dt.datetime.fromisoformat("2020-08-01 08:00:03"),
dt.datetime.fromisoformat("2020-08-01 08:00:03"),
*(pd.NaT for _ in range(7))
]
}
out_expected = pd.DataFrame(data=expected_data,
index=self.events.index)
pdt.assert_frame_equal(out_expected, out_calculated)
def test_get_bins_time_limit_barriers(self):
data = {
'tl': [
dt.datetime.fromisoformat("2020-08-01 08:00:03"), #0
dt.datetime.fromisoformat("2020-08-01 08:00:03"), #1
dt.datetime.fromisoformat("2020-08-01 08:00:03"), #2
dt.datetime.fromisoformat("2020-08-01 08:00:04"), #3
dt.datetime.fromisoformat("2020-08-01 08:00:05"), #4
dt.datetime.fromisoformat("2020-08-01 08:00:08"), #5
dt.datetime.fromisoformat("2020-08-01 08:00:09"), #6
dt.datetime.fromisoformat("2020-08-01 08:00:10"), #7
dt.datetime.fromisoformat("2020-08-01 08:00:11"), #8
dt.datetime.fromisoformat("2020-08-01 08:00:12"), #9
],
'target': [0.1 for _ in range(10)]
}
events = pd.DataFrame(data=data, index=self.events.index)
triple_barrier = labels.TripleBarrier()
out_calculated = triple_barrier.get_bins(events=events,
prices=self.prices)
data_expected = {
'ret': [
12 / 10 - 1, 12 / 10.1 - 1, 12 / 10.2 - 1, 10.1 / 12 - 1,
9 / 10.1 - 1, 9.3 / 9 - 1, 9.4 / 9.1 - 1, np.nan, np.nan,
np.nan
],
'bin':
[1.0, 1.0, 1.0, -1.0, -1.0, 1.0, 1.0, np.nan, np.nan, np.nan]
}
out_expected = pd.DataFrame(data=data_expected,
index=self.events.index)
pdt.assert_frame_equal(out_expected, out_calculated)