def test_strategy_tree_proper_universes():
def do_nothing(x):
return True
child1 = Strategy('c1', [do_nothing], ['b', 'c'])
master = Strategy('m', [do_nothing], [child1, 'a'])
child1 = master['c1']
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame(
{'a': pd.TimeSeries(data=1, index=dts, name='a'),
'b': pd.TimeSeries(data=2, index=dts, name='b'),
'c': pd.TimeSeries(data=3, index=dts, name='c')})
master.setup(data)
assert len(master.children) == 2
assert 'c1' in master.children
assert 'a' in master.children
assert len(master.universe.columns) == 2
assert 'c1' in master.universe.columns
assert 'a' in master.universe.columns
assert len(child1.universe.columns) == 2
assert 'b' in child1.universe.columns
assert 'c' in child1.universe.columns
def test_strategy_tree_proper_universes():
def do_nothing(x):
return True
child1 = Strategy('c1', [do_nothing], ['b', 'c'])
master = Strategy('m', [do_nothing], [child1, 'a'])
child1 = master['c1']
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame({
'a': pd.Series(data=1, index=dts, name='a'),
'b': pd.Series(data=2, index=dts, name='b'),
'c': pd.Series(data=3, index=dts, name='c')
})
master.setup(data)
assert len(master.children) == 2
assert 'c1' in master.children
assert 'a' in master.children
assert len(master._universe.columns) == 2
assert 'c1' in master._universe.columns
assert 'a' in master._universe.columns
assert len(child1._universe.columns) == 2
assert 'b' in child1._universe.columns
assert 'c' in child1._universe.columns
def composite(params):
'''
construct strategy composite for portfolio
using bt.core.Strategy
Args:
params (dict): containing keys `data`, `strategy`
data_table (dict): follow the rules of data.py
strategy (list): list of dictionary, containing all params that each strategy needs
--------------------------------------------------
Strategy(class):
Args:
* name (str): Strategy name
* algos (list): List of Algos to be passed into an AlgoStack
* children (dict, list): Children - useful when you want to create
strategies of strategies
Attributes:
* stack (AlgoStack): The stack
* temp (dict): A dict containing temporary data - cleared on each call
to run. This can be used to pass info to other algos.
* perm (dict): Permanent data used to pass info from one algo to
another. Not cleared on each pass.
'''
_check_params(params, ['data_table', 'strategy'])
name = uuid.uuid4()
data_table = getDataTable(params['data_table'])
StrategyList = []
for stra in params['strategy']:
pkg = importlib.import_module('backtest_tools.backtest.strategy')
func = getattr(pkg, stra['class'])
func = run_always(func)
inputs = {}
inputs['data_table'] = data_table
inputs['params'] = {}
if stra.get('params'):
inputs['params'] = stra['params']
StrategyList.append(func(**inputs))
s = Strategy(**{'name': name, 'algos': StrategyList, 'children': None})
return data_table, s
def test_strategy_tree_paper():
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame(index=dts, columns=['a'], data=100.)
data['a'].ix[dts[1]] = 101
data['a'].ix[dts[2]] = 102
s = Strategy('s',
[bt.algos.SelectWhere(data > 100),
bt.algos.WeighEqually(),
bt.algos.Rebalance()])
m = Strategy('m', [], [s])
s = m['s']
m.setup(data)
m.update(dts[0])
m.run()
assert m.price == 100
assert s.price == 100
assert s._paper_trade
assert s._paper.price == 100
s.update(dts[1])
m.run()
assert m.price == 100
assert m.value == 0
assert s.value == 0
assert s.price == 99.9901
s.update(dts[2])
m.run()
assert m.price == 100
assert m.value == 0
assert s.value == 0
aae(s.price, 100.9801, 4)
def test_strategy_tree_paper():
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame(index=dts, columns=['a'], data=100.)
data['a'].ix[dts[1]] = 101
data['a'].ix[dts[2]] = 102
s = Strategy('s', [
bt.algos.SelectWhere(data > 100),
bt.algos.WeighEqually(),
bt.algos.Rebalance()
])
m = Strategy('m', [], [s])
s = m['s']
m.setup(data)
m.update(dts[0])
m.run()
assert m.price == 100
assert s.price == 100
assert s._paper_trade
assert s._paper.price == 100
s.update(dts[1])
m.run()
assert m.price == 100
assert m.value == 0
assert s.value == 0
assert s.price == 100
s.update(dts[2])
m.run()
assert m.price == 100
assert m.value == 0
assert s.value == 0
assert np.allclose(s.price, 100. * (102 / 101.))
