def setUp(self):
import strategy_tester.market_data as md
import strategy_tester.trade as td
import strategy_tester.Portfolio as pt
import strategy_tester.TradeStrategyClasses as tsc
import rpy2.robjects as ro
from rpy2.robjects.packages import importr
zoo = importr('zoo')
#Create moving average market data type
AORD = ro.r('read.table("~/Documents/R/StrategyTester/Data/AORD.csv",header=T, sep=",")')
AORD = zoo.as_zoo(AORD)#, order_by = ro.r.rownames(AORD))
MAD1 = md.simple_ma_md(AORD,'AORD.Close', 10, 20)
#Create empty cash trade
trade_cash =td.Trade("Cash","Cash", 0)
#Setup empty cash portfolio
port1 = pt.Portfolio("port1")
port1.add_trade(trade_cash)
[td.name for td in port1.trades]
#Setup MA trade Strategy
#Note have checked that time 58 will have 'buy' signal
self.trade_strat = tsc.MA_Trade_Strategy(MAD1,port1,59)
def test_MD_simpleMovingAverage(self):
#Test the moving averages are contructed with length >= 1
sma = simple_ma_md(self.SP500)
sma.generateTradeSig(seriesName = 'SP500',
sig_index = 'Adj_Close',
short_win = 10,
long_win = 20)
rm = pd.rolling_mean(sma['Adj_Close'],20)
self.assertTrue((sma['MAl'][20:] == rm[20:]).all(), 'simpleMAshort not working')
#Load data from db
dr = dbr.DBReader(conString)
dataFull = dr.readSeries('AAPL')
print dataFull.head()
plot = dataFull['Adj_Close'].plot()
#Change Date Range
d1 = datetime(2012,1,1).date()
d2 = datetime(2012,6,1).date()
data = dataFull.loc[d1:d2]
print data.head()
#Generate trade sigs for simple moving average
sma = md.simple_ma_md(data)
sma.generateTradeSig('AAPL',
'Adj_Close',
short_win = 10,
long_win = 20)
sma.plot()
#Generate trade sigs for exponentially weighted moving ave
ema = md.exponential_ma_md(data)
ema.generateTradeSig('AAPL',
'Adj_Close',
short_span = 10,
long_span = 20)
ema.plot()
#Create Portfolio and value
port_test = pt.Portfolio("port_test")
port_test.add_trade(trade_eq)
print port_test.trades
port_test.add_trade(trade_cash)
print port_test.trades
ps_test = pt.PortfolioSlice(port_test, MD1, 1)
ps_test.price()
sum(ps_test.value())
#Test Trade Strategy
#Crossover in the moving averages
reload(tsc)
reload(td)
MAD1 = md.simple_ma_md(AORD,'AORD.Close', 10, 20)
MAD1.core_data['MAl'][0:30]
MAD1.core_data['AORD.Close'][56:100].plot(style = 'k--')
MAD1.core_data['MAl'][56:100].plot(style = 'k')
MAD1.core_data['MAs'][56:100].plot(style = 'k')
#plt.show()
MADSlice0 = md.market_data_slice(MAD1,20)
MADSlice1 = md.market_data_slice(MAD1,58)
MADSlice0.data[['MAl','MAs']] == [5644.1750000000011, 5713.830]
MADSlice1.data[['MAl','MAs']]
MADSlice0.data['MAl'] == 5644.1750000000011
x = MADSlice0.data['MAl']
#Test updateSignal