def test_close_position_take_profit(self):
p1 = Position(side=Side.BUY,
qty=1,
pos_value=100,
take_profit=0.04,
stop_loss=-0.05)
p2 = Position(side=Side.BUY,
qty=1,
pos_value=90,
take_profit=0.06,
stop_loss=-0.05)
p3 = Position(side=Side.SELL,
qty=1,
pos_value=80,
take_profit=0.04,
stop_loss=-0.03)
self.portfolio.positions.append(p1)
self.portfolio.positions.append(p2)
self.portfolio.positions.append(p3)
self.portfolio.compute_liquid_value()
self.assertEqual(1275.5, self.portfolio.liquidative_value)
self.portfolio.close_position()
self.assertEqual(1, len(self.portfolio.positions))
pos = self.portfolio.positions[0]
self.assertEqual(0.06, pos.take_profit)
self.assertEqual(1275.5, self.portfolio.liquidative_value)
def test_liquidative_value_with_pos(self):
p1 = Position(side=Side.BUY, qty=1, pos_value=100)
p2 = Position(side=Side.BUY, qty=1, pos_value=90)
p3 = Position(side=Side.SELL, qty=1, pos_value=80)
self.portfolio.positions.append(p1)
self.portfolio.positions.append(p2)
self.portfolio.positions.append(p3)
self.portfolio.compute_liquid_value()
self.assertEqual(1275.5, self.portfolio.liquidative_value)
def make_operation(self,
side: Side,
qty: float,
transaction_fee: float,
take_profit: float = None,
stop_loss: float = None):
if side is Side.OTHER:
return
if len(self.positions) > 0:
self.in_buy_position = True
if side is Side.SELL and not self.in_buy_position:
raise PortfolioException(
'Cannot Sell something not in the portfolio')
elif side is Side.SELL and self.in_buy_position:
logger.info('Closing all buy positions because of selling signal')
self.close_position(force=True)
else:
notional = qty * self.asset_value
if notional > self.money:
raise NotEnoughMoneyException(
f'Cannot {side} {qty} because {notional} > {self.money}')
self.money -= notional + transaction_fee
pos = Position(as_of_date=self.as_of_date,
qty=qty,
side=side,
pos_value=notional,
take_profit=take_profit,
stop_loss=stop_loss)
self.positions.append(pos)
def test_close_position_stop_loss(self):
self.portfolio.asset_perf = -0.04
p1 = Position(side=Side.BUY,
qty=1,
pos_value=100,
take_profit=0.04,
stop_loss=-0.05)
p2 = Position(side=Side.BUY,
qty=1,
pos_value=90,
take_profit=0.06,
stop_loss=-0.05)
p3 = Position(side=Side.SELL,
qty=1,
pos_value=80,
take_profit=0.04,
stop_loss=-0.03)
self.portfolio.positions.append(p1)
self.portfolio.positions.append(p2)
self.portfolio.positions.append(p3)
self.portfolio.compute_liquid_value()
self.portfolio.close_position()
self.assertEqual(2, len(self.portfolio.positions))
def make_operation(self, side: Side, qty: float, transaction_fee: float,
take_profit: float = None, stop_loss: float = None):
if side is Side.OTHER:
return
notional = qty * self.asset_value
if notional > self.money:
raise NotEnoughMoneyException(f'Cannot {side} {qty} because {notional} > {self.money}')
self.money -= notional + transaction_fee
pos = Position(
as_of_date=self.as_of_date,
qty=qty,
side=side,
pos_value=notional,
take_profit=take_profit,
stop_loss=stop_loss
)
self.positions.append(pos)
def setUp(self):
self.position = Position(
qty=1,
pos_value=100,
)
print()
class TestPosition(unittest.TestCase):
def setUp(self):
self.position = Position(
qty=1,
pos_value=100,
)
print()
def tearDown(self):
pass
def test_compute_pos_value_buy(self):
perf = 0.05
self.position.side = Side.BUY
self.position.compute_pos_value(perf)
self.assertEqual(105, self.position.pos_value)
def test_compute_pos_value_double_qty_buy(self):
perf = 0.05
self.position.side = Side.BUY
self.position.qty *= 2
self.position.pos_value *= 2
self.position.compute_pos_value(perf)
self.assertEqual(210, self.position.pos_value)
def test_compute_pos_value_sell(self):
perf = 0.05
self.position.side = Side.SELL
self.position.compute_pos_value(perf)
self.assertEqual(95, self.position.pos_value)
def test_compute_pos_value_double_qty_sell(self):
perf = 0.05
self.position.side = Side.SELL
self.position.qty *= 2
self.position.pos_value *= 2
self.position.compute_pos_value(perf)
self.assertEqual(190, self.position.pos_value)
def test_compute_pos_value_sell_neg(self):
perf = -0.05
self.position.side = Side.SELL
self.position.compute_pos_value(perf)
self.assertEqual(105, self.position.pos_value)
def test_not_take_profit(self):
perf = 0.04
self.position.take_profit = 0.05
self.position.side = Side.BUY
self.position.compute_pos_value(perf)
self.assertEqual(False, self.position.close_position)
def test_not_stop_loss(self):
perf = -0.04
self.position.stop_loss = -0.05
self.position.side = Side.BUY
self.position.compute_pos_value(perf)
self.assertEqual(False, self.position.close_position)
def test_take_profit(self):
perf = 0.06
self.position.take_profit = 0.05
self.position.side = Side.BUY
self.position.compute_pos_value(perf)
self.assertEqual(True, self.position.close_position)
def test_stop_loss(self):
perf = -0.06
self.position.stop_loss = -0.05
self.position.side = Side.BUY
self.position.compute_pos_value(perf)
self.assertEqual(True, self.position.close_position)