Python Portfolioの例

コード例 #1

ファイル: test_portfolio_report.py プロジェクト: afanxia/voyager

    def setUp(self):
        parser = CSVOrderParser("data/SimpleOrdersFile.csv")
        parser.parse()
        orders = parser.get_parsed_orders()
        start_date, end_date = parser.get_dates_range()

        self.market = Market(parser.get_symbols_traded(), start_date, end_date)
        self.portfolio = Portfolio(self.market, 1000000)
        for order in orders:
            self.portfolio.add_order(order)

        self.portfolio.calculate_number_of_shares_held()
        self.portfolio.calculate_portfolio_value()

        self.portfolio_report = PortfolioReport(self.portfolio)

コード例 #2

ファイル: test_portfolio.py プロジェクト: afanxia/voyager

    def setUp(self):
        self.date_range = date_range('1/1/2011', periods=30, freq='D')
        self.ts = Series(0, index=self.date_range)

        start_date = datetime(2011, 1, 1)
        end_date = datetime(2011, 12, 31)

        self.market = Market(["AAPL", "IBM"], start_date, end_date)
        self.portfolio = Portfolio(self.market, 1000000)
        self.buy_aapl_order = Order(self.market, "2011-01-10", "AAPL", "Buy",
                                    100)
        self.buy_ibm_order = Order(self.market, "2011-01-11", "IBM", "Buy", 15)
        self.sell_aapl_order = Order(self.market, "2011-01-12", "AAPL", "Sell",
                                     50)
        self.sell_ibm_order = Order(self.market, "2011-01-14", "IBM", "Sell",
                                    15)

コード例 #3

ファイル: test_portfolio.py プロジェクト: GedRap/voyager

    def setUp(self):
        self.date_range = date_range('1/1/2011', periods=30, freq='D')
        self.ts = Series(0, index=self.date_range)

        start_date = datetime(2011, 1, 1)
        end_date = datetime(2011, 12, 31)

        self.market = Market(["AAPL","IBM"],start_date,end_date)
        self.portfolio = Portfolio(self.market, 1000000)
        self.buy_aapl_order = Order(self.market, "2011-01-10", "AAPL", "Buy", 100)
        self.buy_ibm_order = Order(self.market, "2011-01-11", "IBM", "Buy", 15)
        self.sell_aapl_order = Order(self.market, "2011-01-12", "AAPL", "Sell", 50)
        self.sell_ibm_order = Order(self.market, "2011-01-14", "IBM", "Sell", 15)

コード例 #4

ファイル: test_portfolio_report.py プロジェクト: GedRap/voyager

    def setUp(self):
        parser = CSVOrderParser("data/SimpleOrdersFile.csv")
        parser.parse()
        orders = parser.get_parsed_orders()
        start_date, end_date = parser.get_dates_range()

        self.market = Market(parser.get_symbols_traded(),start_date,end_date)
        self.portfolio = Portfolio(self.market, 1000000)
        for order in orders:
            self.portfolio.add_order(order)

        self.portfolio.calculate_number_of_shares_held()
        self.portfolio.calculate_portfolio_value()

        self.portfolio_report = PortfolioReport(self.portfolio)

コード例 #5

ファイル: test_portfolio_report.py プロジェクト: GedRap/voyager

class PortfolioReportTest(unittest.TestCase):
    def setUp(self):
        parser = CSVOrderParser("data/SimpleOrdersFile.csv")
        parser.parse()
        orders = parser.get_parsed_orders()
        start_date, end_date = parser.get_dates_range()

        self.market = Market(parser.get_symbols_traded(),start_date,end_date)
        self.portfolio = Portfolio(self.market, 1000000)
        for order in orders:
            self.portfolio.add_order(order)

        self.portfolio.calculate_number_of_shares_held()
        self.portfolio.calculate_portfolio_value()

        self.portfolio_report = PortfolioReport(self.portfolio)

    def test_get_total_return(self):
        self.assertEqual(self.portfolio_report.get_total_return(), -61900)

    def test_get_return(self):
        self.assertEqual(self.portfolio_report.get_return(), -0.1267)

コード例 #6

ファイル: test_portfolio_report.py プロジェクト: afanxia/voyager

class PortfolioReportTest(unittest.TestCase):
    def setUp(self):
        parser = CSVOrderParser("data/SimpleOrdersFile.csv")
        parser.parse()
        orders = parser.get_parsed_orders()
        start_date, end_date = parser.get_dates_range()

        self.market = Market(parser.get_symbols_traded(), start_date, end_date)
        self.portfolio = Portfolio(self.market, 1000000)
        for order in orders:
            self.portfolio.add_order(order)

        self.portfolio.calculate_number_of_shares_held()
        self.portfolio.calculate_portfolio_value()

        self.portfolio_report = PortfolioReport(self.portfolio)

    def test_get_total_return(self):
        self.assertEqual(self.portfolio_report.get_total_return(), -61900)

    def test_get_return(self):
        self.assertEqual(self.portfolio_report.get_return(), -0.1267)

コード例 #7

ファイル: test_portfolio.py プロジェクト: afanxia/voyager

class PortfolioTest(unittest.TestCase):
    def setUp(self):
        self.date_range = date_range('1/1/2011', periods=30, freq='D')
        self.ts = Series(0, index=self.date_range)

        start_date = datetime(2011, 1, 1)
        end_date = datetime(2011, 12, 31)

        self.market = Market(["AAPL", "IBM"], start_date, end_date)
        self.portfolio = Portfolio(self.market, 1000000)
        self.buy_aapl_order = Order(self.market, "2011-01-10", "AAPL", "Buy",
                                    100)
        self.buy_ibm_order = Order(self.market, "2011-01-11", "IBM", "Buy", 15)
        self.sell_aapl_order = Order(self.market, "2011-01-12", "AAPL", "Sell",
                                     50)
        self.sell_ibm_order = Order(self.market, "2011-01-14", "IBM", "Sell",
                                    15)

    def test_add_orders(self):
        self.portfolio.add_order(self.buy_aapl_order)
        self.assertEqual(len(self.portfolio.orders), 1)

    def test_sort_orders(self):
        self.portfolio.add_order(self.buy_aapl_order)
        self.portfolio.add_order(self.sell_ibm_order)
        self.portfolio.add_order(self.sell_aapl_order)

        self.portfolio.sort_orders()

        self.assertEqual(self.portfolio.orders[0].symbol,
                         self.buy_aapl_order.symbol)
        self.assertEqual(self.portfolio.orders[0].type,
                         self.buy_aapl_order.type)
        self.assertEqual(self.portfolio.orders[1].type,
                         self.sell_aapl_order.type)
        self.assertEqual(self.portfolio.orders[1].symbol,
                         self.sell_aapl_order.symbol)
        self.assertEqual(self.portfolio.orders[2].symbol,
                         self.sell_ibm_order.symbol)

    def test_execute_on_cash_ts(self):
        #assert initial amount
        self.assertEqual(self.portfolio.cash_ts["2011-01-07"], 1000000)

        self.portfolio.update_cash_ts_with_order(self.buy_aapl_order)
        self.assertEqual(self.portfolio.cash_ts["2011-01-11"], 965901)

        self.portfolio.update_cash_ts_with_order(self.buy_ibm_order)
        self.assertEqual(self.portfolio.cash_ts["2011-01-12"], 963755)

        self.portfolio.update_cash_ts_with_order(self.sell_aapl_order)
        self.assertEqual(self.portfolio.cash_ts["2011-01-14"], 980902)

    def test_execute_orders(self):
        self.add_all_orders()
        self.portfolio.calculate_number_of_shares_held()

        apple_ts = self.portfolio.holdings_shares["AAPL"]

        ibm_ts = self.portfolio.holdings_shares["IBM"]

        self.assertEqual(apple_ts["2011-01-04"], 0)
        self.assertEqual(apple_ts["2011-01-04"], 0)
        self.assertEqual(apple_ts["2011-01-11"], 100)
        self.assertEqual(ibm_ts["2011-01-10"], 0)
        self.assertEqual(ibm_ts["2011-01-12"], 15)
        self.assertEqual(apple_ts["2011-01-14"], 50)

    def test_calculate_holdings_value(self):
        self.add_all_orders()
        self.portfolio.calculate_number_of_shares_held()
        self.portfolio.calculate_holdings_value_for_each_symbol()

        self.assertEqual(
            self.portfolio.get_holding_value("AAPL", "2011-01-04"), 0)
        self.assertEqual(
            self.portfolio.get_holding_value("AAPL", "2011-01-11"), 34018)
        self.assertEqual(
            self.portfolio.get_holding_value("AAPL", "2011-01-14"), 17349.5)

        self.assertEqual(self.portfolio.get_holding_value("IBM", "2011-01-04"),
                         0)
        self.assertEqual(self.portfolio.get_holding_value("IBM", "2011-01-13"),
                         2168.25)

        self.portfolio.get_holding_value("IBM", "2011-01-18")
        self.assertEqual(self.portfolio.get_holding_value("IBM", "2011-01-18"),
                         0)

    def test_calculate_portfolio_value(self):
        self.add_all_orders()
        self.portfolio.calculate_number_of_shares_held()
        self.portfolio.calculate_holdings_value_for_each_symbol()
        self.portfolio.calculate_portfolio_value()

        self.assertEqual(self.portfolio.portfolio_value["2011-01-04"], 1000000)
        self.assertEqual(self.portfolio.portfolio_value["2011-01-10"], 965901)

    #helper method
    def add_all_orders(self):
        self.portfolio.add_order(self.buy_ibm_order)
        self.portfolio.add_order(self.buy_aapl_order)
        self.portfolio.add_order(self.sell_aapl_order)
        self.portfolio.add_order(self.sell_ibm_order)

コード例 #8

ファイル: run.py プロジェクト: afanxia/voyager

from backtesting.Portfolio import Portfolio
from backtesting.Report.PortfolioReport import PortfolioReport
import matplotlib.pyplot as plt
import pylab

#A simple program used to run and play around with
#Portfolio and Market
#Plots value of all holdings

order_parser = CSVOrderParser("test/data/SimpleOrdersFile.csv")
order_parser.parse()

start_date, end_date = order_parser.get_dates_range()
market = Market(order_parser.get_symbols_traded(), start_date, end_date)

portfolio = Portfolio(market, 1000000)

for order in order_parser.get_parsed_orders():
    portfolio.add_order(order)

portfolio.execute()
portfolio.calculate_portfolio_value()

report = PortfolioReport(portfolio)
print report.get_return()

figure = plt.figure()

figure.axes.append(portfolio.holdings_value_sum.plot())

pylab.show()

コード例 #9

ファイル: run.py プロジェクト: GedRap/voyager

from backtesting.Portfolio import Portfolio
from backtesting.Report.PortfolioReport import PortfolioReport
import matplotlib.pyplot as plt
import pylab

#A simple program used to run and play around with
#Portfolio and Market
#Plots value of all holdings

order_parser = CSVOrderParser("test/data/SimpleOrdersFile.csv")
order_parser.parse()

start_date, end_date = order_parser.get_dates_range()
market = Market(order_parser.get_symbols_traded(),start_date,end_date)

portfolio = Portfolio(market, 1000000)

for order in order_parser.get_parsed_orders():
    portfolio.add_order(order)

portfolio.execute()
portfolio.calculate_portfolio_value()

report = PortfolioReport(portfolio)
print report.get_return()

figure = plt.figure()

figure.axes.append(portfolio.holdings_value_sum.plot())

pylab.show()

コード例 #10

ファイル: test_portfolio.py プロジェクト: GedRap/voyager

class PortfolioTest(unittest.TestCase):
    def setUp(self):
        self.date_range = date_range('1/1/2011', periods=30, freq='D')
        self.ts = Series(0, index=self.date_range)

        start_date = datetime(2011, 1, 1)
        end_date = datetime(2011, 12, 31)

        self.market = Market(["AAPL","IBM"],start_date,end_date)
        self.portfolio = Portfolio(self.market, 1000000)
        self.buy_aapl_order = Order(self.market, "2011-01-10", "AAPL", "Buy", 100)
        self.buy_ibm_order = Order(self.market, "2011-01-11", "IBM", "Buy", 15)
        self.sell_aapl_order = Order(self.market, "2011-01-12", "AAPL", "Sell", 50)
        self.sell_ibm_order = Order(self.market, "2011-01-14", "IBM", "Sell", 15)

    def test_add_orders(self):
        self.portfolio.add_order(self.buy_aapl_order)
        self.assertEqual(len(self.portfolio.orders), 1)

    def test_sort_orders(self):
        self.portfolio.add_order(self.buy_aapl_order)
        self.portfolio.add_order(self.sell_ibm_order)
        self.portfolio.add_order(self.sell_aapl_order)

        self.portfolio.sort_orders()

        self.assertEqual(self.portfolio.orders[0].symbol, self.buy_aapl_order.symbol)
        self.assertEqual(self.portfolio.orders[0].type, self.buy_aapl_order.type)
        self.assertEqual(self.portfolio.orders[1].type, self.sell_aapl_order.type)
        self.assertEqual(self.portfolio.orders[1].symbol, self.sell_aapl_order.symbol)
        self.assertEqual(self.portfolio.orders[2].symbol, self.sell_ibm_order.symbol)

    def test_execute_on_cash_ts(self):
        #assert initial amount
        self.assertEqual(self.portfolio.cash_ts["2011-01-07"],1000000)

        self.portfolio.update_cash_ts_with_order(self.buy_aapl_order)
        self.assertEqual(self.portfolio.cash_ts["2011-01-11"],965901)

        self.portfolio.update_cash_ts_with_order(self.buy_ibm_order)
        self.assertEqual(self.portfolio.cash_ts["2011-01-12"],963755)

        self.portfolio.update_cash_ts_with_order(self.sell_aapl_order)
        self.assertEqual(self.portfolio.cash_ts["2011-01-14"],980902)

    def test_execute_orders(self):
        self.add_all_orders()
        self.portfolio.calculate_number_of_shares_held()

        apple_ts = self.portfolio.holdings_shares["AAPL"]

        ibm_ts = self.portfolio.holdings_shares["IBM"]

        self.assertEqual(apple_ts["2011-01-04"],0)
        self.assertEqual(apple_ts["2011-01-04"],0)
        self.assertEqual(apple_ts["2011-01-11"],100)
        self.assertEqual(ibm_ts["2011-01-10"],0)
        self.assertEqual(ibm_ts["2011-01-12"],15)
        self.assertEqual(apple_ts["2011-01-14"],50)

    def test_calculate_holdings_value(self):
        self.add_all_orders()
        self.portfolio.calculate_number_of_shares_held()
        self.portfolio.calculate_holdings_value_for_each_symbol()

        self.assertEqual(self.portfolio.get_holding_value("AAPL","2011-01-04"),0)
        self.assertEqual(self.portfolio.get_holding_value("AAPL","2011-01-11"),34018)
        self.assertEqual(self.portfolio.get_holding_value("AAPL","2011-01-14"),17349.5)

        self.assertEqual(self.portfolio.get_holding_value("IBM","2011-01-04"),0)
        self.assertEqual(self.portfolio.get_holding_value("IBM","2011-01-13"),2168.25)

        self.portfolio.get_holding_value("IBM","2011-01-18")
        self.assertEqual(self.portfolio.get_holding_value("IBM","2011-01-18"),0)

    def test_calculate_portfolio_value(self):
        self.add_all_orders()
        self.portfolio.calculate_number_of_shares_held()
        self.portfolio.calculate_holdings_value_for_each_symbol()
        self.portfolio.calculate_portfolio_value()

        self.assertEqual(self.portfolio.portfolio_value["2011-01-04"], 1000000)
        self.assertEqual(self.portfolio.portfolio_value["2011-01-10"], 965901)

    #helper method
    def add_all_orders(self):
        self.portfolio.add_order(self.buy_ibm_order)
        self.portfolio.add_order(self.buy_aapl_order)
        self.portfolio.add_order(self.sell_aapl_order)
        self.portfolio.add_order(self.sell_ibm_order)