コード例 #1
0
ファイル: test_algos.py プロジェクト: stand2y/bt
def test_or():
    target = mock.MagicMock()
    target.temp = {}

    #run on the 1/2/18
    runOnDateAlgo = algos.RunOnDate(pd.to_datetime('2018-01-02'))
    runOnDateAlgo2 = algos.RunOnDate(pd.to_datetime('2018-01-03'))
    runOnDateAlgo3 = algos.RunOnDate(pd.to_datetime('2018-01-04'))
    runOnDateAlgo4 = algos.RunOnDate(pd.to_datetime('2018-01-04'))

    orAlgo = algos.Or(
        [runOnDateAlgo, runOnDateAlgo2, runOnDateAlgo3, runOnDateAlgo4])

    #verify it returns false when neither is true
    target.now = pd.to_datetime('2018-01-01')
    assert not orAlgo(target)

    # verify it returns true when the first is true
    target.now = pd.to_datetime('2018-01-02')
    assert orAlgo(target)

    # verify it returns true when the second is true
    target.now = pd.to_datetime('2018-01-03')
    assert orAlgo(target)

    # verify it returns true when both algos return true
    target.now = pd.to_datetime('2018-01-04')
    assert orAlgo(target)
コード例 #2
0
ファイル: test_algos.py プロジェクト: xyicheng/bt
def test_run_on_date():
    target = mock.MagicMock()
    target.now = pd.to_datetime('2010-01-01')

    algo = algos.RunOnDate('2010-01-01', '2010-01-02')
    assert algo(target)

    target.now = pd.to_datetime('2010-01-02')
    assert algo(target)

    target.now = pd.to_datetime('2010-01-03')
    assert not algo(target)
コード例 #3
0
    def bt_strategy(self, data, cats, graph_path):

        rsmpl = {
            'days': 'B',
            'weeks': 'W-Fri',
            'months': 'BM',
            'years': 'BY'
        }[self.roll_ptype]

        first_date = data.index[0] + relativedelta(**{self.est_ptype: self.est_plen})
        run_dates = asfreq_actual(data[data.columns[0]], str(self.roll_plen) + rsmpl)
        run_dates = data.loc[run_dates.index]
        run_dates = run_dates.loc[run_dates.index > first_date]
        run_dates = run_dates.iloc[:-1]
        run_dates.loc[data.index[-1]] = data.iloc[-1]

        fee_func_parial = partial(fee_func, ff=self.fix_fee, pf=self.prc_fee)

        algo_stack = [
            algos.RunOnDate(*run_dates.index.tolist()),
            algos.SelectAll(),
            SaveWeights(),
            WeightHRP(plen=self.est_plen, ptype=self.est_ptype, robust=self.robust, ddev=self.ddev, cats=cats, graph_path=graph_path),
            GapWeights(self.reb_gap),
        ]

        if self.is_tvol:
            algo_stack.append(WeightTargetVol(self.tvol, plen=self.est_plen, ptype=self.est_ptype, kmax=self.leverage))

        algo_stack.extend([
            WeightAdjust(self.leverage, self.weight_round),
            LimitWeights(self.min_weight, self.max_weight, self.leverage),
            WeightsToPerm(),
            CheckFeeBankrupt(fee_func_parial),
            algos.Rebalance()
        ])

        strategy = bt.Strategy(self.name(), algo_stack)

        return bt.Backtest(strategy, data.copy(), initial_capital=self.init_balance,
                           commissions=fee_func_parial, integer_positions=self.int_pos, progress_bar=True)