def testIntraDay(self):
barFeed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE,
marketsession.USEquities.getTimezone())
barFeed.setBarFilter(csvfeed.USEquitiesRTH())
barFeed.addBarsFromCSV(
"spy", common.get_data_file_path("nt-spy-minute-2011.csv"))
strat = strategy_test.TestStrategy(barFeed, 1000)
stratAnalyzer = sharpe.SharpeRatio(False)
strat.attachAnalyzer(stratAnalyzer)
strat.marketOrder("spy", 1)
strat.run()
tradingPeriods = 252 * 6.5 * 60
manualAnnualized = sharpe.sharpe_ratio(stratAnalyzer.getReturns(),
0.04, tradingPeriods, True)
manualNotAnnualized = sharpe.sharpe_ratio(stratAnalyzer.getReturns(),
0.04, tradingPeriods, False)
analyzerAnnualized = stratAnalyzer.getSharpeRatio(0.04)
analyzerNotAnnualized = stratAnalyzer.getSharpeRatio(0.04, False)
self.assertEqual(round(analyzerAnnualized, 10), -1.1814830854)
self.assertEqual(round(analyzerNotAnnualized, 10), -0.0037659686)
# They should be similar, but not identical because the analyzer uses 365 days/year
# when useDailyReturns is set to False.
self.assertEqual(round(analyzerAnnualized, 1),
round(manualAnnualized, 1))
self.assertEqual(round(analyzerNotAnnualized, 3),
round(manualNotAnnualized, 3))
def __loadBarFeed(self):
ret = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
barFilter = csvfeed.USEquitiesRTH()
ret.setBarFilter(barFilter)
ret.addBarsFromCSV(TradesAnalyzerTestCase.TestInstrument,
common.get_data_file_path("nt-spy-minute-2011.csv"))
return ret
def __loadBarFeed(self):
ret = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
barFilter = csvfeed.USEquitiesRTH()
ret.setBarFilter(barFilter)
ret.addBarsFromCSV(INSTRUMENT,
common.get_data_file_path("nt-spy-minute-2011.csv"))
return ret
def __createStrategy(self):
barFeed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
barFilter = csvfeed.USEquitiesRTH()
barFeed.setBarFilter(barFilter)
barFeed.addBarsFromCSV(
TradesAnalyzerTestCase.TestInstrument,
common.get_data_file_path("nt-spy-minute-2011.csv"))
return strategy_test.TestStrategy(barFeed, 1000)
def loadIntradayBarFeed(self):
fromMonth = 1
toMonth = 1
fromDay = 3
toDay = 3
barFilter = csvfeed.USEquitiesRTH(us_equities_datetime(2011, fromMonth, fromDay, 00, 00), us_equities_datetime(2011, toMonth, toDay, 23, 59))
barFeed = ninjatraderfeed.Feed(barfeed.Frequency.MINUTE)
barFeed.setBarFilter(barFilter)
barFeed.addBarsFromCSV(BaseTestCase.TestInstrument, common.get_data_file_path("nt-spy-minute-2011.csv"))
return barFeed
