def __init__(self, initial_cash, events_queue, price_handler,
position_sizer, risk_manager):
"""
The PortfolioHandler is designed to interact with the
backtesting or live trading overall event-driven
architecture. It exposes two methods, on_signal and
on_fill, which handle how SignalEvent and FillEvent
objects are dealt with.
Each PortfolioHandler contains a Portfolio object,
which stores the actual Position objects.
The PortfolioHandler takes a handle to a PositionSizer
object which determines a mechanism, based on the current
Portfolio, as to how to size a new Order.
The PortfolioHandler also takes a handle to the
RiskManager, which is used to modify any generated
Orders to remain in line with risk parameters.
"""
self.initial_cash = initial_cash
self.events_queue = events_queue
self.price_handler = price_handler
self.position_sizer = position_sizer
self.risk_manager = risk_manager
self.portfolio = Portfolio(price_handler, initial_cash)
def setUp(self):
"""
Set up the Portfolio object that will store the
collection of Position objects, supplying it with
$500,000.00 USD in initial cash.
"""
ph = PriceHandlerMock()
cash = Decimal("500000.00")
self.portfolio = Portfolio(ph, cash)
def test_calculating_statistics(self):
"""
Purchase/sell multiple lots of AMZN, GOOG
at various prices/commissions to ensure
the arithmetic in calculating equity, drawdowns
and sharpe ratio is correct.
"""
# Create Statistics object
price_handler = PriceHandlerMock()
self.portfolio = Portfolio(price_handler, Decimal("500000.00"))
portfolio_handler = PortfolioHandlerMock(self.portfolio)
statistics=SimpleStatistics(portfolio_handler)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"BOT", "AMZN", 100,
Decimal("566.56"), Decimal("1.00")
)
t="2000-01-01 00:00:00"
statistics.update(t)
self.assertEqual(statistics.equity[t], Decimal("499807.00"))
self.assertEqual(statistics.drawdowns[t], Decimal("193.00"))
self.assertEqual(statistics.equity_returns[t], Decimal("-0.0386"))
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"BOT", "AMZN", 200,
Decimal
("566.395"), Decimal("1.00")
)
t="2000-01-02 00:00:00"
statistics.update(t)
self.assertEqual(statistics.equity[t], Decimal("499455.00"))
self.assertEqual(statistics.drawdowns[t], Decimal("545.00"))
self.assertEqual(statistics.equity_returns[t], Decimal("-0.0705"))
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"BOT", "GOOG", 200,
Decimal("707.50"), Decimal("1.00")
)
t="2000-01-03 00:00:00"
statistics.update(t)
self.assertEqual(statistics.equity[t], Decimal("499046.00"))
self.assertEqual(statistics.drawdowns[t], Decimal("954.00"))
self.assertEqual(statistics.equity_returns[t], Decimal("-0.0820"))
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"SLD", "AMZN", 100,
Decimal("565.83"), Decimal("1.00")
)
t="2000-01-04 00:00:00"
statistics.update(t);
self.assertEqual(statistics.equity[t], Decimal("499164.00"))
self.assertEqual(statistics.drawdowns[t], Decimal("836.00"))
self.assertEqual(statistics.equity_returns[t], Decimal("0.0236"))
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"BOT", "GOOG", 200,
Decimal("705.545"), Decimal("1.00")
)
t="2000-01-05 00:00:00"
statistics.update(t)
self.assertEqual(statistics.equity[t], Decimal("499146.00"))
self.assertEqual(statistics.drawdowns[t], Decimal("854.00"))
self.assertEqual(statistics.equity_returns[t], Decimal("-0.0036"))
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"SLD", "AMZN", 200,
Decimal("565.59"), Decimal("1.00")
)
t="2000-01-06 00:00:00"
statistics.update(t)
self.assertEqual(statistics.equity[t], Decimal("499335.00"))
self.assertEqual(statistics.drawdowns[t], Decimal("665.00"))
self.assertEqual(statistics.equity_returns[t], Decimal("0.0379"))
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"SLD", "GOOG", 100,
Decimal("707.92"), Decimal("1.00")
)
t="2000-01-07 00:00:00"
statistics.update(t)
self.assertEqual(statistics.equity[t], Decimal("499580.00"))
self.assertEqual(statistics.drawdowns[t], Decimal("420.00"))
self.assertEqual(statistics.equity_returns[t], Decimal("0.0490"))
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"SLD", "GOOG", 100,
Decimal("707.90"), Decimal("0.00")
)
t="2000-01-08 00:00:00"
statistics.update(t)
self.assertEqual(statistics.equity[t], Decimal("499824.00"))
self.assertEqual(statistics.drawdowns[t], Decimal("176.00"))
self.assertEqual(statistics.equity_returns[t], Decimal("0.0488"))
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"SLD", "GOOG", 100,
Decimal("707.92"), Decimal("0.50")
)
t="2000-01-09 00:00:00"
statistics.update(t)
self.assertEqual(statistics.equity[t], Decimal("500069.50"))
self.assertEqual(statistics.drawdowns[t], Decimal("00.00"))
self.assertEqual(statistics.equity_returns[t], Decimal("0.0491"))
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"SLD", "GOOG", 100,
Decimal("707.78"), Decimal("1.00")
)
t="2000-01-10 00:00:00"
statistics.update(t)
self.assertEqual(statistics.equity[t], Decimal("500300.50"))
self.assertEqual(statistics.drawdowns[t], Decimal("00.00"))
self.assertEqual(statistics.equity_returns[t], Decimal("0.0462"))
# Test that results are calculated correctly.
results=statistics.get_results()
self.assertEqual(results["max_drawdown"], Decimal("954.00"))
self.assertEqual(results["max_drawdown_pct"], Decimal("0.1908"))
self.assertEqual(results["sharpe"], Decimal("1.8353"))
class PriceHandlerMock(object):
def __init__(self):
pass
def get_best_bid_ask(self, ticker):
prices = {
"GOOG": (Decimal("762.15"), Decimal("762.15")),
"AMZN": (Decimal("660.51"), Decimal("660.51")),
}
return prices[ticker]
ph = PriceHandlerMock()
cash = Decimal("500000.00")
port = Portfolio(ph, cash)
port.add_position("BOT", "GOOG", 100, Decimal("761.75"), Decimal("1.00"))
port.add_position("BOT", "AMZN", 100, Decimal("660.86"), Decimal("1.00"))
port.modify_position("BOT", "AMZN", 100, Decimal("660.14"), Decimal("1.00"))
port.modify_position("BOT", "AMZN", 150, Decimal("660.20"), Decimal("1.00"))
port.modify_position("SLD", "AMZN", 300, Decimal("659.713"), Decimal("1.50"))
print("CASH:", port.cur_cash)
print("EQUITY:", port.equity)
print("UPnL:", port.unrealised_pnl)
print("PnL:", port.realised_pnl)
pprint.pprint(port.positions)
print("")
for p in port.positions:
