def test_strategy_load_data(trading_params, data_proxy):
def init(context):
print("init", context)
context.stock = "600099.XSHG"
context.close = []
def before_trading(context, bar_dict):
pass
def handle_bar(context, bar_dict):
context.close.append(bar_dict[context.stock].close)
executor = StrategyExecutor(
init=init,
before_trading=before_trading,
handle_bar=handle_bar,
trading_params=trading_params,
data_proxy=data_proxy,
)
perf = executor.execute()
assert len(executor.strategy_context.close) == len(trading_params.trading_calendar)
assert executor.strategy_context.close[-1] == data_proxy.get_bar(executor.strategy_context.stock,
trading_params.trading_calendar[-1]).close
def test_strategy_buy_and_sell(trading_params, data_proxy):
def init(context):
context.cnt = 0
def handle_bar(context, bar_dict):
context.cnt += 1
if context.cnt == 2:
order_shares("000001.XSHE", 5000)
order_shares("000001.XSHE", -5000)
if context.cnt == 3:
order_shares("000001.XSHE", -5000)
if context.cnt == 4:
order_shares("000001.XSHE", -5000)
executor = StrategyExecutor(
init=init,
handle_bar=handle_bar,
trading_params=trading_params,
data_proxy=data_proxy,
)
perf = executor.execute()
positions = executor.exchange.account.portfolio.positions
position = positions["000001.XSHE"]
assert position.quantity == 0
assert position.sellable == 0
def test_strategy_buy_and_sell2(trading_params, data_proxy):
def init(context):
context.cnt = 0
def handle_bar(context, bar_dict):
context.cnt += 1
if context.cnt % 2 == 1:
order_shares("000001.XSHE", 5000)
else:
order_shares("000001.XSHE", -5000)
executor = StrategyExecutor(
init=init,
handle_bar=handle_bar,
trading_params=trading_params,
data_proxy=data_proxy,
)
perf = executor.execute()
positions = executor.exchange.account.portfolio.positions
position = positions["000001.XSHE"]
assert position.quantity == 0
assert position.sellable == 0
pprint(executor.exchange.account.get_all_trades())
for date, portfolio in iteritems(executor.exchange.daily_portfolios):
print(date)
pprint(portfolio)
def test_strategy_buy_and_sell2(trading_params, data_proxy):
def init(context):
context.cnt = 0
def handle_bar(context, bar_dict):
context.cnt += 1
if context.cnt % 2 == 1:
order_shares("000001.XSHE", 5000)
else:
order_shares("000001.XSHE", -5000)
executor = StrategyExecutor(
init=init,
handle_bar=handle_bar,
trading_params=trading_params,
data_proxy=data_proxy,
)
perf = executor.execute()
positions = executor.exchange.account.portfolio.positions
position = positions["000001.XSHE"]
assert position.quantity == 0
assert position.sellable == 0
pprint(executor.exchange.account.get_all_trades())
for date, portfolio in iteritems(executor.exchange.daily_portfolios):
print(date)
pprint(portfolio)
def test_strategy_buy_and_sell(trading_params, data_proxy):
def init(context):
context.cnt = 0
def handle_bar(context, bar_dict):
context.cnt += 1
if context.cnt == 2:
order_shares("000001.XSHE", 5000)
order_shares("000001.XSHE", -5000)
if context.cnt == 3:
order_shares("000001.XSHE", -5000)
if context.cnt == 4:
order_shares("000001.XSHE", -5000)
executor = StrategyExecutor(
init=init,
handle_bar=handle_bar,
trading_params=trading_params,
data_proxy=data_proxy,
)
perf = executor.execute()
positions = executor.exchange.account.portfolio.positions
position = positions["000001.XSHE"]
assert position.quantity == 0
assert position.sellable == 0
def test_strategy_load_data(trading_params, data_proxy):
def init(context):
print("init", context)
context.stock = "600099.XSHG"
context.close = []
context.dates = []
def before_trading(context, bar_dict):
pass
def handle_bar(context, bar_dict):
context.dates.append(context.now)
context.close.append(bar_dict[context.stock].close)
executor = StrategyExecutor(
init=init,
before_trading=before_trading,
handle_bar=handle_bar,
trading_params=trading_params,
data_proxy=data_proxy,
)
perf = executor.execute()
assert len(executor.strategy_context.close) == len(trading_params.trading_calendar)
assert np.isclose(executor.strategy_context.close[-1],
data_proxy.get_bar(executor.strategy_context.stock,
trading_params.trading_calendar[-1]).close)
def test_buy_and_sell(trading_calendar, data_proxy):
def init(context):
context.cnt = 0
def handle_bar(context, bar_dict):
context.cnt += 1
if context.cnt % 2 == 1:
order_shares("000001.XSHE", 5000)
else:
order_shares("000001.XSHE", -5000)
trading_cal = trading_calendar
trading_cal = trading_cal[
(trading_cal >= "2013-02-01") & (trading_cal <= "2013-05-01")
]
trading_params = TradingParams(trading_cal)
executor = StrategyExecutor(
init=init,
handle_bar=handle_bar,
trading_params=trading_params,
data_proxy=data_proxy,
)
perf = executor.execute()
portfolio = executor.exchange.account.portfolio
assert np.isclose(portfolio.annualized_returns, -0.094760148802936484)
assert np.isclose(portfolio.total_returns, -0.022917433828999911)
def test_dividend(trading_calendar, data_proxy):
def init(context):
context.cnt = 0
def handle_bar(context, bar_dict):
context.cnt += 1
if context.cnt < 3:
order_shares("000001.XSHE", 5000)
trading_cal = trading_calendar
trading_cal = trading_cal[
(trading_cal >= "2013-02-01") & (trading_cal <= "2013-07-01")
]
trading_params = TradingParams(trading_cal)
executor = StrategyExecutor(
init=init,
handle_bar=handle_bar,
trading_params=trading_params,
data_proxy=data_proxy,
)
perf = executor.execute()
portfolio = executor.exchange.account.portfolio
assert np.isclose(portfolio.annualized_returns, -0.47051001393709346)
assert np.isclose(portfolio.total_returns, -0.23129389564400005)
def test_strategy_order(trading_params, data_proxy):
def handle_bar(context, bar_dict):
order_shares("000001.XSHE", 100)
executor = StrategyExecutor(
handle_bar=handle_bar,
trading_params=trading_params,
data_proxy=data_proxy,
)
perf = executor.execute()
def test_strategy_portfolio(trading_params, data_proxy):
def handle_bar(context, bar_dict):
pass
# print(context.portfolio)
executor = StrategyExecutor(
handle_bar=handle_bar,
trading_params=trading_params,
data_proxy=data_proxy,
)
perf = executor.execute()
def test_strategy_order(trading_params, data_proxy):
def handle_bar(context, bar_dict):
order_shares("000001.XSHE", 100)
executor = StrategyExecutor(
handle_bar=handle_bar,
trading_params=trading_params,
data_proxy=data_proxy,
)
perf = executor.execute()
def test_strategy_portfolio(trading_params, data_proxy):
def handle_bar(context, bar_dict):
pass
# print(context.portfolio)
executor = StrategyExecutor(
handle_bar=handle_bar,
trading_params=trading_params,
data_proxy=data_proxy,
)
perf = executor.execute()
def test_strategy_keep_buy(trading_params, data_proxy):
def handle_bar(context, bar_dict):
order_shares("000001.XSHE", 1000)
print(context.now)
print(context.portfolio.positions["000001.XSHE"])
print(context.portfolio.cash, context.portfolio.market_value,
context.portfolio.portfolio_value)
executor = StrategyExecutor(
handle_bar=handle_bar,
trading_params=trading_params,
data_proxy=data_proxy,
)
perf = executor.execute()
def test_strategy_history(trading_params, data_proxy):
def init(context):
context.cnt = 0
update_universe(["000001.XSHE"])
def handle_bar(context, bar_dict):
print(history(5, "1d", "close")["000001.XSHE"])
executor = StrategyExecutor(
init=init,
handle_bar=handle_bar,
trading_params=trading_params,
data_proxy=data_proxy,
)
perf = executor.execute()
def test_strategy_keep_buy(trading_params, data_proxy):
def handle_bar(context, bar_dict):
order_shares("000001.XSHE", 1000)
print(context.now)
print(context.portfolio.positions["000001.XSHE"])
print(context.portfolio.cash, context.portfolio.market_value, context.portfolio.portfolio_value)
executor = StrategyExecutor(
handle_bar=handle_bar,
trading_params=trading_params,
data_proxy=data_proxy,
)
perf = executor.execute()
def test_strategy_sell_no_sellable(trading_params, data_proxy):
def init(context):
context.cnt = 0
def handle_bar(context, bar_dict):
order_shares("000001.XSHE", 5000)
order_shares("000001.XSHE", -5000)
executor = StrategyExecutor(
init=init,
handle_bar=handle_bar,
trading_params=trading_params,
data_proxy=data_proxy,
)
perf = executor.execute()
def test_strategy_history(trading_params, data_proxy):
def init(context):
context.cnt = 0
update_universe(["000001.XSHE"])
def handle_bar(context, bar_dict):
print(history(5, "1d", "close")["000001.XSHE"])
executor = StrategyExecutor(
init=init,
handle_bar=handle_bar,
trading_params=trading_params,
data_proxy=data_proxy,
)
perf = executor.execute()
def test_strategy_sell_no_sellable(trading_params, data_proxy):
def init(context):
context.cnt = 0
def handle_bar(context, bar_dict):
order_shares("000001.XSHE", 5000)
order_shares("000001.XSHE", -5000)
executor = StrategyExecutor(
init=init,
handle_bar=handle_bar,
trading_params=trading_params,
data_proxy=data_proxy,
)
perf = executor.execute()
def test_instrument(trading_params, data_proxy):
def init(context):
context.stocks = []
def handle_bar(context, bar_dict):
if len(context.stocks) == 0:
context.stocks.append(instruments("600485.XSHG"))
executor = StrategyExecutor(
init=init,
handle_bar=handle_bar,
trading_params=trading_params,
data_proxy=data_proxy,
)
perf = executor.execute()
i = executor.strategy_context.stocks[0]
assert i.order_book_id == "600485.XSHG"
def test_instrument(trading_params, data_proxy):
def init(context):
context.stocks = []
def handle_bar(context, bar_dict):
if len(context.stocks) == 0:
context.stocks.append(instruments("600485.XSHG"))
executor = StrategyExecutor(
init=init,
handle_bar=handle_bar,
trading_params=trading_params,
data_proxy=data_proxy,
)
perf = executor.execute()
i = executor.strategy_context.stocks[0]
assert i.order_book_id == "600485.XSHG"
def test_strategy_print_call(trading_params, data_proxy):
def init(context):
print("init", context)
def before_trading(context, bar_dict):
print("before_trading", context.now)
def handle_bar(context, bar_dict):
print(bar_dict["000001.XSHE"])
print(bar_dict["600485.XSHG"])
print(bar_dict["600099.XSHG"])
print(context.now)
executor = StrategyExecutor(
init=init,
before_trading=before_trading,
handle_bar=handle_bar,
trading_params=trading_params,
data_proxy=data_proxy,
)
perf = executor.execute()
def test_strategy_print_call(trading_params, data_proxy):
def init(context):
print("init", context)
def before_trading(context, bar_dict):
print("before_trading", context.now)
def handle_bar(context, bar_dict):
print(bar_dict["000001.XSHE"])
print(bar_dict["600485.XSHG"])
print(bar_dict["600099.XSHG"])
print(context.now)
executor = StrategyExecutor(
init=init,
before_trading=before_trading,
handle_bar=handle_bar,
trading_params=trading_params,
data_proxy=data_proxy,
)
perf = executor.execute()
