def test_decimals(self):
# Long with decimals
a = exchange.Account(2)
a.enter_position('Long', 1, 0.00000001)
self.assertEqual(a.total_value(0.00000002), 3)
a.close_position(a.positions[0], 1, 0.00000002)
self.assertEqual(a.buying_power, 3)
# Short with decimals
a = exchange.Account(2)
a.enter_position('Short', 1, 0.00000002)
self.assertEqual(a.total_value(0.00000001), 2.5)
a.close_position(a.positions[0], 1, 0.00000001)
self.assertEqual(a.buying_power, 2.5)
def test_decimals(self):
# Long with decimals
a = exchange.Account(2)
a.EnterPosition('Long', 1, 0.00000001)
self.assertEqual(a.TotalValue(0.00000002), 3)
a.ClosePosition(a.Positions[0], 1, 0.00000002)
self.assertEqual(a.BuyingPower, 3)
# Short with decimals
a = exchange.Account(2)
a.EnterPosition('Short', 1, 0.00000002)
self.assertEqual(a.TotalValue(0.00000001), 2.5)
a.ClosePosition(a.Positions[0], 1, 0.00000001)
self.assertEqual(a.BuyingPower, 2.5)
def test_errors(self):
a = exchange.Account(1000)
self.assertRaises(ValueError, a.enter_position, 'Long', 2000, 10)
self.assertRaises(ValueError, a.enter_position, 'Long', -500, 10)
self.assertRaises(ValueError, a.enter_position, 'Long', 500, -10)
# Enter valid position
a.enter_position('Long', 250, 10)
a.enter_position('Short', 250, 10)
Long = a.positions[0]
Short = a.positions[1]
self.assertRaises(ValueError, a.close_position, Long, 0.5, -20)
self.assertRaises(ValueError, a.close_position, Long, 1.01, 20)
self.assertRaises(ValueError, a.close_position, Long, -0.5, 20)
self.assertRaises(ValueError, a.close_position, Short, 1.01, 20)
self.assertRaises(ValueError, a.close_position, Short, -0.5, 20)
def test_both(self):
a = exchange.Account(1000)
a.enter_position('Long', 200, 20)
a.enter_position('Short', 250, 25)
self.assertEqual(a.buying_power, 550)
self.assertEqual(a.total_value(25), 1050)
Long = a.positions[0]
Short = a.positions[1]
a.close_position(Long, 0.5, 40)
a.close_position(Short, 0.5, 12.5)
self.assertEqual(a.buying_power, 937.5)
self.assertEqual(a.total_value(12.5), 1187.5)
a.close_position(Long, 1.0, 50)
a.close_position(Short, 1.0, 50)
self.assertEqual(a.buying_power, 1187.5)
self.assertEqual(a.total_value(100), 1187.5)
def test_both(self):
a = exchange.Account(1000)
a.EnterPosition('Long', 200, 20)
a.EnterPosition('Short', 250, 25)
self.assertEqual(a.BuyingPower, 550)
self.assertEqual(a.TotalValue(25), 1050)
Long = a.Positions[0]
Short = a.Positions[1]
a.ClosePosition(Long, 0.5, 40)
a.ClosePosition(Short, 0.5, 12.5)
self.assertEqual(a.BuyingPower, 937.5)
self.assertEqual(a.TotalValue(12.5), 1187.5)
a.ClosePosition(Long, 1.0, 50)
a.ClosePosition(Short, 1.0, 50)
self.assertEqual(a.BuyingPower, 1187.5)
self.assertEqual(a.TotalValue(100), 1187.5)
def test_short(self):
a = exchange.Account(1000)
# Win on a short
a.enter_position('Short', 500, 10)
a.enter_position('Short', 500, 10)
self.assertEqual(a.buying_power, 0)
self.assertEqual(a.total_value(10), 1000)
S0 = a.positions[0]
S1 = a.positions[1]
a.close_position(S0, 0.5, 5)
a.close_position(S1, 0.5, 5)
self.assertEqual(a.buying_power, 750)
self.assertEqual(a.total_value(5), 1500)
a.close_position(S0, 0.5, 2.5)
a.close_position(S1, 0.5, 2.5)
self.assertEqual(a.buying_power, 1187.5)
self.assertEqual(a.total_value(2.5), 1625)
# Lose on a short
a.enter_position('Short', 1000, 2)
S2 = a.positions[2]
a.close_position(S2, 0.5, 4)
self.assertEqual(a.buying_power, 187.5)
self.assertEqual(a.total_value(4), 587.5)
def test_long(self):
a = exchange.Account(1000)
# Win on a long
a.enter_position('Long', 500, 10)
a.enter_position('Long', 500, 10)
self.assertEqual(a.buying_power, 0)
self.assertEqual(a.total_value(10), 1000)
L0 = a.positions[0]
L1 = a.positions[1]
a.close_position(L0, 0.5, 20)
a.close_position(L1, 0.5, 20)
self.assertEqual(a.buying_power, 1000)
self.assertEqual(a.total_value(20), 2000)
a.close_position(L0, 0.5, 40)
a.close_position(L1, 0.5, 40)
self.assertEqual(a.buying_power, 2000)
self.assertEqual(a.total_value(40), 3000)
# Lose on a long
a.enter_position('Long', 1000, 50)
L2 = a.positions[2]
a.close_position(L2, 0.5, 25)
self.assertEqual(a.buying_power, 1250)
self.assertEqual(a.total_value(25), 2125)
def test_short(self):
a = exchange.Account(1000)
# Win on a short
a.EnterPosition('Short', 500, 10)
a.EnterPosition('Short', 500, 10)
self.assertEqual(a.BuyingPower, 0)
self.assertEqual(a.TotalValue(10), 1000)
S0 = a.Positions[0]
S1 = a.Positions[1]
a.ClosePosition(S0, 0.5, 5)
a.ClosePosition(S1, 0.5, 5)
self.assertEqual(a.BuyingPower, 750)
self.assertEqual(a.TotalValue(5), 1500)
a.ClosePosition(S0, 0.5, 2.5)
a.ClosePosition(S1, 0.5, 2.5)
self.assertEqual(a.BuyingPower, 1187.5)
self.assertEqual(a.TotalValue(2.5), 1625)
# Lose on a short
a.EnterPosition('Short', 1000, 2)
S2 = a.Positions[2]
a.ClosePosition(S2, 0.5, 4)
self.assertEqual(a.BuyingPower, 187.5)
self.assertEqual(a.TotalValue(4), 587.5)
def test_long(self):
a = exchange.Account(1000)
# Win on a long
a.EnterPosition('Long', 500, 10)
a.EnterPosition('Long', 500, 10)
self.assertEqual(a.BuyingPower, 0)
self.assertEqual(a.TotalValue(10), 1000)
L0 = a.Positions[0]
L1 = a.Positions[1]
a.ClosePosition(L0, 0.5, 20)
a.ClosePosition(L1, 0.5, 20)
self.assertEqual(a.BuyingPower, 1000)
self.assertEqual(a.TotalValue(20), 2000)
a.ClosePosition(L0, 0.5, 40)
a.ClosePosition(L1, 0.5, 40)
self.assertEqual(a.BuyingPower, 2000)
self.assertEqual(a.TotalValue(40), 3000)
# Lose on a long
a.EnterPosition('Long', 1000, 50)
L2 = a.Positions[2]
a.ClosePosition(L2, 0.5, 25)
self.assertEqual(a.BuyingPower, 1250)
self.assertEqual(a.TotalValue(25), 2125)
def start(self, data, capital=None, logic=None, simulation=False, **kwargs):
self.data = data
self.model = Model(**kwargs)
# ====================== #
# Initial Training #
# ====================== #
X, y = [], []
for i in range(self.trainStr, self.trainEnd+1):
Xs = [data.iloc[i][var] for var in self.features]
X.append(Xs)
# Find the stock price movement for day 2
y1 = helpers.change(data.iloc[i+1].open, data.iloc[i+1].close)
if y1 > 0: y.append(1) # If it went up, classify as 1
else: y.append(-1) # If it went down, classify as -1
self.model.fit(X, y)
# ====================== #
# Testing #
# ====================== #
if simulation:
self.account = exchange.Account(capital)
for i in range(self.testStr, self.testEnd):
# ==================================== #
# DAY 1 @ 8:00 PM | Markets closed #
# Make prediction for DAY 2 #
# Update Buy/Sell count (or neither) #
# ==================================== #
Xs = [data.iloc[i][var] for var in self.features]
neg, pos = self.model.predict(Xs)
if pos >= self.buyThreshold: # Positive confidence >= buyThreshold
prediction = 1
confidence = pos
elif neg >= self.sellThreshold: # If negative confidence >= sellThreshold
prediction = -1
confidence = neg
else: prediction = confidence = 0
if simulation:
# Update account variables
self.account.Date = data.iloc[i]['date']
self.account.Equity.append(self.account.TotalValue(data.iloc[i]['close']))
# Execute trading logic
logic(self.account, data.iloc[i], prediction, confidence)
# Cleanup empty positions
self.account.PurgePositions()
if not simulation:
# ==================================== #
# DAY 2 @ 4:30 PM | Markets closed #
# Analyze results from DAY 2 #
# Record if prediction was correct #
# ==================================== #
# Case 1/2: Prediction is positive (buy), next day performance is/isn't positive
if prediction == 1:
self.totalBuys += 1
if helpers.change(data.iloc[i+1].open, data.iloc[i+1].close) > 0:
self.correctBuys += 1
# Case 3/4: Prediction is negative (sell), next day performance is/isn't negative
elif prediction == -1:
self.totalSells += 1
if helpers.change(data.iloc[i+1].open, data.iloc[i+1].close) < 0:
self.correctSells += 1
# ====================== #
# Update Model #
# if specified #
# ====================== #
if self.continueTraining:
X.append(Xs)
if change(data, i+1) > 0: y.append(1)
else: y.append(-1)
self.model.fit(X, y)
