def test_sell_order(self):
"""Test that the Backtest class respects selling order correctly."""
def execute(self):
eod = self.backtest.get_end_of_day("FOO")
if self.day == 0:
self.backtest.buy_shares("FOO", 1, eod.open_prices[self.day])
elif self.day == 1:
self.backtest.buy_shares("FOO", 2, eod.open_prices[self.day])
elif self.day == 2:
self.backtest.sell_shares(
"FOO", 1, eod.open_prices[self.day], self.backtest.portfolio.get_positions("FOO")[1]
)
elif self.day == 3:
self.backtest.sell_shares("FOO", 1, eod.open_prices[self.day])
start = date(2000, 1, 1)
portfolio = Portfolio(100)
strategy = get_mock_strategy_class(execute)
Backtest(
start,
start + timedelta(3),
strategy_class=strategy,
end_of_day_class=self.end_of_day_class,
portfolio=portfolio,
)
positions = portfolio.get_positions("FOO")
assert_equal(len(positions), 1)
assert_equal(positions[0].purchase_date, start + timedelta(1))
def test_purchase_date(self):
"""Test that purchase dates are correctly handled with respect to Taxes."""
end_of_day_class = get_mock_end_of_day_class([1, 3, 3, 3])
def execute(self):
if self.day == 1:
self.backtest.sell_shares("FOO", 2, 3)
strategy = get_mock_strategy_class(execute)
portfolio = Portfolio(0)
start = date(2000, 1, 1)
portfolio.add_position(OpenPosition("FOO", start - timedelta(2), 1, 1))
portfolio.add_position(OpenPosition("FOO", start - timedelta(1), 1, 1))
class MockTaxes(Taxes):
def sell_tax(self, symbol, shares, gain_per_share, purchase_date):
if self.backtest.simulation_date - purchase_date <= timedelta(2):
return 1
else:
return 0
backtest = Backtest(
start,
start + timedelta(3),
taxes_class=MockTaxes,
strategy_class=strategy,
end_of_day_class=end_of_day_class,
portfolio=portfolio,
)
expected = [2, 5, 5, 5]
assert_equal(backtest.values, expected)
def test_symbol_deleted_when_last_position_removed(self):
"""Test that the remove_item method of Portfolio removes unused sybmols."""
portfolio = Portfolio(100)
start_date = date(2000, 1, 1)
p1 = OpenPosition("FOO", start_date, 100, 100)
portfolio.add_position(p1)
portfolio.remove_position(p1)
assert_false(p1.symbol in portfolio.symbols)
def test_splits(self):
"""Test the Backtest class's split handling."""
end_of_day_class = get_mock_end_of_day_class([1, 1, 1, 1], splits=[None, Split(2, 1), None, None])
start = date(2000, 1, 1)
portfolio = Portfolio(0)
portfolio.add_position(OpenPosition("FOO", start - timedelta(1), 1, 1))
backtest = Backtest(start, start + timedelta(3), end_of_day_class=end_of_day_class, portfolio=portfolio)
expected_values = [1, 2, 2, 2]
assert_equal(backtest.values, expected_values)
def basic_test(self):
"""Test the Backtest class against a single EndOfDay object, with no dividends or splits."""
end_of_day_class = get_mock_end_of_day_class([1, 2, 3, 4])
start = date(2000, 1, 1)
portfolio = Portfolio(0)
portfolio.add_position(OpenPosition("FOO", start - timedelta(1), 1, 1))
backtest = Backtest(start, start + timedelta(3), end_of_day_class=end_of_day_class, portfolio=portfolio)
expected_dates = [start, start + timedelta(1), start + timedelta(2), start + timedelta(3)]
expected_values = [1, 2, 3, 4]
assert_equal(backtest.dates, expected_dates)
assert_equal(backtest.values, expected_values)
def test_dividends(self):
"""Test that dividend taxes are handled correctly"""
end_of_day_class = get_mock_end_of_day_class([1, 1, 1, 1], dividends=[None, 2, None, None])
portfolio = Portfolio(0)
start = date(2000, 1, 1)
portfolio.add_position(OpenPosition("Foo", start - timedelta(1), 1, 1))
class MockTaxes(Taxes):
def dividend_tax(self, symbol, amount, purchase_date):
return 1
backtest = Backtest(
start, start + timedelta(3), taxes_class=MockTaxes, end_of_day_class=end_of_day_class, portfolio=portfolio
)
expected = [1, 2, 2, 2]
assert_equal(backtest.values, expected)
def test_modify_item(self):
"""Test modifying an OpenPosition within a Portfolio."""
self.portfolio = Portfolio(100)
self.start_date = date(2000, 1, 1)
self.p1 = OpenPosition("FOO", self.start_date, 100, 100)
self.p2 = OpenPosition("FOO", self.start_date + timedelta(1), 200, 150)
self.p3 = OpenPosition("FOO", self.start_date + timedelta(2), 300, 200)
self.portfolio.add_position(self.p1)
self.portfolio.add_position(self.p2)
self.portfolio.add_position(self.p3)
positions = self.portfolio.get_positions("FOO")
assert_equal(positions, [self.p1, self.p2, self.p3])
positions[0].cost_basis = 50
positions[0].remaining_shares = 200
assert_equal(self.p1, positions[0])
positions = self.portfolio.get_positions("FOO")
assert_equal(positions, [self.p1, self.p2, self.p3])
self.portfolio.add_position(OpenPosition("BAR", self.start_date, 100, 100))
positions = self.portfolio.get_positions("FOO")
assert_equal(positions, [self.p1, self.p2, self.p3])
class TestPortfolio(object):
"""Tests the Portfolio class."""
@test(groups=["initializers"])
def test_modify_item(self):
"""Test modifying an OpenPosition within a Portfolio."""
self.portfolio = Portfolio(100)
self.start_date = date(2000, 1, 1)
self.p1 = OpenPosition("FOO", self.start_date, 100, 100)
self.p2 = OpenPosition("FOO", self.start_date + timedelta(1), 200, 150)
self.p3 = OpenPosition("FOO", self.start_date + timedelta(2), 300, 200)
self.portfolio.add_position(self.p1)
self.portfolio.add_position(self.p2)
self.portfolio.add_position(self.p3)
positions = self.portfolio.get_positions("FOO")
assert_equal(positions, [self.p1, self.p2, self.p3])
positions[0].cost_basis = 50
positions[0].remaining_shares = 200
assert_equal(self.p1, positions[0])
positions = self.portfolio.get_positions("FOO")
assert_equal(positions, [self.p1, self.p2, self.p3])
self.portfolio.add_position(OpenPosition("BAR", self.start_date, 100, 100))
positions = self.portfolio.get_positions("FOO")
assert_equal(positions, [self.p1, self.p2, self.p3])
@test(depends_on_groups=["initializers"])
def test_remove_item(self):
"""Test the remove_item method of Portfolio."""
self.portfolio.remove_position(self.p2)
assert_equal(self.portfolio.get_positions("FOO"), [self.p1, self.p3])
p4 = OpenPosition("FOO", self.start_date + timedelta(2), 300, 200)
self.portfolio.add_position(p4)
self.portfolio.remove_position(self.p3)
assert_equal(self.portfolio.get_positions("FOO"), [self.p1, p4])
assert_not_equal(self.portfolio.get_positions("FOO"), [self.p1, self.p3])
@test
def test_symbol_deleted_when_last_position_removed(self):
"""Test that the remove_item method of Portfolio removes unused sybmols."""
portfolio = Portfolio(100)
start_date = date(2000, 1, 1)
p1 = OpenPosition("FOO", start_date, 100, 100)
portfolio.add_position(p1)
portfolio.remove_position(p1)
assert_false(p1.symbol in portfolio.symbols)
