def testCumulativeReturn(self):
initialCash = 33.06
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
AnalyzerTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
strat = position_test.TestStrategy(barFeed,
AnalyzerTestCase.TestInstrument,
initialCash)
strat.addPosEntry(datetime.datetime(2001, 1, 12), strat.enterLong,
AnalyzerTestCase.TestInstrument, 1) # 33.06
strat.addPosExitMarket(datetime.datetime(2001, 11, 27)) # 14.32
stratAnalyzer = returns.Returns(maxLen=10)
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(
round(strat.getBroker().getCash(), 2) == round(
initialCash + (14.32 - 33.06), 2))
self.assertTrue(
round(33.06 *
(1 + stratAnalyzer.getCumulativeReturns()[-1]), 2) == 14.32)
self.assertEqual(len(stratAnalyzer.getCumulativeReturns()), 10)
self.assertEqual(len(stratAnalyzer.getReturns()), 10)
def testBaseBarFeed(self):
barFeed = yahoofeed.Feed()
barFeed.sanitizeBars(True)
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barfeed_test.check_base_barfeed(self, barFeed, True)
def testTwoBarReturns_CloseClose(self):
initialCash = 15.90
barFeed = yahoofeed.Feed()
barFeed.setBarFilter(
csvfeed.DateRangeFilter(datetime.datetime(2001, 12, 06),
datetime.datetime(2001, 12, 07)))
barFeed.addBarsFromCSV(
AnalyzerTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
strat = strategy_test.TestStrategy(barFeed, initialCash)
# 2001-12-06,15.61,16.03,15.50,15.90,66944900,15.55
# 2001-12-07,15.74,15.95,15.55,15.91,42463200,15.56
# Manually place the entry order, to get it filled on the first bar.
order = strat.getBroker().createMarketOrder(
broker.Order.Action.BUY, AnalyzerTestCase.TestInstrument, 1,
True) # Close: 15.90
strat.getBroker().submitOrder(order)
strat.addOrder(datetime.datetime(2001, 12, 06),
strat.getBroker().createMarketOrder,
broker.Order.Action.SELL,
AnalyzerTestCase.TestInstrument, 1,
True) # Close: 15.91
stratAnalyzer = returns.Returns()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.getBroker().getCash() == initialCash +
(15.91 - 15.90))
# First day returns: 0
self.assertTrue(stratAnalyzer.getReturns()[0] == 0)
# Second day returns: Open vs Prev. day's close
self.assertTrue(stratAnalyzer.getReturns()[1] == (15.91 - 15.90) /
15.90)
def __getFeed(self):
# Load the feed and process all bars.
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
LineBreakTestCase.Instrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
return barFeed
def testBounded(self):
tmpFeed = TemporarySQLiteFeed(SQLiteFeedTestCase.dbName,
bar.Frequency.DAY,
maxLen=2)
with tmpFeed:
# Load bars using a Yahoo! feed.
yahooFeed = yahoofeed.Feed(maxLen=1)
yahooFeed.addBarsFromCSV(
"orcl",
common.get_data_file_path("orcl-2000-yahoofinance.csv"),
marketsession.USEquities.timezone)
yahooFeed.addBarsFromCSV(
"orcl",
common.get_data_file_path("orcl-2001-yahoofinance.csv"),
marketsession.USEquities.timezone)
# Fill the database using the bars from the Yahoo! feed.
sqliteFeed = tmpFeed.getFeed()
sqliteFeed.getDatabase().addBarsFromFeed(yahooFeed)
# Load the SQLite feed and process all bars.
sqliteFeed.loadBars("orcl")
for bars in sqliteFeed:
pass
barDS = sqliteFeed["orcl"]
self.assertEqual(len(barDS), 2)
self.assertEqual(len(barDS.getDateTimes()), 2)
self.assertEqual(len(barDS.getCloseDataSeries()), 2)
self.assertEqual(len(barDS.getCloseDataSeries().getDateTimes()), 2)
self.assertEqual(len(barDS.getOpenDataSeries()), 2)
self.assertEqual(len(barDS.getHighDataSeries()), 2)
self.assertEqual(len(barDS.getLowDataSeries()), 2)
self.assertEqual(len(barDS.getAdjCloseDataSeries()), 2)
def testIGE_BrokerWithCommission(self):
commision = 0.5
initialCash = 42.09 + commision
# This testcase is based on an example from Ernie Chan's book:
# 'Quantitative Trading: How to Build Your Own Algorithmic Trading Business'
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV("ige", common.get_data_file_path("sharpe-ratio-test-ige.csv"))
strat = strategy_test.TestStrategy(barFeed, initialCash)
strat.getBroker().setCommission(backtesting.FixedPerTrade(commision))
strat.setUseAdjustedValues(True)
strat.setBrokerOrdersGTC(True)
stratAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(stratAnalyzer)
# Disable volume checks to match book results.
strat.getBroker().getFillStrategy().setVolumeLimit(None)
# Manually place the order to get it filled on the first bar.
order = strat.getBroker().createMarketOrder(broker.Order.Action.BUY, "ige", 1, True) # Adj. Close: 42.09
order.setGoodTillCanceled(True)
strat.getBroker().submitOrder(order)
strat.addOrder(datetime.datetime(2007, 11, 13), strat.getBroker().createMarketOrder, broker.Order.Action.SELL, "ige", 1, True) # Adj. Close: 127.64
strat.run()
self.assertTrue(round(strat.getBroker().getCash(), 2) == initialCash + (127.64 - 42.09 - commision*2))
self.assertEqual(strat.orderUpdatedCalls, 6)
# The results are slightly different only because I'm taking into account the first bar as well,
# and I'm also adding commissions.
self.assertEqual(round(stratAnalyzer.getSharpeRatio(0.04, True), 6), 0.776443)
def testFirstBar(self):
initialCash = 1000
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
AnalyzerTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
strat = strategy_test.TestStrategy(barFeed, initialCash)
strat.addOrder(datetime.datetime(2001, 01, 02),
strat.getBroker().createMarketOrder,
broker.Order.Action.BUY,
AnalyzerTestCase.TestInstrument, 1,
False) # 2001-01-03 Open: 25.25 Close: 32.00
stratAnalyzer = returns.Returns()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertEqual(stratAnalyzer.getReturns()[0], 0)
self.assertEqual(stratAnalyzer.getReturns()[1], (32.00 - 25.25) / 1000)
# Check date times.
datetimes = barFeed[AnalyzerTestCase.TestInstrument].getDateTimes()
for i in [0, -1]:
self.assertEqual(stratAnalyzer.getReturns().getDateTimes()[i],
datetimes[i])
self.assertEqual(
stratAnalyzer.getCumulativeReturns().getDateTimes()[i],
datetimes[i])
def testOneBarReturn(self):
initialCash = 1000
barFeed = yahoofeed.Feed()
barFeed.setBarFilter(
csvfeed.DateRangeFilter(datetime.datetime(2001, 12, 07),
datetime.datetime(2001, 12, 07)))
barFeed.addBarsFromCSV(
AnalyzerTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
strat = strategy_test.TestStrategy(barFeed, initialCash)
# 2001-12-07,15.74,15.95,15.55,15.91,42463200,15.56
# Manually place the orders to get them filled on the first (and only) bar.
order = strat.getBroker().createMarketOrder(
broker.Order.Action.BUY, AnalyzerTestCase.TestInstrument, 1,
False) # Open: 15.74
strat.getBroker().submitOrder(order)
order = strat.getBroker().createMarketOrder(
broker.Order.Action.SELL, AnalyzerTestCase.TestInstrument, 1,
True) # Close: 15.91
strat.getBroker().submitOrder(order)
stratAnalyzer = returns.Returns()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.getBroker().getCash() == initialCash +
(15.91 - 15.74))
finalValue = 1000 - 15.74 + 15.91
rets = (finalValue - initialCash) / float(initialCash)
self.assertEqual(stratAnalyzer.getReturns()[-1], rets)
def testDefaultInstrument(self):
barFeed = yahoofeed.Feed()
self.assertEquals(barFeed.getDefaultInstrument(), None)
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
self.assertEquals(barFeed.getDefaultInstrument(),
FeedTestCase.TestInstrument)
def testWithIntegerTimezone(self):
try:
barFeed = yahoofeed.Feed(timezone=-5)
self.assertTrue(False, "Exception expected")
except Exception, e:
self.assertTrue(
str(e).find(
"timezone as an int parameter is not supported anymore") ==
0)
def __test(self, strategyClass, finalValue):
feed = yahoofeed.Feed()
feed.addBarsFromCSV(
"orcl", common.get_data_file_path("orcl-2001-yahoofinance.csv"))
myStrategy = strategyClass(feed, 10, 25)
myStrategy.run()
myStrategy.printDebug("Final result:",
round(myStrategy.getFinalValue(), 2))
self.assertTrue(round(myStrategy.getFinalValue(), 2) == finalValue)
def testNoEvents(self):
feed = yahoofeed.Feed()
feed.addBarsFromCSV(
"orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv"))
predicate = Predicate([])
eventProfiler = eventprofiler.Profiler(predicate, 5, 5)
eventProfiler.run(feed, True)
self.assertEqual(eventProfiler.getResults().getEventCount(), 0)
def testLocal(self):
barFeed = yahoofeed.Feed()
instrument = "orcl"
barFeed.addBarsFromCSV(instrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"))
res = local.run(
sma_crossover.SMACrossOver, barFeed, parameters_generator(instrument, 5, 100), logLevel=logging.DEBUG
)
self.assertEquals(round(res.getResult(), 2), 1295462.6)
self.assertEquals(res.getParameters()[1], 20)
def testDuplicateBars(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
with self.assertRaisesRegexp(Exception, "Duplicate bars found for.*"):
barFeed.loadAll()
def build_feed(instruments,
fromYear,
toYear,
storage,
frequency=bar.Frequency.DAY,
timezone=None,
skipErrors=False):
"""Build and load a :class:`engine.barfeed.yahoofeed.Feed` using CSV files downloaded from Yahoo! Finance.
CSV files are downloaded if they haven't been downloaded before.
:param instruments: Instrument identifiers.
:type instruments: list.
:param fromYear: The first year.
:type fromYear: int.
:param toYear: The last year.
:type toYear: int.
:param storage: The path were the files will be loaded from, or downloaded to.
:type storage: string.
:param frequency: The frequency of the bars. Only **engine.bar.Frequency.DAY** or **engine.bar.Frequency.WEEK**
are supported.
:param timezone: The default timezone to use to localize bars. Check :mod:`engine.marketsession`.
:type timezone: A pytz timezone.
:param skipErrors: True to keep on loading/downloading files in case of errors.
:type skipErrors: boolean.
:rtype: :class:`engine.barfeed.yahoofeed.Feed`.
"""
logger = engine.logger.getLogger("yahoofinance")
ret = yahoofeed.Feed(frequency, timezone)
if not os.path.exists(storage):
logger.info("Creating %s directory" % (storage))
os.mkdir(storage)
for year in range(fromYear, toYear + 1):
for instrument in instruments:
fileName = os.path.join(
storage, "%s-%d-yahoofinance.csv" % (instrument, year))
if not os.path.exists(fileName):
logger.info("Downloading %s %d to %s" %
(instrument, year, fileName))
try:
if frequency == bar.Frequency.DAY:
download_daily_bars(instrument, year, fileName)
elif frequency == bar.Frequency.WEEK:
download_weekly_bars(instrument, year, fileName)
else:
raise Exception("Invalid frequency")
except Exception, e:
if skipErrors:
logger.error(str(e))
continue
else:
raise e
ret.addBarsFromCSV(instrument, fileName)
def testDownloadAndParseDaily(self):
instrument = "orcl"
with common.TmpDir() as tmp_path:
path = os.path.join(tmp_path, "orcl-2010.csv")
yahoofinance.download_daily_bars(instrument, 2010, path)
bf = yahoofeed.Feed()
bf.addBarsFromCSV(instrument, path)
bf.loadAll()
self.assertEqual(round(bf[instrument][-1].getOpen(), 2), 31.22)
self.assertEqual(round(bf[instrument][-1].getClose(), 2), 31.30)
def testWithoutTimezone(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
for dateTime, bars in barFeed:
bar = bars.getBar(FeedTestCase.TestInstrument)
self.assertTrue(dt.datetime_is_naive(bar.getDateTime()))
def testOneEvent(self):
feed = yahoofeed.Feed()
feed.addBarsFromCSV(
"orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv"))
predicate = Predicate([datetime.date(2000, 1, 11)])
eventProfiler = eventprofiler.Profiler(predicate, 5, 5)
eventProfiler.run(feed, True)
self.assertEqual(eventProfiler.getResults().getEventCount(), 1)
self.assertEqual(eventProfiler.getResults().getValues(0)[0], 1.0)
self.assertEqual(round(eventProfiler.getResults().getValues(5)[0], 5),
round(1.016745541, 5))
def testNoTrades(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV("ige", common.get_data_file_path("sharpe-ratio-test-ige.csv"))
strat = strategy_test.TestStrategy(barFeed, 1000)
stratAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.getBroker().getCash() == 1000)
self.assertTrue(stratAnalyzer.getSharpeRatio(0.04, True) == 0)
self.assertTrue(stratAnalyzer.getSharpeRatio(0) == 0)
self.assertTrue(stratAnalyzer.getSharpeRatio(0, True) == 0)
def testMapTypeOperations(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"),
marketsession.USEquities.getTimezone())
for dateTime, bars in barFeed:
self.assertTrue(FeedTestCase.TestInstrument in bars)
self.assertFalse(FeedTestCase.TestInstrument not in bars)
bars[FeedTestCase.TestInstrument]
with self.assertRaises(KeyError):
bars["pirulo"]
def testWithDefaultTimezone(self):
barFeed = yahoofeed.Feed(
timezone=marketsession.USEquities.getTimezone())
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
for dateTime, bars in barFeed:
bar = bars.getBar(FeedTestCase.TestInstrument)
self.assertFalse(dt.datetime_is_naive(bar.getDateTime()))
def testDownloadAndParseWeekly(self):
instrument = "aapl"
with common.TmpDir() as tmp_path:
path = os.path.join(tmp_path, "aapl-weekly-2013.csv")
yahoofinance.download_weekly_bars(instrument, 2013, path)
bf = yahoofeed.Feed(frequency=bar.Frequency.WEEK)
bf.addBarsFromCSV(instrument, path)
bf.loadAll()
self.assertEqual(round(bf[instrument][-1].getOpen(), 2), 557.46)
self.assertEqual(round(bf[instrument][-1].getHigh(), 2), 561.28)
self.assertEqual(round(bf[instrument][-1].getLow(), 2), 540.43)
self.assertEqual(round(bf[instrument][-1].getClose(), 2), 540.98)
self.assertTrue(bf[instrument][-1].getVolume() in (9852500,
9855900,
68991600))
def testCSVFeedLoadOrder(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
# Dispatch and handle events.
handler = BarFeedEventHandler_TestLoadOrder(
self, barFeed, FeedTestCase.TestInstrument)
barFeed.getNewValuesEvent().subscribe(handler.onBars)
while not barFeed.eof():
barFeed.dispatch()
self.assertTrue(handler.getEventCount() > 0)
def testDifferentTimezones(self):
# Market times in UTC:
# - TSE: 0hs ~ 6hs
# - US: 14:30hs ~ 21hs
feed = yahoofeed.Feed()
for year in [2010, 2011]:
feed.addBarsFromCSV(
"^n225",
common.get_data_file_path("nikkei-%d-yahoofinance.csv" % year),
marketsession.TSE.getTimezone())
feed.addBarsFromCSV(
"spy",
common.get_data_file_path("spy-%d-yahoofinance.csv" % year),
marketsession.USEquities.getTimezone())
self.__testDifferentTimezonesImpl(feed)
def __testFilteredRangeImpl(self, fromDate, toDate):
barFeed = yahoofeed.Feed()
barFeed.setBarFilter(csvfeed.DateRangeFilter(fromDate, toDate))
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
# Dispatch and handle events.
handler = BarFeedEventHandler_TestFilterRange(
self, FeedTestCase.TestInstrument, fromDate, toDate)
barFeed.getNewValuesEvent().subscribe(handler.onBars)
while not barFeed.eof():
barFeed.dispatch()
self.assertTrue(handler.getEventCount() > 0)
def testBounded(self):
barFeed = yahoofeed.Feed(maxLen=2)
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"),
marketsession.USEquities.getTimezone())
for dateTime, bars in barFeed:
pass
barDS = barFeed[FeedTestCase.TestInstrument]
self.assertEqual(len(barDS), 2)
self.assertEqual(len(barDS.getDateTimes()), 2)
self.assertEqual(len(barDS.getCloseDataSeries()), 2)
self.assertEqual(len(barDS.getCloseDataSeries().getDateTimes()), 2)
self.assertEqual(len(barDS.getOpenDataSeries()), 2)
self.assertEqual(len(barDS.getHighDataSeries()), 2)
self.assertEqual(len(barDS.getLowDataSeries()), 2)
self.assertEqual(len(barDS.getAdjCloseDataSeries()), 2)
def testNoTrades(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
"ige", common.get_data_file_path("sharpe-ratio-test-ige.csv"))
barFeed.addBarsFromCSV(
"spy", common.get_data_file_path("sharpe-ratio-test-spy.csv"))
strat = strategy_test.TestStrategy(barFeed, 1000)
strat.setBrokerOrdersGTC(True)
strat.setUseAdjustedValues(True)
stratAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.getBroker().getCash() == 1000)
self.assertEqual(strat.orderUpdatedCalls, 0)
self.assertTrue(stratAnalyzer.getMaxDrawDown() == 0)
self.assertTrue(
stratAnalyzer.getLongestDrawDownDuration() == datetime.timedelta())
def testMultipleInstrumentsInterleaved(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
"spy", common.get_data_file_path("spy-2010-yahoofinance.csv"),
marketsession.NYSE.getTimezone())
barFeed.addBarsFromCSV(
"nikkei",
common.get_data_file_path("nikkei-2010-yahoofinance.csv"),
marketsession.TSE.getTimezone())
strat = strategy_test.TestStrategy(barFeed, 1000)
stratAnalyzer = returns.Returns()
strat.attachAnalyzer(stratAnalyzer)
strat.marketOrder("spy", 1)
strat.run()
# The cumulative return should be the same if we load nikkei or not.
self.assertEqual(round(stratAnalyzer.getCumulativeReturns()[-1], 5),
0.01338)
def testReset(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"),
marketsession.USEquities.getTimezone())
barFeed.loadAll()
instruments = barFeed.getRegisteredInstruments()
ds = barFeed[FeedTestCase.TestInstrument]
barFeed.reset()
barFeed.loadAll()
reloadedDs = barFeed[FeedTestCase.TestInstrument]
self.assertEqual(len(reloadedDs), len(ds))
self.assertNotEqual(reloadedDs, ds)
self.assertEqual(instruments, barFeed.getRegisteredInstruments())
for i in range(len(ds)):
self.assertEqual(ds[i].getDateTime(), reloadedDs[i].getDateTime())
self.assertEqual(ds[i].getClose(), reloadedDs[i].getClose())
def testResampledBarFeed(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV("spy", common.get_data_file_path("spy-2010-yahoofinance.csv"))
barFeed.addBarsFromCSV("nikkei", common.get_data_file_path("nikkei-2010-yahoofinance.csv"))
resampledBarFeed = resampled_bf.ResampledBarFeed(barFeed, bar.Frequency.MONTH)
disp = dispatcher.Dispatcher()
disp.addSubject(barFeed)
disp.addSubject(resampledBarFeed)
disp.run()
weeklySpyBarDS = resampledBarFeed["spy"]
weeklyNikkeiBarDS = resampledBarFeed["nikkei"]
# Check first bar
self.assertEqual(weeklySpyBarDS[0].getDateTime().date(), datetime.date(2010, 1, 1))
self.assertEqual(weeklyNikkeiBarDS[0].getDateTime().date(), datetime.date(2010, 1, 1))
# Check last bar
self.assertEqual(weeklySpyBarDS[-1].getDateTime().date(), datetime.date(2010, 11, 1))
self.assertEqual(weeklyNikkeiBarDS[-1].getDateTime().date(), datetime.date(2010, 11, 1))
