def test_total_return(self):
sim = MarketSimulator('./data')
sim.initial_cash = 1000000
sim.simulate("../../sim/test/orders.csv")
# Test without giving the column
tr1 = BasicUtils.total_return(sim.portfolio)
self.assertEquals(tr1, 0.1332629999999999)
# Test giving the column we want to calculate
tr2 = BasicUtils.total_return(sim.portfolio, 'Portfolio')
self.assertEquals(tr2, 0.1332629999999999)
def test_sharpe_ratio(self):
sim = MarketSimulator('./data')
sim.initial_cash = 1000000
sim.simulate("../../sim/test/orders.csv")
# Test without giving the column
sr1 = BasicUtils.sharpe_ratio(sim.portfolio, extraAnswers=True)
self.assertEquals(sr1['sharpe_ratio'], 1.1825359272456812)
self.assertEquals(sr1['std'], 0.0071658104790118396)
self.assertEquals(sr1['mean'], 0.00054698326727656884)
# Test giving the column we want to calculate
sr2 = BasicUtils.sharpe_ratio(sim.portfolio, 'Portfolio', extraAnswers=True)
self.assertEquals(sr2['sharpe_ratio'], 1.1825359272456812)
self.assertEquals(sr2['std'], 0.0071658104790118396)
self.assertEquals(sr2['mean'], 0.00054698326727656884)
def test_1(self):
"""
Loads solution from csv file and test the values
Tests
-----
1. Name of the solution Series: cash, equities, portfolio
2. Values of the solution Series: cash, equities, portfolio
"""
# Set up
self.setUpDataAccess()
self_dir = os.path.dirname(os.path.abspath(inspect.getfile(inspect.currentframe())))
tests = ["Test_1.csv"]
tests = [os.path.join(self_dir, "docs", test) for test in tests]
orders = ["orders_1.csv"]
orders = [os.path.join(self_dir, "docs", order) for order in orders]
for test_file, order in zip(tests, orders):
solution = pd.read_csv(test_file)
solution = solution.set_index(pd.to_datetime(solution["Date"]))
simulator = MarketSimulator()
simulator.initial_cash = 1000000
simulator.load_trades(order)
simulator.simulate()
# Test 1
self.assertEqual(simulator.cash.name, "Cash")
self.assertEqual(simulator.equities.name, "Equities value")
self.assertEqual(simulator.portfolio.name, "Portfolio value")
# Test 2
self.assertEqual(simulator.cash, solution["Cash"])
self.assertEqual(simulator.equities, solution["Equities value"])
self.assertEqual(simulator.portfolio, solution["Portfolio value"])
def test_1(self):
'''
Loads solution from csv file and test the values
Tests
-----
1. Name of the solution Series: cash, equities, portfolio
2. Values of the solution Series: cash, equities, portfolio
'''
# Set up
self.setUpDataAccess()
self_dir = os.path.dirname(
os.path.abspath(inspect.getfile(inspect.currentframe())))
tests = ['Test_1.csv']
tests = [os.path.join(self_dir, 'docs', test) for test in tests]
orders = ['orders_1.csv']
orders = [os.path.join(self_dir, 'docs', order) for order in orders]
for test_file, order in zip(tests, orders):
solution = pd.read_csv(test_file)
solution = solution.set_index(pd.to_datetime(solution['Date']))
simulator = MarketSimulator()
simulator.initial_cash = 1000000
simulator.load_trades(order)
simulator.simulate()
# Test 1
self.assertEqual(simulator.cash.name, 'Cash')
self.assertEqual(simulator.equities.name, 'Equities value')
self.assertEqual(simulator.portfolio.name, 'Portfolio value')
# Test 2
self.assertEqual(simulator.cash, solution['Cash'])
self.assertEqual(simulator.equities, solution['Equities value'])
self.assertEqual(simulator.portfolio, solution['Portfolio value'])
from datetime import datetime
from finance.utils.BasicUtils import *
from finance.sim import MarketSimulator
sim = MarketSimulator("../sim/test/data")
sim.initial_cash = 1000000
sim.simulate("MarketSimulator_orders.csv")
print(sim.portfolio[0:10])
print("Total Return:", total_return(sim.portfolio))
print(sharpe_ratio(sim.portfolio, extraAnswers=True))
class MarketSimulatorTest(unittest.TestCase):
def setUp1(self):
DataAccess('./data').empty_dirs()
self.sim = MarketSimulator('./data')
def suite(self):
suite = unittest.TestSuite()
suite.addTest(MarketSimulatorTest('test_values'))
return suite
def dfCompare(self, df1, df2):
c = df1 == df2
for idx, row in c.iterrows():
if row[0] == False:
return False
return True
def test_values(self):
self.setUp1()
self.sim.initial_cash = 1000000
self.sim.simulate("orders.csv")
# Test: Length of the DataFrame
self.assertEqual(len(self.sim.portfolio), 240)
self.assertEqual(len(self.sim.portfolio.columns), 1)
# Test: Name of columns
self.assertEqual(self.sim.portfolio.columns, 'Portfolio')
self.assertEqual(self.sim.portfolio.index.name, 'Date')
# Create a test DataFrame
testdf = pd.DataFrame([0, 0, 0, 0, 0])
testdf.index.name = 'Date'
# ========================== HEAD TEST ==============================================
testdf.columns = ['Portfolio']
testdf.index = [datetime(2011, 1, 10), datetime(2011, 1, 11), datetime(2011, 1, 12),
datetime(2011, 1, 13), datetime(2011, 1, 14)]
# Portfolio: Test True Positive
testdf['Portfolio'] = [1000000, 998785, 1002925, 1004800, 1009360]
self.assertTrue(self.dfCompare(testdf, self.sim.portfolio.head()))
# Portfolio: Test True Negative
testdf['Portfolio'] = [11000000, 998785, 1002925, 1004800, 1009360]
self.assertFalse(self.dfCompare(testdf, self.sim.portfolio.head()))
# Cash: Test True Positive
testdf.columns = ['Cash']
testdf['Cash'] = [490840, 490840, 490840, 429120, 429120]
self.assertTrue(self.dfCompare(testdf, self.sim.cash.head()))
# Cash: Test True Negative
testdf['Cash'] = [490840, 490840, 490840, 429120, 1429120]
self.assertFalse(self.dfCompare(testdf, self.sim.cash.head()))
# ========================== TAIL TEST ==============================================
testdf.columns = ['Portfolio']
testdf.index = [datetime(2011, 12, 14), datetime(2011, 12, 15), datetime(2011, 12, 16),
datetime(2011, 12, 19), datetime(2011, 12, 20)]
# Portfolio: Test True Positive
testdf['Portfolio'] = [1114519, 1113031, 1115515, 1116931, 1133263]
self.assertTrue(self.dfCompare(testdf, self.sim.portfolio.tail()))
# Portfolio: Test True Negative
testdf['Portfolio'] = [1114519, 1113031, 1115515, 1116931, 1133264]
self.assertFalse(self.dfCompare(testdf, self.sim.portfolio.tail()))
# Cash: Test True Positive
testdf.columns = ['Cash']
testdf['Cash'] = [662311, 662311, 662311, 662311, 1133263]
self.assertTrue(self.dfCompare(testdf, self.sim.cash.tail()))
# Cash: Test True Negative
testdf['Cash'] = [662311, 662311, 662311, 662311, 1133264]
self.assertFalse(self.dfCompare(testdf, self.sim.cash.tail()))
def setUp1(self):
DataAccess('./data').empty_dirs()
self.sim = MarketSimulator('./data')
from datetime import datetime
import matplotlib.pyplot as plt
from finance.utils import Calculator
from finance.sim import MarketSimulator
# from finance.utils import DataAccess
# DataAccess.path = 'data'
sim = MarketSimulator()
sim.initial_cash = 1000000
sim.load_trades("MarketSimulator_orders.csv")
sim.simulate()
print(sim.portfolio[0:10])
print('Total Return:', Calculator.ret(sim.portfolio))
print(Calculator.sharpe_ratio(sim.portfolio))
sim.portfolio.plot()
# plt.grid(True)
plt.show()