def test_in_range(self):
crit = criteria.InRange(str(self.one), 10, 20)
ret = crit.apply(self.data.head(2))
self.assertFalse(ret)
ret = crit.apply(self.data.head(3))
self.assertTrue(ret)
ret = crit.apply(self.data.head(4))
self.assertTrue(ret)
ret = crit.apply(self.data.head(5))
self.assertTrue(ret)
ret = crit.apply(self.data.head(6))
self.assertFalse(ret)
crit = criteria.InRange(str(self.one), str(self.two), str(self.three))
ret = crit.apply(self.data.head(1))
self.assertFalse(ret)
ret = crit.apply(self.data.head(2))
self.assertTrue(ret)
ret = crit.apply(self.data.head(3))
self.assertFalse(ret)
crit = criteria.InRange(str(self.one), -1, 1)
ret = crit.apply(self.data.head(1))
self.assertTrue(ret)
crit = criteria.InRange(str(self.two), 4, str(self.three))
ret = crit.apply(self.data.head(1))
self.assertTrue(ret)
crit = criteria.InRange(str(self.two), str(self.one), 6)
ret = crit.apply(self.data.head(1))
self.assertTrue(ret)
def test_simple_ti_crit_strategy(self):
sma2 = technical_indicator.SMA(self.symbol.close, 2)
sma3 = technical_indicator.SMA(self.symbol.close, 3)
self.d.add_technical_indicator(sma2)
self.d.add_technical_indicator(sma3)
enter_crit1 = criteria.Above(sma2, sma3)
enter_crit2 = criteria.Below(sma3, sma2)
enter_crit3 = criteria.InRange(sma2, 25, 26)
enter_crit4 = criteria.CrossingAbove(sma2, sma3)
enter_crit5 = criteria.CrossingBelow(sma2, sma3)
exit_crit1 = criteria.BarsSinceLong(self.symbol, 2)
exit_crit2 = criteria.Equals(sma2, sma3)
enter_crit_group1 = criteria_group.CriteriaGroup(
[enter_crit1, enter_crit2], Long(), self.symbol)
enter_crit_group2 = criteria_group.CriteriaGroup(
[enter_crit1, enter_crit2], Short(), self.symbol)
enter_crit_group3 = criteria_group.CriteriaGroup(
[enter_crit3, enter_crit4, enter_crit5], Long(), self.symbol)
exit_crit_group1 = criteria_group.CriteriaGroup([exit_crit1],
LongExit(),
self.symbol)
exit_crit_group2 = criteria_group.CriteriaGroup([exit_crit2],
LongExit(),
self.symbol)
tp = trading_profile.TradingProfile(10000,
trading_amount.StaticAmount(5000),
trading_fee.StaticFee(0))
strat = strategy.Strategy(self.d, [
enter_crit_group1, enter_crit_group2, enter_crit_group3,
exit_crit_group1, exit_crit_group2
], tp)
strat.simulate()
overview = strat.report.overview()
self.assertEqual(overview['trades'], 0)
def test_not(self):
inRangeCriteria = criteria.InRange(str(self.one), 10, 20)
crit = criteria.Not(inRangeCriteria)
ret = crit.apply(self.data.head(2))
self.assertTrue(ret)
ret = crit.apply(self.data.head(3))
self.assertFalse(ret)
ret = crit.apply(self.data.head(4))
self.assertFalse(ret)
ret = crit.apply(self.data.head(5))
self.assertFalse(ret)
ret = crit.apply(self.data.head(6))
self.assertTrue(ret)