def test__read_config(self):
algo_name = 'Momentum'
algo_cfg = json.load(open('{}/algos.cfg'.format(self.bt_path),
'r'))[algo_name]
assert (isinstance(algo_cfg['debug'], int))
assert (isinstance(algo_cfg['window_length'], int))
manager_name = 'OptimalFrontier'
manager_cfg = json.load(
open('{}/managers.cfg'.format(self.bt_path), 'r'))[manager_name]
assert (isinstance(manager_cfg['max_weight'], float)
or isinstance(manager_cfg['max_weight'], int))
assert (isinstance(manager_cfg['source'], unicode))
bt_cfg = {
'algorithm': 'Momentum',
'manager': 'Equity',
'level': 'debug',
'tickers': 'random,1',
'start': '2005-01-10',
'end': '2010-07-03',
'interactive': True
}
algo_cfg = {'debug': 1, 'window_length': 3}
manager_cfg = {'source': 'mysql', 'max_weight': 0.6, 'loopback': 60}
engine = Simulation()
args = engine.read_config(bt_cfg=bt_cfg,
a_cfg=algo_cfg,
m_cfg=manager_cfg)
def test__run_backtest(self):
engine = Simulation()
# engine.backtest_cfg = {'algorithm' : 'Momentum', 'manager' : 'Equity', 'level' : 'debug',
#'tickers' : 'google,apple', 'start' : '2005-01-10', 'end' : '2010-07-03', 'interactive' : True}
# engine.algo_cfg = {'debug' : 1, 'window_length' : 3}
# engine.manager_cfg = {'source' : 'mysql', 'max_weight' : 0.6, 'loopback' : 60}
bt_cfg = {
"algorithm": "Momentum",
"manager": "Equity",
"level": "debug",
"tickers": "random,1",
"start": "2005-01-10",
"end": "2010-07-03",
"interactive": True,
}
algo_cfg = {"debug": 1, "window_length": 3}
manager_cfg = {"source": "mysql", "max_weight": 0.6, "loopback": 60}
engine = Simulation()
args = engine.read_config(bt_cfg=bt_cfg, a_cfg=algo_cfg, m_cfg=manager_cfg)
results = engine.runBacktest()
def test__read_config(self):
algo_name = "Momentum"
algo_cfg = json.load(open("{}/algos.cfg".format(self.bt_path), "r"))[algo_name]
assert isinstance(algo_cfg["debug"], int)
assert isinstance(algo_cfg["window_length"], int)
manager_name = "OptimalFrontier"
manager_cfg = json.load(open("{}/managers.cfg".format(self.bt_path), "r"))[manager_name]
assert isinstance(manager_cfg["max_weight"], float) or isinstance(manager_cfg["max_weight"], int)
assert isinstance(manager_cfg["source"], unicode)
bt_cfg = {
"algorithm": "Momentum",
"manager": "Equity",
"level": "debug",
"tickers": "random,1",
"start": "2005-01-10",
"end": "2010-07-03",
"interactive": True,
}
algo_cfg = {"debug": 1, "window_length": 3}
manager_cfg = {"source": "mysql", "max_weight": 0.6, "loopback": 60}
engine = Simulation()
args = engine.read_config(bt_cfg=bt_cfg, a_cfg=algo_cfg, m_cfg=manager_cfg)
def test__run_backtest(self):
engine = Simulation()
#engine.backtest_cfg = {'algorithm' : 'Momentum', 'manager' : 'Equity', 'level' : 'debug',
#'tickers' : 'google,apple', 'start' : '2005-01-10', 'end' : '2010-07-03', 'interactive' : True}
#engine.algo_cfg = {'debug' : 1, 'window_length' : 3}
#engine.manager_cfg = {'source' : 'mysql', 'max_weight' : 0.6, 'loopback' : 60}
bt_cfg = {
'algorithm': 'Momentum',
'manager': 'Equity',
'level': 'debug',
'tickers': 'random,1',
'start': '2005-01-10',
'end': '2010-07-03',
'interactive': True
}
algo_cfg = {'debug': 1, 'window_length': 3}
manager_cfg = {'source': 'mysql', 'max_weight': 0.6, 'loopback': 60}
engine = Simulation()
args = engine.read_config(bt_cfg=bt_cfg,
a_cfg=algo_cfg,
m_cfg=manager_cfg)
results = engine.runBacktest()
def test__get_results(self):
engine = Simulation()
assert (engine is not None)
risks = engine.overall_metrics(db_id='test', save=False)
assert (isinstance(risks['Sharpe.Ratio'], float))
assert (isinstance(risks['Volatility'], float))
def test__get_results(self):
engine = Simulation()
assert engine is not None
risks = engine.overall_metrics(db_id="test", save=False)
assert isinstance(risks["Sharpe.Ratio"], float)
assert isinstance(risks["Volatility"], float)
