def testShort3(self):
strat = self.__createStrategy()
stratAnalyzer = trades.Trades()
strat.attach_analyzer(stratAnalyzer)
# Enter short
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 0),
strat.get_broker().create_market_order,
broker.Order.Action.SELL_SHORT,
TradesAnalyzerTestCase.TestInstrument, 2) # 127.14
# Decrease short position
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 16),
strat.get_broker().create_market_order,
broker.Order.Action.BUY_TO_COVER,
TradesAnalyzerTestCase.TestInstrument, 1) # 127.16
# Exit short
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 30),
strat.get_broker().create_market_order,
broker.Order.Action.BUY_TO_COVER,
TradesAnalyzerTestCase.TestInstrument, 1) # 127.2
strat.run()
self.assertTrue(
round(strat.get_broker().get_cash(), 2) == round(
1000 + (127.14 - 127.16) + (127.14 - 127.2), 2))
self.assertTrue(stratAnalyzer.get_count() == 1)
self.assertTrue(stratAnalyzer.get_even_count() == 0)
self.assertTrue(round(stratAnalyzer.get_all().mean(), 2) == -0.08)
self.assertTrue(stratAnalyzer.get_unprofitable_count() == 1)
self.assertTrue(round(stratAnalyzer.get_losses().mean(), 2) == -0.08)
self.assertTrue(stratAnalyzer.get_profitable_count() == 0)
def testLong2(self):
strat = self.__createStrategy()
stratAnalyzer = trades.Trades()
strat.attach_analyzer(stratAnalyzer)
# Enter long
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 0),
strat.get_broker().create_market_order,
broker.Order.Action.BUY,
TradesAnalyzerTestCase.TestInstrument, 1) # 127.14
# Extend long position
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 16),
strat.get_broker().create_market_order,
broker.Order.Action.BUY,
TradesAnalyzerTestCase.TestInstrument, 1) # 127.16
# Exit long
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 30),
strat.get_broker().create_market_order,
broker.Order.Action.SELL,
TradesAnalyzerTestCase.TestInstrument, 2) # 127.2
strat.run()
self.assertTrue(
round(strat.get_broker().get_cash(), 2) == round(
1000 + (127.2 - 127.14) + (127.2 - 127.16), 2))
self.assertTrue(stratAnalyzer.get_count() == 1)
self.assertTrue(stratAnalyzer.get_even_count() == 0)
self.assertTrue(round(stratAnalyzer.get_all().mean(), 2) == 0.1)
self.assertTrue(stratAnalyzer.get_profitable_count() == 1)
self.assertTrue(round(stratAnalyzer.get_profits().mean(), 2) == 0.1)
self.assertTrue(stratAnalyzer.get_unprofitable_count() == 0)
def testNoTrades(self):
strat = self.__createStrategy()
stratAnalyzer = trades.Trades()
strat.attach_analyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.get_broker().get_cash() == 1000)
self.assertTrue(stratAnalyzer.get_count() == 0)
self.assertTrue(stratAnalyzer.get_even_count() == 0)
self.assertTrue(stratAnalyzer.get_profitable_count() == 0)
self.assertTrue(stratAnalyzer.get_unprofitable_count() == 0)
def testSomeTradesWithCommissions(self):
strat = self.__createStrategy()
strat.get_broker().set_commission(backtesting.FixedCommission(0.01))
stratAnalyzer = trades.Trades()
strat.attach_analyzer(stratAnalyzer)
# Losing trade
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 30),
strat.get_broker().create_market_order,
broker.Order.Action.BUY,
TradesAnalyzerTestCase.TestInstrument, 1) # 127.2
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 31),
strat.get_broker().create_market_order,
broker.Order.Action.SELL,
TradesAnalyzerTestCase.TestInstrument, 1) # 127.16
# Winning trade
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 38),
strat.get_broker().create_market_order,
broker.Order.Action.BUY,
TradesAnalyzerTestCase.TestInstrument, 1) # 127.16
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 42),
strat.get_broker().create_market_order,
broker.Order.Action.SELL,
TradesAnalyzerTestCase.TestInstrument, 1) # 127.26
# Open trade.
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 47),
strat.get_broker().create_market_order,
broker.Order.Action.BUY,
TradesAnalyzerTestCase.TestInstrument, 1) # 127.34
strat.run()
self.assertTrue(
round(strat.get_broker().get_cash(), 2) == round(
1000 + (127.16 - 127.2) + (127.26 - 127.16) - 127.34 -
0.01 * 5, 2))
self.assertTrue(
numpy.array_equal(stratAnalyzer.get_commissions_for_all_trades(),
numpy.array([0.02, 0.02])))
self.assertTrue(
numpy.array_equal(
stratAnalyzer.get_commissions_for_profitable_trades(),
numpy.array([0.02])))
self.assertTrue(
numpy.array_equal(
stratAnalyzer.get_commissions_for_unprofitable_trades(),
numpy.array([0.02])))
self.assertTrue(
numpy.array_equal(stratAnalyzer.get_commissions_for_even_trades(),
numpy.array([])))
def testLongShort(self):
strat = self.__createStrategy()
stratAnalyzer = trades.Trades()
strat.attach_analyzer(stratAnalyzer)
# Enter long
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 0),
strat.get_broker().create_market_order,
broker.Order.Action.BUY,
TradesAnalyzerTestCase.TestInstrument, 1) # 127.14
# Exit long and enter short
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 16),
strat.get_broker().create_market_order,
broker.Order.Action.SELL,
TradesAnalyzerTestCase.TestInstrument, 2) # 127.16
# Exit short
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 30),
strat.get_broker().create_market_order,
broker.Order.Action.BUY_TO_COVER,
TradesAnalyzerTestCase.TestInstrument, 1) # 127.2
strat.run()
self.assertTrue(
round(strat.get_broker().get_cash(), 2) == round(
1000 + (127.16 - 127.14) + (127.16 - 127.2), 2))
self.assertTrue(stratAnalyzer.get_count() == 2)
self.assertTrue(stratAnalyzer.get_even_count() == 0)
self.assertTrue(round(stratAnalyzer.get_all().mean(), 2) == -0.01)
self.assertTrue(
round(stratAnalyzer.get_all().std(ddof=1), 4) == 0.0424)
self.assertTrue(stratAnalyzer.get_profitable_count() == 1)
self.assertTrue(round(stratAnalyzer.get_profits().mean(), 2) == 0.02)
self.assertTrue(stratAnalyzer.get_unprofitable_count() == 1)
self.assertTrue(round(stratAnalyzer.get_losses().mean(), 2) == -0.04)
def testSomeTrades_Position(self):
strat = self.__createStrategy()
stratAnalyzer = trades.Trades()
strat.attach_analyzer(stratAnalyzer)
# Winning trade
strat.addPosEntry(buildUTCDateTime(2011, 1, 3, 15,
0), strat.enter_long,
TradesAnalyzerTestCase.TestInstrument, 1) # 127.14
strat.addPosExit(buildUTCDateTime(2011, 1, 3, 15, 16),
strat.exit_position) # 127.16
# Losing trade
strat.addPosEntry(buildUTCDateTime(2011, 1, 3, 15,
30), strat.enter_long,
TradesAnalyzerTestCase.TestInstrument, 1) # 127.2
strat.addPosExit(buildUTCDateTime(2011, 1, 3, 15, 31),
strat.exit_position) # 127.16
# Winning trade
strat.addPosEntry(buildUTCDateTime(2011, 1, 3, 15,
38), strat.enter_long,
TradesAnalyzerTestCase.TestInstrument, 1) # 127.16
strat.addPosExit(buildUTCDateTime(2011, 1, 3, 15, 42),
strat.exit_position) # 127.26
# Unfinished trade not closed
strat.addPosEntry(buildUTCDateTime(2011, 1, 3, 15,
47), strat.enter_long,
TradesAnalyzerTestCase.TestInstrument, 1) # 127.34
strat.run()
self.assertTrue(
round(strat.get_broker().get_cash(), 2) == round(
1000 + (127.16 - 127.14) + (127.16 - 127.2) +
(127.26 - 127.16) - 127.34, 2))
self.assertTrue(stratAnalyzer.get_count() == 3)
self.assertTrue(stratAnalyzer.get_even_count() == 0)
self.assertTrue(round(stratAnalyzer.get_all().mean(), 2) == 0.03)
self.assertTrue(round(stratAnalyzer.get_all().std(ddof=1), 2) == 0.07)
self.assertTrue(round(stratAnalyzer.get_all().std(ddof=0), 2) == 0.06)
self.assertTrue(stratAnalyzer.get_profitable_count() == 2)
self.assertTrue(round(stratAnalyzer.get_profits().mean(), 2) == 0.06)
self.assertTrue(
round(stratAnalyzer.get_profits().std(ddof=1), 2) == 0.06)
self.assertTrue(
round(stratAnalyzer.get_profits().std(ddof=0), 2) == 0.04)
self.assertEqual(stratAnalyzer.get_positive_returns()[0],
(127.16 - 127.14) / 127.14)
self.assertEqual(stratAnalyzer.get_positive_returns()[1],
(127.26 - 127.16) / 127.16)
self.assertTrue(stratAnalyzer.get_unprofitable_count() == 1)
self.assertTrue(round(stratAnalyzer.get_losses().mean(), 2) == -0.04)
if version.LooseVersion(
numpy.__version__) >= version.LooseVersion("1.6.2"):
self.assertTrue(math.isnan(stratAnalyzer.get_losses().std(ddof=1)))
else:
self.assertTrue(stratAnalyzer.get_losses().std(ddof=1) == 0)
self.assertTrue(stratAnalyzer.get_losses().std(ddof=0) == 0)
self.assertEqual(stratAnalyzer.get_negative_returns()[0],
(127.16 - 127.2) / 127.2)
def testSomeTrades(self):
strat = self.__createStrategy()
stratAnalyzer = trades.Trades()
strat.attach_analyzer(stratAnalyzer)
# Winning trade
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 0),
strat.get_broker().create_market_order,
broker.Order.Action.BUY,
TradesAnalyzerTestCase.TestInstrument, 1) # 127.14
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 16),
strat.get_broker().create_market_order,
broker.Order.Action.SELL,
TradesAnalyzerTestCase.TestInstrument, 1) # 127.16
# Losing trade
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 30),
strat.get_broker().create_market_order,
broker.Order.Action.BUY,
TradesAnalyzerTestCase.TestInstrument, 1) # 127.2
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 31),
strat.get_broker().create_market_order,
broker.Order.Action.SELL,
TradesAnalyzerTestCase.TestInstrument, 1) # 127.16
# Winning trade
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 38),
strat.get_broker().create_market_order,
broker.Order.Action.BUY,
TradesAnalyzerTestCase.TestInstrument, 1) # 127.16
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 42),
strat.get_broker().create_market_order,
broker.Order.Action.SELL,
TradesAnalyzerTestCase.TestInstrument, 1) # 127.26
# Open trade.
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 47),
strat.get_broker().create_market_order,
broker.Order.Action.BUY,
TradesAnalyzerTestCase.TestInstrument, 1) # 127.34
strat.run()
self.assertTrue(
round(strat.get_broker().get_cash(), 2) == round(
1000 + (127.16 - 127.14) + (127.16 - 127.2) +
(127.26 - 127.16) - 127.34, 2))
self.assertTrue(stratAnalyzer.get_count() == 3)
self.assertTrue(stratAnalyzer.get_even_count() == 0)
self.assertTrue(round(stratAnalyzer.get_all().mean(), 2) == 0.03)
self.assertTrue(round(stratAnalyzer.get_all().std(ddof=1), 2) == 0.07)
self.assertTrue(round(stratAnalyzer.get_all().std(ddof=0), 2) == 0.06)
self.assertTrue(stratAnalyzer.get_profitable_count() == 2)
self.assertTrue(round(stratAnalyzer.get_profits().mean(), 2) == 0.06)
self.assertTrue(
round(stratAnalyzer.get_profits().std(ddof=1), 2) == 0.06)
self.assertTrue(
round(stratAnalyzer.get_profits().std(ddof=0), 2) == 0.04)
self.assertTrue(stratAnalyzer.get_unprofitable_count() == 1)
self.assertTrue(round(stratAnalyzer.get_losses().mean(), 2) == -0.04)
if version.LooseVersion(
numpy.__version__) >= version.LooseVersion("1.6.2"):
self.assertTrue(math.isnan(stratAnalyzer.get_losses().std(ddof=1)))
else:
self.assertTrue(stratAnalyzer.get_losses().std(ddof=1) == 0)
self.assertTrue(stratAnalyzer.get_losses().std(ddof=0) == 0)
# Load the yahoo feed from the CSV file
feed = yahoofeed.Feed()
feed.add_bars_from_csv("orcl", "orcl-2000.csv")
# Evaluate the strategy with the feed's bars.
myStrategy = smacross_strategy.Strategy(feed, 20)
# Attach different analyzers to a strategy before executing it.
retAnalyzer = returns.Returns()
myStrategy.attach_analyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
myStrategy.attach_analyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
myStrategy.attach_analyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
myStrategy.attach_analyzer(tradesAnalyzer)
# Run the strategy.
myStrategy.run()
print "Final portfolio value: $%.2f" % myStrategy.get_result()
print "Cumulative returns: %.2f %%" % (
retAnalyzer.get_cumulative_returns()[-1] * 100)
print "Sharpe ratio: %.2f" % (sharpeRatioAnalyzer.get_sharpe_ratio(0.05, 252))
print "Max. drawdown: %.2f %%" % (drawDownAnalyzer.get_max_draw_down() * 100)
print "Longest drawdown duration: %d days" % (
drawDownAnalyzer.get_longest_draw_down_duration())
print
print "Total trades: %d" % (tradesAnalyzer.get_count())
