def setUp(self):
"""
Set up the Portfolio object that will store the
collection of Position objects, supplying it with
$500,000.00 USD in initial cash.
"""
ph = PriceHandlerMock()
cash = PriceParser.parse(500000.00)
self.portfolio = Portfolio(ph, cash)
def test_calculating_statistics(self):
"""
Purchase/sell multiple lots of AMZN, GOOG
at various prices/commissions to ensure
the arithmetic in calculating equity, drawdowns
and sharpe ratio is correct.
"""
# Create Statistics object
price_handler = PriceHandlerMock()
self.portfolio = Portfolio(price_handler, PriceParser.parse(500000.00))
portfolio_handler = PortfolioHandlerMock(self.portfolio)
statistics = SimpleStatistics(self.config, portfolio_handler)
# Check initialization was correct
self.assertEqual(PriceParser.display(statistics.equity[0]), 500000.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[0]), 00)
self.assertEqual(statistics.equity_returns[0], 0.0)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position("BOT", "AMZN", 100,
PriceParser.parse(566.56),
PriceParser.parse(1.00))
t = "2000-01-01 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[1]), 499807.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[1]), 193.00)
self.assertEqual(statistics.equity_returns[1], -0.0386)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position("BOT", "AMZN", 200,
PriceParser.parse(566.395),
PriceParser.parse(1.00))
t = "2000-01-02 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[2]), 499455.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[2]), 545.00)
self.assertEqual(statistics.equity_returns[2], -0.0705)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position("BOT", "GOOG", 200,
PriceParser.parse(707.50),
PriceParser.parse(1.00))
t = "2000-01-03 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[3]), 499046.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[3]), 954.00)
self.assertEqual(statistics.equity_returns[3], -0.0820)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position("SLD", "AMZN", 100,
PriceParser.parse(565.83),
PriceParser.parse(1.00))
t = "2000-01-04 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[4]), 499164.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[4]), 836.00)
self.assertEqual(statistics.equity_returns[4], 0.0236)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position("BOT", "GOOG", 200,
PriceParser.parse(705.545),
PriceParser.parse(1.00))
t = "2000-01-05 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[5]), 499146.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[5]), 854.00)
self.assertEqual(statistics.equity_returns[5], -0.0036)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position("SLD", "AMZN", 200,
PriceParser.parse(565.59),
PriceParser.parse(1.00))
t = "2000-01-06 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[6]), 499335.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[6]), 665.00)
self.assertEqual(statistics.equity_returns[6], 0.0379)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position("SLD", "GOOG", 100,
PriceParser.parse(707.92),
PriceParser.parse(1.00))
t = "2000-01-07 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[7]), 499580.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[7]), 420.00)
self.assertEqual(statistics.equity_returns[7], 0.0490)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position("SLD", "GOOG", 100,
PriceParser.parse(707.90),
PriceParser.parse(0.00))
t = "2000-01-08 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[8]), 499824.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[8]), 176.00)
self.assertEqual(statistics.equity_returns[8], 0.0488)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position("SLD", "GOOG", 100,
PriceParser.parse(707.92),
PriceParser.parse(0.50))
t = "2000-01-09 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[9]), 500069.50)
self.assertEqual(PriceParser.display(statistics.drawdowns[9]), 00.00)
self.assertEqual(statistics.equity_returns[9], 0.0491)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position("SLD", "GOOG", 100,
PriceParser.parse(707.78),
PriceParser.parse(1.00))
t = "2000-01-10 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[10]), 500300.50)
self.assertEqual(PriceParser.display(statistics.drawdowns[10]), 00.00)
self.assertEqual(statistics.equity_returns[10], 0.0462)
# Test that results are calculated correctly.
results = statistics.get_results()
self.assertEqual(results["max_drawdown"], 954.00)
self.assertEqual(results["max_drawdown_pct"], 0.1908)
self.assertAlmostEqual(float(results["sharpe"]), 1.7575)
def setUp(self):
price_handler_mock = PriceHandlerMock()
ticker_weights = {"AAA": 0.3, "BBB": 0.7}
self.position_sizer = LiquidateRebalancePositionSizer(ticker_weights)
self.portfolio = Portfolio(price_handler_mock,
PriceParser.parse(10000.00))
