def testControllerPosAlerts(self):
plog = '%s/positions.csv' % os.path.dirname(__file__)
elog = '%s/equity.csv' % os.path.dirname(__file__)
rlog = '%s/returns.csv' % os.path.dirname(__file__)
slog = '%s/summary.csv' % os.path.dirname(__file__)
ctrl = ClenowController({ 'Ag-1' : ['RR'] }, plog, elog, rlog, summaryFile=slog)
ctrl.run(datetime.datetime(2011,12,31),datetime.datetime(2012,8,1),datetime.datetime(2013,12,31))
tlog = '%s/posalert.log' % os.path.dirname(__file__)
ctrl.writePositionAlerts(tlog)
self.assertTrue(test_util.file_compare('%s/posalert.reflog' % os.path.dirname(__file__), tlog))
os.remove(tlog)
tlog = '%s/trade7.log' % os.path.dirname(__file__)
ctrl.writeAllTrades(tlog)
self.assertTrue(test_util.file_compare('%s/trade7.reflog' % os.path.dirname(__file__), tlog))
os.remove(tlog)
tlog = '%s/tssb' % os.path.dirname(__file__)
ctrl.writeTSSBTrades(tlog)
self.assertTrue(test_util.file_compare('%s_long.reflog' % tlog, '%s_long.csv' % tlog))
self.assertTrue(test_util.file_compare('%s_short.reflog' % tlog, '%s_short.csv' % tlog))
os.remove('%s_long.csv' % tlog)
os.remove('%s_short.csv' % tlog)
os.remove(plog)
os.remove(elog)
os.remove(rlog)
os.remove(slog)
def testBasic(self):
mf = MultiFeed()
mf.register_feed(self._feed)
strat = MyStrategy(mf)
# Attach a few analyzers to the strategy before executing it.
retAnalyzer = returns.Returns()
strat.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
strat.attachAnalyzer(tradesAnalyzer)
mf.start()
strat.exitPositions()
self.assertAlmostEqual(strat.getResult(), 996193.19, places=2)
self.assertEqual(tradesAnalyzer.getCount(), 2)
self.assertEqual(tradesAnalyzer.getProfitableCount(), 0)
self.assertEqual(tradesAnalyzer.getUnprofitableCount(), 2)
tlog = "%s/trade.log" % os.path.dirname(__file__)
tradesAnalyzer.writeTradeLog(tlog)
self.assertTrue(test_util.file_compare("%s/trade1.reflog" % os.path.dirname(__file__), tlog))
os.remove(tlog)
def testMacross(self):
mf = MultiFeed()
self.setupFeed(mf)
strat = MACrossStrategy(mf,shortPeriod=10,longPeriod=100)
# Attach a few analyzers to the strategy before executing it.
retAnalyzer = returns.Returns()
strat.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
strat.attachAnalyzer(tradesAnalyzer)
mf.start()
strat.exitPositions()
tlog = '%s/trade5.log' % os.path.dirname(__file__)
tradesAnalyzer.writeTradeLog(tlog)
self.assertAlmostEqual(strat.getResult(),992595.00,places=2)
self.assertEqual(tradesAnalyzer.getCount(),10)
self.assertEqual(tradesAnalyzer.getProfitableCount(),4)
self.assertEqual(tradesAnalyzer.getUnprofitableCount(),6)
self.assertTrue(test_util.file_compare('%s/trade5.reflog' % os.path.dirname(__file__), tlog))
os.remove(tlog)
def testClenowTradeStart(self):
mf = MultiFeed()
self.setupFeed(mf)
strat = ClenowBreakoutStrategy(mf,
tradeStart=datetime.datetime(
2012, 8, 11))
# Attach a few analyzers to the strategy before executing it.
retAnalyzer = returns.Returns()
strat.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
strat.attachAnalyzer(tradesAnalyzer)
mf.start()
strat.exitPositions()
strat.getBroker().executeSessionClose()
tlog = '%s/trade3.log' % os.path.dirname(__file__)
tradesAnalyzer.writeTradeLog(tlog)
self.assertAlmostEqual(strat.getResult(), 986794.67, places=2)
self.assertEqual(tradesAnalyzer.getCount(), 5)
self.assertEqual(tradesAnalyzer.getProfitableCount(), 1)
self.assertEqual(tradesAnalyzer.getUnprofitableCount(), 4)
self.assertTrue(
test_util.file_compare(
'%s/trade3.reflog' % os.path.dirname(__file__), tlog))
os.remove(tlog)
def testBasic(self):
mf = MultiFeed()
mf.register_feed(self._feed)
strat = MyStrategy(mf)
# Attach a few analyzers to the strategy before executing it.
retAnalyzer = returns.Returns()
strat.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
strat.attachAnalyzer(tradesAnalyzer)
mf.start()
strat.exitPositions()
self.assertAlmostEqual(strat.getResult(), 996193.19, places=2)
self.assertEqual(tradesAnalyzer.getCount(), 2)
self.assertEqual(tradesAnalyzer.getProfitableCount(), 0)
self.assertEqual(tradesAnalyzer.getUnprofitableCount(), 2)
tlog = '%s/trade.log' % os.path.dirname(__file__)
tradesAnalyzer.writeTradeLog(tlog)
self.assertTrue(
test_util.file_compare(
'%s/trade1.reflog' % os.path.dirname(__file__), tlog))
os.remove(tlog)
def testClenowTradeStart(self):
mf = MultiFeed()
self.setupFeed(mf)
strat = ClenowBreakoutStrategy(mf,tradeStart=datetime.datetime(2012,8,11))
# Attach a few analyzers to the strategy before executing it.
retAnalyzer = returns.Returns()
strat.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
strat.attachAnalyzer(tradesAnalyzer)
mf.start()
strat.exitPositions()
strat.getBroker().executeSessionClose()
tlog = '%s/trade3.log' % os.path.dirname(__file__)
tradesAnalyzer.writeTradeLog(tlog)
self.assertAlmostEqual(strat.getResult(),986794.67,places=2)
self.assertEqual(tradesAnalyzer.getCount(),5)
self.assertEqual(tradesAnalyzer.getProfitableCount(),1)
self.assertEqual(tradesAnalyzer.getUnprofitableCount(),4)
self.assertTrue(test_util.file_compare('%s/trade3.reflog' % os.path.dirname(__file__), tlog))
os.remove(tlog)
def testControllerPosAlerts(self):
plog = '%s/positions.csv' % os.path.dirname(__file__)
elog = '%s/equity.csv' % os.path.dirname(__file__)
rlog = '%s/returns.csv' % os.path.dirname(__file__)
slog = '%s/summary.csv' % os.path.dirname(__file__)
ctrl = ClenowController({'Ag-1': ['RR']},
plog,
elog,
rlog,
summaryFile=slog)
ctrl.run(datetime.datetime(2011, 12,
31), datetime.datetime(2012, 8, 1),
datetime.datetime(2013, 12, 31))
tlog = '%s/posalert.log' % os.path.dirname(__file__)
ctrl.writePositionAlerts(tlog)
self.assertTrue(
test_util.file_compare(
'%s/posalert.reflog' % os.path.dirname(__file__), tlog))
os.remove(tlog)
tlog = '%s/trade7.log' % os.path.dirname(__file__)
ctrl.writeAllTrades(tlog)
self.assertTrue(
test_util.file_compare(
'%s/trade7.reflog' % os.path.dirname(__file__), tlog))
os.remove(tlog)
tlog = '%s/tssb' % os.path.dirname(__file__)
ctrl.writeTSSBTrades(tlog)
self.assertTrue(
test_util.file_compare('%s_long.reflog' % tlog,
'%s_long.csv' % tlog))
self.assertTrue(
test_util.file_compare('%s_short.reflog' % tlog,
'%s_short.csv' % tlog))
os.remove('%s_long.csv' % tlog)
os.remove('%s_short.csv' % tlog)
os.remove(plog)
os.remove(elog)
os.remove(rlog)
os.remove(slog)
def testClenowRunGroup(self):
#crg = ClenowRunGroup(['RR','LH','O'])
#crg.feed().start()
#crg.strategy().exitPositions()
plog = '%s/positions.csv' % os.path.dirname(__file__)
elog = '%s/equity.csv' % os.path.dirname(__file__)
rlog = '%s/returns.csv' % os.path.dirname(__file__)
slog = '%s/summary.csv' % os.path.dirname(__file__)
ctrl = ClenowController({ 'Ag-1' : ['RR','LH','O'], 'Ag-2' : ['LB','LC']}, plog, elog, rlog, summaryFile=slog)
ctrl.run(datetime.datetime(2011,12,31),datetime.datetime(2012,8,1),datetime.datetime(2013,12,31))
tlog = '%s/trade4.log' % os.path.dirname(__file__)
ctrl.writeAllTrades(tlog)
self.assertAlmostEqual(ctrl.get_net_profit(),ctrl.get_trade_profit(),places=2)
crg = ctrl._runGroups['Ag-1']
trades = crg.trades_analyzer()
self.assertEqual(trades.getCount(),6)
self.assertEqual(trades.getProfitableCount(),1)
self.assertEqual(trades.getUnprofitableCount(),5)
self.assertTrue(test_util.file_compare('%s/trade4.reflog' % os.path.dirname(__file__), tlog))
os.remove(tlog)
self.assertTrue(test_util.file_compare('%s/positions.refcsv' % os.path.dirname(__file__), plog))
os.remove(plog)
self.assertTrue(test_util.file_compare('%s/equity.refcsv' % os.path.dirname(__file__), elog))
os.remove(elog)
self.assertTrue(test_util.file_compare('%s/returns.refcsv' % os.path.dirname(__file__), rlog))
os.remove(rlog)
self.assertTrue(test_util.file_compare('%s/summary.refcsv' % os.path.dirname(__file__), slog))
os.remove(slog)
# now check the last open trades
pos_alerts = ctrl.get_position_alerts()
self.assertEqual(len(pos_alerts),1)
self.assertEqual(pos_alerts[0].stop,1476.35)
def testPriceVelocity(self):
w = Feed(self._inst)
w.insert( talibfunc.SMA('SMA50',w,50))
w.insert( PriceVelocity('PVEL',period=10,baseIndicator='SMA50') )
self.assertEqual( len(w.values()), 8 )
self.assertEqual( len(w.values()[0]), 252 )
self.assertAlmostEqual( w.get_series('PVEL')[251], -0.001576, places=4 )
feedout = '%s/writefeed.csv' % os.path.dirname(__file__)
wf = open(feedout,'w')
w.write_csv(wf)
wf.close()
self.assertTrue(test_util.file_compare('%s/writefeed.refcsv' % os.path.dirname(__file__), feedout))
os.remove(feedout)
def testPriceVelocity(self):
w = Feed(self._inst)
w.insert(talibfunc.SMA('SMA50', w, 50))
w.insert(PriceVelocity('PVEL', period=10, baseIndicator='SMA50'))
self.assertEqual(len(w.values()), 8)
self.assertEqual(len(w.values()[0]), 252)
self.assertAlmostEqual(w.get_series('PVEL')[251], -0.001576, places=4)
feedout = '%s/writefeed.csv' % os.path.dirname(__file__)
wf = open(feedout, 'w')
w.write_csv(wf)
wf.close()
self.assertTrue(
test_util.file_compare(
'%s/writefeed.refcsv' % os.path.dirname(__file__), feedout))
os.remove(feedout)
def testClenowRunGroup(self):
#crg = ClenowRunGroup(['RR','LH','O'])
#crg.feed().start()
#crg.strategy().exitPositions()
plog = '%s/positions.csv' % os.path.dirname(__file__)
elog = '%s/equity.csv' % os.path.dirname(__file__)
rlog = '%s/returns.csv' % os.path.dirname(__file__)
slog = '%s/summary.csv' % os.path.dirname(__file__)
ctrl = ClenowController(
{
'Ag-1': ['RR', 'LH', 'O'],
'Ag-2': ['LB', 'LC']
},
plog,
elog,
rlog,
summaryFile=slog)
ctrl.run(datetime.datetime(2011, 12,
31), datetime.datetime(2012, 8, 1),
datetime.datetime(2013, 12, 31))
tlog = '%s/trade4.log' % os.path.dirname(__file__)
ctrl.writeAllTrades(tlog)
self.assertAlmostEqual(ctrl.get_net_profit(),
ctrl.get_trade_profit(),
places=2)
crg = ctrl._runGroups['Ag-1']
trades = crg.trades_analyzer()
self.assertEqual(trades.getCount(), 6)
self.assertEqual(trades.getProfitableCount(), 1)
self.assertEqual(trades.getUnprofitableCount(), 5)
self.assertTrue(
test_util.file_compare(
'%s/trade4.reflog' % os.path.dirname(__file__), tlog))
os.remove(tlog)
self.assertTrue(
test_util.file_compare(
'%s/positions.refcsv' % os.path.dirname(__file__), plog))
os.remove(plog)
self.assertTrue(
test_util.file_compare(
'%s/equity.refcsv' % os.path.dirname(__file__), elog))
os.remove(elog)
self.assertTrue(
test_util.file_compare(
'%s/returns.refcsv' % os.path.dirname(__file__), rlog))
os.remove(rlog)
self.assertTrue(
test_util.file_compare(
'%s/summary.refcsv' % os.path.dirname(__file__), slog))
os.remove(slog)
# now check the last open trades
pos_alerts = ctrl.get_position_alerts()
self.assertEqual(len(pos_alerts), 1)
self.assertEqual(pos_alerts[0].stop, 1476.35)