def testSetSharesWithNoStartingCash(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
AnalyzerTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
strat = test_strategy.BacktestingStrategy(barFeed, 0)
initialShares = 2
initialPrice = 16.25
strat.getBroker().setShares(AnalyzerTestCase.TestInstrument,
initialShares, initialPrice)
# Close initial position
closingPrice = 32.50
strat.scheduleCall(
datetime.datetime(2001, 1, 4), lambda: strat.marketOrder(
AnalyzerTestCase.TestInstrument, -initialShares))
stratAnalyzer = returns.Returns()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertEqual(
strat.getBroker().getShares(AnalyzerTestCase.TestInstrument), 0)
self.assertEqual(strat.getBroker().getCash(),
closingPrice * initialShares)
# Check period returns.
expectedPeriodReturns = [
(26.37 - initialPrice) / initialPrice,
(32.00 - 26.37) / 26.37,
(32.56 - 32.00) / 32.00,
(32.50 - 32.56) / 32.56,
0,
# Nothing should change moving forward
0,
0,
]
for i, expectedReturn in enumerate(expectedPeriodReturns):
self.assertEqual(stratAnalyzer.getReturns()[i], expectedReturn)
self.assertEqual(stratAnalyzer.getReturns()[-1],
expectedPeriodReturns[-1])
# Check cumulative returns.
expectedCumulativeReturns = [
(26.37 - initialPrice) / initialPrice,
(32.00 - initialPrice) / initialPrice,
(32.56 - initialPrice) / initialPrice,
(32.50 - initialPrice) / initialPrice,
# Nothing should change moving forward
(32.50 - initialPrice) / initialPrice,
(32.50 - initialPrice) / initialPrice,
]
for i, expectedReturn in enumerate(expectedCumulativeReturns):
self.assertEqual(round(stratAnalyzer.getCumulativeReturns()[i], 4),
round(expectedReturn, 4))
self.assertEqual(round(stratAnalyzer.getCumulativeReturns()[-1], 4),
round(expectedCumulativeReturns[-1], 4))
def testSetSharesForUnusedInstrument(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
INSTRUMENT, common.get_data_file_path("orcl-2001-yahoofinance.csv")
)
initialCash = 1000
strat = test_strategy.BacktestingStrategy(barFeed, balances={PRICE_CURRENCY: initialCash})
unkSharesSet = 10
unkSharePrice = 10.4
strat.getBroker().setShares("UNK/USD", unkSharesSet, unkSharePrice)
# 33.06
strat.scheduleCall(
datetime.datetime(2001, 1, 12),
lambda: strat.marketOrder(INSTRUMENT, 1)
)
# 14.32
strat.scheduleCall(
datetime.datetime(2001, 11, 27),
lambda: strat.marketOrder(INSTRUMENT, -1)
)
stratAnalyzer = returns.Returns(PRICE_CURRENCY)
strat.attachAnalyzer(stratAnalyzer)
initialEquity = strat.getBroker().getEquity(PRICE_CURRENCY)
strat.run()
finalEquity = strat.getBroker().getEquity(PRICE_CURRENCY)
# The unknown instrument should have no impact cash or returns.
finalCash = strat.getBroker().getBalance(PRICE_CURRENCY)
self.assertEqual(
round(finalCash, 2),
round(initialCash + (14.32 - 33.06), 2)
)
self.assertEqual(
round(stratAnalyzer.getCumulativeReturns()[-1], 4),
round((finalEquity - initialEquity) / initialEquity, 4)
)
self.assertEqual(stratAnalyzer.getReturns()[-1], 0)
self.assertEqual(strat.getBroker().getBalance(SYMBOL), 0)
self.assertEqual(strat.getBroker().getBalance("UNK"), unkSharesSet)
self.assertEqual(strat.getBroker().getEquity(PRICE_CURRENCY), finalCash + unkSharesSet * unkSharePrice)