def test_linearity_mul(self, a):
universe = make_randomwalk()
strategy = RandomStrategy().run(universe)
result = a * ts.wealth(strategy.trades, universe)
expected = ts.wealth([a * t for t in strategy.trades], universe)
assert_allclose(result, expected)
def test_linearity_add(self):
universe = make_randomwalk()
s0 = RandomStrategy().run(universe)
s1 = RandomStrategy().run(universe)
result = ts.wealth(s0.trades, universe) + ts.wealth(s1.trades, universe)
expected = ts.wealth(s0.trades + s1.trades, universe)
assert_allclose(result, expected)
def test_ts(self):
universe = make_randomwalk()
strategy = RandomStrategy().run(universe)
trades = strategy.trades
assert_equal(strategy.wealth().values, ts.wealth(trades, universe))
assert_equal(strategy.drawdown().values, ts.drawdown(trades, universe))
def test_zero(self):
"""
result = 0 if trade is zero
"""
universe = make_randomwalk()
strategy = RandomStrategy(min_lot=0, max_lot=0).run(universe)
result = ts.wealth(strategy.trades, universe)
expected = np.zeros_like(result)
assert_equal(result, expected)
