def test_history(self):
universe = pd.DataFrame({
"A": range(10),
"B": range(10),
"C": range(10)
})
trades = [
trade("A", entry=1, exit=2, take=3, stop=-4),
[2, -3] * trade(["B", "C"], entry=3, exit=9, take=5, stop=-2),
]
strategy = DeterminedStrategy(trades).run(universe)
history = strategy.history()
expected = pd.DataFrame({
"trade_id": [0, 1, 1],
"asset": ["A", "B", "C"],
"lot": [1, 2, -3],
"entry": [1, 3, 3],
"close": [2, 5, 5],
"exit": [2, 9, 9],
"take": [3, 5, 5],
"stop": [-4, -2, -2],
"pnl": [1, 4, -6],
})
pd.testing.assert_frame_equal(history, expected, check_dtype=False)
def test_logic(self):
s0 = create_strategy(lambda universe: [trade("A")])
s1 = create_strategy(lambda universe: [trade("B"), trade("C")])
container = StrategyContainer(s0=s0, s1=s1)
universe = ...
result = container(universe)
assert container(universe) == s0(universe) + s1(universe)
def test_repr(self):
t = trade("A")
assert repr(t) == "trade(['A'], lot=[1.])"
t = trade("A", lot=2, take=3.0, stop=-3.0, entry="B0", exit="B1")
assert (
repr(t) ==
"trade(['A'], lot=[2], entry=B0, exit=B1, take=3.0, stop=-3.0)")
def test_nonexitent(self):
"""non-existent asset, entry, exit"""
universe = pd.DataFrame({"A": range(10)})
with pytest.raises(KeyError):
t = trade("NONEXISTENT").execute(universe)
with pytest.raises(KeyError):
t = trade("A", entry=99).execute(universe)
with pytest.raises(KeyError):
t = trade("A", entry=0, exit=99).execute(universe)
def test_array_value_linearity_mul(self, a, seed):
np.random.seed(seed)
universe = self.universe_hand
lot0 = np.random.randn(2)
t0 = list(lot0) * trade(["A", "B"], entry=1, exit=3)
ta = list(a * lot0) * trade(["A", "B"], entry=1, exit=3)
result = ta.array_value(universe)
expected = a * t0.array_value(universe)
assert np.allclose(result, expected)
def test_array_value_linearity_add(self, seed):
np.random.seed(seed)
universe = self.universe_hand
lot0, lot1 = np.random.randn(2), np.random.randn(2)
t0 = list(lot0) * trade(["A", "B"], entry=1, exit=3)
t1 = list(lot1) * trade(["A", "B"], entry=1, exit=3)
ta = list(lot0 + lot1) * trade(["A", "B"], entry=1, exit=3)
result = ta.array_value(universe)
expected = t0.array_value(universe) + t1.array_value(universe)
assert np.allclose(result, expected)
def test_final_pnl_linearity_mul(self, a, seed):
np.random.seed(seed)
universe = self.universe_hand
lot0 = np.random.randn(2)
t0 = list(lot0) * trade(["A", "B"], entry=1, exit=3)
ta = list(a * lot0) * trade(["A", "B"], entry=1, exit=3)
t0.execute(universe)
ta.execute(universe)
result = ta.final_pnl(universe)
expected = a * t0.final_pnl(universe)
assert np.allclose(result, expected)
def test_handmade(self):
universe = pd.DataFrame({
"A": [3.0, 1.0, 4.0, 1.0, 5.0, 9.0, 2.0],
"B": [2.0, 7.0, 1.0, 8.0, 1.0, 8.0, 1.0],
})
trades = [
2 * trade("A", entry=1, exit=5).execute(universe),
-3 * trade("B", entry=2, exit=4).execute(universe),
]
result = ts.abs_exposure(trades, universe)
expected = np.array([0.0, 2.0, 11.0, 26.0, 13.0, 18.0, 0.0])
assert_equal(result, expected)
def test_init_array(self):
t = trade("A", lot=1.0)
assert isinstance(t.asset, np.ndarray)
assert isinstance(t.lot, np.ndarray)
t = trade("A", lot=[1.0])
assert isinstance(t.asset, np.ndarray)
assert isinstance(t.lot, np.ndarray)
t = trade(["A"], lot=[1.0])
assert isinstance(t.asset, np.ndarray)
assert isinstance(t.lot, np.ndarray)
t = trade(["A", "B"], lot=1.0)
t = trade(["A", "B"], lot=[1.0, 2.0])
assert isinstance(t.asset, np.ndarray)
assert isinstance(t.lot, np.ndarray)
def test_final_pnl_lineality_add(self, seed):
np.random.seed(seed)
universe = self.universe_hand
lot0, lot1 = np.random.randn(2), np.random.randn(2)
t0 = list(lot0) * trade(["A", "B"], entry=1, exit=3)
t1 = list(lot1) * trade(["A", "B"], entry=1, exit=3)
ta = list(lot0 + lot1) * trade(["A", "B"], entry=1, exit=3)
t0.execute(universe)
t1.execute(universe)
ta.execute(universe)
result = ta.final_pnl(universe)
expected = t0.final_pnl(universe) + t1.final_pnl(universe)
assert np.allclose(result, expected)
def test_abs_exposure(self):
universe = pd.DataFrame(
{
"A0": [1.0, 2.0, 3.0, 4.0, 5.0],
"A1": [2.0, 3.0, 4.0, 5.0, 6.0],
"A2": [3.0, 4.0, 5.0, 6.0, 7.0],
},
dtype=float,
)
strategy = create_strategy(lambda _: [
[1, -1] * trade(["A0", "A2"], entry=1, exit=3),
[-1, 2] * trade(["A1", "A2"], entry=2, exit=4),
]).run(universe, verbose=False)
result = strategy.abs_exposure()
expect = pd.Series([0, 0, 8, 15, 20], index=universe.index)
pd.testing.assert_series_equal(result, expect, check_dtype=False)
def test_handmade(self):
universe = pd.DataFrame({"A": [0.0, 3.0, 1.0, 4.0, 1.0, 5.0, 9.0, 2.0]})
trades = [trade("A").execute(universe)]
result = ts.drawdown(trades, universe)
expected = np.array([0.0, 0.0, -2.0, 0.0, -3.0, 0.0, 0.0, -7.0])
assert_equal(result, expected)
def test_array_value_value_hand(self):
t = [2.0, -3.0] * trade(["A", "B"], entry=1, exit=3)
result = t.array_value(self.universe_hand)
expected = np.array([
[6.0, -6.0],
[2.0, -21.0],
[8.0, -3.0],
[2.0, -24.0],
[10.0, -6.0],
[18.0, -24.0],
[4.0, -3.0],
])
assert np.allclose(result, expected)
t = [-3.0, 2.0] * trade(["B", "A"], entry=1, exit=3)
result = t.array_value(universe=self.universe_hand)
expected = expected[:, [1, 0]]
assert np.allclose(result, expected)
def logic(self, universe):
for _ in range(self._n_trades):
n_assets = np.random.randint(1, self.max_n_assets + 1, size=1)[0]
asset = list(np.random.choice(universe.columns, n_assets))
lot = list(
random_uniform(self.min_lot, self.max_lot, size=n_assets))
entry, exit = sorted(np.random.choice(universe.index, 2))
yield (lot * trade(asset, entry=entry, exit=exit))
def test(self):
np.random.seed(42)
universe = pd.DataFrame({"A": range(100)})
lots = np.random.randn(100)
trades = [lot * trade("A", entry=0) for lot in lots]
trades = [t.execute(universe) for t in trades]
result = num_win(trades, universe)
expected = (lots > 0).sum()
assert result == expected
def test(self):
np.random.seed(42)
universe = pd.DataFrame({"A": range(100)})
lots = np.random.randn(100)
trades = [lot * trade("A", entry=0) for lot in lots]
trades = [t.execute(universe) for t in trades]
metric = rate_lose(trades, universe)
expected = (lots <= 0).sum() / len(trades)
assert metric == expected
def test_truediv(self, a):
t = trade("A", entry=0, exit=1, take=2.0, stop=-3.0)
result = t / a
expect = trade("A", lot=[1 / a], entry=0, exit=1, take=2.0, stop=-3.0)
assert result == expect
t = trade(["A", "B"],
lot=[1.0, -2.0],
entry=0,
exit=1,
take=2.0,
stop=-3.0)
result = t / a
expect = trade(["A", "B"],
lot=[1 / a, -2.0 / a],
entry=0,
exit=1,
take=2.0,
stop=-3.0)
assert result == expect
def test_monotonous(self):
"""
result = 0 if wealth is monotonously increasing
"""
universe = pd.DataFrame({"A": np.linspace(1, 2, 100)})
trades = [trade("A").execute(universe)]
result = ts.drawdown(trades, universe)
expected = np.zeros_like(result)
assert_equal(result, expected)
def test(self):
np.random.seed(42)
universe = pd.DataFrame({"A": range(100)})
lots = np.random.randn(100)
trades = [lot * trade("A", entry=0) for lot in lots]
trades = [t.execute(universe) for t in trades]
tot_pnl = avg_pnl(trades, universe) * len(trades)
expected = final_wealth(trades, universe).item()
assert np.isclose(tot_pnl, expected)
def test_exposure(self):
universe = pd.DataFrame(
{
"A0": [1.0, 2.0, 3.0, 4.0, 5.0],
"A1": [2.0, 3.0, 4.0, 5.0, 6.0],
"A2": [3.0, 4.0, 5.0, 6.0, 7.0],
},
dtype=float,
)
strategy = create_strategy(lambda universe: [
[1, -1] * trade(["A0", "A2"], entry=1, exit=3),
[-1, 2] * trade(["A1", "A2"], entry=2, exit=4),
]).run(universe, verbose=False)
result = strategy.exposure()
expect = pd.DataFrame(
[[0, 0, 0], [0, 0, 0], [3, 0, -5], [4, -5, 6], [0, -6, 14]],
index=universe.index,
columns=universe.columns,
)
pd.testing.assert_frame_equal(result, expect, check_dtype=False)
def test_wealth(self):
# TODO test for when exit != close
universe = pd.DataFrame({
"A": range(10),
"B": range(10),
"C": range(10)
})
# TODO remove it when #129 will be fixed ---
universe = universe.astype(float)
# ---
trades = [trade("A", entry=1, exit=3), trade("B", entry=2, exit=4)]
strategy = DeterminedStrategy(trades).run(universe)
wealth = strategy.wealth()
expected = pd.Series([0, 0, 1, 3, 4, 4, 4, 4, 4, 4],
index=universe.index)
pd.testing.assert_series_equal(wealth, expected, check_dtype=False)
def test(self):
np.random.seed(42)
universe = pd.DataFrame({"A": range(100)})
lots = np.random.randn(100)
trades = [lot * trade("A", entry=0) for lot in lots]
trades = [t.execute(universe) for t in trades]
tot_win = avg_win(trades, universe) * num_win(trades, universe)
pnls = np.array([t.final_pnl(universe) for t in trades])
expected = np.sum(pnls[pnls > 0])
assert tot_win == expected
def test_mul(self, a):
t = trade("A", entry=0, exit=1, take=2.0, stop=-3.0)
result = a * t
expect = trade("A", lot=[a], entry=0, exit=1, take=2.0, stop=-3.0)
assert result == expect
result = t * a
assert result == expect
t = trade(["A", "B"],
lot=[1.0, -2.0],
entry=0,
exit=1,
take=2.0,
stop=-3.0)
result = a * t
expect = trade(["A", "B"],
lot=[a, -2.0 * a],
entry=0,
exit=1,
take=2.0,
stop=-3.0)
assert result == expect
result = t * a
assert result == expect
def test_init_shape(self):
t = trade("A", lot=1.0)
assert t.asset.shape == (1, )
assert t.lot.shape == (1, )
t = trade(["A"], lot=1.0)
assert t.asset.shape == (1, )
assert t.lot.shape == (1, )
t = trade("A", lot=[1.0])
assert t.asset.shape == (1, )
assert t.lot.shape == (1, )
t = trade(["A", "B"], lot=1.0)
assert t.asset.shape == (2, )
assert t.lot.shape == (2, )
t = trade(["A", "B"], lot=[1.0])
assert t.asset.shape == (2, )
assert t.lot.shape == (2, )
t = trade(["A", "B"], lot=[1.0, 2.0])
assert t.asset.shape == (2, )
assert t.lot.shape == (2, )
def logic(self, universe):
yield (self.param_1 * trade("A"))
yield (self.param_2 * trade("B"))
def logic(self, universe):
asset = list(self.weight.keys())
price = universe.loc[:, asset].iloc[0].values
lot = list(np.array(list(self.weight.values())) / price)
yield lot * trade(asset, entry=universe.index[0])
def my_strategy(universe, param_1, param_2):
"""
Example logic
"""
yield (param_1 * trade("A"))
yield (param_2 * trade("B"))
def test_init_from_func(self):
strategy = create_strategy(self.my_strategy, param_1=1.0, param_2=2.0)
universe = self.universe
assert strategy(universe) == [1.0 * trade("A"), 2.0 * trade("B")]
def test_init_from_init(self):
strategy = MyStrategy(param_1=1.0, param_2=2.0)
universe = self.universe
assert strategy(universe) == [1.0 * trade("A"), 2.0 * trade("B")]
def test():
universe = pd.DataFrame({"A": range(10)})
trades = [trade("A", entry=1, exit=3)]
strategy = DeterminedStrategy(trades).run(universe)
wealth = strategy.wealth()