def test_example():
data = pd.DataFrame({
'code': ['000001' for x in range(4)],
'date':
[dt(1998, 1, 1),
dt(1999, 1, 1),
dt(2000, 1, 1),
dt(2001, 1, 1)],
'close': [4.5, 7.9, 6.7, 10],
})
bt = BackTest(data,
init_cash=1000,
callbacks=[
MinAmountChecker(buy_dict={
'000001': [dt(1998, 1, 1),
dt(2000, 1, 1)]
},
sell_dict={'000001': [dt(1999, 1, 1)]})
])
bt.calc_trade_history()
print(bt.report())
assert 100 == bt.hold_price_cur_df.loc['000001']['amount']
assert np.round(6.7, 2) == np.round(
bt.hold_price_cur_df.loc['000001']['buy_price'], 2)
assert np.round(bt.total_assets_cur,
2) == np.round(bt.available_cash + 10 * 100, 2)
assert bt._BackTest__get_buy_avg_price('000001') == (6.7, 100.0)
def test_backtest_holdprice(init_global_data):
data = pd.DataFrame({
'code': ['000001' for x in range(5)],
'date': [
dt(1998, 1, 1),
dt(1999, 1, 1),
dt(2000, 1, 1),
dt(2001, 1, 1),
dt(2002, 1, 1)
],
'close': [4.5, 7.9, 6.7, 13.4, 15.3],
})
data = data.append(
pd.DataFrame({
'code': ['000002' for x in range(5)],
'date': [
dt(1998, 12, 31),
dt(1999, 12, 31),
dt(2000, 12, 31),
dt(2001, 12, 31),
dt(2002, 12, 31)
],
'close': [41.5, 71.9, 61.7, 131.4, 151.3],
}))
bt = BackTest(
data,
init_cash=100000,
callbacks=[
MinAmountChecker(buy_dict={
'000001': [dt(1999, 1, 1), dt(2001, 1, 1)],
'000002':
[dt(1999, 12, 31),
dt(2000, 12, 31),
dt(2002, 12, 31)]
},
sell_dict={})
])
bt.calc_trade_history()
print(bt.report())
assert bt._BackTest__get_buy_avg_price('000001') == np.average(
[7.9, 13.4], weights=[100, 100], returned=True)
assert bt._BackTest__get_buy_avg_price('000002') == np.average(
[71.9, 61.7, 151.3], weights=[100, 100, 100], returned=True)
assert 200 == bt.hold_price_cur_df.loc['000001']['amount']
assert np.round(
(7.9 + 13.4) / 2,
2) == np.round(bt.hold_price_cur_df.loc['000001']['buy_price'], 2)
assert 300 == bt.hold_price_cur_df.loc['000002']['amount']
assert np.round(
(71.9 + 61.7 + 151.3) / 3,
2) == np.round(bt.hold_price_cur_df.loc['000002']['buy_price'], 2)
assert bt.total_assets_cur == bt.available_cash + (15.3 * 200) + (151.3 *
300)
def test_backtest_calc(init_global_data):
bt = BackTest(pytest.global_data,
callbacks=[
MinAmountChecker(
buy_dict={
pytest.global_code:
[dt(1999, 1, 1), dt(2001, 1, 1)]
},
sell_dict={
pytest.global_code:
[dt(2000, 1, 1), dt(2002, 1, 1)]
},
)
])
bt.calc_trade_history()
assert not bt.history_df.empty
assert bt._BackTest__get_buy_avg_price('000001') == (0.0, 0.0)
print(bt.report())
assert bt.available_hold_df.empty
bt = BackTest(pytest.global_data,
callbacks=[
MinAmountChecker(
buy_dict={
pytest.global_code:
[dt(1999, 1, 1), dt(2001, 1, 1)]
},
sell_dict={pytest.global_code: [dt(2000, 1, 1)]},
)
])
bt.calc_trade_history()
assert not bt.history_df.empty
print(bt.report())
print(bt.hold_time())
print(bt.hold_price_cur_df)
assert not bt.available_hold_df.empty
assert bt.available_hold_df[pytest.global_code] == 100
assert bt._BackTest__get_buy_avg_price('000001') == (13.4, 100.0)
def test_backtest_calc_sameday(init_global_data):
bt = BackTest(pytest.global_data,
callbacks=[
MinAmountChecker(
colname=None,
buy_dict={
pytest.global_code:
[dt(1999, 1, 1), dt(2001, 1, 1)]
},
sell_dict={
pytest.global_code:
[dt(2001, 1, 1), dt(2002, 1, 1)]
},
)
])
bt.calc_trade_history(verbose=2)
assert bt.available_hold_df.empty
assert 2 == len(bt.history_df)
def test_init_hold():
data = pd.DataFrame({
'code': ['000001' for x in range(4)],
'date':
[dt(1998, 1, 1),
dt(1999, 1, 1),
dt(2000, 1, 1),
dt(2001, 1, 1)],
'close': [4.5, 7.9, 6.7, 10],
})
init_hold = pd.DataFrame({
'code': ['000001'],
'amount': [400],
'price': [3],
'buy_date': [dt(1998, 1, 1)],
'stoploss_price': [-1],
'stopprofit_price': [-1],
'next_price': [-1],
})
bt = BackTest(data, init_hold=init_hold)
assert not bt.available_hold_df.empty
assert bt.available_hold_df['000001'] == 400
assert bt.hold_price_cur_df.loc['000001', 'buy_price'] == 3.0
assert bt.hold_price_cur_df.loc['000001', 'amount'] == 400
assert bt.hold_price_cur_df.loc['000001', 'price_cur'] == 10.0
bt.calc_trade_history()
print(bt.report())
bt = BackTest(
data,
init_hold=init_hold,
callbacks=[
MinAmountChecker(
sell_dict={'000001': [dt(1999, 1, 1),
dt(2000, 1, 1)]})
])
bt.calc_trade_history()
assert not bt.history_df.empty
assert bt.available_hold_df['000001'] == 200
assert bt.available_cash > bt.init_cash
assert bt.total_assets_cur == bt.available_cash + 200 * 10 #最新价格10元，总共持有200股
print(bt.report())
def test_example_backtest_date(init_global_data):
print(
">>> from datetime import date as dt\n"
">>> data = pd.DataFrame({\n"
">>> 'code': ['000001' for x in range(5)],\n"
">>> 'date': [\n"
">>> dt(1998, 1, 1),\n"
">>> dt(1999, 1, 1),\n"
">>> dt(2000, 1, 1),\n"
">>> dt(2001, 1, 1),\n"
">>> dt(2002, 1, 1)\n"
">>> ],\n"
">>> 'close': [4.5, 7.9, 6.7, 13.4, 15.3]\n"
">>> })\n"
">>> data['date'] = pd.to_datetime(data['date'])\n"
">>> bt = BackTest(\n"
">>> data,\n"
">>> callbacks=[\n"
">>> MinAmountChecker(\n"
">>> buy_dict={\n"
">>> pytest.global_code:\n"
">>> data[data['date'] < '2000-1-1']['date'].dt.to_pydatetime()\n"
">>> },\n"
">>> sell_dict={\n"
">>> pytest.global_code:\n"
">>> data[data['date'] > '2000-1-1']['date'].dt.to_pydatetime()\n"
">>> },\n"
">>> )\n"
">>> ])\n"
">>> bt.calc_trade_history()\n"
">>> bt.report())\n")
data = pd.DataFrame({
'code': ['000001' for x in range(5)],
'date': [
dt(1998, 1, 1),
dt(1999, 1, 1),
dt(2000, 1, 1),
dt(2001, 1, 1),
dt(2002, 1, 1)
],
'close': [4.5, 7.9, 6.7, 13.4, 15.3]
})
data['date'] = pd.to_datetime(data['date'])
bt = BackTest(
data,
callbacks=[
MinAmountChecker(
buy_dict={
pytest.global_code:
data[data['date'] < '2000-1-1']['date'].dt.to_pydatetime()
},
sell_dict={
pytest.global_code:
data[data['date'] > '2000-1-1']['date'].dt.to_pydatetime()
},
)
])
bt.calc_trade_history()
assert not bt.history_df.empty
print(bt.report())
def test_backtest_calc_mutil(init_global_data):
data = pd.DataFrame({
'code': ['000001' for x in range(5)],
'date': [
dt(1998, 1, 1),
dt(1999, 1, 1),
dt(2000, 1, 1),
dt(2001, 1, 1),
dt(2002, 1, 1)
],
'close': [4.5, 7.9, 6.7, 13.4, 15.3],
})
data = data.append(
pd.DataFrame({
'code': ['000002' for x in range(5)],
'date': [
dt(1998, 12, 31),
dt(1999, 12, 31),
dt(2000, 12, 31),
dt(2001, 12, 31),
dt(2002, 12, 31)
],
'close': [41.5, 71.9, 61.7, 131.4, 151.3],
}))
bt = BackTest(
data,
callbacks=[
MinAmountChecker(
buy_dict={
'000001': [dt(1999, 1, 1), dt(2001, 1, 1)],
'000002': [dt(1998, 12, 31)]
},
sell_dict={'000001': [dt(2000, 1, 1),
dt(2002, 1, 1)]},
)
])
bt.calc_trade_history()
assert bt._BackTest__get_buy_avg_price('000001') == (0.0, 0.0)
assert bt._BackTest__get_buy_avg_price('000002') == (41.5, 100.0)
assert not bt.history_df.empty
assert '000001' not in bt.available_hold_df.index
assert bt.available_hold_df['000002'] != 0
assert not bt.available_hold_df.empty
# hold_table=bt.hold_table()
# assert 100==hold_table['000002']
# assert 0==hold_table['000001']
assert not bt.hold_price_cur_df.empty
assert 41.5 == bt.hold_price_cur_df.loc['000002']['buy_price']
assert 100 == bt.hold_price_cur_df.loc['000002']['amount']
print(bt.report())
bt = BackTest(data,
callbacks=[
MinAmountChecker(
buy_dict={
'000001': [dt(1999, 1, 1),
dt(2001, 1, 1)],
'000002': [dt(1998, 12, 31)]
},
sell_dict={'000001': [dt(2000, 1, 1)]},
)
])
bt.calc_trade_history()
assert not bt.history_df.empty
assert not bt.available_hold_df.empty
assert bt.available_hold_df['000001'] != 0
assert bt.available_hold_df['000002'] != 0
assert bt._BackTest__get_buy_avg_price('000001') == (13.4, 100.0)
assert bt._BackTest__get_buy_avg_price('000002') == (41.5, 100.0)
# hold_table=bt.hold_table()
# assert 100==hold_table['000002']
# assert 100==hold_table['000001']
assert not bt.hold_price_cur_df.empty
assert 41.5 == bt.hold_price_cur_df.loc['000002']['buy_price']
assert 13.4 == bt.hold_price_cur_df.loc['000001']['buy_price']
print(bt.report())
print(bt.hold_time().to_string())