def testCumulativeReturn(self):
initialCash = 33.06
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
AnalyzerTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
strat = position_test.TestStrategy(barFeed,
AnalyzerTestCase.TestInstrument,
initialCash)
strat.addPosEntry(datetime.datetime(2001, 1, 12), strat.enterLong,
AnalyzerTestCase.TestInstrument, 1) # 33.06
strat.addPosExitMarket(datetime.datetime(2001, 11, 27)) # 14.32
stratAnalyzer = returns.Returns(maxLen=10)
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(
round(strat.getBroker().getCash(), 2) == round(
initialCash + (14.32 - 33.06), 2))
self.assertTrue(
round(33.06 *
(1 + stratAnalyzer.getCumulativeReturns()[-1]), 2) == 14.32)
self.assertEqual(len(stratAnalyzer.getCumulativeReturns()), 10)
self.assertEqual(len(stratAnalyzer.getReturns()), 10)
def __createPositionStrategy(self):
barFeed = self.__loadBarFeed()
return position_test.TestStrategy(
barFeed, TradesAnalyzerTestCase.TestInstrument, 1000)
