def testSeparateAndCombined(self):
posA = returns.PositionTracker(broker.IntegerTraits())
posA.buy(11, 10)
posA.sell(11, 30)
self.assertEqual(posA.getNetProfit(), 20 * 11)
self.assertEqual(posA.getReturn(), 2)
self.assertEqual(posA.getCostBasis(), 11 * 10)
posB = returns.PositionTracker(broker.IntegerTraits())
posB.sell(100, 1.1)
posB.buy(100, 1)
self.assertEqual(round(posB.getNetProfit(), 2), 100 * 0.1)
self.assertEqual(round(posB.getReturn(), 2), 0.09)
self.assertEqual(posB.getCostBasis(), 100 * 1.1)
combinedPos = returns.PositionTracker(broker.IntegerTraits())
combinedPos.buy(11, 10)
combinedPos.sell(11, 30)
self.assertEqual(combinedPos.getCostBasis(), 11 * 10)
combinedPos.sell(100, 1.1)
combinedPos.buy(100, 1)
self.assertEqual(combinedPos.getCostBasis(), 100 * 1.1)
self.assertEqual(round(combinedPos.getReturn(), 6), 2.090909)
# The return of the combined position is less than the two returns combined
# because when the second position gets opened the amount of cash not invested is greater
# than that of posB alone.
self.assertLess(round(combinedPos.getReturn(), 6),
((1 + posA.getReturn()) * (1 + posB.getReturn()) - 1))
def __createOrder(self, orderId, actionId, stateId, typeId, onClose,
allOrNone, avgFillPrice, commissions, filled,
gootTillCancelled, instrument, quantity, submitDateTime,
stopLossValue, stopHit):
action = Order.Action.fromInteger(actionId)
state = Order.State.fromInteger(stateId)
orderType = Order.Type.fromInteger(typeId)
allOrNone = False if (allOrNone == 0 or allOrNone is None) else True
filled = False if (filled == 0 or filled is None) else True
gootTillCancelled = False if (gootTillCancelled == 0
or gootTillCancelled is None) else True
stopHit = False if (stopHit == 0 or stopHit is None) else True
if orderType == Order.Type.STOP:
order = backtesting.StopOrder(action, instrument, stopLossValue,
quantity, broker.IntegerTraits())
order.setStopHit(stopHit)
elif orderType == Order.Type.MARKET:
order = backtesting.MarketOrder(action, instrument, quantity,
onClose, broker.IntegerTraits())
order.stopLossValue = stopLossValue
else:
raise ("Unsupported order type")
order.setState(state)
order.setAllOrNone(allOrNone)
order.setAvgFillPrice(avgFillPrice)
order.setCommissions(commissions)
order.setFilled(filled)
order.setGoodTillCanceled(gootTillCancelled)
order.setSubmitted(orderId, submitDateTime)
return order
def testBuyAndSellMultipleEvals(self):
posTracker = returns.PositionTracker(broker.IntegerTraits())
posTracker.buy(2, 10)
self.assertEqual(posTracker.getAvgPrice(), 10)
self.assertEqual(posTracker.getPnL(), 0)
self.assertEqual(posTracker.getPnL(price=9), -2)
self.assertEqual(posTracker.getPnL(price=10), 0)
self.assertEqual(posTracker.getPnL(price=11), 2)
self.assertEqual(posTracker.getReturn(10), 0)
self.assertEqual(posTracker.getPnL(price=11), 2)
self.assertEqual(round(posTracker.getReturn(11), 2), 0.1)
self.assertEqual(posTracker.getPnL(price=20), 20)
self.assertEqual(posTracker.getReturn(20), 1)
posTracker.sell(1, 11)
self.assertEqual(posTracker.getAvgPrice(), 10)
self.assertEqual(posTracker.getPnL(price=11), 2)
self.assertEqual(posTracker.getReturn(11), 0.1)
posTracker.sell(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 0)
self.assertEqual(posTracker.getPnL(), 1)
self.assertEqual(posTracker.getReturn(11), 0.05)
def testBuyAndSellMultipleEvals(self):
posTracker = returns.PositionTracker(broker.IntegerTraits())
posTracker.buy(2, 10)
self.assertEqual(posTracker.getCostPerShare(), 10)
self.assertEqual(posTracker.getNetProfit(), 0)
self.assertEqual(posTracker.getNetProfit(9), -2)
self.assertEqual(posTracker.getNetProfit(10), 0)
self.assertEqual(posTracker.getNetProfit(11), 2)
self.assertEqual(posTracker.getReturn(10), 0)
self.assertEqual(posTracker.getNetProfit(11), 2)
self.assertEqual(round(posTracker.getReturn(11), 2), 0.1)
self.assertEqual(posTracker.getNetProfit(20), 20)
self.assertEqual(posTracker.getReturn(20), 1)
posTracker.sell(1, 11)
self.assertEqual(posTracker.getCostPerShare(), 10)
self.assertEqual(posTracker.getNetProfit(11), 2)
self.assertEqual(posTracker.getReturn(11), 0.1)
posTracker.sell(1, 10)
self.assertEqual(posTracker.getCostPerShare(), 0)
self.assertEqual(posTracker.getNetProfit(), 1)
self.assertEqual(posTracker.getReturn(11), 0.05)
def __test_impl(self, action):
order = backtesting.MarketOrder(action, BaseTestCase.TestInstrument,
25, False, broker.IntegerTraits())
price = 10
volumeUsed = 0
# Try the order once.
slippedPrice = self.slippage.calculatePrice(
order, price, order.getQuantity(),
self.barsBuilder.nextBar(10, 11, 9, 10, volume=100), volumeUsed)
quantity = order.getQuantity()
expectedPriceImpactPct = quantity / 100.0 * quantity / 100.0 * self.priceImpact
self.assertEqual(expectedPriceImpactPct, 0.00625)
if action == broker.Order.Action.BUY:
self.assertEqual(slippedPrice,
price * (1 + expectedPriceImpactPct))
else:
self.assertEqual(slippedPrice,
price * (1 - expectedPriceImpactPct))
# Try the same order once again.
volumeUsed += quantity
quantity += order.getQuantity()
slippedPrice = self.slippage.calculatePrice(
order, price, order.getQuantity(),
self.barsBuilder.nextBar(10, 11, 9, 10, volume=100), volumeUsed)
expectedPriceImpactPct = quantity / 100.0 * quantity / 100.0 * self.priceImpact
self.assertEqual(expectedPriceImpactPct, 0.025)
if action == broker.Order.Action.BUY:
self.assertEqual(slippedPrice,
price * (1 + expectedPriceImpactPct))
else:
self.assertEqual(slippedPrice,
price * (1 - expectedPriceImpactPct))
def testBuyAndSellWin(self):
posTracker = returns.PositionTracker(broker.IntegerTraits())
posTracker.buy(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 10)
posTracker.sell(1, 11)
self.assertEqual(posTracker.getAvgPrice(), 0)
self.assertEqual(posTracker.getPnL(), 1)
self.assertTrue(posTracker.getReturn() == 0.1)
def testBuyAndSellWin(self):
posTracker = returns.PositionTracker(broker.IntegerTraits())
posTracker.buy(1, 10)
self.assertEqual(posTracker.getCostPerShare(), 10)
posTracker.sell(1, 11)
self.assertEqual(posTracker.getCostPerShare(), 0)
self.assertEqual(posTracker.getNetProfit(), 1)
self.assertTrue(posTracker.getReturn() == 0.1)
def testBuyAndSellBreakEvenWithCommision(self):
posTracker = returns.PositionTracker(broker.IntegerTraits())
posTracker.buy(1, 10, 0.5)
self.assertEqual(posTracker.getAvgPrice(), 10)
posTracker.sell(1, 11, 0.5)
self.assertEqual(posTracker.getPnL(includeCommissions=False), 1)
self.assertEqual(posTracker.getPnL(), 0)
self.assertEqual(posTracker.getReturn(includeCommissions=False), 0.1)
self.assertEqual(posTracker.getReturn(), 0)
def __getFilledMarketOrder(self, quantity, price):
order = backtesting.MarketOrder(broker.Order.Action.BUY,
BaseTestCase.TestInstrument, quantity,
False, broker.IntegerTraits())
order.setState(broker.Order.State.ACCEPTED)
order.addExecutionInfo(
broker.OrderExecutionInfo(price, quantity, 0,
datetime.datetime.now()))
return order
def testBuyAndSellBreakEven(self):
posTracker = returns.PositionTracker(broker.IntegerTraits())
posTracker.buy(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 10)
posTracker.sell(1, 10)
# self.assertEqual(posTracker.getCash(), 0)
self.assertEqual(posTracker.getAvgPrice(), 0)
self.assertEqual(posTracker.getPnL(), 0)
self.assertEqual(posTracker.getReturn(), 0)
def testSellAndBuyWin(self):
posTracker = returns.PositionTracker(broker.IntegerTraits())
posTracker.sell(1, 13)
self.assertEqual(posTracker.getAvgPrice(), 13)
self.assertEqual(posTracker.getPnL(), 0)
self.assertEqual(posTracker.getPnL(price=10), 3)
posTracker.buy(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 0)
self.assertEqual(posTracker.getPnL(), 3)
self.assertEqual(round(posTracker.getReturn(), 9), round(0.23076923076923, 9))
def testBuyAndSellInTwoTrades(self):
posTracker = returns.PositionTracker(broker.IntegerTraits())
posTracker.buy(2, 10)
self.assertEqual(posTracker.getAvgPrice(), 10)
posTracker.sell(1, 11)
self.assertEqual(posTracker.getAvgPrice(), 10)
self.assertEqual(posTracker.getPnL(), 1)
self.assertEqual(posTracker.getReturn(), 0.05)
posTracker.sell(1, 12)
self.assertEqual(posTracker.getPnL(), 3)
self.assertEqual(posTracker.getReturn(), 3 / 20.0)
def testSellAndBuyWin(self):
posTracker = returns.PositionTracker(broker.IntegerTraits())
posTracker.sell(1, 13)
self.assertEqual(posTracker.getCostPerShare(), 13)
self.assertEqual(posTracker.getNetProfit(), 0)
self.assertEqual(posTracker.getNetProfit(10), 3)
posTracker.buy(1, 10)
self.assertEqual(posTracker.getCostPerShare(), 0)
self.assertEqual(posTracker.getNetProfit(), 3)
self.assertEqual(round(posTracker.getReturn(), 9),
round(0.23076923076923, 9))
def test_full_volume_used(self):
orderSize = 100
order = backtesting.MarketOrder(broker.Order.Action.BUY,
BaseTestCase.TestInstrument, orderSize,
False, broker.IntegerTraits())
price = 10
volumeUsed = 0
# Try the order once.
slippedPrice = self.slippage.calculatePrice(
order, price, order.getQuantity(),
self.barsBuilder.nextBar(10, 11, 9, 10, volume=orderSize),
volumeUsed)
self.assertEqual(slippedPrice, price * 1.1)
def __test_impl(self, action):
order = backtesting.MarketOrder(action, BaseTestCase.TestInstrument, 5,
False, broker.IntegerTraits())
price = 10
slippedPrice = self.slippage.calculatePrice(
order, price, order.getQuantity(),
self.barsBuilder.nextBar(10, 11, 9, 10, volume=100), 0)
self.assertEqual(price, slippedPrice)
slippedPrice = self.slippage.calculatePrice(
order, price, order.getQuantity(),
self.barsBuilder.nextBar(10, 11, 9, 10, volume=100), 20)
self.assertEqual(slippedPrice, price)
def testBuyAndSellBreakEvenWithCommission(self):
posTracker = returns.PositionTracker(broker.IntegerTraits())
# self.assertEqual(posTracker.getCash(), 0)
posTracker.buy(1, 10, 0.01)
# self.assertEqual(posTracker.getCash(), -10.01)
self.assertEqual(posTracker.getAvgPrice(), 10)
posTracker.sell(1, 10.02, 0.01)
# self.assertEqual(round(posTracker.getCash(), 2), 0)
self.assertEqual(posTracker.getAvgPrice(), 0)
# We need to round to avoid floating point errors.
# The same issue can be reproduced with this piece of code:
# a = 10.02 - 10
# b = 0.02
# print a - b
# print a - b == 0
self.assertEqual(posTracker.getPosition(), 0)
self.assertEqual(round(posTracker.getPnL(), 2), 0)
self.assertEqual(round(posTracker.getReturn(), 2), 0)
def testSellAndBuyMultipleEvals(self):
posTracker = returns.PositionTracker(broker.IntegerTraits())
posTracker.sell(2, 11)
self.assertEqual(posTracker.getAvgPrice(), 11)
self.assertEqual(posTracker.getPnL(price=10), 2)
self.assertEqual(posTracker.getPnL(price=11), 0)
self.assertEqual(posTracker.getPnL(price=12), -2)
self.assertEqual(posTracker.getReturn(11), 0)
posTracker.buy(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 11)
self.assertEqual(posTracker.getPnL(price=11), 1)
self.assertEqual(round(posTracker.getReturn(11), 9), round(0.045454545, 9))
posTracker.buy(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 0)
self.assertEqual(posTracker.getPnL(), 2)
self.assertEqual(posTracker.getPnL(price=100), 2)
self.assertEqual(round(posTracker.getReturn(), 9), round(0.090909091, 9))
def testSellBuySell(self):
posTracker = returns.PositionTracker(broker.IntegerTraits())
posTracker.sell(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 10)
self.assertEqual(posTracker.getPnL(), 0)
self.assertEqual(posTracker.getReturn(), 0)
self.assertEqual(posTracker.getPnL(price=13), -3)
self.assertEqual(posTracker.getReturn(13), -0.3)
# Closing the short position and going long 1 @ $13.
# The cost basis for the new position is $13.
posTracker.buy(2, 13)
self.assertEqual(posTracker.getAvgPrice(), 13)
self.assertEqual(posTracker.getPnL(), -3)
self.assertEqual(round(posTracker.getReturn(), 9), round(-0.23076923076923, 9))
posTracker.sell(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 0)
self.assertEqual(posTracker.getPnL(), -6)
self.assertEqual(round(posTracker.getReturn(), 9), round(-0.46153846153846, 9))
def testSellAndBuyMultipleEvals(self):
posTracker = returns.PositionTracker(broker.IntegerTraits())
posTracker.sell(2, 11)
self.assertEqual(posTracker.getCostPerShare(), 11)
self.assertEqual(posTracker.getNetProfit(10), 2)
self.assertEqual(posTracker.getNetProfit(11), 0)
self.assertEqual(posTracker.getNetProfit(12), -2)
self.assertEqual(posTracker.getReturn(11), 0)
posTracker.buy(1, 10)
self.assertEqual(posTracker.getCostPerShare(), 11)
self.assertEqual(posTracker.getNetProfit(11), 1)
self.assertEqual(round(posTracker.getReturn(11), 9),
round(0.045454545, 9))
posTracker.buy(1, 10)
self.assertEqual(posTracker.getCostPerShare(), 0)
self.assertEqual(posTracker.getNetProfit(), 2)
self.assertEqual(posTracker.getNetProfit(100), 2)
self.assertEqual(round(posTracker.getReturn(), 9),
round(0.090909091, 9))
def testBuySellBuy(self):
posTracker = returns.PositionTracker(broker.IntegerTraits())
posTracker.buy(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 10)
self.assertEqual(posTracker.getPnL(price=9), -1)
self.assertEqual(posTracker.getPnL(), 0)
self.assertEqual(posTracker.getPnL(price=10), 0)
self.assertEqual(posTracker.getPnL(price=11), 1)
self.assertEqual(posTracker.getReturn(), 0)
self.assertEqual(posTracker.getReturn(13), 0.3)
# Closing the long position and short selling 1 @ $13.
# The cost basis for the new position is $13.
posTracker.sell(2, 13)
self.assertEqual(posTracker.getAvgPrice(), 13)
self.assertEqual(posTracker.getPnL(), 3)
self.assertEqual(round(posTracker.getReturn(), 8), 0.23076923)
posTracker.buy(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 0)
self.assertEqual(posTracker.getPnL(), 6)
self.assertEqual(round(posTracker.getReturn(), 9), round(0.46153846153846, 9))
def testProfitReturnsAndCost(self):
posTracker = returns.PositionTracker(broker.IntegerTraits())
posTracker.buy(10, 1)
self.assertEqual(posTracker.getPnL(), 0)
self.assertEqual(posTracker.getAvgPrice(), 1)
self.assertEqual(posTracker.getCommissions(), 0)
# self.assertEqual(posTracker.getCash(), -10)
posTracker.buy(20, 1, 10)
self.assertEqual(posTracker.getPnL(), -10)
self.assertEqual(posTracker.getAvgPrice(), 1)
self.assertEqual(posTracker.getCommissions(), 10)
# self.assertEqual(posTracker.getCash(), -40)
posTracker.sell(30, 1)
self.assertEqual(posTracker.getAvgPrice(), 0)
self.assertEqual(posTracker.getPnL(), -10)
# self.assertEqual(posTracker.getCash(), -10)
self.assertEqual(posTracker.getCommissions(), 10)
self.assertEqual(posTracker.getReturn(), -10 / 30.0)
posTracker.buy(10, 1)
self.assertEqual(posTracker.getPnL(), -10)
self.assertEqual(posTracker.getAvgPrice(), 1)
def getInstrumentTraits(self, instrument):
return broker.IntegerTraits()
