def test_run_simulation_round_buy_max_exposure(self):
# close values DataFrame
cv_df = pd.read_csv('./data/sample_data.csv',
parse_dates=True,
index_col=0)[['close']]
# input_data DataFrame
id_df = pd.read_csv('./data/sample_data.csv',
parse_dates=True,
index_col=0)
ts = TradingSimulation(input_data_index=id_df.index,
close_values=cv_df,
max_exposure=1,
short_exposure_factor=1.5)
ts.runSimulationRound(i_index=0, signal=TRADE_SIGNALS['buy'])
ts.runSimulationRound(i_index=1, signal=TRADE_SIGNALS['buy'])
ts.runSimulationRound(i_index=2, signal=TRADE_SIGNALS['buy'])
self.assertListEqual(list(ts._portfolio[2, :]), [0.0, 0.0, 0.0])
self.assertListEqual(
ts._simulation_data.iloc[2, :].to_list(),
['buy', 'none', ts._close_values[2, 0], 0.0, 0.0, 0.0, 0.0])
def test_run_simulation_round_sell(self):
# close values DataFrame
cv_df = pd.read_csv('./data/sample_data.csv',
parse_dates=True,
index_col=0)[['close']]
# input_data DataFrame
id_df = pd.read_csv('./data/sample_data.csv',
parse_dates=True,
index_col=0)
ts = TradingSimulation(input_data_index=id_df.index,
close_values=cv_df,
max_exposure=None,
short_exposure_factor=1.5)
ts.runSimulationRound(i_index=0, signal=TRADE_SIGNALS['sell'])
ts.runSimulationRound(i_index=1, signal=TRADE_SIGNALS['sell'])
self.assertListEqual(list(ts._portfolio[1, :]),
[1.0, 1.0, 1.5 * ts._close_values[1, 0]])
self.assertListEqual(ts._simulation_data.iloc[1, :].to_list(), [
'sell', 'short', ts._close_values[1, 0],
ts._simulation_data['exposure'].iat[0] +
1.5 * ts._close_values[1, 0], -ts._close_values[1, 0], 0.0,
-ts._close_values[1, 0]
])