def test_strategy_tree_proper_universes():
def do_nothing(x):
return True
child1 = Strategy('c1', [do_nothing], ['b', 'c'])
master = Strategy('m', [do_nothing], [child1, 'a'])
child1 = master['c1']
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame(
{'a': pd.TimeSeries(data=1, index=dts, name='a'),
'b': pd.TimeSeries(data=2, index=dts, name='b'),
'c': pd.TimeSeries(data=3, index=dts, name='c')})
master.setup(data)
assert len(master.children) == 2
assert 'c1' in master.children
assert 'a' in master.children
assert len(master.universe.columns) == 2
assert 'c1' in master.universe.columns
assert 'a' in master.universe.columns
assert len(child1.universe.columns) == 2
assert 'b' in child1.universe.columns
assert 'c' in child1.universe.columns
def test_strategy_tree_proper_universes():
def do_nothing(x):
return True
child1 = Strategy('c1', [do_nothing], ['b', 'c'])
master = Strategy('m', [do_nothing], [child1, 'a'])
child1 = master['c1']
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame({
'a': pd.Series(data=1, index=dts, name='a'),
'b': pd.Series(data=2, index=dts, name='b'),
'c': pd.Series(data=3, index=dts, name='c')
})
master.setup(data)
assert len(master.children) == 2
assert 'c1' in master.children
assert 'a' in master.children
assert len(master._universe.columns) == 2
assert 'c1' in master._universe.columns
assert 'a' in master._universe.columns
assert len(child1._universe.columns) == 2
assert 'b' in child1._universe.columns
assert 'c' in child1._universe.columns
def test_strategy_tree_paper():
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame(index=dts, columns=['a'], data=100.)
data['a'].ix[dts[1]] = 101
data['a'].ix[dts[2]] = 102
s = Strategy('s', [
bt.algos.SelectWhere(data > 100),
bt.algos.WeighEqually(),
bt.algos.Rebalance()
])
m = Strategy('m', [], [s])
s = m['s']
m.setup(data)
m.update(dts[0])
m.run()
assert m.price == 100
assert s.price == 100
assert s._paper_trade
assert s._paper.price == 100
s.update(dts[1])
m.run()
assert m.price == 100
assert m.value == 0
assert s.value == 0
assert s.price == 100
s.update(dts[2])
m.run()
assert m.price == 100
assert m.value == 0
assert s.value == 0
assert np.allclose(s.price, 100. * (102 / 101.))
def test_strategy_tree_paper():
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame(index=dts, columns=['a'], data=100.)
data['a'].ix[dts[1]] = 101
data['a'].ix[dts[2]] = 102
s = Strategy('s',
[bt.algos.SelectWhere(data > 100),
bt.algos.WeighEqually(),
bt.algos.Rebalance()])
m = Strategy('m', [], [s])
s = m['s']
m.setup(data)
m.update(dts[0])
m.run()
assert m.price == 100
assert s.price == 100
assert s._paper_trade
assert s._paper.price == 100
s.update(dts[1])
m.run()
assert m.price == 100
assert m.value == 0
assert s.value == 0
assert s.price == 99.9901
s.update(dts[2])
m.run()
assert m.price == 100
assert m.value == 0
assert s.value == 0
aae(s.price, 100.9801, 4)