def testControllerPosAlerts(self):
plog = '%s/positions.csv' % os.path.dirname(__file__)
elog = '%s/equity.csv' % os.path.dirname(__file__)
rlog = '%s/returns.csv' % os.path.dirname(__file__)
slog = '%s/summary.csv' % os.path.dirname(__file__)
ctrl = ClenowController({ 'Ag-1' : ['RR'] }, plog, elog, rlog, summaryFile=slog)
ctrl.run(datetime.datetime(2011,12,31),datetime.datetime(2012,8,1),datetime.datetime(2013,12,31))
tlog = '%s/posalert.log' % os.path.dirname(__file__)
ctrl.writePositionAlerts(tlog)
self.assertTrue(test_util.file_compare('%s/posalert.reflog' % os.path.dirname(__file__), tlog))
os.remove(tlog)
tlog = '%s/trade7.log' % os.path.dirname(__file__)
ctrl.writeAllTrades(tlog)
self.assertTrue(test_util.file_compare('%s/trade7.reflog' % os.path.dirname(__file__), tlog))
os.remove(tlog)
tlog = '%s/tssb' % os.path.dirname(__file__)
ctrl.writeTSSBTrades(tlog)
self.assertTrue(test_util.file_compare('%s_long.reflog' % tlog, '%s_long.csv' % tlog))
self.assertTrue(test_util.file_compare('%s_short.reflog' % tlog, '%s_short.csv' % tlog))
os.remove('%s_long.csv' % tlog)
os.remove('%s_short.csv' % tlog)
os.remove(plog)
os.remove(elog)
os.remove(rlog)
os.remove(slog)
def testControllerPosAlerts(self):
plog = '%s/positions.csv' % os.path.dirname(__file__)
elog = '%s/equity.csv' % os.path.dirname(__file__)
rlog = '%s/returns.csv' % os.path.dirname(__file__)
slog = '%s/summary.csv' % os.path.dirname(__file__)
ctrl = ClenowController({'Ag-1': ['RR']},
plog,
elog,
rlog,
summaryFile=slog)
ctrl.run(datetime.datetime(2011, 12,
31), datetime.datetime(2012, 8, 1),
datetime.datetime(2013, 12, 31))
tlog = '%s/posalert.log' % os.path.dirname(__file__)
ctrl.writePositionAlerts(tlog)
self.assertTrue(
test_util.file_compare(
'%s/posalert.reflog' % os.path.dirname(__file__), tlog))
os.remove(tlog)
tlog = '%s/trade7.log' % os.path.dirname(__file__)
ctrl.writeAllTrades(tlog)
self.assertTrue(
test_util.file_compare(
'%s/trade7.reflog' % os.path.dirname(__file__), tlog))
os.remove(tlog)
tlog = '%s/tssb' % os.path.dirname(__file__)
ctrl.writeTSSBTrades(tlog)
self.assertTrue(
test_util.file_compare('%s_long.reflog' % tlog,
'%s_long.csv' % tlog))
self.assertTrue(
test_util.file_compare('%s_short.reflog' % tlog,
'%s_short.csv' % tlog))
os.remove('%s_long.csv' % tlog)
os.remove('%s_short.csv' % tlog)
os.remove(plog)
os.remove(elog)
os.remove(rlog)
os.remove(slog)
def testClenowRunGroup(self):
#crg = ClenowRunGroup(['RR','LH','O'])
#crg.feed().start()
#crg.strategy().exitPositions()
plog = '%s/positions.csv' % os.path.dirname(__file__)
elog = '%s/equity.csv' % os.path.dirname(__file__)
rlog = '%s/returns.csv' % os.path.dirname(__file__)
slog = '%s/summary.csv' % os.path.dirname(__file__)
ctrl = ClenowController({ 'Ag-1' : ['RR','LH','O'], 'Ag-2' : ['LB','LC']}, plog, elog, rlog, summaryFile=slog)
ctrl.run(datetime.datetime(2011,12,31),datetime.datetime(2012,8,1),datetime.datetime(2013,12,31))
tlog = '%s/trade4.log' % os.path.dirname(__file__)
ctrl.writeAllTrades(tlog)
self.assertAlmostEqual(ctrl.get_net_profit(),ctrl.get_trade_profit(),places=2)
crg = ctrl._runGroups['Ag-1']
trades = crg.trades_analyzer()
self.assertEqual(trades.getCount(),6)
self.assertEqual(trades.getProfitableCount(),1)
self.assertEqual(trades.getUnprofitableCount(),5)
self.assertTrue(test_util.file_compare('%s/trade4.reflog' % os.path.dirname(__file__), tlog))
os.remove(tlog)
self.assertTrue(test_util.file_compare('%s/positions.refcsv' % os.path.dirname(__file__), plog))
os.remove(plog)
self.assertTrue(test_util.file_compare('%s/equity.refcsv' % os.path.dirname(__file__), elog))
os.remove(elog)
self.assertTrue(test_util.file_compare('%s/returns.refcsv' % os.path.dirname(__file__), rlog))
os.remove(rlog)
self.assertTrue(test_util.file_compare('%s/summary.refcsv' % os.path.dirname(__file__), slog))
os.remove(slog)
# now check the last open trades
pos_alerts = ctrl.get_position_alerts()
self.assertEqual(len(pos_alerts),1)
self.assertEqual(pos_alerts[0].stop,1476.35)
def testClenowRunGroup(self):
#crg = ClenowRunGroup(['RR','LH','O'])
#crg.feed().start()
#crg.strategy().exitPositions()
plog = '%s/positions.csv' % os.path.dirname(__file__)
elog = '%s/equity.csv' % os.path.dirname(__file__)
rlog = '%s/returns.csv' % os.path.dirname(__file__)
slog = '%s/summary.csv' % os.path.dirname(__file__)
ctrl = ClenowController(
{
'Ag-1': ['RR', 'LH', 'O'],
'Ag-2': ['LB', 'LC']
},
plog,
elog,
rlog,
summaryFile=slog)
ctrl.run(datetime.datetime(2011, 12,
31), datetime.datetime(2012, 8, 1),
datetime.datetime(2013, 12, 31))
tlog = '%s/trade4.log' % os.path.dirname(__file__)
ctrl.writeAllTrades(tlog)
self.assertAlmostEqual(ctrl.get_net_profit(),
ctrl.get_trade_profit(),
places=2)
crg = ctrl._runGroups['Ag-1']
trades = crg.trades_analyzer()
self.assertEqual(trades.getCount(), 6)
self.assertEqual(trades.getProfitableCount(), 1)
self.assertEqual(trades.getUnprofitableCount(), 5)
self.assertTrue(
test_util.file_compare(
'%s/trade4.reflog' % os.path.dirname(__file__), tlog))
os.remove(tlog)
self.assertTrue(
test_util.file_compare(
'%s/positions.refcsv' % os.path.dirname(__file__), plog))
os.remove(plog)
self.assertTrue(
test_util.file_compare(
'%s/equity.refcsv' % os.path.dirname(__file__), elog))
os.remove(elog)
self.assertTrue(
test_util.file_compare(
'%s/returns.refcsv' % os.path.dirname(__file__), rlog))
os.remove(rlog)
self.assertTrue(
test_util.file_compare(
'%s/summary.refcsv' % os.path.dirname(__file__), slog))
os.remove(slog)
# now check the last open trades
pos_alerts = ctrl.get_position_alerts()
self.assertEqual(len(pos_alerts), 1)
self.assertEqual(pos_alerts[0].stop, 1476.35)
