def testCallingTradingRule(self):
# config=Config(dict(trading_rules=dict(ewmac=dict(function="systems.provided.example.rules.ewmac_forecast_with_defaults"))))
NOTUSEDrawdata, data, NOTUSEDconfig = get_test_object()
rawdata = RawData()
rules = Rules()
system = System([rawdata, rules], data)
# Call with default data and config
rule = TradingRule(ewmac_forecast_with_defaults)
ans = rule.call(system, "EDOLLAR")
self.assertAlmostEqual(ans.tail(1).values[0], -3.280028, 5)
# Change the data source
rule = TradingRule((
"systems.provided.example.rules.ewmac_forecast_with_defaults_no_vol",
["rawdata.get_daily_prices",
"rawdata.daily_returns_volatility"], dict()))
ans = rule.call(system, "EDOLLAR")
self.assertAlmostEqual(ans.tail(1).values[0], -1.24349, 5)
rule = TradingRule(
dict(
function=
"systems.provided.example.rules.ewmac_forecast_with_defaults_no_vol",
data=[
"rawdata.get_daily_prices",
"rawdata.daily_returns_volatility"
],
other_args=dict(Lfast=50, Lslow=200)))
ans = rule.call(system, "EDOLLAR")
self.assertAlmostEqual(ans.tail(1).values[0], -3.025001057146)
def testCallingTradingRule(self):
# config=Config(dict(trading_rules=dict(ewmac=dict(function="systems.provided.example.rules.ewmac_forecast_with_defaults"))))
data = csvFuturesData("sysdata.tests")
rawdata = RawData()
rules = Rules()
system = System([rawdata, rules], data)
# Call with default data and config
rule = TradingRule(ewmac_forecast_with_defaults)
ans = rule.call(system, "EDOLLAR")
self.assertAlmostEqual(ans.tail(1).values[0], 2.1384223788141838, 5)
# Change the data source
rule = TradingRule((
"systems.provided.example.rules.ewmac_forecast_with_defaults_no_vol",
["rawdata.get_daily_prices",
"rawdata.daily_returns_volatility"], dict()))
ans = rule.call(system, "EDOLLAR")
self.assertAlmostEqual(ans.tail(1).values[0], 0.029376, 5)
rule = TradingRule(
dict(
function=
"systems.provided.example.rules.ewmac_forecast_with_defaults_no_vol",
data=[
"rawdata.get_daily_prices",
"rawdata.daily_returns_volatility"
],
other_args=dict(Lfast=50, Lslow=200)))
ans = rule.call(system, "EDOLLAR")
self.assertAlmostEqual(ans.tail(1).values[0], 3.84426755)
def testCallingTradingRule(self):
# config=Config(dict(trading_rules=dict(ewmac=dict(function="systems.provided.example.rules.ewmac_forecast_with_defaults"))))
data = csvFuturesData("sysdata.tests")
rawdata = RawData()
rules = Rules()
system = System([rawdata, rules], data)
# Call with default data and config
rule = TradingRule(ewmac_forecast_with_defaults)
ans = rule.call(system, "EDOLLAR")
self.assertAlmostEqual(ans.iloc[-1][0], 2.1384223788141838, 5)
# Change the data source
rule = TradingRule(("systems.provided.example.rules.ewmac_forecast_with_defaults_no_vol",
["rawdata.daily_prices", "rawdata.daily_returns_volatility"], dict()))
ans = rule.call(system, "EDOLLAR")
self.assertAlmostEqual(ans.iloc[-1][0], 0.029376, 5)
rule = TradingRule(dict(function="systems.provided.example.rules.ewmac_forecast_with_defaults_no_vol",
data=["rawdata.daily_prices",
"rawdata.daily_returns_volatility"],
other_args=dict(Lfast=50, Lslow=200)))
ans = rule.call(system, "EDOLLAR")
self.assertAlmostEqual(ans.iloc[-1][0], 3.84426755)
def testCallingTradingRule(self):
# config=Config(dict(trading_rules=dict(ewmac=dict(function="systems.provided.example.rules.ewmac_forecast_with_defaults"))))
NOTUSEDrawdata, data, NOTUSEDconfig = get_test_object()
rawdata = RawData()
rules = Rules()
system = System([rawdata, rules], data)
# Call with default data and config
rule = TradingRule(ewmac_forecast_with_defaults)
ans = rule.call(system, "EDOLLAR")
self.assertAlmostEqual(ans.tail(1).values[0], -3.280028, 5)
# Change the data source
rule = TradingRule((
"systems.provided.example.rules.ewmac_forecast_with_defaults_no_vol",
["rawdata.get_daily_prices",
"rawdata.daily_returns_volatility"], dict()))
ans = rule.call(system, "EDOLLAR")
self.assertAlmostEqual(ans.tail(1).values[0], -1.24349, 5)
rule = TradingRule(
dict(
function=
"systems.provided.example.rules.ewmac_forecast_with_defaults_no_vol",
data=[
"rawdata.get_daily_prices",
"rawdata.daily_returns_volatility"
],
other_args=dict(Lfast=50, Lslow=200)))
ans = rule.call(system, "EDOLLAR")
self.assertAlmostEqual(ans.tail(1).values[0], -3.025001057146)
def testCarryRule(self):
data = csvFuturesData("sysdata.tests")
rawdata = FuturesRawData()
rules = Rules()
system = System([rawdata, rules], data)
rule=TradingRule(carry, ["rawdata.daily_annualised_roll", "rawdata.daily_returns_volatility"], dict(smooth_days=90))
ans = rule.call(system, "EDOLLAR")
self.assertAlmostEqual(ans.iloc[-1][0], 0.411686026, 5)
def testCarryRule(self):
NOTUSEDrawdata, data, NOTUSEDconfig = get_test_object()
rawdata = FuturesRawData()
rules = Rules()
system = System([rawdata, rules], data)
rule = TradingRule(carry2, [
"rawdata.daily_annualised_roll",
], dict(smooth_days=90))
ans = rule.call(system, "EDOLLAR")
self.assertAlmostEqual(ans.tail(1).values[0], 0.138302, 5)
def testCarryRule(self):
data = csvFuturesData("sysdata.tests")
rawdata = FuturesRawData()
rules = Rules()
system = System([rawdata, rules], data)
rule = TradingRule(carry, [
"rawdata.daily_annualised_roll", "rawdata.daily_returns_volatility"
], dict(smooth_days=90))
ans = rule.call(system, "EDOLLAR")
self.assertAlmostEqual(ans.iloc[-1][0], 0.411686026, 5)
def testCarryRule(self):
data = csvFuturesData("sysdata.tests")
rawdata = FuturesRawData()
rules = Rules()
system = System([rawdata, rules], data)
rule = TradingRule(
carry2, [
"rawdata.daily_annualised_roll",
],
dict(smooth_days=90))
ans = rule.call(system, "EDOLLAR")
self.assertAlmostEqual(ans.tail(1).values[0], 0.37666175, 5)
def testCarryRule(self):
NOTUSEDrawdata, data, NOTUSEDconfig = get_test_object()
rawdata = FuturesRawData()
rules = Rules()
system = System([rawdata, rules], data)
rule = TradingRule(
carry2, [
"rawdata.daily_annualised_roll",
],
dict(smooth_days=90))
ans = rule.call(system, "EDOLLAR")
self.assertAlmostEqual(ans.tail(1).values[0], 0.138302, 5)
