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 testRules(self):
# config=Config(dict(trading_rules=dict(ewmac=dict(function="systems.provided.example.rules.ewmac_forecast_with_defaults"))))
NOTUSEDrawdata, data, NOTUSEDconfig = get_test_object()
rules = Rules(
dict(
function=
"systems.provided.example.rules.ewmac_forecast_with_defaults"))
system = System([rules], data)
ans = system.rules.get_raw_forecast("EDOLLAR", "rule0")
self.assertAlmostEqual(ans.tail(1).values[0], -3.280028, 5)
config = Config(
dict(trading_rules=dict(ewmac=dict(
function=
"systems.provided.example.rules.ewmac_forecast_with_defaults"))
))
rules = Rules()
system = System([rules], data, config)
ans = system.rules.get_raw_forecast("EDOLLAR", "ewmac")
self.assertAlmostEqual(ans.tail(1).values[0], -3.28002839, 5)
config = Config("systems.provided.example.exampleconfig.yaml")
rawdata = RawData()
rules = Rules()
system = System([rules, rawdata], data, config)
ans = system.rules.get_raw_forecast("EDOLLAR", "ewmac8")
self.assertAlmostEqual(ans.tail(1).values[0], -2.158634, 5)
def testRules(self):
# config=Config(dict(trading_rules=dict(ewmac=dict(function="systems.provided.example.rules.ewmac_forecast_with_defaults"))))
NOTUSEDrawdata, data, NOTUSEDconfig = get_test_object()
rules = Rules(
dict(
function=
"systems.provided.example.rules.ewmac_forecast_with_defaults"))
system = System([rules], data)
ans = system.rules.get_raw_forecast("EDOLLAR", "rule0")
self.assertAlmostEqual(ans.tail(1).values[0], -3.280028, 5)
config = Config(
dict(trading_rules=dict(ewmac=dict(
function=
"systems.provided.example.rules.ewmac_forecast_with_defaults"))
))
rules = Rules()
system = System([rules], data, config)
ans = system.rules.get_raw_forecast("EDOLLAR", "ewmac")
self.assertAlmostEqual(ans.tail(1).values[0], -3.28002839, 5)
config = Config("systems.provided.example.exampleconfig.yaml")
rawdata = RawData()
rules = Rules()
system = System([rules, rawdata], data, config)
ans = system.rules.get_raw_forecast("EDOLLAR", "ewmac8")
self.assertAlmostEqual(ans.tail(1).values[0], -2.158634, 5)
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):
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):
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 setUp(self):
(rawdata, data, config) = get_test_object()
system = System([rawdata], data)
self.system = system
