def __init__(self, window, dependency='ret'):
super(MovingAverageDrawdown, self).__init__(window, dependency)
self._returnSize = 2
self._drawdownCalculator = MovingDrawDown(window, dependency='ret')
self._drawdownMean = MovingAverage(window, dependency='drawdown')
self._durationMean = MovingAverage(window, dependency='duration')
def __init__(self, window, dependency=('ret', 'riskFree')):
super(MovingSharp, self).__init__(window, dependency)
self._mean = MovingAverage(window, dependency='x')
self._var = MovingVariance(window, dependency='x', isPopulation=False)
def testRPlusOperator(self):
ma5 = MovingAverage(5, 'close')
ma20 = MovingAverage(20, 'close')
plusRes = 5.0 + MovingAverage(20, 'close')
concated = 2.0 + (ma5 ^ ma20)
concated2 = ma5 + ma20
concated3 = (ma5 ^ ma20) + ma5
for i, close in enumerate(self.sampleClose):
data = {'close': close}
ma5.push(data)
ma20.push(data)
plusRes.push(data)
concated.push(data)
concated2.push(data)
concated3.push(data)
expected = 5.0 + ma20.result()
calculated = plusRes.result()
self.assertAlmostEqual(
calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
expected = (ma5.result() + 2.0, ma20.result() + 2.0)
calculated = concated.result()
self.assertAlmostEqual(
calculated[0], expected[0], 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected[0], calculated[0]))
self.assertAlmostEqual(
calculated[1], expected[1], 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected[1], calculated[1]))
expected = ma5.result() + ma20.result()
calculated = concated2.result()
self.assertAlmostEqual(
calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
expected = (ma5.result() + ma5.result(),
ma5.result() + ma20.result())
calculated = concated3.result()
self.assertAlmostEqual(
calculated[0], expected[0], 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected[0], calculated[0]))
self.assertAlmostEqual(
calculated[1], expected[1], 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected[1], calculated[1]))
def __init__(self, window, dependency=('ret', 'riskFree')):
super(MovingSortino, self).__init__(window, dependency)
self._mean = MovingAverage(window, dependency='x')
self._negativeVar = MovingNegativeVariance(window, dependency='x')
def testListedAndCompoundedOperator(self):
maClose = MovingAverage(20, 'close')
maOpen = MovingAverage(10, 'open')
maRf = MovingAverage(10, 'rf')
listHolder = MovingAverage(20, 'close') ^ MovingAverage(
10, 'open') ^ MovingAverage(10, 'rf')
mc = MovingAlphaBeta(20, listHolder)
maCloseContainer = deque(maxlen=20)
maOpenContainer = deque(maxlen=20)
for i, (open, close, rf) in enumerate(
zip(self.sampleOpen, self.sampleClose, self.sampleRf)):
data = {'close': close, 'open': open, 'rf': rf}
maClose.push(data)
maOpen.push(data)
maRf.push(data)
mc.push(data)
maCloseContainer.append(maClose.result() - maRf.result())
maOpenContainer.append(maOpen.result() - maRf.result())
if i >= 2:
expected = linregress(maOpenContainer, maCloseContainer)
calculated = mc.result()
# check alpha
self.assertAlmostEqual(
expected[1], calculated[0], 10, "at index {0:d}\n"
"expected alpha: {1:f}\n"
"calculated alpha: {2:f}".format(i, expected[1],
calculated[0]))
# check beta
self.assertAlmostEqual(
expected[0], calculated[1], 10, "at index {0:d}\n"
"expected beta: {1:f}\n"
"calculated beta: {2:f}".format(i, expected[0],
calculated[1]))
def testExpFunction(self):
ma5 = MovingAverage(5, 'close')
holder = Exp(MovingAverage(5, 'close'))
holder2 = MovingAverage(5, 'close') >> Exp
for i, close in enumerate(self.sampleClose):
data = {'close': close}
ma5.push(data)
holder.push(data)
holder2.push(data)
expected = math.exp(ma5.result())
calculated = holder.result()
self.assertAlmostEqual(
calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
calculated = holder2.result()
self.assertAlmostEqual(
calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
def testCompoundedOperator(self):
ma5 = MovingAverage(5, 'x')
maxer = Max('close')
max5ma = Max('close') >> MovingAverage(5)
max5ma2 = MovingAverage(5, Max('close'))
average = Average('close')
sumM = Sum('close')
mvTest = Correlation(dependency=('x', 'y'))
mvCorr = (Average('close')
^ Sum('close')) >> Correlation(dependency=('x', 'y'))
for i, close in enumerate(self.sampleClose):
data = {'close': close, 'open': open}
maxer.push(data)
data2 = {'x': maxer.result()}
ma5.push(data2)
max5ma.push(data)
max5ma2.push(data)
average.push(data)
sumM.push(data)
data3 = {'x': average.result(), 'y': sumM.result()}
mvTest.push(data3)
mvCorr.push(data)
expected = ma5.result()
calculated = max5ma.result()
self.assertAlmostEqual(
calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
calculated = max5ma2.result()
self.assertAlmostEqual(
calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
if i >= 1:
expected = mvTest.result()
calculated = mvCorr.result()
self.assertAlmostEqual(
calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
with self.assertRaises(ValueError):
_ = Max('close') >> math.sqrt
with self.assertRaises(ValueError):
_ = (Max('close') ^ Minimum('close')) >> MovingCorrelation(
20, dependency=('x', 'y', 'z'))
(Max('close') ^ Minimum('close')) >> MovingCorrelation(
20, dependency=('x', 'y'))
def testListedOperator(self):
ma20 = MovingAverage(20, 'close')
maxer = Max('open')
minimumer = Minimum('close')
listHolder = MovingAverage(20,
'close') ^ Max('open') ^ Minimum('close')
listHolder2 = 2.0 ^ MovingAverage(20, 'close')
listHolder3 = MovingAverage(20, 'close') ^ 2.0
for i, (open,
close) in enumerate(zip(self.sampleOpen, self.sampleClose)):
data = {'close': close, 'open': open}
ma20.push(data)
maxer.push(data)
minimumer.push(data)
listHolder.push(data)
listHolder2.push(data)
listHolder3.push(data)
expected = (ma20.result(), maxer.result(), minimumer.result())
calculated = listHolder.result()
for ev, cv in zip(expected, calculated):
self.assertAlmostEqual(
ev, cv, 12, "at index {0:d}\n"
"expected: {1}\n"
"calculated: {2}".format(i, expected, calculated))
expected = (2.0, ma20.result())
calculated = listHolder2.result()
for ev, cv in zip(expected, calculated):
self.assertAlmostEqual(
ev, cv, 12, "at index {0:d}\n"
"expected: {1}\n"
"calculated: {2}".format(i, expected, calculated))
expected = (ma20.result(), 2.0)
calculated = listHolder3.result()
for ev, cv in zip(expected, calculated):
self.assertAlmostEqual(
ev, cv, 12, "at index {0:d}\n"
"expected: {1}\n"
"calculated: {2}".format(i, expected, calculated))
def testMultipleOperators(self):
ma20 = MovingAverage(20, 'close')
ma120 = MovingAverage(120, 'close')
mmax = MovingMax(50, 'open')
res = (MovingAverage(20, 'close') -
MovingAverage(120, 'close')) / MovingMax(50, 'open')
for i, (open,
close) in enumerate(zip(self.sampleOpen, self.sampleClose)):
data = {'close': close, 'open': open}
ma20.push(data)
ma120.push(data)
mmax.push(data)
res.push(data)
expected = (ma20.result() - ma120.result()) / mmax.result()
calculated = res.result()
self.assertAlmostEqual(
calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
def testSubOperator(self):
ma5 = MovingAverage(5, 'close')
sumTotal = Sum('open')
subRes = MovingAverage(5, 'close') - Sum('open')
concated = (MovingAverage(5, 'close') ^ Sum('open')) - Sum('open')
for i, (open,
close) in enumerate(zip(self.sampleOpen, self.sampleClose)):
data = {'close': close, 'open': open}
ma5.push(data)
sumTotal.push(data)
subRes.push(data)
concated.push(data)
expected = ma5.result() - sumTotal.result()
calculated = subRes.result()
self.assertAlmostEqual(
calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
expected = (ma5.result() - sumTotal.result(), 0.0)
calculated = concated.result()
self.assertAlmostEqual(
calculated[0], expected[0], 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected[0], calculated[0]))
self.assertAlmostEqual(
calculated[1], expected[1], 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected[1], calculated[1]))
def testCompoundedOperator(self):
ma5 = MovingAverage(5, 'x')
maxer = Max('close')
max5ma = Max('close') >> MovingAverage(5, 'max')
max5ma2 = MovingAverage(5, Max('close'))
for i, close in enumerate(self.sampleClose):
data = {'close': close, 'open': 1.}
maxer.push(data)
data2 = {'x': maxer.result()}
ma5.push(data2)
max5ma.push(data)
max5ma2.push(data)
expected = ma5.result()
calculated = max5ma.result()
self.assertAlmostEqual(
calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
calculated = max5ma2.result()
self.assertAlmostEqual(
calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
with self.assertRaises(ValueError):
_ = Max('close') >> math.sqrt
