def testStrategyReturnsMarketPricesForIndicator(self):
self.strategy.market.close = "close"
self.assertEqual(self.strategy.get_indicator_prices(), "close")
self.strategy = Strategy("OO", "O")
self.strategy.market = Mock()
self.strategy.market.open = "open"
self.assertEqual(self.strategy.get_indicator_prices(), "open")
def testStrategyChecksFieldsMarket(self):
strategy = Strategy("OO", "C")
strategy.measure = Mock()
strategy.model = Mock()
strategy.select_positions = Mock()
self.assertRaisesRegex(StrategyException,
"""Missing parameters: market""", strategy.initialise)
class TestStrategyQueries(unittest.TestCase):
def setUp(self):
self.strategy = Strategy("OO", "C")
self.position_series = buildNumericDataFrame(["ASX", "BHP", "CBA"], 20)
self.positions = Position(self.position_series)
self.returns = buildNumericDataFrame(["ASX", "BHP", "CBA"], 20) / 10
self.strategy.measure = Mock()
self.strategy.positions = self.positions
self.strategy.market = Mock()
self.strategy.market.returns = Mock()
self.strategy.market.returns.return_value = Returns(self.returns)
def testStrategyReturnsMarketPricesForIndicator(self):
self.strategy.market.close = "close"
self.assertEqual(self.strategy.get_indicator_prices(), "close")
self.strategy = Strategy("OO", "O")
self.strategy.market = Mock()
self.strategy.market.open = "open"
self.assertEqual(self.strategy.get_indicator_prices(), "open")
def testStrategyReturns(self):
self.strategy.indexer.positions = Mock()
self.strategy.indexer.positions.return_value = self.positions
strat_returns = self.strategy.returns
expected_calls = [call(self.positions)]
self.strategy.indexer.positions.assert_has_calls(expected_calls)
self.assertIsInstance(strat_returns, Returns)
self.assertEqual(len(strat_returns), len(self.positions.data))
def expected_row(row):
strat_rets = self.returns * self.position_series
return log(strat_rets.iloc[row].sum() + 1)
self.assertEqual(strat_returns.log(collapse_fun = "sum")[10], expected_row(10))
def testStrategyChecksFieldsMarket(self):
strategy = Strategy("OO", "C")
strategy.measure = Mock()
strategy.model = Mock()
strategy.select_positions = Mock()
self.assertRaisesRegex(StrategyException,
"""Missing parameters: market""",
strategy.initialise)
def setUp(self):
self.strategy = Strategy("OO", "C")
self.position_series = buildNumericDataFrame(["ASX", "BHP", "CBA"], 20)
self.positions = Position(self.position_series)
self.returns = buildNumericDataFrame(["ASX", "BHP", "CBA"], 20) / 10
self.strategy.measure = Mock()
self.strategy.positions = self.positions
self.strategy.market = Mock()
self.strategy.market.returns = Mock()
self.strategy.market.returns.return_value = Returns(self.returns)
def testStrategyReturnsMarketPricesForIndicator(self):
self.strategy.market.close = "close"
self.assertEqual(self.strategy.get_indicator_prices(), "close")
self.strategy = Strategy("OO", "O")
self.strategy.market = Mock()
self.strategy.market.open = "open"
self.assertEqual(self.strategy.get_indicator_prices(), "open")
def setUp(self):
self.strategy = Strategy("OO", "C")
self.indicator = Mock()
self.forecasts = Mock()
self.positions = Mock()
self.strategy.market = Mock()
self.strategy.market.tickers = ["ASX", "BHP"]
self.strategy.measure = Mock(spec=Crossover)
self.strategy.measure.return_value = self.indicator
self.strategy.measure.execute = Mock()
self.strategy.model = Mock(spec=BlockForecaster)
self.strategy.model.return_value = self.forecasts
self.strategy.model.execute = Mock()
self.strategy.select_positions = Mock(spec=SingleLargestF)
self.strategy.select_positions.return_value = self.positions
self.strategy.select_positions.execute = Mock()
def setUp(self):
self.tickers = ['ASX', 'BHP', 'CBA']
self.forecast_data = buildNumericDataFrame(self.tickers, 10)
self.forecasts = Mock(spec=Forecast)
self.forecasts.optF.return_value = self.forecast_data
self.strategy = Strategy("OO", "C")
self.strategy.forecasts = self.forecasts
self.model = SingleLargestF()
self.model_results = self.model(self.strategy)
def setUp(self):
self.strategy = Strategy("OO", "C")
self.position_series = buildNumericDataFrame(["ASX", "BHP", "CBA"], 20)
self.positions = Position(self.position_series)
self.returns = buildNumericDataFrame(["ASX", "BHP", "CBA"], 20) / 10
self.strategy.measure = Mock()
self.strategy.positions = self.positions
self.strategy.market = Mock()
self.strategy.market.returns = Mock()
self.strategy.market.returns.return_value = Returns(self.returns)
def setUp(self):
self.tickers = ['ASX', 'BHP', 'CBA', 'MOC', 'QBE']
self.forecast_data = buildNumericDataFrame(self.tickers, 10)
self.forecasts = Mock(spec=Forecast)
self.forecasts.optF.return_value = self.forecast_data
self.strategy = Strategy("OO", "C")
self.strategy.forecasts = self.forecasts
self.num_positions = 3
self.select_positions = HighestRankedFs(self.num_positions)
self.positions = self.select_positions(self.strategy)
class TestStrategyQueries(unittest.TestCase):
def setUp(self):
self.strategy = Strategy("OO", "C")
self.position_series = buildNumericDataFrame(["ASX", "BHP", "CBA"], 20)
self.positions = Position(self.position_series)
self.returns = buildNumericDataFrame(["ASX", "BHP", "CBA"], 20) / 10
self.strategy.measure = Mock()
self.strategy.positions = self.positions
self.strategy.market = Mock()
self.strategy.market.returns = Mock()
self.strategy.market.returns.return_value = Returns(self.returns)
def testStrategyReturnsMarketPricesForIndicator(self):
self.strategy.market.close = "close"
self.assertEqual(self.strategy.get_indicator_prices(), "close")
self.strategy = Strategy("OO", "O")
self.strategy.market = Mock()
self.strategy.market.open = "open"
self.assertEqual(self.strategy.get_indicator_prices(), "open")
def testStrategyReturns(self):
self.strategy.indexer.positions = Mock()
self.strategy.indexer.positions.return_value = self.positions
strat_returns = self.strategy.returns
expected_calls = [call(self.positions)]
self.strategy.indexer.positions.assert_has_calls(expected_calls)
self.assertIsInstance(strat_returns, Returns)
self.assertEqual(len(strat_returns), len(self.positions.data))
def expected_row(row):
strat_rets = self.returns * self.position_series
return log(strat_rets.iloc[row].sum() + 1)
self.assertEqual(
strat_returns.log(collapse_fun="sum")[10], expected_row(10))
def setUp(self):
self.strategy = Strategy("OO", "C")
self.indicator = Mock()
self.forecasts = Mock()
self.positions = Mock()
self.strategy.market = Mock()
self.strategy.market.tickers = ["ASX", "BHP"]
self.strategy.measure = Mock(spec = Crossover)
self.strategy.measure.return_value = self.indicator
self.strategy.measure.execute = Mock()
self.strategy.model = Mock(spec = BlockForecaster)
self.strategy.model.return_value = self.forecasts
self.strategy.model.execute = Mock()
self.strategy.select_positions = Mock(spec = SingleLargestF)
self.strategy.select_positions.return_value = self.positions
self.strategy.select_positions.execute = Mock()
def run_various_trade_timings(market):
strategyCOO = Strategy("OO", "C")
strategyCOO.market = market
strategyCOO.measure = Crossover(20, 10)
strategyCOO.model = BlockForecaster(20)
strategyCOO.select_positions = SingleLargestF()
strategyCOO.initialise()
strategyCOO.market_returns.plot(collapse_fun = "mean", color = "black", label = "BandH")
strategyCOO.plot_returns(color = "blue", label = "COO")
strategyOCO = Strategy("CO", "O")
strategyOCO.market = market
strategyOCO.measure = Crossover(20, 10)
strategyOCO.model = BlockForecaster(20)
strategyOCO.select_positions = SingleLargestF()
strategyOCO.initialise()
strategyOCO.plot_returns(color = "red", label = "OCO")
strategyOCC = Strategy("CC", "O")
strategyOCC.market = market
strategyOCC.measure = Crossover(20, 10)
strategyOCC.model = BlockForecaster(20)
strategyOCC.select_positions = SingleLargestF()
strategyOCC.initialise()
strategyOCC.plot_returns(color = "orange", label = "OCC")
strategyCOC = Strategy("OC", "C")
strategyCOC.market = market
strategyCOC.measure = Crossover(20, 10)
strategyCOC.model = BlockForecaster(20)
strategyCOC.select_positions = SingleLargestF()
strategyCOC.initialise()
strategyCOC.plot_returns(color = "cyan", label = "COC")
plt.legend()
class TestStrategyInitialisation(unittest.TestCase):
def setUp(self):
self.strategy = Strategy("OO", "C")
self.indicator = Mock()
self.forecasts = Mock()
self.positions = Mock()
self.strategy.market = Mock()
self.strategy.market.tickers = ["ASX", "BHP"]
self.strategy.measure = Mock(spec=Crossover)
self.strategy.measure.return_value = self.indicator
self.strategy.measure.execute = Mock()
self.strategy.model = Mock(spec=BlockForecaster)
self.strategy.model.return_value = self.forecasts
self.strategy.model.execute = Mock()
self.strategy.select_positions = Mock(spec=SingleLargestF)
self.strategy.select_positions.return_value = self.positions
self.strategy.select_positions.execute = Mock()
def testStrategyChecksMissingFieldsOnInitialisation(self):
self.strategy.check_fields = Mock()
self.strategy.initialise()
self.strategy.check_fields.assert_called_once_with()
def testStrategyInitialisationProcedure(self):
self.strategy.initialise()
self.strategy.measure.assert_called_once_with(self.strategy)
self.assertIs(self.strategy.indicator, self.indicator)
self.strategy.model.assert_called_once_with(self.strategy)
self.assertIs(self.strategy.forecasts, self.forecasts)
self.strategy.select_positions.assert_called_once_with(self.strategy)
self.assertIs(self.strategy.positions, self.positions)
def testStrategyMeasureDoesNotCallIndexer(self):
self.strategy.indexer.indicator = Mock()
self.strategy.initialise()
self.assertTrue(self.strategy.indexer.indicator.called == False)
def testStrategyCallsIndexerForIndicator(self):
indicator_series = buildTextDataFrame(["ASX", "BHP"], 10)
indicator = Indicator(indicator_series)
self.strategy.indexer.indicator = Mock()
self.strategy.indexer.indicator.return_value = indicator
self.strategy.indicator = indicator
result = self.strategy.lagged_indicator
self.assertIsInstance(result, Indicator)
expected_calls = [call(indicator)]
self.strategy.indexer.indicator.assert_has_calls(expected_calls)
def testStrategyCallsIndexerForPositions(self):
position_series = buildNumericDataFrame(["ASX", "BHP"], 10)
positions = Position(position_series)
self.strategy.indexer.positions = Mock()
self.strategy.indexer.positions.return_value = positions
self.strategy.positions = positions
result = self.strategy.lagged_positions
self.assertIsInstance(result, Position)
expected_calls = [call(positions)]
self.strategy.indexer.positions.assert_has_calls(expected_calls)
def testStrategyCallsMarketForReturns(self):
self.strategy.market.returns = Mock()
self.strategy.market_returns
expected_calls = [call(self.strategy.indexer)]
self.strategy.market.returns.assert_has_calls(expected_calls)
def testStrategyDoesNotRedoMeasure(self):
self.strategy.indicator = self.indicator
self.strategy.initialise()
self.assertFalse(self.strategy.measure.execute.called)
def testStrategyDoesNotRedoModel(self):
self.strategy.forecasts = self.forecasts
self.strategy.initialise()
self.assertFalse(self.strategy.model.execute.called)
def testStrategyDoesNotRedoPositions(self):
self.strategy.positions = self.positions
self.strategy.initialise()
self.assertFalse(self.strategy.select_positions.execute.called)
def testStrategyChecksFieldsAllEmpty(self):
strategy = Strategy("OO", "C")
self.assertRaisesRegex(
StrategyException,
"""Missing parameters: market, measure, model, select_positions""",
strategy.initialise)
def setUp(self):
self.trade_timing = "OO"
self.ind_timing = "C"
self.strategy = Strategy(self.trade_timing, self.ind_timing)
self.dummy_timeSeries = buildNumericDataFrame(["ASX", "BHP", "CBA"],
10)
class TestStrategyInitialisation(unittest.TestCase):
def setUp(self):
self.strategy = Strategy("OO", "C")
self.indicator = Mock()
self.forecasts = Mock()
self.positions = Mock()
self.strategy.market = Mock()
self.strategy.market.tickers = ["ASX", "BHP"]
self.strategy.measure = Mock(spec = Crossover)
self.strategy.measure.return_value = self.indicator
self.strategy.measure.execute = Mock()
self.strategy.model = Mock(spec = BlockForecaster)
self.strategy.model.return_value = self.forecasts
self.strategy.model.execute = Mock()
self.strategy.select_positions = Mock(spec = SingleLargestF)
self.strategy.select_positions.return_value = self.positions
self.strategy.select_positions.execute = Mock()
def testStrategyChecksMissingFieldsOnInitialisation(self):
self.strategy.check_fields = Mock()
self.strategy.initialise()
self.strategy.check_fields.assert_called_once_with()
def testStrategyInitialisationProcedure(self):
self.strategy.initialise()
self.strategy.measure.assert_called_once_with(self.strategy)
self.assertIs(self.strategy.indicator, self.indicator)
self.strategy.model.assert_called_once_with(self.strategy)
self.assertIs(self.strategy.forecasts, self.forecasts)
self.strategy.select_positions.assert_called_once_with(self.strategy)
self.assertIs(self.strategy.positions, self.positions)
def testStrategyMeasureDoesNotCallIndexer(self):
self.strategy.indexer.indicator = Mock()
self.strategy.initialise()
self.assertTrue(self.strategy.indexer.indicator.called == False)
def testStrategyCallsIndexerForIndicator(self):
indicator_series = buildTextDataFrame(["ASX", "BHP"], 10)
indicator = Indicator(indicator_series)
self.strategy.indexer.indicator = Mock()
self.strategy.indexer.indicator.return_value = indicator
self.strategy.indicator = indicator
result = self.strategy.lagged_indicator
self.assertIsInstance(result, Indicator)
expected_calls = [call(indicator)]
self.strategy.indexer.indicator.assert_has_calls(expected_calls)
def testStrategyCallsIndexerForPositions(self):
position_series = buildNumericDataFrame(["ASX", "BHP"], 10)
positions = Position(position_series)
self.strategy.indexer.positions = Mock()
self.strategy.indexer.positions.return_value = positions
self.strategy.positions = positions
result = self.strategy.lagged_positions
self.assertIsInstance(result, Position)
expected_calls = [call(positions)]
self.strategy.indexer.positions.assert_has_calls(expected_calls)
def testStrategyCallsMarketForReturns(self):
self.strategy.market.returns = Mock()
self.strategy.market_returns
expected_calls = [call(self.strategy.indexer)]
self.strategy.market.returns.assert_has_calls(expected_calls)
def testStrategyDoesNotRedoMeasure(self):
self.strategy.indicator = self.indicator
self.strategy.initialise()
self.assertFalse(self.strategy.measure.execute.called)
def testStrategyDoesNotRedoModel(self):
self.strategy.forecasts = self.forecasts
self.strategy.initialise()
self.assertFalse(self.strategy.model.execute.called)
def testStrategyDoesNotRedoPositions(self):
self.strategy.positions = self.positions
self.strategy.initialise()
self.assertFalse(self.strategy.select_positions.execute.called)