def test_position(self):
crit = criteria.Above('ONE', 5)
value = crit.apply(pd.DataFrame())
self.assertEqual(value, False)
value = crit.apply(self.data.head(2))
self.assertEqual(value, False)
value = crit.apply(self.data.head(3))
self.assertEqual(value, True)
crit = criteria.Above('TWO', 4, 3)
value = crit.apply(self.data.head(3))
self.assertEqual(value, True)
crit = criteria.Below('TWO', 6, 2)
value = crit.apply(pd.DataFrame())
self.assertFalse(value)
value = crit.apply(self.data)
self.assertEqual(value, True)
crit = criteria.Below('ONE', 5)
value = crit.apply(self.data.head(1))
self.assertEqual(value, True)
value = crit.apply(self.data.head(2))
self.assertEqual(value, False)
value = crit.apply(self.data.head(3))
self.assertEqual(value, False)
crit = criteria.Above('ONE', 'TWO')
value = crit.apply(self.data.head(1))
self.assertEqual(value, False)
value = crit.apply(self.data.head(2))
self.assertEqual(value, True)
crit = criteria.Below('ONE', 'TWO')
value = crit.apply(self.data.head(1))
self.assertEqual(value, True)
value = crit.apply(self.data.head(2))
self.assertEqual(value, False)
crit = criteria.Equals('ONE', 10)
value = crit.apply(pd.DataFrame())
self.assertEqual(value, False)
value = crit.apply(self.data.head(2))
self.assertEqual(value, False)
crit = criteria.Equal('ONE', 10)
value = crit.apply(self.data.head(2))
self.assertEqual(value, False)
value = crit.apply(self.data.head(3))
self.assertEqual(value, True)
value = crit.apply(self.data.head(4))
self.assertEqual(value, False)
crit = criteria.Above('ONE', 10, 1)
value = crit.apply(self.data.head(4))
self.assertEqual(value, True)
crit = criteria.Equals('ONE', 12, 3)
self.assertEqual(value, True)
crit = criteria.Equals('ONE', 'ONE_CLONE', 2)
value = crit.apply(self.data)
self.assertEqual(value, True)
def test_upcoming_action(self):
enter_crit = criteria.Above(self.symbol.close, 25.88)
exit_crit = criteria.Equals(self.symbol.close, 25.00)
enter_crit_group = criteria_group.CriteriaGroup([enter_crit], Short(),
self.symbol)
exit_crit_group = criteria_group.CriteriaGroup([exit_crit],
ShortExit(),
self.symbol)
tp = trading_profile.TradingProfile(10000,
trading_amount.StaticAmount(5000),
trading_fee.StaticFee(0))
strat = strategy.Strategy(self.d, [enter_crit_group, exit_crit_group],
tp)
strat.simulate()
next_action = strat.get_next_action()[self.symbol]
self.assertTrue(self.symbol in strat.upcoming_actions)
self.assertEqual(strat.upcoming_actions[self.symbol], SHORT_EXIT)
self.assertEqual(next_action['estimated_money_required'],
5000.8699999999999)
self.assertEqual(next_action['estimated_enter_value'],
25.129999999999999)
self.assertEqual(next_action['action_name'], 'SHORT_EXIT')
self.assertEqual(next_action['estimated_shares'], 199.0)
self.assertEqual(next_action['action'], SHORT_EXIT)
self.assertEqual(next_action['enter_on'], 'OPEN')
def test_simple_ti_crit_strategy(self):
sma2 = technical_indicator.SMA(self.symbol.close, 2)
sma3 = technical_indicator.SMA(self.symbol.close, 3)
self.d.add_technical_indicator(sma2)
self.d.add_technical_indicator(sma3)
enter_crit1 = criteria.Above(sma2, sma3)
enter_crit2 = criteria.Below(sma3, sma2)
enter_crit3 = criteria.InRange(sma2, 25, 26)
enter_crit4 = criteria.CrossingAbove(sma2, sma3)
enter_crit5 = criteria.CrossingBelow(sma2, sma3)
exit_crit1 = criteria.BarsSinceLong(self.symbol, 2)
exit_crit2 = criteria.Equals(sma2, sma3)
enter_crit_group1 = criteria_group.CriteriaGroup(
[enter_crit1, enter_crit2], Long(), self.symbol)
enter_crit_group2 = criteria_group.CriteriaGroup(
[enter_crit1, enter_crit2], Short(), self.symbol)
enter_crit_group3 = criteria_group.CriteriaGroup(
[enter_crit3, enter_crit4, enter_crit5], Long(), self.symbol)
exit_crit_group1 = criteria_group.CriteriaGroup([exit_crit1],
LongExit(),
self.symbol)
exit_crit_group2 = criteria_group.CriteriaGroup([exit_crit2],
LongExit(),
self.symbol)
tp = trading_profile.TradingProfile(10000,
trading_amount.StaticAmount(5000),
trading_fee.StaticFee(0))
strat = strategy.Strategy(self.d, [
enter_crit_group1, enter_crit_group2, enter_crit_group3,
exit_crit_group1, exit_crit_group2
], tp)
strat.simulate()
overview = strat.report.overview()
self.assertEqual(overview['trades'], 0)
dc = data_connection.YahooConnection()
sl = symbol_list.SymbolList(['GOOGL'])
symbol = sl.get('GOOGL')
start = datetime.datetime(2010, 01, 01)
end = datetime.datetime(2015, 01, 01)
d = dataset.Dataset(sl, dc, start, end)
d.load_data()
sma100 = technical_indicator.SMA(symbol.close, 100)
d.add_technical_indicator(sma100)
high7 = technical_indicator.Max(symbol.close, 7)
d.add_technical_indicator(high7)
low7 = technical_indicator.Min(symbol.close, 7)
d.add_technical_indicator(low7)
# Enter Long
enter_crit_long1 = criteria.Above(symbol.close, sma100.value)
enter_crit_long2 = criteria.Equals(symbol.close, low7.value)
enter_crit_short1 = criteria.Below(symbol.close, sma100.value)
enter_crit_short2 = criteria.Equals(symbol.close, high7.value)
# Exit Long
exit_crit_long1 = criteria.StopLoss(symbol, 5)
exit_crit_long2 = criteria.TakeProfit(symbol, 10)
exit_crit_short1 = criteria.StopLoss(symbol, 5)
exit_crit_short2 = criteria.TakeProfit(symbol, 10)
# Criteria Groups
enter_crit_group1 = criteria_group.CriteriaGroup(
[enter_crit_long1, enter_crit_long2], Long(), symbol)
enter_crit_group2 = criteria_group.CriteriaGroup(
[enter_crit_short1, enter_crit_short2], Short(), symbol)
exit_crit_group1 = criteria_group.CriteriaGroup([exit_crit_long1], LongExit(),
symbol)
exit_crit_group2 = criteria_group.CriteriaGroup([exit_crit_long2], LongExit(),