def setUp(self): setup_logger(self) sim_params = factory.create_simulation_parameters( start=datetime(1990, 1, 1, tzinfo=pytz.utc), end=datetime(1990, 3, 30, tzinfo=pytz.utc)) self.source, self.panel = \ factory.create_test_panel_ohlc_source(sim_params)
def test_talib_with_default_params(self): BLACKLIST = [ 'make_transform', 'BatchTransform', # TODO: Figure out why MAVP generates a KeyError 'MAVP' ] names = [ name for name in dir(ta) if name[0].isupper() and name not in BLACKLIST ] for name in names: print(name) zipline_transform = getattr(ta, name)(sid=0) talib_fn = getattr(talib.abstract, name) start = datetime(1990, 1, 1, tzinfo=pytz.utc) end = start + timedelta(days=zipline_transform.lookback + 10) sim_params = factory.create_simulation_parameters(start=start, end=end) source, panel = \ factory.create_test_panel_ohlc_source(sim_params, self.env) algo = TALIBAlgorithm(talib=zipline_transform) algo.run(source) zipline_result = np.array( algo.talib_results[zipline_transform][-1]) talib_data = dict() data = zipline_transform.window # TODO: Figure out if we are clobbering the tests by this # protection against empty windows if not data: continue for key in ['open', 'high', 'low', 'volume']: if key in data: talib_data[key] = data[key][0].values talib_data['close'] = data['price'][0].values expected_result = talib_fn(talib_data) if isinstance(expected_result, list): expected_result = np.array([e[-1] for e in expected_result]) else: expected_result = np.array(expected_result[-1]) if not (np.all(np.isnan(zipline_result)) and np.all(np.isnan(expected_result))): self.assertTrue(np.allclose(zipline_result, expected_result)) else: print('--- NAN')
def test_talib_with_default_params(self): BLACKLIST = ['make_transform', 'BatchTransform', # TODO: Figure out why MAVP generates a KeyError 'MAVP'] names = [n for n in dir(ta) if n[0].isupper() and n not in BLACKLIST] for name in names: print name zipline_transform = getattr(ta, name)(sid=0) talib_fn = getattr(talib.abstract, name) start = datetime(1990, 1, 1, tzinfo=pytz.utc) end = start + timedelta(days=zipline_transform.lookback + 10) sim_params = factory.create_simulation_parameters( start=start, end=end) source, panel = \ factory.create_test_panel_ohlc_source(sim_params) algo = TALIBAlgorithm(talib=zipline_transform) algo.run(source) zipline_result = np.array( algo.talib_results[zipline_transform][-1]) talib_data = dict() data = zipline_transform.window # TODO: Figure out if we are clobbering the tests by this # protection against empty windows if not data: continue for key in ['open', 'high', 'low', 'volume']: if key in data: talib_data[key] = data[key][0].values talib_data['close'] = data['price'][0].values expected_result = talib_fn(talib_data) if isinstance(expected_result, list): expected_result = np.array([e[-1] for e in expected_result]) else: expected_result = np.array(expected_result[-1]) if not (np.all(np.isnan(zipline_result)) and np.all(np.isnan(expected_result))): self.assertTrue(np.allclose(zipline_result, expected_result)) else: print '--- NAN'