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347 lines
8.7 KiB
347 lines
8.7 KiB
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import pytest |
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import datetime |
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import io |
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from naiback.data.feeds.genericcsvfeed import GenericCSVFeed |
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from naiback.strategy.strategy import Strategy |
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@pytest.fixture |
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def feed(): |
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data = '''<TICKER>,<PER>,<DATE>,<TIME>,<OPEN>,<HIGH>,<LOW>,<CLOSE>,<VOL> |
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MICEX,D,20100111,000000,1411.3700000,1456.7600000,1411.3700000,1444.7800000,51634239250 |
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MICEX,D,20100112,000000,1444.7800000,1445.6400000,1424.8700000,1427.6700000,38343314792 |
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MICEX,D,20100113,000000,1417.8000000,1444.7700000,1412.9300000,1435.0100000,42183285247 |
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MICEX,D,20100114,000000,1439.5500000,1456.2700000,1439.5500000,1455.6500000,44372479120 |
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''' |
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f = GenericCSVFeed(io.StringIO(data)) |
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return f |
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class BuyAndSell(Strategy): |
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def __init__(self, buy_bar, sell_bar, ticker='MICEX'): |
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super().__init__() |
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self.buy_bar = buy_bar |
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self.sell_bar = sell_bar |
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self.ticker = ticker |
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def execute(self): |
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pos = self.buy_at_open(self.buy_bar, self.ticker) |
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self.exit_at_close(self.sell_bar, pos) |
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class BuyAndSellLimit(Strategy): |
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def __init__(self, buy_bar, buy_price, sell_bar, sell_price, ticker='MICEX'): |
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super().__init__() |
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self.buy_bar = buy_bar |
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self.buy_price = buy_price |
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self.sell_bar = sell_bar |
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self.sell_price = sell_price |
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self.ticker = ticker |
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def execute(self): |
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pos = self.buy_at_limit(self.buy_bar, self.buy_price, self.ticker) |
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self.exit_at_limit(self.sell_bar, self.sell_price, pos) |
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class BuyOpenAndSellStop(Strategy): |
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def __init__(self, buy_bar, sell_bar, sell_price, ticker='MICEX'): |
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super().__init__() |
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self.buy_bar = buy_bar |
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self.sell_bar = sell_bar |
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self.sell_price = sell_price |
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self.ticker = ticker |
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def execute(self): |
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pos = self.buy_at_open(self.buy_bar, self.ticker) |
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self.exit_at_stop(self.sell_bar, self.sell_price, pos) |
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class ShortAndCover(Strategy): |
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def __init__(self, short_bar, cover_bar, ticker='MICEX'): |
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super().__init__() |
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self.short_bar = short_bar |
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self.cover_bar = cover_bar |
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self.ticker = ticker |
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def execute(self): |
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pos = self.short_at_open(self.short_bar, self.ticker) |
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self.exit_at_close(self.cover_bar, pos) |
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class ShortAndCoverLimit(Strategy): |
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def __init__(self, short_bar, short_price, cover_bar, cover_price, ticker='MICEX'): |
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super().__init__() |
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self.short_bar = short_bar |
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self.short_price = short_price |
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self.cover_bar = cover_bar |
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self.cover_price = cover_price |
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self.ticker = ticker |
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def execute(self): |
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pos = self.short_at_limit(self.short_bar, self.short_price, self.ticker) |
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self.exit_at_limit(self.cover_bar, self.cover_price, pos) |
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class ShortOpenAndCoverStop(Strategy): |
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def __init__(self, short_bar, cover_bar, cover_price, ticker='MICEX'): |
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super().__init__() |
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self.short_bar = short_bar |
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self.cover_bar = cover_bar |
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self.cover_price = cover_price |
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self.ticker = ticker |
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def execute(self): |
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pos = self.short_at_open(self.short_bar, self.ticker) |
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self.exit_at_stop(self.cover_bar, self.cover_price, pos) |
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def test_buy_and_sell_1(feed): |
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s = BuyAndSell(0, 0) |
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s.add_feed(feed) |
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initial_cash = s.broker.cash() |
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s.run() |
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ending_cash = s.broker.cash() |
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assert(ending_cash == (initial_cash + 1444.78 - 1411.37)) |
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def test_buy_and_sell_2(feed): |
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s = BuyAndSell(0, 1) |
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s.add_feed(feed) |
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initial_cash = s.broker.cash() |
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s.run() |
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ending_cash = s.broker.cash() |
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assert(ending_cash == (initial_cash + 1427.67 - 1411.37)) |
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def test_buy_and_sell_3(feed): |
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s = BuyAndSell(1, 2) |
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s.add_feed(feed) |
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initial_cash = s.broker.cash() |
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s.run() |
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ending_cash = s.broker.cash() |
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assert(ending_cash == (initial_cash + 1435.01 - 1444.78)) |
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def test_buy_and_sell_1_index(feed): |
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s = BuyAndSell(0, 0, 0) |
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s.add_feed(feed) |
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initial_cash = s.broker.cash() |
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s.run() |
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ending_cash = s.broker.cash() |
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assert(ending_cash == (initial_cash + 1444.78 - 1411.37)) |
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def test_buy_and_sell_limit_1(feed): |
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s = BuyAndSellLimit(0, 1412, 1, 1445) |
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s.add_feed(feed) |
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initial_cash = s.broker.cash() |
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s.run() |
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ending_cash = s.broker.cash() |
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assert(ending_cash == (initial_cash + 1445 - 1411.37)) |
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assert(not s.last_position_is_active()) |
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def test_buy_and_sell_limit_2(feed): |
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s = BuyAndSellLimit(1, 1430, 2, 1440) |
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s.add_feed(feed) |
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initial_cash = s.broker.cash() |
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s.run() |
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ending_cash = s.broker.cash() |
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assert(ending_cash == (initial_cash + 1440 - 1430)) |
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assert(not s.last_position_is_active()) |
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def test_buy_and_sell_limit_3(feed): |
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s = BuyAndSellLimit(1, 1450, 2, 1410) |
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s.add_feed(feed) |
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initial_cash = s.broker.cash() |
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s.run() |
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ending_cash = s.broker.cash() |
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assert(ending_cash == (initial_cash + 1417.80 - 1444.78)) |
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assert(not s.last_position_is_active()) |
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def test_buy_and_sell_limit_1_index(feed): |
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s = BuyAndSellLimit(0, 1412, 1, 1445, 0) |
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s.add_feed(feed) |
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initial_cash = s.broker.cash() |
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s.run() |
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ending_cash = s.broker.cash() |
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assert(ending_cash == (initial_cash + 1445 - 1411.37)) |
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assert(not s.last_position_is_active()) |
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def test_buy_and_sell_stop_1(feed): |
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s = BuyOpenAndSellStop(0, 1, 1430) |
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s.add_feed(feed) |
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initial_cash = s.broker.cash() |
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s.run() |
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ending_cash = s.broker.cash() |
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assert(ending_cash == (initial_cash + 1430 - 1411.37)) |
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assert(not s.last_position_is_active()) |
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def test_buy_and_sell_stop_2(feed): |
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s = BuyOpenAndSellStop(0, 1, 1450) |
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s.add_feed(feed) |
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initial_cash = s.broker.cash() |
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s.run() |
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ending_cash = s.broker.cash() |
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assert(ending_cash == (initial_cash + 1444.78 - 1411.37)) |
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assert(not s.last_position_is_active()) |
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def test_buy_and_sell_stop_1_index(feed): |
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s = BuyOpenAndSellStop(0, 1, 1430, 0) |
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s.add_feed(feed) |
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initial_cash = s.broker.cash() |
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s.run() |
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ending_cash = s.broker.cash() |
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assert(ending_cash == (initial_cash + 1430 - 1411.37)) |
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assert(not s.last_position_is_active()) |
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def test_short_and_cover_1(feed): |
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s = ShortAndCover(0, 0) |
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s.add_feed(feed) |
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initial_cash = s.broker.cash() |
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s.run() |
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ending_cash = s.broker.cash() |
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assert(ending_cash == (initial_cash + 1411.37 - 1444.78)) |
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def test_short_and_cover_2(feed): |
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s = ShortAndCover(0, 1) |
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s.add_feed(feed) |
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initial_cash = s.broker.cash() |
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s.run() |
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ending_cash = s.broker.cash() |
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assert(ending_cash == (initial_cash + 1411.37 - 1427.67)) |
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def test_short_and_cover_1_index(feed): |
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s = ShortAndCover(0, 0, 0) |
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s.add_feed(feed) |
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initial_cash = s.broker.cash() |
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s.run() |
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ending_cash = s.broker.cash() |
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assert(ending_cash == (initial_cash + 1411.37 - 1444.78)) |
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def test_short_and_cover_limit_1(feed): |
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s = ShortAndCoverLimit(0, 1450, 1, 1430) |
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s.add_feed(feed) |
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initial_cash = s.broker.cash() |
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s.run() |
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ending_cash = s.broker.cash() |
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assert(ending_cash == (initial_cash + 1450 - 1430)) |
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assert(not s.last_position_is_active()) |
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def test_short_and_cover_limit_2(feed): |
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s = ShortAndCoverLimit(0, 1410, 1, 1430) |
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s.add_feed(feed) |
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initial_cash = s.broker.cash() |
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s.run() |
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ending_cash = s.broker.cash() |
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assert(ending_cash == (initial_cash + 1411.37 - 1430)) |
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assert(not s.last_position_is_active()) |
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def test_short_and_cover_limit_3(feed): |
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s = ShortAndCoverLimit(0, 1430, 1, 1450) |
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s.add_feed(feed) |
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initial_cash = s.broker.cash() |
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s.run() |
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ending_cash = s.broker.cash() |
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assert(ending_cash == (initial_cash + 1430 - 1444.78)) |
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assert(not s.last_position_is_active()) |
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def test_short_and_cover_limit_1_index(feed): |
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s = ShortAndCoverLimit(0, 1450, 1, 1430, 0) |
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s.add_feed(feed) |
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initial_cash = s.broker.cash() |
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s.run() |
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ending_cash = s.broker.cash() |
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assert(ending_cash == (initial_cash + 1450 - 1430)) |
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assert(not s.last_position_is_active()) |
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def test_short_and_cover_stop_1(feed): |
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s = ShortOpenAndCoverStop(0, 1, 1445) |
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s.add_feed(feed) |
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initial_cash = s.broker.cash() |
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s.run() |
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ending_cash = s.broker.cash() |
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assert(ending_cash == (initial_cash + 1411.37 - 1445)) |
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assert(not s.last_position_is_active()) |
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def test_short_and_cover_stop_2(feed): |
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s = ShortOpenAndCoverStop(0, 1, 1440) |
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s.add_feed(feed) |
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initial_cash = s.broker.cash() |
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s.run() |
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ending_cash = s.broker.cash() |
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assert(ending_cash == (initial_cash + 1411.37 - 1444.78)) |
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assert(not s.last_position_is_active()) |
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def test_short_and_cover_stop_1_index(feed): |
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s = ShortOpenAndCoverStop(0, 1, 1445) |
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s.add_feed(feed) |
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initial_cash = s.broker.cash() |
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s.run() |
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ending_cash = s.broker.cash() |
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assert(ending_cash == (initial_cash + 1411.37 - 1445)) |
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assert(not s.last_position_is_active()) |
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