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Added only cash test

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This commit is contained in:
Juan Pablo Amoroso
2020-03-18 17:48:40 -03:00
parent 045e15e078
commit bb0a294c86
1 changed files with 34 additions and 11 deletions
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backtester/test/backtester/test_backtester.py
+34 -11
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@@ -6,8 +6,10 @@ from backtester import Backtest
def test_backtest(sample_stock_portfolio, sample_stocks_datahandler, sample_options_datahandler):
bt = run_backtest(sample_stock_portfolio, sample_stocks_datahandler, sample_options_datahandler,
sample_options_strategy(Direction.BUY, sample_options_datahandler.schema))
bt = run_backtest(sample_stocks_datahandler,
sample_options_datahandler,
sample_options_strategy(Direction.BUY, sample_options_datahandler.schema),
stocks=sample_stock_portfolio)
tl_long, balance_long = bt.trade_log, bt.balance
last_day_balance_long = balance_long.iloc[-1].values
@@ -31,8 +33,10 @@ def test_backtest(sample_stock_portfolio, sample_stocks_datahandler, sample_opti
assert (np.isclose(total_costs, [195015.0, -197060.0, 189290.0, -185650.0], atol=tol)).all()
assert (dates == ['2017-01-03', '2017-02-01', '2017-03-01', '2017-04-03']).all()
bt = run_backtest(sample_stock_portfolio, sample_stocks_datahandler, sample_options_datahandler,
sample_options_strategy(Direction.SELL, sample_options_datahandler.schema))
bt = run_backtest(sample_stocks_datahandler,
sample_options_datahandler,
sample_options_strategy(Direction.SELL, sample_options_datahandler.schema),
stocks=sample_stock_portfolio)
tl_short, balance_short = bt.trade_log, bt.balance
last_day_balance_short = balance_short.iloc[-1].values
@@ -58,29 +62,47 @@ def test_backtest(sample_stock_portfolio, sample_stocks_datahandler, sample_opti
# to find the actual return for the Ivy porfolio.
def test_backtest_only_stocks(ivy_portfolio, ivy_portfolio_datahandler, sample_options_datahandler):
def test_only_stocks(ivy_portfolio, ivy_portfolio_datahandler, sample_options_datahandler):
allocation = {'stocks': 1.0, 'options': 0.0, 'cash': 0.0}
bt = run_backtest(ivy_portfolio,
ivy_portfolio_datahandler,
bt = run_backtest(ivy_portfolio_datahandler,
sample_options_datahandler,
sample_options_strategy(Direction.BUY, sample_options_datahandler.schema),
stocks=ivy_portfolio,
allocation=allocation)
print(bt.balance.columns)
balance = bt.balance[1:]
tolerance = 0.0001
assert np.allclose(balance['total capital'], balance['cash'] + balance['stocks capital'], rtol=tolerance)
assert np.allclose(balance['total capital'], bt.initial_capital * balance['accumulated return'], rtol=tolerance)
assert np.allclose(balance['options capital'], 0, rtol=tolerance)
actual_return = 1.025
return_tolerance = 0.01
assert np.isclose(balance['accumulated return'].iloc[-1], actual_return, rtol=return_tolerance)
def run_backtest(stocks,
stock_data,
def test_only_cash(sample_stock_portfolio, sample_stocks_datahandler, sample_options_datahandler):
allocation = {'stocks': 0.0, 'options': 0.0, 'cash': 1.0}
bt = run_backtest(sample_stocks_datahandler,
sample_options_datahandler,
sample_options_strategy(Direction.BUY, sample_options_datahandler.schema),
stocks=sample_stock_portfolio,
allocation=allocation)
balance = bt.balance[1:]
tolerance = 0.0001
assert np.allclose(balance['total capital'], balance['cash'], rtol=tolerance)
assert np.allclose(balance['total capital'], bt.initial_capital * balance['accumulated return'], rtol=tolerance)
assert np.allclose(balance['stocks capital'], 0, rtol=tolerance)
assert np.allclose(balance['options capital'], 0, rtol=tolerance)
assert np.allclose(balance['% change'], 0, rtol=tolerance)
assert np.allclose(balance['accumulated return'], 1.0, rtol=tolerance)
def run_backtest(stock_data,
options_data,
strategy,
stocks=None,
allocation={
'stocks': 0.50,
'options': 0.50,
@@ -88,7 +110,8 @@ def run_backtest(stocks,
},
**kwargs):
bt = Backtest(allocation, **kwargs)
bt.stocks = stocks
if stocks:
bt.stocks = stocks
bt.options_strategy = strategy
bt.options_data = options_data
bt.stocks_data = stock_data