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51 lines
1.5 KiB
Python
51 lines
1.5 KiB
Python
import pandas as pd
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import numpy as np
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from src.environments.portfolio import PortfolioEnv
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def test_portfolio_env():
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df = pd.read_hdf('./data/poliniex_30m.hf', key='train')
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asset_names = df.columns.levels[0]
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np.random.seed(0)
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env = PortfolioEnv(df=df)
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obs = env.reset()
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for _ in range(20):
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w = np.random.random((len(asset_names)))
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w /= w.sum()
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obs, reward, done, info = env.step(w)
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assert not done
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df_info = pd.DataFrame(info)
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final_value = df_info.portfolio_value.iloc[-1]
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assert final_value > 0.75, 'should retain most value with 20 random steps'
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def test_portfolio_env_hold():
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df = pd.read_hdf('./data/poliniex_30m.hf', key='train')
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asset_names = df.columns.levels[0]
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np.random.seed(0)
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env = PortfolioEnv(df=df)
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env.reset()
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for _ in range(5):
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w = np.array([1.0] + [0] * (len(asset_names) - 1))
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obs, reward, done, info = env.step(w)
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df = pd.DataFrame(info)
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assert df.portfolio_value.iloc[-1] > 0.9999, 'portfolio should retain value if holding bitcoin'
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def test_return_not_scaled():
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df = pd.read_hdf('./data/poliniex_30m.hf', key='train')
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np.random.seed(0)
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env1 = PortfolioEnv(df=df, scale=True)
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np.random.seed(0)
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env0 = PortfolioEnv(df=df, scale=False)
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a = env0.src._data.xs('return', axis=1, level='Price').tail(5)
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b = env1.src._data.xs('return', axis=1, level='Price').tail(5)
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assert (a == b).all().all(), 'returns should not be scaled'
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