本文整理汇总了Python中bt.core.StrategyBase类的典型用法代码示例。如果您正苦于以下问题：Python StrategyBase类的具体用法？Python StrategyBase怎么用？Python StrategyBase使用的例子？那么恭喜您, 这里精选的类代码示例或许可以为您提供帮助。
在下文中一共展示了StrategyBase类的15个代码示例，这些例子默认根据受欢迎程度排序。您可以为喜欢或者感觉有用的代码点赞，您的评价将有助于系统推荐出更棒的Python代码示例。
示例1: test_strategybase_tree_setup
def test_strategybase_tree_setup():
c1 = SecurityBase('c1')
c2 = SecurityBase('c2')
s = StrategyBase('p', [c1, c2])
c1 = s['c1']
c2 = s['c2']
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame(index=dts, columns=['c1', 'c2'], data=100)
data['c1'][dts[1]] = 105
data['c2'][dts[1]] = 95
s.setup(data)
assert len(s.data) == 3
assert len(c1.data) == 3
assert len(c2.data) == 3
assert len(s.prices) == 0
assert len(c1.prices) == 0
assert len(c2.prices) == 0
assert len(s.values) == 0
assert len(c1.values) == 0
assert len(c2.values) == 0示例2: test_strategybase_tree_rebalance
def test_strategybase_tree_rebalance():
c1 = SecurityBase('c1')
c2 = SecurityBase('c2')
s = StrategyBase('p', [c1, c2])
c1 = s['c1']
c2 = s['c2']
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame(index=dts, columns=['c1', 'c2'], data=100)
data['c1'][dts[1]] = 105
data['c2'][dts[1]] = 95
s.setup(data)
i = 0
s.update(dts[i], data.ix[dts[i]])
s.adjust(1000)
assert s.value == 1000
assert s.capital == 1000
assert c1.value == 0
assert c2.value == 0
# now rebalance c1
s.rebalance(0.5, 'c1')
assert c1.position == 5
assert c1.value == 500
assert s.capital == 1000 - 501
assert s.value == 999
assert c1.weight == 500.0 / 999
assert c2.weight == 0示例3: test_strategybase_tree_update
def test_strategybase_tree_update():
c1 = SecurityBase('c1')
c2 = SecurityBase('c2')
s = StrategyBase('p', [c1, c2])
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame(index=dts, columns=['c1', 'c2'], data=100)
data['c1'][dts[1]] = 105
data['c2'][dts[1]] = 95
s.setup(data)
i = 0
s.update(dts[i], data.ix[dts[i]])
c1.price == 100
c2.price == 100
i = 1
s.update(dts[i], data.ix[dts[i]])
c1.price == 105
c2.price == 95
i = 2
s.update(dts[i], data.ix[dts[i]])
c1.price == 100
c2.price == 100示例4: test_strategybase_tree_allocate
def test_strategybase_tree_allocate():
c1 = SecurityBase('c1')
c2 = SecurityBase('c2')
s = StrategyBase('p', [c1, c2])
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame(index=dts, columns=['c1', 'c2'], data=100)
data['c1'][dts[1]] = 105
data['c2'][dts[1]] = 95
s.setup(data)
i = 0
s.update(dts[i], data.ix[dts[i]])
s.adjust(1000)
# since children have w == 0 this should stay in s
s.allocate(1000)
assert s.value == 1000
assert s.capital == 1000
assert c1.value == 0
assert c2.value == 0
# now allocate directly to child
c1.allocate(500)
assert c1.position == 5
assert c1.value == 500
assert s.capital == 1000 - 501
assert s.value == 999
assert c1.weight == 500.0 / 999
assert c2.weight == 0示例5: test_security_setup_prices
def test_security_setup_prices():
c1 = SecurityBase('c1')
c2 = SecurityBase('c2')
s = StrategyBase('p', [c1, c2])
c1 = s['c1']
c2 = s['c2']
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame(index=dts, columns=['c1', 'c2'], data=100)
data['c1'][dts[0]] = 105
data['c2'][dts[0]] = 95
s.setup(data)
i = 0
s.update(dts[i], data.ix[dts[i]])
assert c1.price == 105
assert len(c1.prices) == 1
assert c1.prices[0] == 105
assert c2.price == 95
assert len(c2.prices) == 1
assert c2.prices[0] == 95
# now with setup
c1 = SecurityBase('c1')
c2 = SecurityBase('c2')
s = StrategyBase('p', [c1, c2])
c1 = s['c1']
c2 = s['c2']
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame(index=dts, columns=['c1', 'c2'], data=100)
data['c1'][dts[0]] = 105
data['c2'][dts[0]] = 95
s.setup(data)
i = 0
s.update(dts[i], data.ix[dts[i]])
assert c1.price == 105
assert len(c1.prices) == 1
assert c1.prices[0] == 105
assert c2.price == 95
assert len(c2.prices) == 1
assert c2.prices[0] == 95示例6: test_strategybase_tree_adjust
def test_strategybase_tree_adjust():
c1 = SecurityBase('c1')
c2 = SecurityBase('c2')
s = StrategyBase('p', [c1, c2])
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame(index=dts, columns=['c1', 'c2'], data=100)
data['c1'][dts[1]] = 105
data['c2'][dts[1]] = 95
s.setup(data)
s.adjust(1000)
assert s.capital == 1000
assert s.value == 1000
assert c1.value == 0
assert c2.value == 0
assert c1.weight == 0
assert c2.weight == 0示例7: test_strategybase_universe
def test_strategybase_universe():
s = StrategyBase('s')
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame(index=dts, columns=['c1', 'c2'], data=100)
data['c1'][dts[0]] = 105
data['c2'][dts[0]] = 95
s.setup(data)
i = 0
s.update(dts[i])
assert len(s.universe) == 1
assert 'c1' in s.universe
assert 'c2' in s.universe
assert s.universe['c1'][dts[i]] == 105
assert s.universe['c2'][dts[i]] == 95
# should not have children unless allocated
assert len(s.children) == 0示例8: test_strategybase_tree_allocate_update
def test_strategybase_tree_allocate_update():
c1 = SecurityBase('c1')
c2 = SecurityBase('c2')
s = StrategyBase('p', [c1, c2])
c1 = s['c1']
c2 = s['c2']
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame(index=dts, columns=['c1', 'c2'], data=100)
data['c1'][dts[1]] = 105
data['c2'][dts[1]] = 95
s.setup(data)
i = 0
s.update(dts[i], data.ix[dts[i]])
assert s.price == 100
s.adjust(1000)
assert s.price == 100
assert s.value == 1000
assert s._value == 1000
c1.allocate(500)
assert c1.position == 5
assert c1.value == 500
assert c1.weight == 500.0 / 999
assert s.capital == 1000 - 501
assert s.value == 999
assert s.price == 99.9
i = 1
s.update(dts[i], data.ix[dts[i]])
assert c1.position == 5
assert c1.value == 525
assert c1.weight == 525.0 / 1024
assert s.capital == 1000 - 501
assert s.value == 1024
assert s.price == 102.4示例9: test_rebalance_child_not_in_tree
def test_rebalance_child_not_in_tree():
s = StrategyBase('p')
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame(index=dts, columns=['c1', 'c2'], data=100)
data['c1'][dts[1]] = 105
data['c2'][dts[1]] = 95
s.setup(data)
i = 0
s.update(dts[i])
s.adjust(1000)
# rebalance to 0 w/ child that is not present - should ignore
s.rebalance(0, 'c2')
assert s.value == 1000
assert s.capital == 1000
assert len(s.children) == 0示例10: test_strategybase_allocate
def test_strategybase_allocate():
s = StrategyBase('s')
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame(index=dts, columns=['c1', 'c2'], data=100)
data['c1'][dts[0]] = 100
data['c2'][dts[0]] = 95
s.setup(data)
i = 0
s.update(dts[i])
s.adjust(1000)
s.allocate(100, 'c1')
c1 = s['c1']
assert c1.position == 1
assert c1.value == 100
assert s.value == 999示例11: test_strategybase_tree_allocate_long_short
def test_strategybase_tree_allocate_long_short():
c1 = SecurityBase('c1')
c2 = SecurityBase('c2')
s = StrategyBase('p', [c1, c2])
c1 = s['c1']
c2 = s['c2']
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame(index=dts, columns=['c1', 'c2'], data=100)
data['c1'][dts[1]] = 105
data['c2'][dts[1]] = 95
s.setup(data)
i = 0
s.update(dts[i], data.ix[dts[i]])
s.adjust(1000)
c1.allocate(500)
assert c1.position == 5
assert c1.value == 500
assert c1.weight == 500.0 / 999
assert s.capital == 1000 - 501
assert s.value == 999
c1.allocate(-200)
assert c1.position == 3
assert c1.value == 300
assert c1.weight == 300.0 / 998
assert s.capital == 1000 - 501 + 199
assert s.value == 998
c1.allocate(-400)
assert c1.position == -1
assert c1.value == -100
assert c1.weight == -100.0 / 997
assert s.capital == 1000 - 501 + 199 + 399
assert s.value == 997
# close up
c1.allocate(-c1.value)
assert c1.position == 0
assert c1.value == 0
assert c1.weight == 0
assert s.capital == 1000 - 501 + 199 + 399 - 101
assert s.value == 996示例12: test_fail_if_root_value_negative
def test_fail_if_root_value_negative():
s = StrategyBase('s')
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame(index=dts, columns=['c1', 'c2'], data=100)
data['c1'][dts[0]] = 100
data['c2'][dts[0]] = 95
s.setup(data)
try:
s.adjust(-100)
# trigger update
s.update(dts[0])
assert False
except ValueError, e:
if not 'negative root node value' in str(e):
assert False示例13: test_strategybase_tree_rebalance_level2
def test_strategybase_tree_rebalance_level2():
c1 = SecurityBase('c1')
c12 = copy.deepcopy(c1)
c2 = SecurityBase('c2')
c22 = copy.deepcopy(c2)
s1 = StrategyBase('s1', [c1, c2])
s2 = StrategyBase('s2', [c12, c22])
m = StrategyBase('m', [s1, s2])
s1 = m['s1']
s2 = m['s2']
c1 = s1['c1']
c2 = s1['c2']
c12 = s2['c1']
c22 = s2['c2']
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame(index=dts, columns=['c1', 'c2'], data=100)
data['c1'][dts[1]] = 105
data['c2'][dts[1]] = 95
m.setup(data)
i = 0
m.update(dts[i], data.ix[dts[i]])
m.adjust(1000)
assert m.value == 1000
assert m.capital == 1000
assert s1.value == 0
assert s2.value == 0
assert c1.value == 0
assert c2.value == 0
# now rebalance child s1 - since its children are 0, no waterfall alloc
m.rebalance(0.5, 's1')
assert s1.value == 500
assert m.capital == 1000 - 500
assert m.value == 1000
assert s1.weight == 500.0 / 1000
assert s2.weight == 0
# now allocate directly to child of child
s1.rebalance(0.4, 'c1')
assert s1.value == 499
assert s1.capital == 500 - 201
assert c1.value == 200
assert c1.weight == 200.0 / 499
assert c1.position == 2
assert m.capital == 1000 - 500
assert m.value == 999
assert s1.weight == 499.0 / 999
assert s2.weight == 0
assert c12.value == 0
# now rebalance child s1 again and make sure c1 also gets proportional
# increase
m.rebalance(0.8, 's1')
assert s1.value == 798.2
aae(m.capital, 199.8, 1)
assert m.value == 998
assert s1.weight == 798.2 / 998
assert s2.weight == 0
assert c1.value == 300.0
assert c1.weight == 300.0 / 798.2
assert c1.position == 3
# now rebalance child s1 to 0 - should close out s1 and c1 as well
m.rebalance(0, 's1')
assert s1.value == 0
assert m.capital == 997
assert m.value == 997
assert s1.weight == 0
assert s2.weight == 0
assert c1.weight == 0示例14: test_outlays
def test_outlays():
c1 = SecurityBase('c1')
c2 = SecurityBase('c2')
s = StrategyBase('p', [c1, c2])
c1 = s['c1']
c2 = s['c2']
dts = pd.date_range('2010-01-01', periods=3)
data = pd.DataFrame(index=dts, columns=['c1', 'c2'], data=100)
data['c1'][dts[0]] = 105
data['c2'][dts[0]] = 95
s.setup(data)
i = 0
s.update(dts[i], data.ix[dts[i]])
# allocate 1000 to strategy
s.adjust(1000)
# now let's see what happens when we allocate 500 to each child
c1.allocate(500)
c2.allocate(500)
# out update
s.update(dts[i])
assert c1.data['outlay'][dts[0]] == (4 * 105)
assert c2.data['outlay'][dts[0]] == (5 * 95)
i = 1
s.update(dts[i], data.ix[dts[i]])
c1.allocate(-400)
c2.allocate(100)
# out update
s.update(dts[i])
print c1.data['outlay']
assert c1.data['outlay'][dts[1]] == (-4 * 100)
assert c2.data['outlay'][dts[1]] == 100示例15: test_strategybase_prices
def test_strategybase_prices():
dts = pd.date_range('2010-01-01', periods=21)
rawd = [13.555, 13.75, 14.16, 13.915, 13.655,
13.765, 14.02, 13.465, 13.32, 14.65,
14.59, 14.175, 13.865, 13.865, 13.89,
13.85, 13.565, 13.47, 13.225, 13.385,
12.89]
data = pd.DataFrame(index=dts, data=rawd, columns=['a'])
s = StrategyBase('s')
s.setup(data)
# buy 100 shares on day 1 - hold until end
# just enough to buy 100 shares + 1$ commission
s.adjust(1356.50)
s.update(dts[0])
# allocate all capital to child a
# a should be dynamically created and should have
# 100 shares allocated. s.capital should be 0
s.allocate(s.value, 'a')
assert s.capital == 0
assert s.value == 1355.50
assert len(s.children) == 1
aae(s.price, 99.92628, 5)
a = s['a']
assert a.position == 100
assert a.value == 1355.50
assert a.weight == 1
assert a.price == 13.555
assert len(a.prices) == 1
# update through all dates and make sure price is ok
s.update(dts[1])
aae(s.price, 101.3638, 4)
s.update(dts[2])
aae(s.price, 104.3863, 4)
s.update(dts[3])
aae(s.price, 102.5802, 4)
# finish updates and make sure ok at end
for i in range(4, 21):
s.update(dts[i])
assert len(s.prices) == 21
aae(s.prices[-1], 95.02396, 5)
aae(s.prices[-2], 98.67306, 5)