本文整理汇总了Python中bt.core.StrategyBase.rebalance方法的典型用法代码示例。如果您正苦于以下问题：Python StrategyBase.rebalance方法的具体用法？Python StrategyBase.rebalance怎么用？Python StrategyBase.rebalance使用的例子？那么恭喜您, 这里精选的方法代码示例或许可以为您提供帮助。您也可以进一步了解该方法所在类bt.core.StrategyBase的用法示例。
在下文中一共展示了StrategyBase.rebalance方法的4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_rebalance
# 需要导入模块: from bt.core import StrategyBase [as 别名]
# 或者: from bt.core.StrategyBase import rebalance [as 别名]
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2: test_rebalance_child_not_in_tree
# 需要导入模块: from bt.core import StrategyBase [as 别名]
# 或者: from bt.core.StrategyBase import rebalance [as 别名]
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3: test_strategybase_tree_rebalance_base
# 需要导入模块: from bt.core import StrategyBase [as 别名]
# 或者: from bt.core.StrategyBase import rebalance [as 别名]
def test_strategybase_tree_rebalance_base():
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
# check that 2 rebalances of equal weight lead to two different allocs
# since value changes after first call
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
s.rebalance(0.5, 'c2')
assert c2.position == 4
assert c2.value == 400
assert s.capital == 1000 - 501 - 401
assert s.value == 998
assert c2.weight == 400.0 / 998
assert c1.weight == 500.0 / 998
# close out everything
s.flatten()
# adjust to get back to 1000
s.adjust(4)
assert s.value == 1000
assert s.capital == 1000
assert c1.value == 0
assert c2.value == 0
# now rebalance but set fixed base
base = s.value
s.rebalance(0.5, 'c1', base=base)
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
s.rebalance(0.5, 'c2', base=base)
assert c2.position == 5
assert c2.value == 500
assert s.capital == 1000 - 501 - 501
assert s.value == 998
assert c2.weight == 500.0 / 998
assert c1.weight == 500.0 / 998示例4: test_strategybase_tree_rebalance_level2
# 需要导入模块: from bt.core import StrategyBase [as 别名]
# 或者: from bt.core.StrategyBase import rebalance [as 别名]
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