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test_algo_with_indicators.py
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"""
Test file for classes and functions:
- analysis_engine.algo.BaseAlgo
- analysis_engine.indicators.indicator_processor
- analysis_engine.indicators.build_indicator_node
- analysis_engine.indicators.base_indicator
- analysis_engine.indicators.load_indicator_from_module
- analysis_engine.build_algo_request
- analysis_engine.build_buy_order
- analysis_engine.build_sell_order
- analysis_engine.build_trade_history_entry
"""
import pandas as pd
import json
import mock
import analysis_engine.utils as ae_utils
import analysis_engine.consts as ae_consts
import analysis_engine.algo as base_algo
import analysis_engine.mocks.mock_talib as mock_talib
import analysis_engine.mocks.base_test as base_test
def mock_write_to_file(
output_file,
data):
print(
'mock - mock_write_to_file('
f'output_file={output_file}, data={len(data)})')
return True
# end of mock_write_to_file
def mock_write_to_file_failed(
output_file,
data):
print(
'mock - fail - mock_write_to_file('
f'output_file={output_file}, data={len(data)})')
return False
# end of mock_write_to_file_failed
class TestAlgoWithIndicators(base_test.BaseTestCase):
"""TestAlgoWithIndicators"""
ticker = None
last_close_str = None
def setUp(
self):
"""setUp"""
self.ticker = 'SPY'
self.timeseries = 'day'
self.trade_strategy = 'count'
self.daily_dataset = json.loads(
open('tests/datasets/spy-daily.json', 'r').read())
self.daily_df = pd.DataFrame(self.daily_dataset)
self.daily_df['date'] = pd.to_datetime(
self.daily_df['date'])
self.start_date_str = self.daily_df['date'].iloc[0].strftime(
ae_consts.COMMON_TICK_DATE_FORMAT)
self.end_date_str = self.daily_df['date'].iloc[-1].strftime(
ae_consts.COMMON_TICK_DATE_FORMAT)
self.minute_df = pd.DataFrame([])
self.options_df = pd.DataFrame([])
self.use_date = '2018-11-05'
self.dataset_id = f'{self.ticker}_{self.use_date}'
self.datasets = [
'daily'
]
self.data = {}
self.data[self.ticker] = [
{
'id': self.dataset_id,
'date': self.use_date,
'data': {
'daily': self.daily_df,
'minute': self.minute_df,
'options': self.options_df
}
}
]
self.balance = 10000.00
self.last_close_str = ae_utils.get_last_close_str(
fmt=ae_consts.COMMON_DATE_FORMAT)
self.output_dir = (
'/opt/sa/tests/datasets/algo')
self.willr_close_path = (
'analysis_engine/mocks/example_indicator_williamsr.py')
self.willr_open_path = (
'analysis_engine/mocks/example_indicator_williamsr_open.py')
self.algo_config_dict = {
'name': 'test_5_days_ahead',
'algo_module_path': None,
'algo_version': 1,
'timeseries': self.timeseries,
'trade_strategy': self.trade_strategy,
'trade_horizon': 5,
'num_owned': 10,
'buy_shares': 10,
'balance': 100000,
'ticker': 'SPY',
'verbose': True,
'verbose_processor': True,
'positions': {
'SPY': {
'shares': 10,
'buys': [],
'sells': []
}
},
'buy_rules': {
'confidence': 75,
'min_indicators': 3
},
'sell_rules': {
'confidence': 75,
'min_indicators': 3
},
'indicators': [
{
'name': 'willr_-70_-30',
'module_path': self.willr_close_path,
'category': 'technical',
'type': 'momentum',
'uses_data': 'daily',
'high': 0,
'low': 0,
'close': 0,
'open': 0,
'willr_value': 0,
'num_points': 10,
'buy_below': -70,
'sell_above': -30,
'is_buy': False,
'is_sell': False,
'verbose': True
},
{
'name': 'willr_-80_-20',
'module_path': self.willr_close_path,
'category': 'technical',
'type': 'momentum',
'uses_data': 'daily',
'high': 0,
'low': 0,
'close': 0,
'open': 0,
'willr_value': 0,
'num_points': 10,
'buy_below': -80,
'sell_above': -20,
'is_buy': False,
'is_sell': False
},
{
'name': 'willr_-90_-10',
'module_path': self.willr_close_path,
'category': 'technical',
'type': 'momentum',
'uses_data': 'daily',
'high': 0,
'low': 0,
'close': 0,
'open': 0,
'willr_value': 0,
'num_points': 10,
'buy_below': -90,
'sell_above': -10,
'is_buy': False,
'is_sell': False
},
{
'name': 'willr_open_-80_-20',
'module_path': self.willr_open_path,
'category': 'technical',
'type': 'momentum',
'uses_data': 'daily',
'high': 0,
'low': 0,
'close': 0,
'open': 0,
'willr_open_value': 0,
'num_points': 15,
'buy_below': -80,
'sell_above': -20,
'is_buy': False,
'is_sell': False
}
],
'slack': {
'webhook': None
}
}
# end of setUp
@mock.patch(
('analysis_engine.ae_talib.WILLR'),
new=mock_talib.MockWILLRBuy)
@mock.patch(
('analysis_engine.write_to_file.write_to_file'),
new=mock_write_to_file)
def test_run_daily_indicator_with_algo_config_buy(self):
"""test_run_daily_indicator_with_algo_config_buy"""
algo = base_algo.BaseAlgo(
ticker=self.ticker,
balance=self.balance,
start_date_str=self.start_date_str,
end_date_str=self.end_date_str,
config_dict=self.algo_config_dict)
self.assertEqual(
algo.name,
self.algo_config_dict['name'])
self.assertEqual(
algo.tickers,
[self.ticker])
algo.handle_data(
data=self.data)
res = algo.get_result()
print(ae_consts.ppj(res))
self.assertEqual(
res['history'][0]['total_sells'],
0)
self.assertEqual(
res['history'][0]['total_buys'],
1)
# end of test_run_daily_indicator_with_algo_config_buy
@mock.patch(
('analysis_engine.ae_talib.WILLR'),
new=mock_talib.MockWILLRSell)
@mock.patch(
('analysis_engine.write_to_file.write_to_file'),
new=mock_write_to_file)
def test_run_daily_indicator_with_algo_config_sell(self):
"""test_run_daily_indicator_with_algo_config_sell"""
algo = base_algo.BaseAlgo(
ticker=self.ticker,
balance=self.balance,
start_date_str=self.start_date_str,
end_date_str=self.end_date_str,
config_dict=self.algo_config_dict)
self.assertEqual(
algo.name,
self.algo_config_dict['name'])
self.assertEqual(
algo.tickers,
[self.ticker])
algo.handle_data(
data=self.data)
res = algo.get_result()
print(ae_consts.ppj(res))
self.assertEqual(
res['history'][0]['total_sells'],
1)
self.assertEqual(
res['history'][0]['total_buys'],
0)
# end of test_run_daily_indicator_with_algo_config_sell
@mock.patch(
('analysis_engine.ae_talib.WILLR'),
new=mock_talib.MockWILLRIgnore)
@mock.patch(
('analysis_engine.write_to_file.write_to_file'),
new=mock_write_to_file)
def test_run_daily_indicator_with_algo_config_ignore(self):
"""test_run_daily_indicator_with_algo_config_ignore"""
algo = base_algo.BaseAlgo(
ticker=self.ticker,
balance=self.balance,
start_date_str=self.start_date_str,
end_date_str=self.end_date_str,
config_dict=self.algo_config_dict)
self.assertEqual(
algo.name,
self.algo_config_dict['name'])
self.assertEqual(
algo.tickers,
[self.ticker])
algo.handle_data(
data=self.data)
res = algo.get_result()
print(ae_consts.ppj(res))
self.assertTrue(
res['history'][0]['total_sells'] == 0)
self.assertTrue(
res['history'][0]['total_buys'] == 0)
# end of test_run_daily_indicator_with_algo_config_ignore
"""
Integration Tests
Please ensure redis and minio are running and run this:
::
export INT_TESTS=1
"""
@mock.patch(
('analysis_engine.write_to_file.write_to_file'),
new=mock_write_to_file)
def test_integration_daily_indicator_with_algo_config(self):
"""test_integration_daily_indicator_with_algo_config"""
if ae_consts.ev('INT_TESTS', '0') == '0':
return
algo = base_algo.BaseAlgo(
ticker=self.ticker,
balance=self.balance,
start_date_str=self.start_date_str,
end_date_str=self.end_date_str,
config_dict=self.algo_config_dict)
self.assertEqual(
algo.name,
self.algo_config_dict['name'])
self.assertEqual(
algo.tickers,
[self.ticker])
algo.handle_data(
data=self.data)
res = algo.get_result()
print(ae_consts.ppj(res))
self.assertTrue(
res['history'][0]['total_sells'] >= 1)
self.assertTrue(
res['history'][0]['total_buys'] == 0)
# end of test_integration_daily_indicator_with_algo_config
# end of TestAlgoWithIndicators