Re-added unit tests for Moving Avg Cross and Buy-and-Hold strategies.…

… Eliminated 'stochastic ticker' bug in backtest by forcing the Yahoo price handler to always order ticker DataFrame deterministically.

data/AMZN.csv

@@ -0,0 +1,11 @@
+Ticker,Time,Bid,Ask
+AMZN,01.02.2016 00:00:01.562,502.10001,502.11999
+AMZN,01.02.2016 00:00:02.909,502.10003,502.11997
+AMZN,01.02.2016 00:00:04.396,502.10007,502.11993
+AMZN,01.02.2016 00:00:05.970,502.10008,502.11992
+AMZN,01.02.2016 00:00:07.402,502.10009,502.11991
+AMZN,01.02.2016 00:00:08.948,502.10012,502.11988
+AMZN,01.02.2016 00:00:10.316,502.10013,502.11987
+AMZN,01.02.2016 00:00:11.829,502.10015,502.11985
+AMZN,01.02.2016 00:00:13.212,502.10016,502.11984
+AMZN,01.02.2016 00:00:14.616,502.10015,502.11985

data/GOOG.csv

@@ -0,0 +1,11 @@
+Ticker,Time,Bid,Ask
+GOOG,01.02.2016 00:00:01.358,683.56000,683.58000
+GOOG,01.02.2016 00:00:02.544,683.55998,683.58002
+GOOG,01.02.2016 00:00:03.765,683.55999,683.58001
+GOOG,01.02.2016 00:00:05.215,683.56001,683.57999
+GOOG,01.02.2016 00:00:06.509,683.56002,683.57998
+GOOG,01.02.2016 00:00:07.964,683.55999,683.58001
+GOOG,01.02.2016 00:00:09.369,683.56000,683.58000
+GOOG,01.02.2016 00:00:10.823,683.56001,683.57999
+GOOG,01.02.2016 00:00:12.221,683.56000,683.58000
+GOOG,01.02.2016 00:00:13.546,683.56000,683.58000

data/MSFT.csv

@@ -0,0 +1,11 @@
+Ticker,Time,Bid,Ask
+MSFT,01.02.2016 00:00:01.578,50.14999,50.17001
+MSFT,01.02.2016 00:00:02.988,50.15002,50.16998
+MSFT,01.02.2016 00:00:04.360,50.15003,50.16997
+MSFT,01.02.2016 00:00:05.752,50.15004,50.16996
+MSFT,01.02.2016 00:00:07.148,50.15005,50.16995
+MSFT,01.02.2016 00:00:08.416,50.15003,50.16997
+MSFT,01.02.2016 00:00:09.904,50.15000,50.17000
+MSFT,01.02.2016 00:00:11.309,50.15001,50.16999
+MSFT,01.02.2016 00:00:12.655,50.15003,50.16997
+MSFT,01.02.2016 00:00:14.153,50.15005,50.16995

examples/buy_and_hold_backtest.py

@@ -40,7 +40,7 @@ def calculate_signals(self, event):
 
 def run(config, testing, tickers, filename):
     # Backtest information
-    title = ['Buy and Hold Example on SPY']
+    title = ['Buy and Hold Example on %s' % tickers[0]]
     initial_equity = 10000.0
     start_date = datetime.datetime(2000, 1, 1)
     end_date = datetime.datetime(2014, 1, 1)
@@ -56,7 +56,7 @@ def run(config, testing, tickers, filename):
         events_queue, title=title
     )
     results = backtest.simulate_trading(testing=testing)
-    return
+    return results
 
 
 if __name__ == "__main__":

examples/test_examples.py

@@ -7,11 +7,9 @@
 
 """
 import os
-import math
 import unittest
 
 from qstrader import settings
-from qstrader.statistics import load
 import examples.buy_and_hold_backtest
 import examples.moving_average_cross_backtest
 
@@ -30,72 +28,38 @@ def setUp(self):
     def test_buy_and_hold_backtest(self):
         """
         Test buy_and_hold
-        Bar 0, at 2000-01-01 00:00:00
-        Bar ????, at 2014-01-01 00:00:00
+        Begins at 2000-01-01 00:00:00
+        End at 2014-01-01 00:00:00
         """
         tickers = ["SPY"]
         filename = os.path.join(
-            settings.TEST.OUTPUT_DIR, 
+            settings.TEST.OUTPUT_DIR,
             "buy_and_hold_backtest.pkl"
         )
         results = examples.buy_and_hold_backtest.run(
             self.config, self.testing, tickers, filename
         )
         for (key, expected) in [
-            ('sharpe', 0.5968),
-            ('max_drawdown_pct', 5.0308),
-            ('max_drawdown', 30174.01)
+            ('sharpe', 0.25234757),
+            ('max_drawdown_pct', 0.79589309),
         ]:
             value = float(results[key])
             self.assertAlmostEqual(expected, value)
-        for (key, expected) in [
-            ('equity_returns', 
-                {
-                    'min': -1.6027, 'max': 1.2553, 
-                    'first': 0.0000, 'last': -0.0580
-                }
-            ),
-            ('drawdowns', 
-                {
-                    'min': 0.0, 'max': 30174.01, 
-                    'first': 0.0, 'last': 4537.02
-                }
-            ),
-            ('equity', 
-                {
-                    'min': 488958.0, 'max': 599782.01, 
-                    'first': 500000.0, 'last': 595244.99
-                }
-            )
-        ]:
-            values = results[key]
-            self.assertAlmostEqual(
-                float(min(values)), expected['min']
-            )
-            self.assertAlmostEqual(
-                float(max(values)), expected['max']
-            )
-            self.assertAlmostEqual(
-                float(values.iloc[0]), expected['first']
-            )
-            # self.assertAlmostEqual(
-            #    float(values.iloc[-1]), 
-            #    expected['last']
-            # ) # TODO FAILING BY 1 CENT
-        stats = load(filename)
-        results = stats.get_results()
-        self.assertAlmostEqual(float(results['sharpe']), 0.5968)
 
     def test_moving_average_cross_backtest(self):
         """
         Test moving average crossover backtest
+        Begins at 2000-01-01 00:00:00
+        End at 2014-01-01 00:00:00
         """
         tickers = ["AAPL", "SPY"]
         filename = os.path.join(
-            settings.TEST.OUTPUT_DIR, 
+            settings.TEST.OUTPUT_DIR,
             "mac_backtest.pkl"
         )
         results = examples.moving_average_cross_backtest.run(
             self.config, self.testing, tickers, filename
         )
-        self.assertAlmostEqual(float(results['sharpe']), 0.6430103385)
+        self.assertAlmostEqual(
+            float(results['sharpe']), 0.643009566
+        )

qstrader/price_handler/yahoo_daily_csv_bar.py

@@ -72,7 +72,11 @@ def _merge_sort_ticker_data(self):
             start = df.index.searchsorted(self.start_date)
         if self.end_date is not None:
             end = df.index.searchsorted(self.end_date)
-        # Determine how to slice
+        # This is added so that the ticker events are
+        # always deterministic, otherwise unit test values
+        # will differ
+        df['colFromIndex'] = df.index
+        df = df.sort_values(by=["colFromIndex", "Ticker"])
         if start is None and end is None:
             return df.iterrows()
         elif start is not None and end is None:

qstrader/trading_session/backtest.py

@@ -109,7 +109,10 @@ def _run_backtest(self):
                 self.price_handler.stream_next()
             else:
                 if event is not None:
-                    if event.type == EventType.TICK or event.type == EventType.BAR:
+                    if (
+                        event.type == EventType.TICK or
+                        event.type == EventType.BAR
+                    ):
                         self.cur_time = event.time
                         # Generate any sentiment events here
                         if self.sentiment_handler is not None:
@@ -138,9 +141,12 @@ def simulate_trading(self, testing=False):
         results = self.statistics.get_results()
         print("---------------------------------")
         print("Backtest complete.")
-        print("Sharpe Ratio: %s" % results["sharpe"])
-        print("Max Drawdown: %s" % results["max_drawdown"])
-        print("Max Drawdown Pct: %s" % results["max_drawdown_pct"])
+        print("Sharpe Ratio: %0.2f" % results["sharpe"])
+        print(
+            "Max Drawdown: %0.2f%%" % (
+                results["max_drawdown_pct"] * 100.0
+            )
+        )
         if not testing:
             self.statistics.plot_results()
         return results