add StrategySmaMl

msaltnet · Apr 9, 2023 · aad85ce · aad85ce
1 parent 708fec3
commit aad85ce
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Showing 11 changed files with 703 additions and 9 deletions.
diff --git a/integration_tests/__init__.py b/integration_tests/__init__.py
@@ -4,7 +4,7 @@
 from .analyzer_ITG_test import AnalyzerIntegrationTests
 from .bithumb_data_provider_ITG_test import BithumbDataProviderIntegrationTests
 from .operator_ITG_test import OperatorIntegrationTests
-from .simulation_operator_ITG_test import SimulationOperatorIntegrationBnhTests
+from .simulation_operator_ITG_test import SimulationOperatorIntegrationTests
 from .simulation_trader_ITG_test import SimulationTraderIntegrationTests
 from .strategy_bnh_ITG_test import StrategyBuyAndHoldIntegrationTests
 from .upbit_data_provider_ITG_test import UpbitDataProviderIntegrationTests

diff --git a/integration_tests/simulation_operator_ITG_test.py b/integration_tests/simulation_operator_ITG_test.py
@@ -4,15 +4,15 @@
     SimulationDataProvider,
     SimulationOperator,
     SimulationTrader,
-    StrategyBuyAndHold,
+    StrategyFactory,
     Analyzer,
     LogManager,
 )
 from .data import simulation_data
 from unittest.mock import *
 
 
-class SimulationOperatorIntegrationBnhTests(unittest.TestCase):
+class SimulationOperatorIntegrationTests(unittest.TestCase):
     def setUp(self):
         LogManager.set_stream_level(20)
 
@@ -22,11 +22,11 @@ def tearDown(self):
     def test_ITG_run_simulation_with_bnh_strategy(self):
         trading_snapshot = simulation_data.get_data("bnh_snapshot")
         operator = SimulationOperator()
-        strategy = StrategyBuyAndHold()
+        strategy = StrategyFactory.create("BNH")
         strategy.is_simulation = True
         count = 100
         budget = 100000
-        interval = 0.001
+        interval = 0.0001
         time_limit = 15
         end_str = "2020-04-30T16:30:00"
 
@@ -97,3 +97,171 @@ def check_equal_results_list(self, a, b):
             self.assertEqual(a[i]["balance"], b[i]["balance"])
             self.assertEqual(a[i]["date_time"], b[i]["date_time"])
             self.assertEqual(a[i]["kind"], b[i]["kind"])
+
+    def test_ITG_run_simulation_with_sma_strategy(self):
+        operator = SimulationOperator()
+        strategy = StrategyFactory.create("SMA")
+        strategy.is_simulation = True
+        count = 100
+        budget = 100000
+        interval = 0.0001
+        time_limit = 30
+        end_str = "2022-04-30T16:30:00"
+
+        data_provider = SimulationDataProvider()
+        data_provider.initialize_simulation(end=end_str, count=count)
+        trader = SimulationTrader()
+        trader.initialize_simulation(end=end_str, count=count, budget=budget)
+        analyzer = Analyzer()
+        analyzer.is_simulation = True
+
+        operator.initialize(
+            data_provider,
+            strategy,
+            trader,
+            analyzer,
+            budget=budget,
+        )
+
+        operator.set_interval(interval)
+        operator.start()
+        start_time = time.time()
+        while operator.state == "running":
+            time.sleep(0.5)
+            if time.time() - start_time > time_limit:
+                self.assertTrue(False, "Time out")
+                break
+
+        waiting = True
+        start_time = time.time()
+        report = None
+
+        def callback(return_report):
+            nonlocal report
+            nonlocal waiting
+            report = return_report
+            waiting = False
+            self.assertFalse(waiting)
+
+        operator.get_score(callback)
+
+        while waiting:
+            time.sleep(0.5)
+            if time.time() - start_time > time_limit:
+                self.assertTrue(False, "Time out")
+                break
+
+        self.assertIsNotNone(report)
+        self.assertEqual(report[0], 100000)
+
+    def test_ITG_run_simulation_with_rsi_strategy(self):
+        operator = SimulationOperator()
+        strategy = StrategyFactory.create("RSI")
+        strategy.is_simulation = True
+        count = 100
+        budget = 100000
+        interval = 0.0001
+        time_limit = 30
+        end_str = "2022-04-30T16:30:00"
+
+        data_provider = SimulationDataProvider()
+        data_provider.initialize_simulation(end=end_str, count=count)
+        trader = SimulationTrader()
+        trader.initialize_simulation(end=end_str, count=count, budget=budget)
+        analyzer = Analyzer()
+        analyzer.is_simulation = True
+
+        operator.initialize(
+            data_provider,
+            strategy,
+            trader,
+            analyzer,
+            budget=budget,
+        )
+
+        operator.set_interval(interval)
+        operator.start()
+        start_time = time.time()
+        while operator.state == "running":
+            time.sleep(0.5)
+            if time.time() - start_time > time_limit:
+                self.assertTrue(False, "Time out")
+                break
+
+        waiting = True
+        start_time = time.time()
+        report = None
+
+        def callback(return_report):
+            nonlocal report
+            nonlocal waiting
+            report = return_report
+            waiting = False
+            self.assertFalse(waiting)
+
+        operator.get_score(callback)
+
+        while waiting:
+            time.sleep(0.5)
+            if time.time() - start_time > time_limit:
+                self.assertTrue(False, "Time out")
+                break
+
+        self.assertIsNotNone(report)
+        self.assertEqual(report[0], 100000)
+
+    def test_ITG_run_simulation_with_sml_strategy(self):
+        operator = SimulationOperator()
+        strategy = StrategyFactory.create("SML")
+        strategy.is_simulation = True
+        count = 100
+        budget = 100000
+        interval = 0.0001
+        time_limit = 30
+        end_str = "2022-07-29T04:30:00"
+
+        data_provider = SimulationDataProvider()
+        data_provider.initialize_simulation(end=end_str, count=count)
+        trader = SimulationTrader()
+        trader.initialize_simulation(end=end_str, count=count, budget=budget)
+        analyzer = Analyzer()
+        analyzer.is_simulation = True
+
+        operator.initialize(
+            data_provider,
+            strategy,
+            trader,
+            analyzer,
+            budget=budget,
+        )
+
+        operator.set_interval(interval)
+        operator.start()
+        start_time = time.time()
+        while operator.state == "running":
+            time.sleep(0.5)
+            if time.time() - start_time > time_limit:
+                self.assertTrue(False, "Time out")
+                break
+
+        waiting = True
+        start_time = time.time()
+        report = None
+
+        def callback(return_report):
+            nonlocal report
+            nonlocal waiting
+            report = return_report
+            waiting = False
+            self.assertFalse(waiting)
+
+        operator.get_score(callback)
+
+        while waiting:
+            time.sleep(0.5)
+            if time.time() - start_time > time_limit:
+                self.assertTrue(False, "Time out")
+                break
+
+        self.assertIsNotNone(report)
+        self.assertEqual(report[0], 100000)
diff --git a/requirements-dev.txt b/requirements-dev.txt
diff --git a/requirements.txt b/requirements.txt
diff --git a/setup.cfg b/setup.cfg
@@ -32,3 +32,5 @@ install_requires =
     jupyter
     psutil
     coverage
+    scikit-learn
+
diff --git a/setup.py b/setup.py
@@ -1,6 +1,6 @@
 import io
 import unittest
-from setuptools import find_packages, setup
+from setuptools import setup
 
 # Package meta-data.
 NAME = "smtm"
@@ -21,6 +21,7 @@
     "python-dotenv",
     "jupyter",
     "psutil",
+    "scikit-learn",
 ]
 
 

diff --git a/smtm/__init__.py b/smtm/__init__.py
@@ -10,6 +10,7 @@
 from .simulation_operator import SimulationOperator
 from .strategy_bnh import StrategyBuyAndHold
 from .strategy_sma_0 import StrategySma0
+from .strategy_sma_ml import StrategySmaMl
 from .strategy_rsi import StrategyRsi
 from .strategy_factory import StrategyFactory
 from .virtual_market import VirtualMarket
@@ -37,6 +38,7 @@
     "SimulationOperator",
     "StrategyBuyAndHold",
     "StrategySma0",
+    "StrategySmaMl",
     "StrategyRsi",
     "StrategyFactory",
     "VirtualMarket",

diff --git a/smtm/strategy_factory.py b/smtm/strategy_factory.py
@@ -1,12 +1,12 @@
 """Strategy 정보 조회 및 생성을 담당하는 Factory 클래스"""
 
-from . import StrategyBuyAndHold, StrategySma0, StrategyRsi
+from . import StrategyBuyAndHold, StrategySma0, StrategyRsi, StrategySmaMl
 
 
 class StrategyFactory:
     """Strategy 정보 조회 및 생성을 담당하는 Factory 클래스"""
 
-    STRATEGY_LIST = [StrategyBuyAndHold, StrategySma0, StrategyRsi]
+    STRATEGY_LIST = [StrategyBuyAndHold, StrategySma0, StrategyRsi, StrategySmaMl]
 
     @staticmethod
     def create(code):