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test_engine.py
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469 lines (409 loc) · 18.9 KB
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# -*- coding: utf-8 -*-
##
# @file test_engine_vector.py
# @brief 测试策略向量化运行中的序列变量，指标计算，跨周期时间对齐，策略和数据的组合遍历。
# @author wondereamer
# @version 0.3
# @date 2015-12-22
import datetime
import unittest
import pandas as pd
import os
import talib
import numpy as np
from logbook import Logger
from quantdigger import *
logger = Logger('test')
class TestSeries(unittest.TestCase):
def test_case(self):
logger.info('***** 序列变量测试开始 *****')
close, open, dt, high, low, volume = [], [], [], [], [], []
open3, dt3 = [], []
ma3, ma2 = [], []
svar = []
transform_test = []
uvars = {
'dlist': [],
'numseries': [],
'numseries3': [],
'dtseries': [],
}
class DemoStrategy(Strategy):
def on_init(self, ctx):
"""初始化数据"""
ctx.ma3 = MA(ctx.close, 3)
ctx.svar = NumberSeries()
ctx.numseries = NumberSeries()
ctx.dtseries = DateTimeSeries()
ctx.dlist = []
return
def on_symbol(self, ctx):
## @TODO + - * /
transform_test.append(ctx.open-0 == ctx.open[0])
transform_test.append(ctx.close-0 == ctx.close[0])
transform_test.append(ctx.high-0 == ctx.high[0])
transform_test.append(ctx.low-0 == ctx.low[0])
transform_test.append(ctx.volume-0 == ctx.volume[0])
ctx.dlist.append(ctx.curbar)
if ctx.curbar >= 100 and ctx.curbar < 300:
ctx.numseries.update(100)
ctx.dtseries.update(datetime.datetime(1000,1,1))
elif ctx.curbar >= 300:
ctx.dtseries.update(datetime.datetime(3000,1,1))
ctx.numseries.update(300)
open.append(ctx.open[0])
close.append(ctx.close[0])
high.append(ctx.high[0])
low.append(ctx.low[0])
volume.append(int(ctx.volume[0]))
dt.append(ctx.datetime[0])
open3.append(ctx.open[3])
dt3.append(ctx.datetime[3])
svar.append(ctx.svar[0])
uvars['numseries3'].append(ctx.numseries[3])
uvars['numseries'].append(ctx.numseries[0])
uvars['dtseries'].append(ctx.dtseries[0])
uvars['dlist'] = ctx.dlist
set_symbols(['BB.TEST-1.Minute'])
add_strategy([DemoStrategy('A1')])
run()
# 默认值
self.assertTrue(NumberSeries.DEFAULT_VALUE == 0.0, "默认值测试成功")
self.assertTrue(DateTimeSeries.DEFAULT_VALUE == datetime.datetime(1980,1,1))
logger.info('-- 默认值测试成功 --')
# 类型转化测试
self.assertTrue(all(transform_test), "类型转化错误!")
logger.info('-- 类型转化测试成功 --')
# 值测试
target = pd.DataFrame({
'open': open,
'close': close,
'high': high,
'low': low,
'volume': volume,
})
target = target.ix[:, ['open', 'close', 'high', 'low', 'volume']]
target.index = dt
fname = os.path.join(os.getcwd(), 'data', '1MINUTE', 'TEST', 'BB.csv')
source = pd.read_csv(fname, parse_dates=True, index_col=0)
#print 'target', target['open'][0:10]
#print 'source', source['open'][0:10]
self.assertTrue(source.equals(target), "系统时间序列变量正测试出错")
fname = os.path.join(os.getcwd(), 'data', '1MINUTE', 'TEST', 'CC.csv')
source = pd.read_csv(fname, parse_dates=True, index_col=0)
self.assertFalse(source.equals(target), "系统时间序列变量反测试出错")
logger.info('-- 系统序列变量值的正确性测试成功 --')
#
for i in xrange(0, len(uvars['dlist'])):
self.assertTrue(i+1 == uvars['dlist'][i])
self.assertTrue(len(uvars['numseries'])==len(open) and len(open)>0, '系列变量长度不一致')
logger.info('-- 用户普通变量测试成功 --')
logger.info('-- curbar测试成功 --')
# 自动追加测试
numseries = uvars['numseries']
dtseries = uvars['dtseries']
dt1980 = datetime.datetime(1980,1,1)
dt1000 = datetime.datetime(1000,1,1)
dt3000 = datetime.datetime(3000,1,1)
for i in xrange(0, len(numseries)):
if i < 99:
self.assertTrue(numseries[i] == 0.0, '用户数字序列变量测试失败!')
self.assertTrue(dtseries[i] == dt1980, '用户时间序列变量测试失败!')
elif i >= 99 and i < 299:
self.assertTrue(numseries[i] == 100, '用户数字序列变量测试失败!')
self.assertTrue(dtseries[i] == dt1000, '用户时间序列变量测试失败!')
elif i >= 299:
self.assertTrue(numseries[i] == 300, '用户数字序列变量测试失败!')
self.assertTrue(dtseries[i] == dt3000, '用户时间序列变量测试失败!')
logger.info('-- 用户序列变量自动追加测试成功 --')
# 回溯测试
for i in xrange(0, len(open)):
if i-3 >= 0:
self.assertTrue(open3[i] == open[i-3], "系统序列变量回溯测试失败！" )
self.assertTrue(dt3[i] == dt[i-3], "系统序列变量回溯测试失败！" )
self.assertTrue(uvars['numseries3'][i] == numseries[i-3], "用户序列变量回溯测试失败！" )
else:
self.assertTrue(open3[i] == NumberSeries.DEFAULT_VALUE,
"系统序列变量回溯测试失败！")
self.assertTrue(uvars['numseries3'][i] == NumberSeries.DEFAULT_VALUE,
"用户序列变量回溯测试失败！")
self.assertTrue(dt3[i] == DateTimeSeries.DEFAULT_VALUE,
"系统序列时间变量回溯测试失败！")
self.assertTrue(svar[i] == NumberSeries.DEFAULT_VALUE)
logger.info('-- 序列变量回溯测试成功 --')
logger.info('***** 序列变量测试结束 *****\n')
class TestIndicator(unittest.TestCase):
def test_case(self):
logger.info('***** 指标测试开始 *****')
close, open, ma2 = [], [], []
pre_ma2 = []
true_test = []
boll = {
'upper': [],
'middler': [],
'lower': []
}
boll3 = {
'upper': [],
'middler': [],
'lower': []
}
class DemoStrategy(Strategy):
def on_init(self, ctx):
"""初始化数据"""
ctx.ma2 = MA(ctx.close, 2)
ctx.boll = BOLL(ctx.close, 2)
def on_symbol(self, ctx):
if ctx.curbar>=2:
## @todo + - * /
true_test.append(ctx.ma2-0 == ctx.ma2[0])
pre_ma2.append(ctx.ma2[3])
ma2.append(ctx.ma2[0])
#a = (ctx.close[1] + ctx.close[0])/2
#print ctx.ma2[0], a
close.append(ctx.close[0])
open.append(ctx.open[0])
boll['upper'].append(float(ctx.boll['upper']))
boll['middler'].append(ctx.boll['middler'][0])
boll['lower'].append(ctx.boll['lower'][0])
boll3['upper'].append(ctx.boll['upper'][3])
boll3['middler'].append(ctx.boll['middler'][3])
boll3['lower'].append(ctx.boll['lower'][3])
def on_bar(self, ctx):
return
def on_exit(self, ctx):
return
set_symbols(['BB.TEST-1.Minute'])
add_strategy([DemoStrategy('A1')])
run()
self.assertTrue(all(true_test), "指标转化错误!")
logger.info('-- 指标转化测试成功 --')
# 分别测试单值和多值指标函数。
source_ma2 = talib.SMA(np.asarray(close), 2)
true_test, false_test = [], []
for i in xrange(0, len(close)):
if i >= 1:
true_test.append(ma2[i] == source_ma2[i])
else:
false_test.append(ma2[i] == ma2[i])
self.assertFalse(any(false_test), "单值指标正例测试失败!")
self.assertTrue(all(true_test), "单值指标正例测试失败!")
source_ma2 = talib.SMA(np.asarray(open), 2)
true_test, false_test = [], []
for i in xrange(0, len(open)):
if i >= 1:
true_test.append(ma2[i] == source_ma2[i])
else:
false_test.append(ma2[i] == ma2[i])
self.assertFalse(any(false_test), "单值指标反例测试失败!")
self.assertFalse(all(true_test), "单值指标反例测试失败!")
logger.info('-- 单值指标测试成功 --')
true_test, false_test = [], []
source_ma2 = talib.SMA(np.asarray(close), 2)
for i in xrange(0, len(close)):
if i >= 4:
true_test.append(pre_ma2[i] == source_ma2[i-3])
else:
# 指标序列变量的默认值为nan
false_test.append(pre_ma2[i] == pre_ma2[i])
self.assertTrue(all(true_test), "单值指标回溯正例测试失败")
self.assertFalse(any(false_test), "单值指标回溯正例测试失败")
true_test, false_test = [], []
source_ma2 = talib.SMA(np.asarray(open), 2)
for i in xrange(0, len(close)):
if i >= 4:
true_test.append(pre_ma2[i] == source_ma2[i-3])
else:
# 指标序列变量的默认值为nan
false_test.append(pre_ma2[i] == pre_ma2[i])
self.assertFalse(all(true_test), "单值指标回溯反例测试失败")
self.assertFalse(any(false_test), "单值指标回溯反例测试失败")
logger.info('-- 单值指标回溯测试成功 --')
#
u, m, l = talib.BBANDS(np.asarray(close), 2, 2, 2)
true_test, false_test = [], []
for i in xrange(0, len(close)):
if i >= 1:
true_test.append(boll['upper'][i] == u[i])
true_test.append(boll['middler'][i] == m[i])
true_test.append(boll['lower'][i] == l[i])
else:
false_test.append(boll['upper'][i] == boll['upper'][i])
false_test.append(boll['middler'][i] == boll['middler'][i])
false_test.append(boll['lower'][i] == boll['lower'][i])
self.assertFalse(any(false_test), "多值指标正例测试失败!")
self.assertTrue(all(true_test), "多值指标正例测试失败!")
u, m, l = talib.BBANDS(np.asarray(open), 2, 2, 2)
true_test, false_test = [], []
for i in xrange(0, len(close)):
if i >= 1:
true_test.append(boll['upper'][i] == u[i])
true_test.append(boll['middler'][i] == m[i])
true_test.append(boll['lower'][i] == l[i])
else:
false_test.append(boll['upper'][i] == boll['upper'][i])
false_test.append(boll['middler'][i] == boll['middler'][i])
false_test.append(boll['lower'][i] == boll['lower'][i])
self.assertFalse(any(false_test), "多值指标反例测试失败!")
self.assertFalse(all(true_test), "多值指标反例测试失败!")
logger.info('-- 多值指标测试成功 --')
true_test, false_test = [], []
u, m, l = talib.BBANDS(np.asarray(close), 2, 2, 2)
for i in xrange(0, len(close)):
if i >= 4:
true_test.append(boll3['upper'][i] == u[i-3])
else:
false_test.append(boll3['upper'][i] == boll3['upper'][i])
self.assertTrue(all(true_test), "多值指标回溯正例测试失败")
self.assertFalse(any(false_test), "多值指标回溯正例测试失败")
true_test, false_test = [], []
u, m, l = talib.BBANDS(np.asarray(open), 2, 2, 2)
for i in xrange(0, len(close)):
if i >= 4:
true_test.append(boll3['upper'][i] == u[i-3])
else:
false_test.append(boll3['upper'][i] == boll3['upper'][i])
self.assertFalse(all(true_test), "多值指标回溯反例测试失败")
self.assertFalse(any(false_test), "多值指标回溯反例测试失败")
logger.info('-- 多值指标回溯测试成功 --')
logger.info('***** 指标测试结束 *****\n')
class TestMultipleCombination(unittest.TestCase):
""" 多组合策略, 测试数据、策略遍历
"""
def test_case(self):
logger.info('***** 多组合策略测试开始 *****')
on_exit = {
'strategy': [],
}
on_bar = {
'strategy': [],
}
on_symbol = {
'combination': set(),
'count': 0
}
class DemoStrategy(Strategy):
def on_init(self, ctx):
"""初始化数据"""
return
def on_symbol(self, ctx):
#print ctx.strategy, ctx.pcontract
on_symbol['combination'].add((str(ctx.pcontract), ctx.strategy))
on_symbol['count'] += 1
pass
def on_bar(self, ctx):
on_bar['strategy'].append(ctx.strategy)
def on_exit(self, ctx):
on_exit['strategy'].append(ctx.strategy)
return
set_symbols(['BB.TEST-1.Minute', 'AA.TEST-1.Minute'])
add_strategy([DemoStrategy('A1'), DemoStrategy('A2')])
add_strategy([DemoStrategy('B1'), DemoStrategy('B2')])
run()
fname = os.path.join(os.getcwd(), 'data', '1MINUTE', 'TEST', 'BB.csv')
blen = len(pd.read_csv(fname))
fname = os.path.join(os.getcwd(), 'data', '1MINUTE', 'TEST', 'AA.csv')
alen = len(pd.read_csv(fname))
sample = set([
('BB.TEST-1.MINUTE', 'A1'),
('BB.TEST-1.MINUTE', 'A2'),
('AA.TEST-1.MINUTE', 'A1'),
('AA.TEST-1.MINUTE', 'A2'),
('BB.TEST-1.MINUTE', 'B1'),
('BB.TEST-1.MINUTE', 'B2'),
('AA.TEST-1.MINUTE', 'B1'),
('AA.TEST-1.MINUTE', 'B2')
])
self.assertTrue(on_symbol['combination'] == sample)
sample.pop()
self.assertFalse(on_symbol['combination'] == sample)
self.assertTrue(on_symbol['count'] == alen*4 + blen*4)
self.assertFalse(on_symbol['count'] == alen*3 + blen*4)
self.assertTrue(['A1', 'A2', 'B1', 'B2']*max(blen, alen) == on_bar['strategy'],
'on_bar测试失败！')
self.assertFalse(['C1', 'A2', 'B1', 'B2']*max(blen, alen) == on_bar['strategy'],
'on_bar测试失败！')
self.assertTrue(['A1', 'A2', 'B1', 'B2'] == on_exit['strategy'], 'on_exit测试失败！')
self.assertFalse(['C1', 'A2', 'B1', 'B2'] == on_exit['strategy'], 'on_exit测试失败！')
logger.info('-- 多组合策略测试成功 --')
class TestDiffPeriod(unittest.TestCase):
""" 跨周期多组合策略测试
主要测试时间对齐和数据、策略遍历
"""
def test_case(self):
logger.info('***** 跨周期多组合策略测试开始 *****')
on_exit = {
'strategy': [],
}
on_bar = {
'strategy': [],
'diffPeriod': [],
}
on_symbol = {
'diffPeriod': [],
'count': 0
}
class DemoStrategy(Strategy):
def on_init(self, ctx):
"""初始化数据"""
return
def on_symbol(self, ctx):
on_symbol['count'] += 1
on_symbol['diffPeriod'].append("%s %s %s %s"%(ctx.pcontract,
ctx.strategy, ctx.datetime, ctx.curbar))
#print on_symbol['diffPeriod'][-1]
pass
def on_bar(self, ctx):
on_bar['strategy'].append(ctx.strategy)
t = ctx['oneday.TEST-1.Minute']
on_bar['diffPeriod'].append("%s %s %s"%(t.pcontract, t.datetime, t.curbar))
#print on_bar['diffPeriod'][-1]
t = ctx['TWODAY.TEST-5.Second']
on_bar['diffPeriod'].append("%s %s %s"%(t.pcontract, t.datetime, t.curbar))
#print on_bar['diffPeriod'][-1]
def on_exit(self, ctx):
on_exit['strategy'].append(ctx.strategy)
return
set_symbols(['TWODAY.TEST-5.Second', 'oneday.TEST-1.Minute'])
add_strategy([DemoStrategy('A1'), DemoStrategy('A2')])
add_strategy([DemoStrategy('B1'), DemoStrategy('B2')])
run()
# on_symbol
fname = os.path.join(os.getcwd(), 'data', '1MINUTE', 'TEST', 'ONEDAY.csv')
blen = len(pd.read_csv(fname))
fname = os.path.join(os.getcwd(), 'data', '5SECOND', 'TEST', 'TWODAY.csv')
alen = len(pd.read_csv(fname))
self.assertTrue(on_symbol['count'] == alen*4 + blen*4)
self.assertFalse(on_symbol['count'] == alen*3 + blen*4)
fname = os.path.join(os.getcwd(), 'data', 'diffPeriodOnSymbol.txt')
with open(fname) as f:
source = f.readlines()
assert(len(source)>0 and source[0] != "")
i = 0
for t in on_symbol['diffPeriod']:
if source[i].startswith('*'):
i+=1
self.assertTrue(t == source[i].rstrip('\n'), "跨周期合约on_symbol失败")
i+=1
# on_bar
fname = os.path.join(os.getcwd(), 'data', 'diffPeriodOnBar.txt')
with open(fname) as f:
source = f.readlines()
assert(len(source)>0 and source[0] != "")
i = 0
for t in on_bar['diffPeriod']:
if source[i].startswith('*'):
i+=1
self.assertTrue(t == source[i].rstrip('\n'), "跨周期合约引用失败")
i+=1
self.assertTrue(['A1', 'A2', 'B1', 'B2'] * 6498 == on_bar['strategy'],
'on_bar测试失败！')
self.assertFalse(['C1', 'A2', 'B1', 'B2'] * 6498 == on_bar['strategy'],
'on_bar测试失败！')
# on_exit
self.assertTrue(['A1', 'A2', 'B1', 'B2'] == on_exit['strategy'], 'on_exit测试失败！')
self.assertFalse(['C1', 'A2', 'B1', 'B2'] == on_exit['strategy'], 'on_exit测试失败！')
logger.info('-- 跨周期多组合策略测试成功 --')
logger.info('***** 跨周期多组合策略测试结束 *****\n')
if __name__ == '__main__':
unittest.main()