Gahow Wang
24663ebd35
Add tests for trend rider (integration, robustness, v4), US combo sweep, and US fundamentals modules.
44 lines
1.5 KiB
Python
44 lines
1.5 KiB
Python
import unittest
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import numpy as np
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import pandas as pd
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from strategies.permanent import TrendRiderV4
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class TrendRiderV4Tests(unittest.TestCase):
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def test_v4_builds_capped_multi_asset_portfolio(self):
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dates = pd.bdate_range("2023-01-02", periods=320)
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trend = np.linspace(100.0, 180.0, len(dates))
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prices = pd.DataFrame(
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{
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"SPY": trend,
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"QQQ": trend * 1.10,
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"SSO": trend * 1.55,
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"QLD": trend * 1.65,
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"UPRO": trend * 2.00,
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"TQQQ": trend * 2.20,
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"SHY": np.linspace(100.0, 103.0, len(dates)),
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"IEF": np.linspace(100.0, 104.0, len(dates)),
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"TLT": np.linspace(100.0, 105.0, len(dates)),
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"GLD": np.linspace(100.0, 115.0, len(dates)),
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"DBC": np.linspace(90.0, 105.0, len(dates)),
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},
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index=dates,
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)
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strategy = TrendRiderV4(max_single_weight=0.35, max_leveraged_weight=0.50)
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weights = strategy.generate_signals(prices)
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active = weights[weights.sum(axis=1) > 0.99]
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self.assertFalse(active.empty)
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self.assertLessEqual(active.max(axis=1).max(), 0.350001)
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self.assertGreaterEqual((active > 0.001).sum(axis=1).min(), 4)
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leveraged = [c for c in ["SSO", "QLD", "UPRO", "TQQQ"] if c in active.columns]
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self.assertLessEqual(active[leveraged].sum(axis=1).max(), 0.500001)
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self.assertTrue(np.allclose(active.sum(axis=1), 1.0))
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if __name__ == "__main__":
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unittest.main()
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