[GT] SVN Commit r705 - in branches/CPAN/t: . of

[GeniusTrader SVN <raphael AT geniustrader.org>]

Author: clkao
Date: 2009-11-06 14:38:58 +0100 (Fri, 06 Nov 2009)
New Revision: 705

Added:
   branches/CPAN/t/of/
   branches/CPAN/t/of/channel-breakout.t
Log:
add a test for channel breakout order factory.

Added: branches/CPAN/t/of/channel-breakout.t
===================================================================
--- branches/CPAN/t/of/channel-breakout.t	                        (rev 0)
+++ branches/CPAN/t/of/channel-breakout.t	2009-11-06 13:38:58 UTC (rev 705)
@@ -0,0 +1,126 @@
+#!/usr/bin/perl -w
+use strict;
+use Finance::GeniusTrader::DateTime;
+use Finance::GeniusTrader::Calculator;
+use Finance::GeniusTrader::Prices;
+use Finance::GeniusTrader::BackTest;
+use Finance::GeniusTrader::PortfolioManager;
+use Finance::GeniusTrader::SystemManager;
+use Finance::GeniusTrader::Tools qw(resolve_alias);
+use Finance::GeniusTrader::Test
+    tests => 1,
+    gt_config => sub {
+        my $test_base = shift;
+        my $db_path = File::Spec->catdir($test_base, 'data');
+<<"EOF";
+DB::module Text
+DB::text::file_extension _\$timeframe.txt
+DB::text::directory $db_path
+Brokers::module NoCosts
+
+Aliases::Global::CBBTD[] SY:AlwaysInTheMarket \\
+ |OF:ChannelBreakout {I:G:MaxInPeriod #1 {I:Prices HIGH}} \\
+                     {I:G:MinInPeriod #2 {I:Prices LOW }} \\
+ |CS:ChannelBreakout {I:G:MinInPeriod #3 {I:Prices LOW }} \\
+                     {I:G:MaxInPeriod #4 {I:Prices HIGH}} \\
+                      |CS:Stop:Fixed #5|MM:FixedShares 1 \\
+ |TF:MaxOpenTrades 1
+EOF
+    };
+
+my ($calc, $first, $last) = Finance::GeniusTrader::Tools::find_calculator(Finance::GeniusTrader::Test->gt_db, 'TX', $DAY, 1);
+
+my $pf_manager = Finance::GeniusTrader::PortfolioManager->new;
+my $sys_manager = Finance::GeniusTrader::SystemManager->new;
+
+my $sysname = 'CBBTD[15,15,5,5,2]';
+my $alias = resolve_alias($sysname);
+$sys_manager->set_alias_name($sysname);
+$sysname = $alias;
+$sys_manager->setup_from_name($sysname);
+$pf_manager->setup_from_name($sysname);
+
+$pf_manager->finalize;
+$sys_manager->finalize;
+
+my $analysis = backtest_single($pf_manager, $sys_manager, undef, $calc, $first+15, $last);
+
+my $compact = [ map {
+        my $details = join( ',', map { $_->{'order'} . $_->price }
+                $_->list_detailed_orders );
+        [ $_->open_date, $_->close_date, $details ];
+} @{ $analysis->{portfolio}{history} } ];
+
+is_deeply( $compact,
+    [
+          [
+            '2009-02-11 00:00:00',
+            '2009-02-12 00:00:00',
+            'B4552,S4460.96'
+          ],
+          [
+            '2009-02-13 00:00:00',
+            '2009-02-17 00:00:00',
+            'B4578,S4486.44'
+          ],
+          [
+            '2009-03-03 00:00:00',
+            '2009-03-03 00:00:00',
+            'S4270,B4355.4'
+          ],
+          [
+            '2009-03-05 00:00:00',
+            '2009-04-17 00:00:00',
+            'B4590,S5696'
+          ],
+          [
+            '2009-05-04 00:00:00',
+            '2009-05-12 00:00:00',
+            'B6363,S6412'
+          ],
+          [
+            '2009-05-19 00:00:00',
+            '2009-05-20 00:00:00',
+            'B6720,S6585.6'
+          ],
+          [
+            '2009-05-25 00:00:00',
+            '2009-05-26 00:00:00',
+            'B6804,S6667.92'
+          ],
+          [
+            '2009-05-27 00:00:00',
+            '2009-06-04 00:00:00',
+            'B6837,S6700.26'
+          ],
+          [
+            '2009-06-09 00:00:00',
+            '2009-06-11 00:00:00',
+            'S6402,B6530.04'
+          ],
+          [
+            '2009-06-15 00:00:00',
+            '2009-06-24 00:00:00',
+            'S6335,B6294'
+          ],
+          [
+            '2009-07-02 00:00:00',
+            '2009-07-13 00:00:00',
+            'B6558,S6527'
+          ],
+          [
+            '2009-07-15 00:00:00',
+            '2009-08-04 00:00:00',
+            'B6778,S6870'
+          ],
+          [
+            '2009-08-20 00:00:00',
+            '2009-09-01 00:00:00',
+            'S6702,B6827'
+          ],
+          [
+            '2009-09-03 00:00:00',
+            '2009-09-23 00:00:00',
+            'B7112,S7375'
+          ]
+]);