more testing

cvx/simulator/builder.py

@@ -44,7 +44,7 @@ class _State:
     """
 
     prices: pd.Series = None
-    _position: pd.Series = None
+    __position: pd.Series = None
     cash: float = 1e6
     input_data: dict[str, Any] = field(default_factory=dict)
     model: TradingCostModel | None = None
@@ -82,10 +82,7 @@ def weights(self) -> pd.Series:
         fraction of the total portfolio value. If the positions are still
         missing, then a series of zeroes is returned.
         """
-        try:
-            return self.cashposition / self.nav
-        except TypeError:
-            return 0 * self.prices
+        return self.cashposition / self.nav
 
     @property
     def leverage(self) -> float:
@@ -105,17 +102,17 @@ def cashposition(self):
 
     @property
     def position(self):
-        if self._position is None:
+        if self.__position is None:
             return pd.Series(dtype=float)
 
-        return self._position
+        return self.__position
 
     @position.setter
-    def position(self, position):
+    def _position(self, position: np.array):
         position = pd.Series(index=self.assets, data=position)
         trades = self._trade(target_pos=position)
 
-        self._position = position
+        self.__position = position
         self.cash -= (trades * self.prices).sum()
 
         if self.model is not None:
@@ -132,10 +129,10 @@ def _trade(self, target_pos):
         """
         Compute the trade vector given a target position
         """
-        if self._position is None:
-            return target_pos
+        # if self._position is None:
+        #    return target_pos
 
-        return target_pos.subtract(self._position, fill_value=0.0)
+        return target_pos.subtract(self.position, fill_value=0.0)
 
 
 def builder(
@@ -303,7 +300,7 @@ def position(self, position: pd.Series) -> None:
         Returns: pd.Series: a pandas Series object containing the current position of the portfolio.
         """
         self.stocks.loc[self._state.time, self._state.assets] = position
-        self._state.position = position
+        self._state._position = position
 
     @property
     def cashposition(self):

tests/conftest.py

@@ -28,13 +28,3 @@ def portfolio(prices):
     """portfolio fixture"""
     positions = pd.DataFrame(index=prices.index, columns=prices.columns, data=1.0)
     return EquityPortfolio(prices, stocks=positions, initial_cash=1e6)
-
-
-@pytest.fixture()
-def returns(resource_dir):
-    """returns fixture"""
-    return (
-        pd.read_csv(resource_dir / "ts.csv", index_col=0, header=None, parse_dates=True)
-        .squeeze()
-        .pct_change()
-    )

tests/test_builder.py

@@ -145,6 +145,8 @@ def test_set_weights(prices):
     b = _builder(prices=prices[["B", "C"]].head(5), initial_cash=50000)
     for times, state in b:
         b.weights = np.array([0.5, 0.5])
+        assert np.allclose(b.weights, np.array([0.5, 0.5]))
+        assert np.allclose(state.weights.values, np.array([0.5, 0.5]))
 
     portfolio = b.build()
     assert portfolio.nav.values[-1] == pytest.approx(49773.093729)
@@ -158,6 +160,7 @@ def test_set_cashpositions(prices):
     b = _builder(prices=prices[["B", "C"]].head(5), initial_cash=50000)
     for times, state in b:
         b.cashposition = np.ones(2) * state.nav / 2
+        assert np.allclose(b.cashposition, np.ones(2) * state.nav / 2)
 
     portfolio = b.build()
     assert portfolio.nav.values[-1] == pytest.approx(49773.093729)
@@ -167,6 +170,7 @@ def test_set_position(prices):
     b = _builder(prices=prices[["B", "C"]].head(5), initial_cash=50000)
     for times, state in b:
         b.position = state.nav / (state.prices * 2)
+        assert np.allclose(b.position, state.nav / (state.prices * 2))
 
     portfolio = b.build()
     assert portfolio.nav.values[-1] == pytest.approx(49773.093729)

tests/test_portfolio.py

@@ -15,7 +15,7 @@ def test_state():
     positions = pd.Series(data=[100, 300])
     cash = 400
     state = _State(cash=cash, prices=prices)
-    state.position = positions
+    state._position = positions
     # value is the money in stocks
     assert state.value == 1100.0
     # nav is the value plus the cash

tests/test_state.py

@@ -1,27 +1,33 @@
+import numpy as np
 import pandas as pd
 
 from cvx.simulator.builder import _State
 
 
 def test_trade(prices):
-    s = _State(prices=prices)
-    s._position = pd.Series({"A": 10, "B": 20, "C": -10})
+    s = _State(prices=prices[["A", "B", "C"]].iloc[0])
+    s.time = prices.index[0]
+    print(s.assets)
+
+    s._position = np.array([10, 20, -10])
+    print(s.position)
+
     x = s._trade(pd.Series({"B": 25, "C": -15, "D": 40}))
     pd.testing.assert_series_equal(
         x, pd.Series({"A": -10.0, "B": 5.0, "C": -5.0, "D": 40.0})
     )
 
 
 def test_trade_no_init_pos(prices):
-    s = _State(prices=prices)
+    s = _State(prices=prices.iloc[0])
     x = s._trade(pd.Series({"B": 25.0, "C": -15.0, "D": 40.0}))
     pd.testing.assert_series_equal(x, pd.Series({"B": 25.0, "C": -15.0, "D": 40.0}))
 
 
 def test_update(prices):
     s = _State(prices=prices.iloc[0])
     assert s.cash == 1e6
-    s.position = pd.Series({"B": 25.0, "C": -15.0, "D": 40.0})
+    s._position = pd.Series({"B": 25.0, "C": -15.0, "D": 40.0})
     assert s.cash == 1206047.2
     assert s.value == -206047.2
     assert s.nav == 1e6