Bhrolenok3: Created page with "These test cases rely on a set of orders files, provided here: File:orders_mc2p1_spr2016.zip

 marketsim_test_cases = [     MarketsimTestCase(         description="Or..."

2016-02-28T08:05:39Z

Created page with "These test cases rely on a set of orders files, provided here: File:orders_mc2p1_spr2016.zip <pre> marketsim_test_cases = [ MarketsimTestCase( description="Or..."

New page

These test cases rely on a set of orders files, provided here:
[[File:orders_mc2p1_spr2016.zip]]

<pre>
marketsim_test_cases = [
MarketsimTestCase(
description="Orders 1",
group='basic',
inputs=dict(
orders_file=os.path.join('orders', 'orders-01.csv'),
start_val=1000000
),
outputs=dict(
num_days = 245 ,
last_day_portval = 1115569.2 ,
sharpe_ratio = 0.612340613407 ,
avg_daily_ret = 0.00055037432146
)
),
MarketsimTestCase(
description="Orders 2",
group='basic',
inputs=dict(
orders_file=os.path.join('orders', 'orders-02.csv'),
start_val=1000000
),
outputs=dict(
num_days = 245 ,
last_day_portval = 1095003.35 ,
sharpe_ratio = 1.01613520942 ,
avg_daily_ret = 0.000390534819609
)
),
MarketsimTestCase(
description="Orders 3",
group='basic',
inputs=dict(
orders_file=os.path.join('orders', 'orders-03.csv'),
start_val=1000000
),
outputs=dict(
num_days = 240 ,
last_day_portval = 857616.0 ,
sharpe_ratio = -0.759896272199 ,
avg_daily_ret = -0.000571326189931
)
),
MarketsimTestCase(
description="Orders 4",
group='basic',
inputs=dict(
orders_file=os.path.join('orders', 'orders-04.csv'),
start_val=1000000
),
outputs=dict(
num_days = 233 ,
last_day_portval = 923545.4 ,
sharpe_ratio = -0.266030146916 ,
avg_daily_ret = -0.000240200768212
)
),
MarketsimTestCase(
description="Orders 5",
group='basic',
inputs=dict(
orders_file=os.path.join('orders', 'orders-05.csv'),
start_val=1000000
),
outputs=dict(
num_days = 296 ,
last_day_portval = 1415563.0 ,
sharpe_ratio = 2.19591520826 ,
avg_daily_ret = 0.00121733290744
)
),
MarketsimTestCase(
description="Orders 6",
group='basic',
inputs=dict(
orders_file=os.path.join('orders', 'orders-06.csv'),
start_val=1000000
),
outputs=dict(
num_days = 210 ,
last_day_portval = 894604.3 ,
sharpe_ratio = -1.23463930987,
avg_daily_ret = -0.000511281541086
)
),
MarketsimTestCase(
description="Orders 7 (modified)",
group='basic',
inputs=dict(
orders_file=os.path.join('orders', 'orders-07-modified.csv'),
start_val=1000000
),
outputs=dict(
num_days = 237 ,
last_day_portval = 1104930.8 ,
sharpe_ratio = 2.07335994413 ,
avg_daily_ret = 0.000428245010481
)
),
MarketsimTestCase(
description="Orders 8 (modified)",
group='basic',
inputs=dict(
orders_file=os.path.join('orders', 'orders-08-modified.csv'),
start_val=1000000
),
outputs=dict(
num_days = 229 ,
last_day_portval = 1071325.1 ,
sharpe_ratio = 0.896734443277,
avg_daily_ret = 0.000318004442115
)
),
MarketsimTestCase(
description="Orders 9 (modified)",
group='basic',
inputs=dict(
orders_file=os.path.join('orders', 'orders-09-modified.csv'),
start_val=1000000
),
outputs=dict(
num_days = 37 ,
last_day_portval = 1058990.0,
sharpe_ratio = 2.54864656282 ,
avg_daily_ret = 0.00164458341408
)
),
MarketsimTestCase(
description="Orders 10 (modified)",
group='basic',
inputs=dict(
orders_file=os.path.join('orders', 'orders-10-modified.csv'),
start_val=1000000
),
outputs=dict(
num_days = 141 ,
last_day_portval = 1070819.0,
sharpe_ratio = 1.0145855303,
avg_daily_ret = 0.000521814978394
)
),
MarketsimTestCase(
description="Orders 11 - Leveraged SELL (modified)",
group='leverage',
inputs=dict(
orders_file=os.path.join('orders', 'orders-11-modified.csv'),
start_val=1000000
),
outputs=dict(
last_day_portval = 1053560.0
)
),
MarketsimTestCase(
description="Orders 12 - Leveraged BUY (modified)",
group='leverage',
inputs=dict(
orders_file=os.path.join('orders', 'orders-12-modified.csv'),
start_val=1000000
),
outputs=dict(
last_day_portval = 1044437.0
)
),
MarketsimTestCase(
description="Wiki leverage example #1",
group='leverage',
inputs=dict(
orders_file=os.path.join('orders', 'orders-leverage-1.csv'),
start_val=1000000
),
outputs=dict(
last_day_portval = 1050160.0
)
),
MarketsimTestCase(
description="Wiki leverage example #2",
group='leverage',
inputs=dict(
orders_file=os.path.join('orders', 'orders-leverage-2.csv'),
start_val=1000000
),
outputs=dict(
last_day_portval = 1074650.0
)
),
MarketsimTestCase(
description="Wiki leverage example #3",
group='leverage',
inputs=dict(
orders_file=os.path.join('orders', 'orders-leverage-3.csv'),
start_val=1000000
),
outputs=dict(
last_day_portval = 1050160.0
)
),
]
</pre>

MC2-Project-1-Test-Cases-spr2016 - Revision history

Bhrolenok3: Created page with "These test cases rely on a set of orders files, provided here: File:orders_mc2p1_spr2016.zip
marketsim_test_cases = [ MarketsimTestCase( description="Or..."