Created
September 8, 2021 20:09
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Implementing class structure with a lot of business logic
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""" | |
Portfolio implementation | |
""" | |
class Portfolio: | |
"""Used for backtesting strategies and taking actions through time.""" | |
def __init__(self, **kwargs): | |
self.capital_allocation = capital_allocation | |
... | |
self.s3_client = boto3.client("s3") | |
@property | |
def transactions(self): | |
"""Records all transactions through portfolio's existence period.""" | |
if self._transactions.empty: | |
self.run() | |
return self._transactions | |
def get_adjusted_close(self, ticker: str, trading_day: Arrow) -> float: | |
"""Returns the closing price for a symbol on a given day.""" | |
# no need to inject the s3_client since we can just depend on self! | |
return qm.equities.historical.get_price(self.s3_client, self.s3_bucket, ticker, trading_day) | |
def update_positions(self): | |
# updates the transactions dataframe, which is port of a portfolio instance | |
# that's ok...right? | |
return df | |
def run(self): | |
""" | |
Iterates through each day of the portfolio time period. | |
Add record to positions dataframe and returns series identify if action should be taken if so. | |
pull data for equity universe and identify top n stocks | |
calculate position size for each stock and number of stocks to purchase | |
liquidate all existing positions (add to transactions dataframe) | |
enter new positions (add to transactions dataframe) | |
Rebalance quarterly, before quarter ending months: end of February, May, August, and November. | |
""" | |
# orchestrates calls to various funcitons and updates "private" variables like _transactions | |
pass | |
""" | |
Testing our Portfolio implementation | |
""" | |
@mock.patch('client.s3_client') | |
def test_portfolio_update_postions(): | |
# need to mock our s3_client so that our portfolio can initialize | |
portfolio = Portfolio(capital_allocation=100000..., start_date=... end_date=...) | |
# set the _transactions property so that our update_positions has the data it needs within | |
# this Portfolio instance, hope we remember all the other pieces of state we need to set up | |
# to get this test working! | |
portfolio._transactions = pd.DataFrame(...) | |
portfolio.update_positions() | |
expected_positions = ... | |
assert expected_positions == portfolio.positions |
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