Added only stocks test

backtester/test/backtester/test_backtester.py

@@ -1,13 +1,14 @@
 import numpy as np
 
-from backtester.enums import Stock
 from backtester.strategy import Strategy, StrategyLeg
 from backtester.enums import Type, Direction
 from backtester import Backtest
 
 
-def test_backtest(sample_datahandler_stocks, sample_datahandler_options):
-    tl_long, balance_long = run_backtest(sample_datahandler_stocks, sample_datahandler_options, Direction.BUY)
+def test_backtest(sample_stock_portfolio, sample_stocks_datahandler, sample_options_datahandler):
+    bt = run_backtest(sample_stock_portfolio, sample_stocks_datahandler, sample_options_datahandler,
+                      sample_options_strategy(Direction.BUY, sample_options_datahandler.schema))
+    tl_long, balance_long = bt.trade_log, bt.balance
 
     last_day_balance_long = balance_long.iloc[-1].values
 
@@ -30,7 +31,9 @@ def test_backtest(sample_datahandler_stocks, sample_datahandler_options):
     assert (np.isclose(total_costs, [195015.0, -197060.0, 189290.0, -185650.0], atol=tol)).all()
     assert (dates == ['2017-01-03', '2017-02-01', '2017-03-01', '2017-04-03']).all()
 
-    tl_short, balance_short = run_backtest(sample_datahandler_stocks, sample_datahandler_options, Direction.SELL)
+    bt = run_backtest(sample_stock_portfolio, sample_stocks_datahandler, sample_options_datahandler,
+                      sample_options_strategy(Direction.SELL, sample_options_datahandler.schema))
+    tl_short, balance_short = bt.trade_log, bt.balance
 
     last_day_balance_short = balance_short.iloc[-1].values
 
@@ -51,22 +54,50 @@ def test_backtest(sample_datahandler_stocks, sample_datahandler_options):
     assert (dates == ['2017-03-01', '2017-04-03']).all()
 
 
-def run_backtest(stock_data, options_data, direction):
-    schema = options_data.schema
-    test_strat = strategy(direction, schema)
-    stocks = portfolio()
+# We use Portfolio Visualizer (https://www.portfoliovisualizer.com/backtest-portfolio)
+# to find the actual return for the Ivy porfolio.
 
-    bt = Backtest({'stocks': 0.50, 'options': 0.50, 'cash': 0})
+
+def test_backtest_only_stocks(ivy_portfolio, ivy_portfolio_datahandler, sample_options_datahandler):
+    allocation = {'stocks': 1.0, 'options': 0.0, 'cash': 0.0}
+    bt = run_backtest(ivy_portfolio,
+                      ivy_portfolio_datahandler,
+                      sample_options_datahandler,
+                      sample_options_strategy(Direction.BUY, sample_options_datahandler.schema),
+                      allocation=allocation)
+
+    print(bt.balance.columns)
+    balance = bt.balance[1:]
+    tolerance = 0.0001
+    assert np.allclose(balance['total capital'], balance['cash'] + balance['stocks capital'], rtol=tolerance)
+    assert np.allclose(balance['total capital'], bt.initial_capital * balance['accumulated return'], rtol=tolerance)
+
+    actual_return = 1.025
+    return_tolerance = 0.01
+    assert np.isclose(balance['accumulated return'].iloc[-1], actual_return, rtol=return_tolerance)
+
+
+def run_backtest(stocks,
+                 stock_data,
+                 options_data,
+                 strategy,
+                 allocation={
+                     'stocks': 0.50,
+                     'options': 0.50,
+                     'cash': 0
+                 },
+                 **kwargs):
+    bt = Backtest(allocation, **kwargs)
     bt.stocks = stocks
-    bt.options_strategy = test_strat
+    bt.options_strategy = strategy
     bt.options_data = options_data
     bt.stocks_data = stock_data
 
     bt.run(rebalance_freq=1)
-    return bt.trade_log, bt.balance
+    return bt
 
 
-def strategy(direction, schema):
+def sample_options_strategy(direction, schema):
     test_strat = Strategy(schema)
     leg1 = StrategyLeg("leg_1", schema, option_type=Type.CALL, direction=direction)
     leg1.entry_filter = ((schema.contract == "SPX170317C00300000") &
@@ -83,12 +114,3 @@ def strategy(direction, schema):
     test_strat.add_legs([leg1, leg2])
 
     return test_strat
-
-
-def portfolio():
-    VOO = Stock('VOO', 0.4)
-    TUR = Stock('TUR', 0.1)
-    RSX = Stock('RSX', 0.5)
-
-    stocks = [VOO, TUR, RSX]
-    return stocks

backtester/test/conftest.py

@@ -3,20 +3,47 @@ import os
 import pytest
 
 from backtester.datahandler import HistoricalOptionsData, TiingoData
+from backtester.enums import Stock
 
 TEST_DIR = os.path.abspath(os.path.dirname(__file__))
 
-SAMPLE_DATA_STOCKS = os.path.join(TEST_DIR, 'backtester', 'test_data', 'test_data_stocks.csv')
-SAMPLE_DATA_OPTIONS = os.path.join(TEST_DIR, 'backtester', 'test_data', 'test_data.csv')
+SAMPLE_DATA_STOCKS = os.path.join(TEST_DIR, 'test_data', 'test_data_stocks.csv')
+IVY_PORTFOLIO_DATA = os.path.join(TEST_DIR, 'test_data', 'ivy_portfolio.csv')
+SAMPLE_DATA_OPTIONS = os.path.join(TEST_DIR, 'test_data', 'test_data.csv')
+
+# DataHandler fixtures
 
 
 @pytest.fixture(scope='module')
-def sample_datahandler_stocks():
+def sample_stocks_datahandler():
     data = TiingoData(SAMPLE_DATA_STOCKS)
     return data
 
 
 @pytest.fixture(scope='module')
-def sample_datahandler_options():
+def ivy_portfolio_datahandler():
+    data = TiingoData(IVY_PORTFOLIO_DATA)
+    return data
+
+
+@pytest.fixture(scope='module')
+def sample_options_datahandler():
     data = HistoricalOptionsData(SAMPLE_DATA_OPTIONS)
     return data
+
+
+# Stock Porfolio fixtures
+
+
+@pytest.fixture(scope='module')
+def ivy_portfolio():
+    return [Stock('VTI', 0.2), Stock('VEU', 0.2), Stock('BND', 0.2), Stock('VNQ', 0.2), Stock('DBC', 0.2)]
+
+
+@pytest.fixture(scope='module')
+def sample_stock_portfolio():
+    VOO = Stock('VOO', 0.4)
+    TUR = Stock('TUR', 0.1)
+    RSX = Stock('RSX', 0.5)
+
+    return [VOO, TUR, RSX]