wassname/options_backtester
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Drop entry signals with qty == 0. _buy_stocks and _sell_some_options now update self.current_cash

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This commit is contained in:
Juan Pablo Amoroso
2020-03-16 19:39:48 -03:00
parent cb00fc528b
commit 21ee9134d2
1 changed files with 36 additions and 35 deletions
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backtester/backtester.py
+36 -35
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@@ -4,7 +4,7 @@ import numpy as np
import pandas as pd
import pyprind
from .enums import Stock, Signal, Direction, get_order
from .enums import *
from .datahandler import HistoricalOptionsData, TiingoData
from .strategy import Strategy
@@ -117,10 +117,9 @@ class Backtest:
for date, stocks, options in data_iterator:
if (date in rebalancing_days):
previous_rb_date = rebalancing_days[rebalancing_days.get_loc(date) -
1] if rebalancing_days.get_loc(date) != 0 else date
self._update_balance(previous_rb_date, date, self._stocks_data, self._options_data)
self._update_balance(previous_rb_date, date)
self._rebalance_portfolio(date, stocks, options, sma_days)
bar.update()
@@ -184,42 +183,30 @@ class Backtest:
options_allocation = self.allocation['options'] * total_capital
# buy stocks
stocks_allocation = self.allocation['stocks'] * total_capital
self._stocks_inventory = pd.DataFrame(columns=['symbol', 'price', 'qty'])
self._buy_stocks(stocks, stocks_allocation, sma_days)
stock_capital = self._current_stock_capital(stocks)
stock_cash = stocks_allocation - stock_capital
# exit/enter contracts
if options_allocation >= options_capital:
options_cash = self._execute_option_entries(date, options, options_allocation - options_capital)
if self.allocation['options'] * total_capital >= options_capital:
self._execute_option_entries(date, options, options_allocation - options_capital)
else:
to_sell = options_capital - options_allocation
options_value = self._get_current_option_quotes(options)
options_cash = self._sell_some_options(date, to_sell, options_value)
self.current_cash = stock_cash + options_cash
self._sell_some_options(date, to_sell, options_value)
def _sell_some_options(self, date, to_sell, options_value):
sold = 0
values_by_row = [0] * len(options_value[0])
for i in range(len(self._options_strategy.legs)):
values_by_row += options_value[i]['cost'].values # sum in each row all the values in the leg
for i, (contract_per_row, inventory_row) in enumerate(zip(values_by_row, self._options_inventory.iterrows())):
total_costs = np.sum([options_value[i]['cost'] for i in range(len(options_value))])
for i, (contract_per_row, inventory_row) in enumerate(zip(total_costs, self._options_inventory.iterrows())):
if to_sell - sold < -contract_per_row * inventory_row[1]['totals']['qty']:
qty_to_sell = to_sell // contract_per_row
self._options_inventory.at[i, ('totals', 'date')] = date
self._options_inventory.at[i, ('totals', 'qty')] += qty_to_sell
sold -= (qty_to_sell * contract_per_row)
return to_sell - sold
self.current_cash += to_sell - sold
def _current_stock_capital(self, stocks):
"""Return the current value of the stocks inventory.
@@ -250,6 +237,7 @@ class Backtest:
def _buy_stocks(self, stocks, allocation, sma_days):
"""Buys stocks according to their given weight, optionally using an SMA entry filter.
Updates `self._stocks_inventory` and `self.current_cash`.
Args:
stocks (pd.DataFrame): Stocks data for the current time step.
@@ -268,15 +256,20 @@ class Backtest:
else:
qty = (allocation * stock_percentages) // stock_prices
self.current_cash -= np.sum(stock_prices * qty)
self._stocks_inventory = pd.DataFrame({'symbol': stock_symbols, 'price': stock_prices, 'qty': qty})
def _update_balance(self, start_date, end_date, stocks, options):
def _update_balance(self, start_date, end_date):
"""Updates self.balance in batch in a certain period between rebalancing days"""
stocks_data = stocks.query('(date >= "{}") & (date < "{}")'.format(start_date, end_date))
options_data = options.query('(quotedate >= "{}") & (quotedate < "{}")'.format(start_date, end_date))
stocks_date_col = self._stocks_schema['date']
stocks_data = self._stocks_data.query('({date_col} >= "{start_date}") & ({date_col} < "{end_date}")'.format(
date_col=stocks_date_col, start_date=start_date, end_date=end_date))
options_date_col = self._options_schema['date']
options_data = self._options_data.query('({date_col} >= "{start_date}") & ({date_col} < "{end_date}")'.format(
date_col=options_date_col, start_date=start_date, end_date=end_date))
calls_value = pd.Series(0, index=options_data['quotedate'].unique())
puts_value = pd.Series(0, index=options_data['quotedate'].unique())
calls_value = pd.Series(0, index=options_data[options_date_col].unique())
puts_value = pd.Series(0, index=options_data[options_date_col].unique())
for leg in self._options_strategy.legs:
leg_inventory = self._options_inventory[leg.name]
@@ -284,15 +277,17 @@ class Backtest:
for contract in leg_inventory['contract']:
leg_inventory_contract = leg_inventory.query('contract == "{}"'.format(contract))
qty = self._options_inventory.loc[leg_inventory_contract.index]['totals']['qty'].values[0]
options_contract_col = self._options_schema['contract']
current = leg_inventory_contract[['contract']].merge(options_data,
how='left',
left_on='contract',
right_on='optionroot').set_index('quotedate')
right_on=options_contract_col)
current.set_index(options_date_col, inplace=True)
if cost_field == 'ask':
if cost_field == Direction.BUY.value:
current[cost_field] = -current[cost_field]
if (leg_inventory_contract['type'] == 'call').any():
if (leg_inventory_contract['type'] == Type.CALL.value).any():
calls_value += current[cost_field] * qty * self.shares_per_contract
else:
puts_value += current[cost_field] * qty * self.shares_per_contract
@@ -301,11 +296,12 @@ class Backtest:
on='symbol')
stocks_current['cost'] = stocks_current['qty'] * stocks_current['adjClose']
add = pd.concat([
stocks_current[stocks_current['symbol'] == stock.symbol].set_index('date')[['cost']].rename(
columns={'cost': stock.symbol}) for stock in self._stocks
],
axis=1)
columns = [
stocks_current[stocks_current['symbol'] == stock.symbol].set_index(stocks_date_col)[[
'cost'
]].rename(columns={'cost': stock.symbol}) for stock in self._stocks
]
add = pd.concat(columns, axis=1)
add['cash'] = self.current_cash
add['options qty'] = self._options_inventory['totals']['qty'].sum()
@@ -321,6 +317,7 @@ class Backtest:
def _execute_option_entries(self, date, options, options_allocation):
"""Enters option positions according to `self._options_strategy`.
Calls `self._pick_entry_signals` to select from the entry signals given by the strategy.
Updates `self._options_inventory` and `self.current_cash`.
Args:
date (pd.Timestamp): Current date.
@@ -366,6 +363,9 @@ class Backtest:
entry_signals.append(totals)
entry_signals = pd.concat(entry_signals, axis=1)
# Remove signals where qty == 0
entry_signals = entry_signals[entry_signals['totals']['qty'] > 0].reset_index()
entries = self._pick_entry_signals(entry_signals)
# Update options inventory, trade log and current cash
@@ -378,6 +378,7 @@ class Backtest:
"""Exits option positions according to `self._options_strategy`.
Option positions are closed whenever the strategy signals an exit, when the profit/loss thresholds
are exceeded or whenever the contracts in `self._options_inventory` are not found in `options`.
Updates `self._options_inventory` and `self.current_cash`.
Args:
date (pd.Timestamp): Current date.