Added global test

2026-08-20 12:40:38 +08:00 · 2020-03-17 15:40:23 -03:00
parent cb00fc528b
commit 55356ff56d
3 changed files with 1147 additions and 35 deletions
@@ -1,61 +1,94 @@
 import numpy as np

-from backtester.datahandler import HistoricalOptionsData
+from backtester.enums import Stock
 from backtester.strategy import Strategy, StrategyLeg
-from backtester.option import Type, Direction
+from backtester.enums import Type, Direction
 from backtester import Backtest


-def test_backtest():
-    tl_short = run_backtest(Direction.SELL)
+def test_backtest(sample_datahandler_stocks, sample_datahandler_options):
+    tl_long, balance_long = run_backtest(sample_datahandler_stocks, sample_datahandler_options, Direction.BUY)

-    leg_1_costs = tl_short['leg_1']['cost']
-    leg_2_costs = tl_short['leg_2']['cost']
-    total_costs = tl_short['totals']['cost']
-    dates = tl_short['totals']['date'].dt.strftime("%Y-%m-%d")
-
-    # We test with np.isclose instead of true equality because of possible floating point inaccuracies.
-    tol = 0.000001
-
-    assert ((np.isclose(leg_1_costs, [-184140.0, -137170.0, 183980.0, 136510.0], atol=tol)).all())
-    assert ((np.isclose(leg_2_costs, [-5.0, -30.0, 10.0, 5.0], atol=tol)).all())
-    assert ((np.isclose(total_costs, [-184145.0, -137200.0, 183990.0, 136515.0], atol=tol)).all())
-    assert ((dates == ['2017-02-17', '2017-03-17', '2017-04-19', '2017-05-17']).all())
-
-    tl_long = run_backtest(Direction.BUY)
+    last_day_balance_long = balance_long.iloc[-1].values

    leg_1_costs = tl_long['leg_1']['cost']
    leg_2_costs = tl_long['leg_2']['cost']
    total_costs = tl_long['totals']['cost']
    dates = tl_long['totals']['date'].dt.strftime("%Y-%m-%d")

-    assert ((np.isclose(leg_1_costs, [196880.0, 184580.0, -208220.0, 137620.0, -183540.0, -135750.0], atol=tol)).all())
-    assert ((np.isclose(leg_2_costs, [25.0, 50.0, -0.0, 85.0, -0.0, -0.0], atol=tol)).all())
-    assert ((np.isclose(total_costs, [196905.0, 184630.0, -208220.0, 137705.0, -183540.0, -135750.0], atol=tol)).all())
-    assert ((dates == ['2017-01-13', '2017-02-17', '2017-03-15', '2017-03-17', '2017-04-19', '2017-05-17']).all())
+    # We test with np.isclose instead of true equality because of possible floating point inaccuracies.
+    tol = 0.000001
+
+    assert (np.isclose(last_day_balance_long, [
+        1.001336e+06, 507298.034603, 201228.973492, 49853.700558, 242954.82254999998, 0.0, 0.0, 0.0, 16415.0, 0.0,
+        494037.49659999995, -0.004165, 1.001336
+    ],
+                       atol=tol)).all()
+
+    assert (np.isclose(leg_1_costs, [195010.0, -197060.0, 189250.0, -185650.0], atol=tol)).all()
+    assert (np.isclose(leg_2_costs, [5.0, 0.0, 40.0, 0.0], atol=tol)).all()
+    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)
+
+    last_day_balance_short = balance_short.iloc[-1].values
+
+    leg_1_costs = tl_short['leg_1']['cost']
+    leg_2_costs = tl_short['leg_2']['cost']
+    total_costs = tl_short['totals']['cost']
+    dates = tl_short['totals']['date'].dt.strftime("%Y-%m-%d")
+
+    assert (np.isclose(last_day_balance_short, [
+        1010305.1222639999, 511978.532206, 202876.70306, 50312.368716, 245137.518282, 0.0, 0.0, 0.0, 16562.0, 0.0,
+        498326.590058, -0.004166, 1.010305
+    ],
+                       atol=tol)).all()
+
+    assert (np.isclose(leg_1_costs, [-188980.0, 186060.0], atol=tol)).all()
+    assert (np.isclose(leg_2_costs, [-5.0, 10.0], atol=tol)).all()
+    assert (np.isclose(total_costs, [-188985.0, 186070.0], atol=tol)).all()
+    assert (dates == ['2017-03-01', '2017-04-03']).all()


-def run_backtest(direction):
-    data = HistoricalOptionsData("backtester/test/backtester/test_data/test_data.csv")
-    schema = data.schema
+def run_backtest(stock_data, options_data, direction):
+    schema = options_data.schema
+    test_strat = strategy(direction, schema)
+    stocks = portfolio()

+    bt = Backtest({'stocks': 0.50, 'options': 0.50, 'cash': 0})
+    bt.stocks = stocks
+    bt.options_strategy = test_strat
+    bt.options_data = options_data
+    bt.stocks_data = stock_data
+
+    bt.run(rebalance_freq=1)
+    return bt.trade_log, bt.balance
+
+
+def strategy(direction, schema):
    test_strat = Strategy(schema)
    leg1 = StrategyLeg("leg_1", schema, option_type=Type.CALL, direction=direction)
+    leg1.entry_filter = ((schema.contract == "SPX170317C00300000") &
+                         (schema.dte == 73)) | ((schema.contract == 'SPX170421C00500000') & (schema.dte == 51))

-    leg1.entry_filter = (schema.dte == 63)
-    leg1.exit_filter = (schema.dte <= 2)
+    leg1.exit_filter = (schema.dte == 44) | (schema.dte == 18)

    leg2 = StrategyLeg("leg_2", schema, option_type=Type.PUT, direction=direction)
+    leg2.entry_filter = ((schema.contract == 'SPX170317P00300000') &
+                         (schema.dte == 73)) | ((schema.contract == 'SPX170421P01375000') & (schema.dte == 51))

-    leg2.entry_filter = (schema.dte == 63)
-    leg2.exit_filter = (schema.dte <= 2)
+    leg2.exit_filter = (schema.dte == 44) | (schema.dte == 18)

    test_strat.add_legs([leg1, leg2])

-    bt = Backtest()
-    bt.strategy = test_strat
-    bt.data = data
-    bt.stop_if_broke = False
+    return test_strat

-    bt.run(monthly=False)
-    return bt.trade_log
+
+def portfolio():
+    VOO = Stock('VOO', 0.4)
+    TUR = Stock('TUR', 0.1)
+    RSX = Stock('RSX', 0.5)
+
+    stocks = [VOO, TUR, RSX]
+    return stocks
@@ -0,0 +1,22 @@
+import os
+
+import pytest
+
+from backtester.datahandler import HistoricalOptionsData, TiingoData
+
+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')
+
+
+@pytest.fixture(scope='module')
+def sample_datahandler_stocks():
+    data = TiingoData(SAMPLE_DATA_STOCKS)
+    return data
+
+
+@pytest.fixture(scope='module')
+def sample_datahandler_options():
+    data = HistoricalOptionsData(SAMPLE_DATA_OPTIONS)
+    return data