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data settings moved to conftest

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Camilo1704
2020-03-25 17:28:23 -03:00
parent feb426876e
commit a726063637
2 changed files with 92 additions and 92 deletions
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backtester/test/backtester/test_buy_options.py
+8 -86
View File
@@ -5,10 +5,9 @@ from backtester.enums import Type, Direction
from backtester import Backtest
def test_sell_some_options_1legs(sample_2puts_2calls_datahandler, ivy_portfolio_5assets_datahandler,
ivy_5assets_portfolio):
def test_sell_some_options_1legs(options_data_2puts_buy, ivy_portfolio_5assets_datahandler, ivy_5assets_portfolio):
options_data = set_data_2puts_buy(sample_2puts_2calls_datahandler)
options_data = options_data_2puts_buy
bt = run_backtest(ivy_5assets_portfolio, ivy_portfolio_5assets_datahandler, options_data,
options_1leg_buy_strategy(options_data))
tolerance = 0.0001
@@ -22,9 +21,8 @@ def test_sell_some_options_1legs(sample_2puts_2calls_datahandler, ivy_portfolio_
rtol=tolerance)
def test_sell_some_options_2legs_buy(sample_2puts_2calls_datahandler, ivy_portfolio_5assets_datahandler,
ivy_5assets_portfolio):
options_data = set_data_2legs_buy(sample_2puts_2calls_datahandler)
def test_sell_some_options_2legs_buy(options_data_2legs_buy, ivy_portfolio_5assets_datahandler, ivy_5assets_portfolio):
options_data = options_data_2legs_buy
bt = run_backtest(ivy_5assets_portfolio, ivy_portfolio_5assets_datahandler, options_data,
options_2legs_buy_strategy(options_data))
@@ -39,9 +37,9 @@ def test_sell_some_options_2legs_buy(sample_2puts_2calls_datahandler, ivy_portfo
assert np.allclose(bt.trade_log['totals']['cost'].values, [200, 300], rtol=tolerance)
def test_sell_some_options_1leg_buy_sell(sample_2puts_2calls_datahandler, ivy_portfolio_5assets_datahandler,
def test_sell_some_options_1leg_buy_sell(options_data_1put_buy_sell, ivy_portfolio_5assets_datahandler,
ivy_5assets_portfolio):
options_data = set_data_1put_buy_sell(sample_2puts_2calls_datahandler)
options_data = options_data_1put_buy_sell
bt = run_backtest(ivy_5assets_portfolio, ivy_portfolio_5assets_datahandler, options_data,
options_1leg_buy_strategy(options_data))
tolerance = 0.0001
@@ -51,9 +49,9 @@ def test_sell_some_options_1leg_buy_sell(sample_2puts_2calls_datahandler, ivy_po
assert np.allclose(bt.trade_log['totals']['cost'].values, [100, -200], rtol=tolerance)
def test_sell_some_options_2leg_buy_sell(sample_2puts_2calls_datahandler, ivy_portfolio_5assets_datahandler,
def test_sell_some_options_2leg_buy_sell(options_data_buy_and_sell_2legs, ivy_portfolio_5assets_datahandler,
ivy_5assets_portfolio):
options_data = set_data_buy_and_sell_2legs(sample_2puts_2calls_datahandler)
options_data = options_data_buy_and_sell_2legs
bt = run_backtest(ivy_5assets_portfolio, ivy_portfolio_5assets_datahandler, options_data,
options_2legs_buy_strategy(options_data))
tolerance = 0.0001
@@ -111,79 +109,3 @@ def options_2legs_buy_strategy(options_data):
leg_2.exit_filter = (options_schema.dte <= 30)
test_strat.add_legs([leg_1, leg_2])
return test_strat
def set_data_2puts_buy(data):
data._data.at[2, 'ask'] = 1 # SPX6500 put 2014-12-15
data._data.at[2, 'bid'] = 0.5 # SPX6500 put 2014-12-15
data._data.at[51, 'ask'] = 1.5 # SPX7000 put 2015-01-02
data._data.at[50, 'bid'] = 0.5 # SPX6500 put 2015-01-02
data._data.at[130, 'bid'] = 0.5 # SPX6500 put 2015-02-02
data._data.at[131, 'bid'] = 1.5 # SPX7000 put 2015-02-02
data._data.at[206, 'bid'] = 0.5 # SPX6500 put 2015-03-02
data._data.at[207, 'bid'] = 1.5 # SPX7000 put 2015-03-02
return data
def set_data_2legs_buy(data):
data._data.at[0, 'ask'] = 1 # SPX6500 call 2014-12-15
data._data.at[0, 'bid'] = 0.5 # SPX6500 call 2014-12-15
data._data.at[2, 'ask'] = 1 # SPX6500 put 2014-12-15
data._data.at[2, 'bid'] = 0.5 # SPX6500 put 2014-12-15
data._data.at[51, 'ask'] = 1.5 # SPX7000 put 2015-01-02
data._data.at[50, 'bid'] = 0.5 # SPX6500 put 2015-01-02
data._data.at[49, 'ask'] = 1.5 # SPX7000 call 2015-01-02
data._data.at[48, 'bid'] = 0.5 # SPX6500 call 2015-01-02
data._data.at[130, 'bid'] = 0.5 # SPX6500 put 2015-02-02
data._data.at[131, 'bid'] = 1.5 # SPX7000 put 2015-02-02
data._data.at[128, 'bid'] = 0.5 # SPX6500 call 2015-02-02
data._data.at[129, 'bid'] = 1.5 # SPX7000 call 2015-02-02
data._data.at[206, 'bid'] = 0.5 # SPX6500 put 2015-03-02
data._data.at[207, 'bid'] = 1.5 # SPX7000 put 2015-03-02
data._data.at[204, 'bid'] = 0.5 # SPX6500 call 2015-03-02
data._data.at[205, 'bid'] = 1.5 # SPX7000 call 2015-03-02
return data
def set_data_1put_buy_sell(data):
data._data.at[2, 'ask'] = 1 # SPX6500 put 2014-12-15
data._data.at[2, 'bid'] = 0.5 # SPX6500 put 2014-12-15
data._data.at[50, 'ask'] = 1.5 # SPX6500 put 2015-01-02
data._data.at[50, 'bid'] = 1 # SPX6500 put 2015-01-02
data._data.at[130, 'bid'] = 2 # SPX6500 put 2015-02-02
data._data.at[130, 'ask'] = 2.5 # SPX6500 put 2015-02-02
data._data.at[206, 'bid'] = 2 # SPX6500 put 2015-03-02
data._data.at[206, 'ask'] = 2.5 # SPX7000 put 2015-03-02
return data
def set_data_buy_and_sell_2legs(data):
data._data.at[0, 'ask'] = 1 # SPX6500 call 2014-12-15
data._data.at[0, 'bid'] = 0.5 # SPX6500 call 2014-12-15
data._data.at[2, 'ask'] = 1 # SPX6500 put 2014-12-15
data._data.at[2, 'bid'] = 0.5 # SPX6500 put 2014-12-15
data._data.at[51, 'ask'] = 1.5 # SPX7000 put 2015-01-02
data._data.at[50, 'bid'] = 0.5 # SPX6500 put 2015-01-02
data._data.at[49, 'ask'] = 1.5 # SPX7000 call 2015-01-02
data._data.at[48, 'bid'] = 0.5 # SPX6500 call 2015-01-02
data._data.at[130, 'bid'] = 0.5 # SPX6500 put 2015-02-02
data._data.at[131, 'bid'] = 1.5 # SPX7000 put 2015-02-02
data._data.at[128, 'bid'] = 0.5 # SPX6500 call 2015-02-02
data._data.at[129, 'bid'] = 1.5 # SPX7000 call 2015-02-02
data._data.at[206, 'bid'] = 1 # SPX6500 put 2015-03-02
data._data.at[207, 'bid'] = 1.5 # SPX7000 put 2015-03-02
data._data.at[204, 'bid'] = 1. # SPX6500 call 2015-03-02
data._data.at[205, 'bid'] = 1.5 # SPX7000 call 2015-03-02
return data
backtester/test/conftest.py
+84 -6
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@@ -48,12 +48,6 @@ def ivy_portfolio_5assets_datahandler():
return data
@pytest.fixture(scope='module')
def sample_2puts_2calls_datahandler():
data = HistoricalOptionsData(TWO_PUTS_TWO_CALLS_DATA)
return data
# Stock Porfolio fixtures
@@ -79,3 +73,87 @@ def ivy_5assets_portfolio():
VNQ = Stock("VNQ", 0.2)
DBC = Stock("DBC", 0.2)
return [VTI, VEU, BND, VNQ, DBC]
@pytest.fixture(scope='module')
def options_data_2puts_buy():
data = HistoricalOptionsData(TWO_PUTS_TWO_CALLS_DATA)
data._data.at[2, 'ask'] = 1 # SPX6500 put 2014-12-15
data._data.at[2, 'bid'] = 0.5 # SPX6500 put 2014-12-15
data._data.at[51, 'ask'] = 1.5 # SPX7000 put 2015-01-02
data._data.at[50, 'bid'] = 0.5 # SPX6500 put 2015-01-02
data._data.at[130, 'bid'] = 0.5 # SPX6500 put 2015-02-02
data._data.at[131, 'bid'] = 1.5 # SPX7000 put 2015-02-02
data._data.at[206, 'bid'] = 0.5 # SPX6500 put 2015-03-02
data._data.at[207, 'bid'] = 1.5 # SPX7000 put 2015-03-02
return data
@pytest.fixture(scope='module')
def options_data_2legs_buy():
data = HistoricalOptionsData(TWO_PUTS_TWO_CALLS_DATA)
data._data.at[0, 'ask'] = 1 # SPX6500 call 2014-12-15
data._data.at[0, 'bid'] = 0.5 # SPX6500 call 2014-12-15
data._data.at[2, 'ask'] = 1 # SPX6500 put 2014-12-15
data._data.at[2, 'bid'] = 0.5 # SPX6500 put 2014-12-15
data._data.at[51, 'ask'] = 1.5 # SPX7000 put 2015-01-02
data._data.at[50, 'bid'] = 0.5 # SPX6500 put 2015-01-02
data._data.at[49, 'ask'] = 1.5 # SPX7000 call 2015-01-02
data._data.at[48, 'bid'] = 0.5 # SPX6500 call 2015-01-02
data._data.at[130, 'bid'] = 0.5 # SPX6500 put 2015-02-02
data._data.at[131, 'bid'] = 1.5 # SPX7000 put 2015-02-02
data._data.at[128, 'bid'] = 0.5 # SPX6500 call 2015-02-02
data._data.at[129, 'bid'] = 1.5 # SPX7000 call 2015-02-02
data._data.at[206, 'bid'] = 0.5 # SPX6500 put 2015-03-02
data._data.at[207, 'bid'] = 1.5 # SPX7000 put 2015-03-02
data._data.at[204, 'bid'] = 0.5 # SPX6500 call 2015-03-02
data._data.at[205, 'bid'] = 1.5 # SPX7000 call 2015-03-02
return data
@pytest.fixture(scope='module')
def options_data_1put_buy_sell():
data = HistoricalOptionsData(TWO_PUTS_TWO_CALLS_DATA)
data._data.at[2, 'ask'] = 1 # SPX6500 put 2014-12-15
data._data.at[2, 'bid'] = 0.5 # SPX6500 put 2014-12-15
data._data.at[50, 'ask'] = 1.5 # SPX6500 put 2015-01-02
data._data.at[50, 'bid'] = 1 # SPX6500 put 2015-01-02
data._data.at[130, 'bid'] = 2 # SPX6500 put 2015-02-02
data._data.at[130, 'ask'] = 2.5 # SPX6500 put 2015-02-02
data._data.at[206, 'bid'] = 2 # SPX6500 put 2015-03-02
data._data.at[206, 'ask'] = 2.5 # SPX7000 put 2015-03-02
return data
@pytest.fixture(scope='module')
def options_data_buy_and_sell_2legs():
data = HistoricalOptionsData(TWO_PUTS_TWO_CALLS_DATA)
data._data.at[0, 'ask'] = 1 # SPX6500 call 2014-12-15
data._data.at[0, 'bid'] = 0.5 # SPX6500 call 2014-12-15
data._data.at[2, 'ask'] = 1 # SPX6500 put 2014-12-15
data._data.at[2, 'bid'] = 0.5 # SPX6500 put 2014-12-15
data._data.at[51, 'ask'] = 1.5 # SPX7000 put 2015-01-02
data._data.at[50, 'bid'] = 0.5 # SPX6500 put 2015-01-02
data._data.at[49, 'ask'] = 1.5 # SPX7000 call 2015-01-02
data._data.at[48, 'bid'] = 0.5 # SPX6500 call 2015-01-02
data._data.at[130, 'bid'] = 0.5 # SPX6500 put 2015-02-02
data._data.at[131, 'bid'] = 1.5 # SPX7000 put 2015-02-02
data._data.at[128, 'bid'] = 0.5 # SPX6500 call 2015-02-02
data._data.at[129, 'bid'] = 1.5 # SPX7000 call 2015-02-02
data._data.at[206, 'bid'] = 1 # SPX6500 put 2015-03-02
data._data.at[207, 'bid'] = 1.5 # SPX7000 put 2015-03-02
data._data.at[204, 'bid'] = 1. # SPX6500 call 2015-03-02
data._data.at[205, 'bid'] = 1.5 # SPX7000 call 2015-03-02
return data