diff --git a/backtester/test/backtester/test_buy_options.py b/backtester/test/backtester/test_buy_options.py index 3c1d96d..f4cf70d 100644 --- a/backtester/test/backtester/test_buy_options.py +++ b/backtester/test/backtester/test_buy_options.py @@ -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 diff --git a/backtester/test/conftest.py b/backtester/test/conftest.py index 77c2e16..0044d36 100644 --- a/backtester/test/conftest.py +++ b/backtester/test/conftest.py @@ -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