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Added only options test

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This commit is contained in:
Juan Pablo Amoroso
2020-03-19 15:11:23 -03:00
parent ff70bf12eb
commit e0272074da
1 changed files with 19 additions and 0 deletions
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backtester/test/backtester/test_backtester.py
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@@ -100,6 +100,25 @@ def test_only_cash(sample_stock_portfolio, sample_stocks_datahandler, sample_opt
assert np.allclose(balance['accumulated return'], 1.0, rtol=tolerance)
def test_only_options(sample_stock_portfolio, sample_stocks_datahandler, sample_options_datahandler):
allocation = {'stocks': 0.0, 'options': 1.0, 'cash': 0.0}
bt = run_backtest(sample_stocks_datahandler,
sample_options_datahandler,
sample_options_strategy(Direction.BUY, sample_options_datahandler.schema),
stocks=sample_stock_portfolio,
allocation=allocation)
balance = bt.balance[1:]
tolerance = 0.0001
assert np.allclose(balance['total capital'], balance['cash'] + balance['options capital'], rtol=tolerance)
assert np.allclose(balance['total capital'], bt.initial_capital * balance['accumulated return'], rtol=tolerance)
assert np.allclose(balance['stocks capital'], 0, rtol=tolerance)
actual_return = 0.992025
return_tolerance = 0.01
assert np.allclose(balance['accumulated return'].iloc[-1], actual_return, rtol=return_tolerance)
def test_current_stock_capital(sample_stocks_datahandler, sample_stock_portfolio):
bt = Backtest({'stocks': 1, 'options': 0, 'cash': 0})
bt.stocks_data = sample_stocks_datahandler