diff --git a/backtester/test/backtester/test_buy_options.py b/backtester/test/backtester/test_buy_options.py index e6b9b77..3c1d96d 100644 --- a/backtester/test/backtester/test_buy_options.py +++ b/backtester/test/backtester/test_buy_options.py @@ -1,7 +1,5 @@ import numpy as np -import sys import math -import pandas as pc from backtester.strategy import Strategy, StrategyLeg from backtester.enums import Type, Direction from backtester import Backtest @@ -116,76 +114,76 @@ def options_2legs_buy_strategy(options_data): 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[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[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[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 + 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[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[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[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 + 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[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[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[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 + 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[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[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[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 \ No newline at end of file + 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 6dde4eb..77c2e16 100644 --- a/backtester/test/conftest.py +++ b/backtester/test/conftest.py @@ -78,4 +78,4 @@ def ivy_5assets_portfolio(): BND = Stock("BND", 0.2) VNQ = Stock("VNQ", 0.2) DBC = Stock("DBC", 0.2) - return [VTI, VEU, BND, VNQ, DBC] \ No newline at end of file + return [VTI, VEU, BND, VNQ, DBC]