mirror of
https://github.com/wassname/options_backtester.git
synced 2026-07-12 09:17:22 +08:00
Juan Pablo Amoroso
72 lines
2.2 KiB
Python
72 lines
2.2 KiB
Python
import math
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import numpy as np
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class Strategy:
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"""Options strategy class.
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Takes in a number of `StrategyLeg`'s (option contracts), and filters that determine
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entry and exit conditions.
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"""
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def __init__(self, schema):
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self.schema = schema
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self.legs = []
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self.conditions = []
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self.exit_thresholds = (math.inf, math.inf)
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def add_leg(self, leg):
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"""Adds leg to the strategy"""
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assert self.schema == leg.schema
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leg.name = "leg_{}".format(len(self.legs) + 1)
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self.legs.append(leg)
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return self
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def add_legs(self, legs):
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"""Adds legs to the strategy"""
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for leg in legs:
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self.add_leg(leg)
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return self
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def remove_leg(self, leg_number):
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"""Removes leg from the strategy"""
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self.legs.pop(leg_number)
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return self
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def clear_legs(self):
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"""Removes *all* legs from the strategy"""
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self.legs = []
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return self
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def add_exit_thresholds(self, profit_pct=math.inf, loss_pct=math.inf):
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"""Adds maximum profit/loss thresholds. Both **must** be >= 0.0
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Args:
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profit_pct (float, optional): Max profit level. Defaults to math.inf
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loss_pct (float, optional): Max loss level. Defaults to math.inf
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"""
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assert profit_pct >= 0
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assert loss_pct >= 0
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self.exit_thresholds = (profit_pct, loss_pct)
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def filter_thresholds(self, entry_cost, current_cost):
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"""Returns a `pd.Series` of booleans indicating where profit (loss) levels
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exceed the given thresholds.
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Args:
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entry_cost (pd.Series): Total _entry_ cost of inventory row.
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current_cost (pd.Series): Present cost of inventory row.
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Returns:
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pd.Series: Indicator series with `True` for every row that
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exceeds the specified profit/loss thresholds.
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"""
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profit_pct, loss_pct = self.exit_thresholds
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excess_return = (current_cost / entry_cost + 1) * -np.sign(entry_cost)
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return (excess_return >= profit_pct) | (excess_return <= -loss_pct)
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def __repr__(self):
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return "Strategy(legs={}, exit_thresholds={})".format(self.legs, self.exit_thresholds)
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