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options_backtester/backtester/examples/Iron_Condor_example.ipynb
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Camilo1704 1716d39cd8 Iron Condor example added
2020-01-16 10:28:57 -03:00

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In [1]:
import sys

sys.path.append('../..') # Add backtester base dir to $PYTHONPATH
In [2]:
%config InlineBackend.figure_format="retina"
%matplotlib inline
import pyfolio as pf
import pandas as pd
import os
import matplotlib.pyplot as plt
import altair as alt

plt.style.use("seaborn")
plt.rcParams["figure.figsize"] = (14, 8)
/usr/local/anaconda3/lib/python3.7/site-packages/empyrical/utils.py:32: UserWarning: Unable to import pandas_datareader. Suppressing import error and continuing. All data reading functionality will raise errors; but has been deprecated and will be removed in a later version.
  warnings.warn(msg)
/usr/local/anaconda3/lib/python3.7/site-packages/pyfolio/pos.py:27: UserWarning: Module "zipline.assets" not found; mutltipliers will not be applied to position notionals.
  'Module "zipline.assets" not found; mutltipliers will not be applied' +
In [3]:
from backtester.datahandler import HistoricalOptionsData
from backtester.strategy import Strategy, StrategyLeg
from backtester.option import Type, Direction
from backtester import Backtest
from backtester.statistics import monthly_returns_heatmap, returns_histogram, returns_chart
In [4]:
# Cleaned up data
data = HistoricalOptionsData("options_data_clean_v2.h5", key="/SPX", where='quotedate >= "2006-12-06" & quotedate <= "2015-08-21"')
schema = data.schema
In [5]:
# Iron Condor
iron_condor = Strategy(schema)

leg1 = StrategyLeg("leg_1", schema, option_type=Type.PUT, direction=Direction.BUY)
leg1.entry_filter = (schema.underlying == "SPX") & (schema.dte >= 40) & (schema.dte <= 50) & (schema.strike <= 0.85 * schema.underlying_last)
leg1.exit_filter = (schema.dte <= 2)

leg2 = StrategyLeg("leg_2", schema, option_type=Type.PUT, direction=Direction.SELL)
leg2.entry_filter = (schema.underlying == "SPX") & (schema.dte >= 40) & (schema.dte <= 50) & (schema.strike >= 0.90 * schema.underlying_last) & (schema.strike <= schema.underlying_last)
leg2.exit_filter = (schema.dte <= 2)

leg3 = StrategyLeg("leg_3", schema, option_type=Type.CALL, direction=Direction.SELL)
leg3.entry_filter = (schema.underlying == "SPX") & (schema.dte >= 40) & (schema.dte <= 50) & (schema.strike >= schema.underlying_last) & (schema.strike <= 1.10 * schema.underlying_last)
leg3.exit_filter = (schema.dte <= 2)

leg4 = StrategyLeg("leg_4", schema, option_type=Type.PUT, direction=Direction.BUY)
leg4.entry_filter = (schema.underlying == "SPX") & (schema.dte >= 40) & (schema.dte <= 50) & (schema.strike >= 1.15 * schema.underlying_last)
leg4.exit_filter = (schema.dte <= 2)


iron_condor.add_legs([leg1, leg2, leg3, leg4])
iron_condor.exit_thresholds = (0.25, 0.25)
In [44]:
bt = Backtest()
bt.strategy = iron_condor
bt.data = data
bt.stop_if_broke = False
In [45]:
bt.run(monthly=False)
Out [45]:
0% [██████████████████████████████] 100% | ETA: 00:00:00
Total time elapsed: 00:07:24
leg_1 leg_2 ... leg_4 totals
contract underlying expiration type strike cost order contract underlying expiration ... contract underlying expiration type strike cost order cost qty date
0 SPZ080419P00700000 SPX 2008-04-19 put 700.0 10.0 Order.BTO SPT080419P01170000 SPX 2008-04-19 ... SXM080419P01520000 SPX 2008-04-19 put 1520.0 22640.0 Order.BTO 17080.0 58.0 2008-03-07
1 SPZ080419P00700000 SPX 2008-04-19 put 700.0 -0.0 Order.STC SPT080419P01170000 SPX 2008-04-19 ... SXM080419P01520000 SPX 2008-04-19 put 1520.0 -0.0 Order.STC 5400.0 58.0 2008-03-10
2 SPV081220P00200000 SPX 2008-12-20 put 200.0 55.0 Order.BTO SPX081220P00815000 SPX 2008-12-20 ... SPQ081220P01045000 SPX 2008-12-20 put 1045.0 15440.0 Order.BTO 5505.0 181.0 2008-11-06
3 SPV081220P00200000 SPX 2008-12-20 put 200.0 -10.0 Order.STC SPX081220P00815000 SPX 2008-12-20 ... SPQ081220P01045000 SPX 2008-12-20 put 1045.0 -12150.0 Order.STC -1070.0 181.0 2008-11-07
4 SPV081220P00200000 SPX 2008-12-20 put 200.0 50.0 Order.BTO SPX081220P00830000 SPX 2008-12-20 ... SPQ081220P01060000 SPX 2008-12-20 put 1060.0 15100.0 Order.BTO 6240.0 160.0 2008-11-10
5 SPV081220P00200000 SPX 2008-12-20 put 200.0 -5.0 Order.STC SPX081220P00830000 SPX 2008-12-20 ... SPQ081220P01060000 SPX 2008-12-20 put 1060.0 -20770.0 Order.STC -11775.0 160.0 2008-11-12
6 SPV090117P00200000 SPX 2009-01-17 put 200.0 35.0 Order.BTO SPZ090117P00740000 SPX 2009-01-17 ... SXB090117P00940000 SPX 2009-01-17 put 940.0 14740.0 Order.BTO 4055.0 246.0 2008-12-01
7 SPV090117P00200000 SPX 2009-01-17 put 200.0 -0.0 Order.STC SPZ090117P00740000 SPX 2009-01-17 ... SXB090117P00940000 SPX 2009-01-17 put 940.0 -11750.0 Order.STC -60.0 246.0 2008-12-02
8 SPV090117P00300000 SPX 2009-01-17 put 300.0 40.0 Order.BTO SPZ090117P00765000 SPX 2009-01-17 ... SXB090117P00980000 SPX 2009-01-17 put 980.0 14870.0 Order.BTO 4830.0 207.0 2008-12-02
9 SPV090117P00300000 SPX 2009-01-17 put 300.0 -5.0 Order.STC SPZ090117P00765000 SPX 2009-01-17 ... SXB090117P00980000 SPX 2009-01-17 put 980.0 -13250.0 Order.STC -2315.0 207.0 2008-12-03
10 SPV090117P00200000 SPX 2009-01-17 put 200.0 40.0 Order.BTO SPZ090117P00765000 SPX 2009-01-17 ... SXB090117P00975000 SPX 2009-01-17 put 975.0 14870.0 Order.BTO 4880.0 204.0 2008-12-04
11 SPV090117P00200000 SPX 2009-01-17 put 200.0 -5.0 Order.STC SPZ090117P00765000 SPX 2009-01-17 ... SXB090117P00975000 SPX 2009-01-17 put 975.0 -12140.0 Order.STC -1285.0 204.0 2008-12-05
12 SPV090221P00200000 SPX 2009-02-21 put 200.0 15.0 Order.BTO SPX090221P00840000 SPX 2009-02-21 ... SPQ090221P01075000 SPX 2009-02-21 put 1075.0 15220.0 Order.BTO 9455.0 105.0 2009-01-02
13 SPV090221P00325000 SPX 2009-02-21 put 325.0 45.0 Order.BTO SPX090221P00835000 SPX 2009-02-21 ... SPQ090221P01070000 SPX 2009-02-21 put 1070.0 14730.0 Order.BTO 8825.0 113.0 2009-01-05
14 SPV090221P00350000 SPX 2009-02-21 put 350.0 30.0 Order.BTO SPX090221P00845000 SPX 2009-02-21 ... SPQ090221P01080000 SPX 2009-02-21 put 1080.0 15160.0 Order.BTO 9560.0 104.0 2009-01-06
15 SPV090221P00375000 SPX 2009-02-21 put 375.0 70.0 Order.BTO SPX090221P00820000 SPX 2009-02-21 ... SPQ090221P01045000 SPX 2009-02-21 put 1045.0 14460.0 Order.BTO 8130.0 123.0 2009-01-07
16 SYU090221P00425000 SPX 2009-02-21 put 425.0 80.0 Order.BTO SPX090221P00825000 SPX 2009-02-21 ... SPQ090221P01050000 SPX 2009-02-21 put 1050.0 14680.0 Order.BTO 8690.0 115.0 2009-01-08
17 SPV090221P00200000 SPX 2009-02-21 put 200.0 -0.0 Order.STC SPX090221P00840000 SPX 2009-02-21 ... SPQ090221P01075000 SPX 2009-02-21 put 1075.0 -18720.0 Order.STC -13170.0 105.0 2009-01-09
18 SPV090221P00325000 SPX 2009-02-21 put 325.0 -0.0 Order.STC SPX090221P00835000 SPX 2009-02-21 ... SPQ090221P01070000 SPX 2009-02-21 put 1070.0 -18230.0 Order.STC -12640.0 113.0 2009-01-09
19 SPV090221P00350000 SPX 2009-02-21 put 350.0 -0.0 Order.STC SPX090221P00845000 SPX 2009-02-21 ... SPQ090221P01080000 SPX 2009-02-21 put 1080.0 -19220.0 Order.STC -13760.0 104.0 2009-01-09
20 SYU090221P00450000 SPX 2009-02-21 put 450.0 100.0 Order.BTO SPX090221P00805000 SPX 2009-02-21 ... SPQ090221P01025000 SPX 2009-02-21 put 1025.0 14350.0 Order.BTO 8600.0 116.0 2009-01-09
21 SPV090221P00375000 SPX 2009-02-21 put 375.0 -0.0 Order.STC SPX090221P00820000 SPX 2009-02-21 ... SPQ090221P01045000 SPX 2009-02-21 put 1045.0 -17640.0 Order.STC -11690.0 123.0 2009-01-12
22 SYU090221P00425000 SPX 2009-02-21 put 425.0 -10.0 Order.STC SPX090221P00825000 SPX 2009-02-21 ... SPQ090221P01050000 SPX 2009-02-21 put 1050.0 -18110.0 Order.STC -12230.0 115.0 2009-01-12
23 SPV090221P00200000 SPX 2009-02-21 put 200.0 10.0 Order.BTO SPZ090221P00785000 SPX 2009-02-21 ... SPQ090221P01005000 SPX 2009-02-21 put 1005.0 14220.0 Order.BTO 8100.0 123.0 2009-01-12
24 SYU090221P00450000 SPX 2009-02-21 put 450.0 -60.0 Order.STC SPX090221P00805000 SPX 2009-02-21 ... SPQ090221P01025000 SPX 2009-02-21 put 1025.0 -18330.0 Order.STC -12600.0 116.0 2009-01-14
25 SPV090221P00200000 SPX 2009-02-21 put 200.0 -0.0 Order.STC SPZ090221P00785000 SPX 2009-02-21 ... SPQ090221P01005000 SPX 2009-02-21 put 1005.0 -16410.0 Order.STC -10480.0 123.0 2009-01-14
26 SPV090418P00200000 SPX 2009-04-18 put 200.0 10.0 Order.BTO SYG090418P00665000 SPX 2009-04-18 ... SPX090418P00850000 SPX 2009-04-18 put 850.0 12440.0 Order.BTO 6420.0 155.0 2009-02-27
27 SPV090418P00200000 SPX 2009-04-18 put 200.0 -0.0 Order.STC SYG090418P00665000 SPX 2009-04-18 ... SPX090418P00850000 SPX 2009-04-18 put 850.0 -14990.0 Order.STC -8810.0 155.0 2009-03-02
28 SPV090418P00300000 SPX 2009-04-18 put 300.0 40.0 Order.BTO SYG090418P00635000 SPX 2009-04-18 ... SPX090418P00810000 SPX 2009-04-18 put 810.0 11770.0 Order.BTO 5230.0 191.0 2009-03-02
29 SPV090418P00200000 SPX 2009-04-18 put 200.0 10.0 Order.BTO SYG090418P00630000 SPX 2009-04-18 ... SPX090418P00805000 SPX 2009-04-18 put 805.0 12210.0 Order.BTO 6290.0 158.0 2009-03-03
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
807 SPX141122P01100000 SPX 2014-11-22 put 1100.0 -25.0 Order.STC SPX141122P01745000 SPX 2014-11-22 ... SPX141122P02250000 SPX 2014-11-22 put 2250.0 -39320.0 Order.STC -36135.0 35.0 2014-10-15
808 SPX141122P01150000 SPX 2014-11-22 put 1150.0 -10.0 Order.STC SPX141122P01740000 SPX 2014-11-22 ... SPX141122P02225000 SPX 2014-11-22 put 2225.0 -36820.0 Order.STC -33400.0 39.0 2014-10-15
809 SPX141122P01075000 SPX 2014-11-22 put 1075.0 -0.0 Order.STC SPX141122P01690000 SPX 2014-11-22 ... SPX141122P02160000 SPX 2014-11-22 put 2160.0 -21900.0 Order.STC -15315.0 40.0 2014-10-21
810 SPX141122P01050000 SPX 2014-11-22 put 1050.0 -0.0 Order.STC SPX141122P01720000 SPX 2014-11-22 ... SPX141122P02200000 SPX 2014-11-22 put 2200.0 -25000.0 Order.STC -18795.0 39.0 2014-10-23
811 SPX141122P01000000 SPX 2014-11-22 put 1000.0 -0.0 Order.STC SPX141122P01775000 SPX 2014-11-22 ... SPX141122P02500000 SPX 2014-11-22 put 2500.0 -44670.0 Order.STC -36300.0 19.0 2014-11-18
812 SPX150515P00500000 SPX 2015-05-15 put 500.0 5.0 Order.BTO SPX150515P01855000 SPX 2015-05-15 ... SPX150515P02375000 SPX 2015-05-15 put 2375.0 32600.0 Order.BTO 28235.0 35.0 2015-03-26
813 SPX150515P00500000 SPX 2015-05-15 put 500.0 -0.0 Order.STC SPX150515P01855000 SPX 2015-05-15 ... SPX150515P02375000 SPX 2015-05-15 put 2375.0 -26970.0 Order.STC -20865.0 35.0 2015-04-15
814 SPX150619P00100000 SPX 2015-06-19 put 100.0 5.0 Order.BTO SPX150619P01870000 SPX 2015-06-19 ... SPX150619P02390000 SPX 2015-06-19 put 2390.0 31720.0 Order.BTO 27445.0 36.0 2015-05-06
815 SPX150619P00100000 SPX 2015-06-19 put 100.0 -0.0 Order.STC SPX150619P01870000 SPX 2015-06-19 ... SPX150619P02390000 SPX 2015-06-19 put 2390.0 -26200.0 Order.STC -19425.0 36.0 2015-05-18
816 SPX150717P00500000 SPX 2015-07-17 put 500.0 15.0 Order.BTO SPX150717P01910000 SPX 2015-07-17 ... SPX150717P02500000 SPX 2015-07-17 put 2500.0 38320.0 Order.BTO 34705.0 28.0 2015-05-28
817 SPX150821P00500000 SPX 2015-08-21 put 500.0 5.0 Order.BTO SPX150821P01870000 SPX 2015-08-21 ... SPX150821P02400000 SPX 2015-08-21 put 2400.0 33030.0 Order.BTO 28325.0 35.0 2015-07-02
818 SPX150821P00600000 SPX 2015-08-21 put 600.0 5.0 Order.BTO SPX150821P01860000 SPX 2015-08-21 ... SPX150821P02450000 SPX 2015-08-21 put 2450.0 38530.0 Order.BTO 33705.0 29.0 2015-07-06
819 SPX150821P00700000 SPX 2015-08-21 put 700.0 10.0 Order.BTO SPX150821P01875000 SPX 2015-08-21 ... SPX150821P02500000 SPX 2015-08-21 put 2500.0 42250.0 Order.BTO 38040.0 26.0 2015-07-07
820 SPX150717P00500000 SPX 2015-07-17 put 500.0 -0.0 Order.STC SPX150717P01910000 SPX 2015-07-17 ... SPX150717P02500000 SPX 2015-07-17 put 2500.0 -45170.0 Order.STC -44870.0 28.0 2015-07-08
821 SPX150821P00800000 SPX 2015-08-21 put 800.0 10.0 Order.BTO SPX150821P01845000 SPX 2015-08-21 ... SPX150821P02600000 SPX 2015-08-21 put 2600.0 55940.0 Order.BTO 50780.0 19.0 2015-07-08
822 SPX150918P00500000 SPX 2015-09-18 put 500.0 35.0 Order.BTO SPX150918P01900000 SPX 2015-09-18 ... SPX150918P02450000 SPX 2015-09-18 put 2450.0 34940.0 Order.BTO 31575.0 31.0 2015-07-30
823 SPX150918P00600000 SPX 2015-09-18 put 600.0 5.0 Order.BTO SPX150918P01895000 SPX 2015-09-18 ... SPX150918P02500000 SPX 2015-09-18 put 2500.0 40310.0 Order.BTO 36835.0 27.0 2015-07-31
824 SPX150918P00700000 SPX 2015-09-18 put 700.0 5.0 Order.BTO SPX150918P01890000 SPX 2015-09-18 ... SPX150918P02550000 SPX 2015-09-18 put 2550.0 46130.0 Order.BTO 42715.0 23.0 2015-08-03
825 SPX150918P00750000 SPX 2015-09-18 put 750.0 5.0 Order.BTO SPX150918P01885000 SPX 2015-09-18 ... SPX150918P02600000 SPX 2015-09-18 put 2600.0 51580.0 Order.BTO 48685.0 20.0 2015-08-04
826 SPX150918P00800000 SPX 2015-09-18 put 800.0 10.0 Order.BTO SPX150918P01905000 SPX 2015-09-18 ... SPX150918P02650000 SPX 2015-09-18 put 2650.0 55850.0 Order.BTO 53450.0 18.0 2015-08-05
827 SPX150918P00825000 SPX 2015-09-18 put 825.0 35.0 Order.BTO SPX150918P01880000 SPX 2015-09-18 ... SPX150918P02400000 SPX 2015-09-18 put 2400.0 32370.0 Order.BTO 28905.0 34.0 2015-08-06
828 SPX150918P00850000 SPX 2015-09-18 put 850.0 35.0 Order.BTO SPX150918P01870000 SPX 2015-09-18 ... SPX150918P02700000 SPX 2015-09-18 put 2700.0 62870.0 Order.BTO 59525.0 16.0 2015-08-07
829 SPX150821P00500000 SPX 2015-08-21 put 500.0 -0.0 Order.STC SPX150821P01870000 SPX 2015-08-21 ... SPX150821P02400000 SPX 2015-08-21 put 2400.0 -32120.0 Order.STC -31375.0 35.0 2015-08-19
830 SPX150821P00600000 SPX 2015-08-21 put 600.0 -0.0 Order.STC SPX150821P01860000 SPX 2015-08-21 ... SPX150821P02450000 SPX 2015-08-21 put 2450.0 -37120.0 Order.STC -35755.0 29.0 2015-08-19
831 SPX150821P00700000 SPX 2015-08-21 put 700.0 -0.0 Order.STC SPX150821P01875000 SPX 2015-08-21 ... SPX150821P02500000 SPX 2015-08-21 put 2500.0 -42120.0 Order.STC -41605.0 26.0 2015-08-19
832 SPX150821P00800000 SPX 2015-08-21 put 800.0 -0.0 Order.STC SPX150821P01845000 SPX 2015-08-21 ... SPX150821P02600000 SPX 2015-08-21 put 2600.0 -52120.0 Order.STC -49045.0 19.0 2015-08-19
833 SPX150918P00500000 SPX 2015-09-18 put 500.0 -0.0 Order.STC SPX150918P01900000 SPX 2015-09-18 ... SPX150918P02450000 SPX 2015-09-18 put 2450.0 -41660.0 Order.STC -39960.0 31.0 2015-08-20
834 SPX150918P00600000 SPX 2015-09-18 put 600.0 -0.0 Order.STC SPX150918P01895000 SPX 2015-09-18 ... SPX150918P02500000 SPX 2015-09-18 put 2500.0 -52480.0 Order.STC -49100.0 27.0 2015-08-21
835 SPX150918P00700000 SPX 2015-09-18 put 700.0 -0.0 Order.STC SPX150918P01890000 SPX 2015-09-18 ... SPX150918P02550000 SPX 2015-09-18 put 2550.0 -57480.0 Order.STC -54100.0 23.0 2015-08-21
836 SPX150918P00825000 SPX 2015-09-18 put 825.0 -0.0 Order.STC SPX150918P01880000 SPX 2015-09-18 ... SPX150918P02400000 SPX 2015-09-18 put 2400.0 -42490.0 Order.STC -39160.0 34.0 2015-08-21

837 rows × 31 columns

In [46]:
bt.summary()
Out [46]:
Strategy
Total trades 417
Number of wins 141
Number of losses 276
Win % 33.81%
Largest loss $1303840.00
Profit factor 0.51
Average profit $-126216.80
Average P&L % 0.44%
Total P&L % -5657.95%
In [47]:
pf.create_returns_tear_sheet(returns = bt.balance['% change'].dropna())
/usr/local/anaconda3/lib/python3.7/site-packages/empyrical/stats.py:445: RuntimeWarning: invalid value encountered in double_scalars
  return ending_value ** (1 / num_years) - 1
/usr/local/anaconda3/lib/python3.7/site-packages/empyrical/stats.py:1492: RuntimeWarning: invalid value encountered in log1p
  cum_log_returns = np.log1p(returns).cumsum()
Start date2006-12-06
End date2015-08-21
Total months104
Backtest
Annual return nan%
Cumulative returns -5413.5%
Annual volatility 296.1%
Sharpe ratio 0.37
Calmar ratio NaN
Stability NaN
Max drawdown -5009.7%
Omega ratio 1.64
Sortino ratio 0.85
Skew 24.28
Kurtosis 981.85
Tail ratio 1.59
Daily value at risk -36.9% 
/usr/local/anaconda3/lib/python3.7/site-packages/numpy/core/fromnumeric.py:61: FutureWarning: 
The current behaviour of 'Series.argmin' is deprecated, use 'idxmin'
instead.
The behavior of 'argmin' will be corrected to return the positional
minimum in the future. For now, use 'series.values.argmin' or
'np.argmin(np.array(values))' to get the position of the minimum
row.
  return bound(*args, **kwds)
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 5009.68 2009-03-09 2015-07-20 NaT NaN
1 386.80 2008-03-06 2009-01-06 2009-03-09 263
2 0.00 2006-12-06 2006-12-06 2006-12-06 1
3 0.00 2006-12-06 2006-12-06 2006-12-06 1
4 0.00 2006-12-06 2006-12-06 2006-12-06 1
In [ ]:
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