wassname/options_backtester
1
0
Fork 0
mirror of https://github.com/wassname/options_backtester.git synced 2026-07-16 11:20:21 +08:00
Code Issues Packages Projects Releases Wiki Activity
Files
cb00fc528b86cce291f4fa19e26ae2ea60d35978
options_backtester/backtester/examples/long_atm_straddle_example.ipynb
T
Camilo1704 ad432a8d50 names changed
2020-01-16 15:18:07 -03:00

1.0 MiB
Raw Blame History

In [33]:
import sys

sys.path.append('../..') # Add backtester base dir to $PYTHONPATH
In [34]:
%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)
In [35]:
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 [36]:
# Cleaned up data
data = HistoricalOptionsData("options_data_clean_v2.h5", key="/SPX", where='quotedate >= "2006-12-06" & quotedate <= "2015-08-21"')
schema = data.schema

We now run a long (ATM) straddle 45 DTE. This is the opposite of the previous strategy, where we enter buying the contracts instead of selling, and therefore profit from big movements in the underlying asset's price.

In [37]:
# Long (ATM) straddle
long_straddle = Strategy(schema)

leg1 = StrategyLeg("leg_1", schema, option_type=Type.CALL, direction=Direction.BUY)
leg1.entry_filter = (schema.underlying == "SPX") & (schema.dte >= 40) & (schema.dte <= 50) & (schema.strike <= schema.underlying_last * 1.05) & (schema.strike >= schema.underlying_last * 0.95)
leg1.exit_filter = (schema.dte <= 2)

leg2 = StrategyLeg("leg_2", schema, option_type=Type.PUT, direction=Direction.BUY)
leg2.entry_filter = (schema.underlying == "SPX") & (schema.dte >= 40) & (schema.dte <= 50) & (schema.strike <= schema.underlying_last * 1.05) & (schema.strike >= schema.underlying_last * 0.95)
leg2.exit_filter = (schema.dte <= 2)

long_straddle.add_legs([leg1, leg2])
long_straddle.exit_thresholds = (0.25, 0.25)
In [38]:
bt = Backtest()
bt.strategy = long_straddle
bt.data = data
bt.stop_if_broke = False
In [39]:
bt.run(monthly=False)
Out [39]:
0% [██████████████████████████████] 100% | ETA: 00:00:00
Total time elapsed: 00:04:40
leg_1 leg_2 totals
contract underlying expiration type strike cost order contract underlying expiration type strike cost order cost qty date
0 SXY070120C01350000 SPX 2007-01-20 call 1350.0 7520.0 Order.BTO SXY070120P01350000 SPX 2007-01-20 put 1350.0 470.0 Order.BTO 7990.0 125.0 2006-12-06
1 SXY070120C01340000 SPX 2007-01-20 call 1340.0 7990.0 Order.BTO SXY070120P01340000 SPX 2007-01-20 put 1340.0 570.0 Order.BTO 8560.0 116.0 2006-12-07
2 SXY070120C01345000 SPX 2007-01-20 call 1345.0 7580.0 Order.BTO SXY070120P01345000 SPX 2007-01-20 put 1345.0 550.0 Order.BTO 8130.0 123.0 2006-12-08
3 SXY070120C01355000 SPX 2007-01-20 call 1355.0 7030.0 Order.BTO SXY070120P01355000 SPX 2007-01-20 put 1355.0 510.0 Order.BTO 7540.0 132.0 2006-12-11
4 SXY070217C01350000 SPX 2007-02-17 call 1350.0 8130.0 Order.BTO SXY070217P01350000 SPX 2007-02-17 put 1350.0 580.0 Order.BTO 8710.0 114.0 2006-12-29
5 SXY070217C01355000 SPX 2007-02-17 call 1355.0 7310.0 Order.BTO SXY070217P01355000 SPX 2007-02-17 put 1355.0 650.0 Order.BTO 7960.0 125.0 2007-01-03
6 SXY070217C01360000 SPX 2007-02-17 call 1360.0 7080.0 Order.BTO SXY070217P01360000 SPX 2007-02-17 put 1360.0 600.0 Order.BTO 7680.0 130.0 2007-01-04
7 SXY070120C01355000 SPX 2007-01-20 call 1355.0 -5470.0 Order.STC SXY070120P01355000 SPX 2007-01-20 put 1355.0 -115.0 Order.STC -5585.0 132.0 2007-01-05
8 SXY070217C01340000 SPX 2007-02-17 call 1340.0 7850.0 Order.BTO SXY070217P01340000 SPX 2007-02-17 put 1340.0 540.0 Order.BTO 8390.0 119.0 2007-01-05
9 SXY070217C01345000 SPX 2007-02-17 call 1345.0 7930.0 Order.BTO SXY070217P01345000 SPX 2007-02-17 put 1345.0 470.0 Order.BTO 8400.0 119.0 2007-01-08
10 SXY070120C01350000 SPX 2007-01-20 call 1350.0 -7420.0 Order.STC SXY070120P01350000 SPX 2007-01-20 put 1350.0 -0.0 Order.STC -7420.0 125.0 2007-01-18
11 SXY070120C01340000 SPX 2007-01-20 call 1340.0 -8420.0 Order.STC SXY070120P01340000 SPX 2007-01-20 put 1340.0 -0.0 Order.STC -8420.0 116.0 2007-01-18
12 SXY070120C01345000 SPX 2007-01-20 call 1345.0 -7920.0 Order.STC SXY070120P01345000 SPX 2007-01-20 put 1345.0 -0.0 Order.STC -7920.0 123.0 2007-01-18
13 SXY070317C01355000 SPX 2007-03-17 call 1355.0 7850.0 Order.BTO SXY070317P01355000 SPX 2007-03-17 put 1355.0 570.0 Order.BTO 8420.0 118.0 2007-01-26
14 SXY070317C01360000 SPX 2007-03-17 call 1360.0 7250.0 Order.BTO SXY070317P01360000 SPX 2007-03-17 put 1360.0 630.0 Order.BTO 7880.0 126.0 2007-01-29
15 SXY070317C01365000 SPX 2007-03-17 call 1365.0 7440.0 Order.BTO SXY070317P01365000 SPX 2007-03-17 put 1365.0 520.0 Order.BTO 7960.0 125.0 2007-01-30
16 SXY070317C01370000 SPX 2007-03-17 call 1370.0 7770.0 Order.BTO SXY070317P01370000 SPX 2007-03-17 put 1370.0 440.0 Order.BTO 8210.0 121.0 2007-01-31
17 SXY070217C01340000 SPX 2007-02-17 call 1340.0 -10650.0 Order.STC SXY070217P01340000 SPX 2007-02-17 put 1340.0 -20.0 Order.STC -10670.0 119.0 2007-02-01
18 SXY070317C01375000 SPX 2007-03-17 call 1375.0 7900.0 Order.BTO SXY070317P01375000 SPX 2007-03-17 put 1375.0 370.0 Order.BTO 8270.0 120.0 2007-02-01
19 SXY070317C01380000 SPX 2007-03-17 call 1380.0 7690.0 Order.BTO SXY070317P01380000 SPX 2007-03-17 put 1380.0 350.0 Order.BTO 8040.0 124.0 2007-02-02
20 SXY070217C01345000 SPX 2007-02-17 call 1345.0 -10480.0 Order.STC SXY070217P01345000 SPX 2007-02-17 put 1345.0 -25.0 Order.STC -10505.0 119.0 2007-02-05
21 SXY070317C01385000 SPX 2007-03-17 call 1385.0 7290.0 Order.BTO SXY070317P01385000 SPX 2007-03-17 put 1385.0 400.0 Order.BTO 7690.0 130.0 2007-02-05
22 SXY070317C01360000 SPX 2007-03-17 call 1360.0 -9860.0 Order.STC SXY070317P01360000 SPX 2007-03-17 put 1360.0 -105.0 Order.STC -9965.0 126.0 2007-02-14
23 SXY070217C01350000 SPX 2007-02-17 call 1350.0 -10560.0 Order.STC SXY070217P01350000 SPX 2007-02-17 put 1350.0 -0.0 Order.STC -10560.0 114.0 2007-02-15
24 SXY070217C01355000 SPX 2007-02-17 call 1355.0 -10060.0 Order.STC SXY070217P01355000 SPX 2007-02-17 put 1355.0 -0.0 Order.STC -10060.0 125.0 2007-02-15
25 SXY070217C01360000 SPX 2007-02-17 call 1360.0 -9560.0 Order.STC SXY070217P01360000 SPX 2007-02-17 put 1360.0 -0.0 Order.STC -9560.0 130.0 2007-02-15
26 SXY070317C01355000 SPX 2007-03-17 call 1355.0 -10600.0 Order.STC SXY070317P01355000 SPX 2007-03-17 put 1355.0 -60.0 Order.STC -10660.0 118.0 2007-02-20
27 SXY070317C01365000 SPX 2007-03-17 call 1365.0 -4010.0 Order.STC SXY070317P01365000 SPX 2007-03-17 put 1365.0 -1000.0 Order.STC -5010.0 125.0 2007-02-27
28 SXY070317C01370000 SPX 2007-03-17 call 1370.0 -3650.0 Order.STC SXY070317P01370000 SPX 2007-03-17 put 1370.0 -1120.0 Order.STC -4770.0 121.0 2007-02-27
29 SXY070317C01375000 SPX 2007-03-17 call 1375.0 -3290.0 Order.STC SXY070317P01375000 SPX 2007-03-17 put 1375.0 -1250.0 Order.STC -4540.0 120.0 2007-02-27
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
1656 SPX150717C02010000 SPX 2015-07-17 call 2010.0 -6320.0 Order.STC SPX150717P02010000 SPX 2015-07-17 put 2010.0 -1730.0 Order.STC -8050.0 79.0 2015-06-29
1657 SPX150717C02020000 SPX 2015-07-17 call 2020.0 -5630.0 Order.STC SPX150717P02020000 SPX 2015-07-17 put 2020.0 -1970.0 Order.STC -7600.0 83.0 2015-06-29
1658 SPX150717C02005000 SPX 2015-07-17 call 2005.0 -6780.0 Order.STC SPX150717P02005000 SPX 2015-07-17 put 2005.0 -1610.0 Order.STC -8390.0 77.0 2015-06-29
1659 SPX150717C02025000 SPX 2015-07-17 call 2025.0 -5280.0 Order.STC SPX150717P02025000 SPX 2015-07-17 put 2025.0 -2090.0 Order.STC -7370.0 84.0 2015-06-29
1660 SPX150717C01990000 SPX 2015-07-17 call 1990.0 -7910.0 Order.STC SPX150717P01990000 SPX 2015-07-17 put 1990.0 -1320.0 Order.STC -9230.0 75.0 2015-06-29
1661 SPX150717C01995000 SPX 2015-07-17 call 1995.0 -7590.0 Order.STC SPX150717P01995000 SPX 2015-07-17 put 1995.0 -1420.0 Order.STC -9010.0 81.0 2015-06-29
1662 SPX150821C01975000 SPX 2015-08-21 call 1975.0 11750.0 Order.BTO SPX150821P01975000 SPX 2015-08-21 put 1975.0 2190.0 Order.BTO 13940.0 71.0 2015-07-02
1663 SPX150821C01965000 SPX 2015-08-21 call 1965.0 12120.0 Order.BTO SPX150821P01965000 SPX 2015-08-21 put 1965.0 1970.0 Order.BTO 14090.0 70.0 2015-07-06
1664 SPX150821C01980000 SPX 2015-08-21 call 1980.0 11620.0 Order.BTO SPX150821P01980000 SPX 2015-08-21 put 1980.0 1730.0 Order.BTO 13350.0 74.0 2015-07-07
1665 SPX150821C01950000 SPX 2015-08-21 call 1950.0 11580.0 Order.BTO SPX150821P01950000 SPX 2015-08-21 put 1950.0 2380.0 Order.BTO 13960.0 71.0 2015-07-08
1666 SPX150821C01955000 SPX 2015-08-21 call 1955.0 11330.0 Order.BTO SPX150821P01955000 SPX 2015-08-21 put 1955.0 2480.0 Order.BTO 13810.0 72.0 2015-07-09
1667 SPX150821C01985000 SPX 2015-08-21 call 1985.0 10680.0 Order.BTO SPX150821P01985000 SPX 2015-08-21 put 1985.0 1940.0 Order.BTO 12620.0 79.0 2015-07-10
1668 SPX150821C01950000 SPX 2015-08-21 call 1950.0 -17290.0 Order.STC SPX150821P01950000 SPX 2015-08-21 put 1950.0 -300.0 Order.STC -17590.0 71.0 2015-07-17
1669 SPX150918C02005000 SPX 2015-09-18 call 2005.0 11190.0 Order.BTO SPX150918P02005000 SPX 2015-09-18 put 2005.0 1330.0 Order.BTO 12520.0 79.0 2015-07-30
1670 SPX150918C02000000 SPX 2015-09-18 call 2000.0 11310.0 Order.BTO SPX150918P02000000 SPX 2015-09-18 put 2000.0 1230.0 Order.BTO 12540.0 79.0 2015-07-31
1671 SPX150918C01995000 SPX 2015-09-18 call 1995.0 10910.0 Order.BTO SPX150918P01995000 SPX 2015-09-18 put 1995.0 1180.0 Order.BTO 12090.0 82.0 2015-08-03
1672 SPX150918C01990000 SPX 2015-09-18 call 1990.0 11000.0 Order.BTO SPX150918P01990000 SPX 2015-09-18 put 1990.0 1200.0 Order.BTO 12200.0 81.0 2015-08-04
1673 SPX150918C02010000 SPX 2015-09-18 call 2010.0 9860.0 Order.BTO SPX150918P02010000 SPX 2015-09-18 put 2010.0 1350.0 Order.BTO 11210.0 89.0 2015-08-05
1674 SPX150918C01985000 SPX 2015-09-18 call 1985.0 10820.0 Order.BTO SPX150918P01985000 SPX 2015-09-18 put 1985.0 1390.0 Order.BTO 12210.0 81.0 2015-08-06
1675 SPX150821C01975000 SPX 2015-08-21 call 1975.0 -10130.0 Order.STC SPX150821P01975000 SPX 2015-08-21 put 1975.0 -170.0 Order.STC -10300.0 71.0 2015-08-07
1676 SPX150821C01980000 SPX 2015-08-21 call 1980.0 -9660.0 Order.STC SPX150821P01980000 SPX 2015-08-21 put 1980.0 -190.0 Order.STC -9850.0 74.0 2015-08-07
1677 SPX150821C01985000 SPX 2015-08-21 call 1985.0 -9170.0 Order.STC SPX150821P01985000 SPX 2015-08-21 put 1985.0 -230.0 Order.STC -9400.0 79.0 2015-08-07
1678 SPX150918C01975000 SPX 2015-09-18 call 1975.0 11190.0 Order.BTO SPX150918P01975000 SPX 2015-09-18 put 1975.0 1210.0 Order.BTO 12400.0 80.0 2015-08-07
1679 SPX150821C01965000 SPX 2015-08-21 call 1965.0 -10830.0 Order.STC SPX150821P01965000 SPX 2015-08-21 put 1965.0 -10.0 Order.STC -10840.0 70.0 2015-08-19
1680 SPX150821C01955000 SPX 2015-08-21 call 1955.0 -11830.0 Order.STC SPX150821P01955000 SPX 2015-08-21 put 1955.0 -5.0 Order.STC -11835.0 72.0 2015-08-19
1681 SPX150918C02005000 SPX 2015-09-18 call 2005.0 -8030.0 Order.STC SPX150918P02005000 SPX 2015-09-18 put 2005.0 -1360.0 Order.STC -9390.0 79.0 2015-08-19
1682 SPX150918C02000000 SPX 2015-09-18 call 2000.0 -5810.0 Order.STC SPX150918P02000000 SPX 2015-09-18 put 2000.0 -2760.0 Order.STC -8570.0 79.0 2015-08-20
1683 SPX150918C01995000 SPX 2015-09-18 call 1995.0 -6160.0 Order.STC SPX150918P01995000 SPX 2015-09-18 put 1995.0 -2650.0 Order.STC -8810.0 82.0 2015-08-20
1684 SPX150918C01990000 SPX 2015-09-18 call 1990.0 -6520.0 Order.STC SPX150918P01990000 SPX 2015-09-18 put 1990.0 -2530.0 Order.STC -9050.0 81.0 2015-08-20
1685 SPX150918C02010000 SPX 2015-09-18 call 2010.0 -5120.0 Order.STC SPX150918P02010000 SPX 2015-09-18 put 2010.0 -3080.0 Order.STC -8200.0 89.0 2015-08-20

1686 rows × 17 columns

In [40]:
bt.summary()
Out [40]:
Strategy
Total trades 842
Number of wins 298
Number of losses 544
Win % 35.39%
Largest loss $998310.00
Profit factor 0.55
Average profit $-98444.02
Average P&L % -0.03%
Total P&L % -8371.90%
In [41]:
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 -8313.2%
Annual volatility 1571.6%
Sharpe ratio -0.01
Calmar ratio NaN
Stability NaN
Max drawdown -2191.1%
Omega ratio 0.99
Sortino ratio -0.01
Skew -8.31
Kurtosis 693.21
Tail ratio 1.23
Daily value at risk -198.0% 
/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 2191.08 2007-05-02 2015-08-20 NaT NaN
1 130.67 2007-02-20 2007-03-13 2007-04-16 40
2 126.35 2006-12-15 2007-01-05 2007-01-12 21
3 96.30 2007-01-12 2007-01-29 2007-02-01 15
4 81.62 2007-02-07 2007-02-12 2007-02-14 6
In [ ]:
Reference in New Issue View Git Blame Copy Permalink