options_backtester/backtester/examples/merged_bt_example.ipynb

In [1]:

from backtester.datahandler import HistoricalOptionsData, TiingoData
from backtester.strategy import Strategy, StrategyLeg 
from backtester import Type, Direction, Stock
from backtester import Backtest
from backtester.strategy import Strangle
from backtester.statistics import monthly_returns_heatmap, returns_histogram, returns_chart

In [2]:

data = HistoricalOptionsData("allspx/SPX_2017.csv")
schema = data.schema

In [3]:

stock_data = TiingoData('./data/portfolio_data_2017.csv')

In [4]:

short_straddle = Strategy(schema)

leg1 = StrategyLeg("leg_1", schema, option_type=Type.CALL, direction=Direction.SELL)
leg1.entry_filter = (schema.underlying == "SPX") & (schema.dte >= 31) & (schema.dte <= 60) & (schema.strike >= schema.underlying_last * 0.95) & (schema.strike <= schema.underlying_last * 1.05)

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 >= 31) & (schema.dte <= 60) & (schema.strike >= schema.underlying_last * 0.95) & (schema.strike <= schema.underlying_last * 1.05)

leg2.exit_filter = (schema.dte <= 2)

short_straddle.add_legs([leg1, leg2]);

In [5]:

VOO = Stock('VOO', 0.1)
TUR = Stock('TUR', 0.05)
RSX = Stock('RSX', 0.05)
EWY = Stock('EWY', 0.05)
EWS = Stock('EWS', 0.05)
VTIP = Stock('VTIP', 0.10)
TLT = Stock('TLT', 0.20)
BWX = Stock('BWX', 0.10)
PDBC = Stock('PDBC', 0.05)
IAU = Stock('IAU', 0.15)
VNQI = Stock('VNQI', 0.10)

In [6]:

0.1 + 0.05 + 0.05 + 0.05 + 0.05 + 0.10 + 0.20 + 0.10 + 0.05 + 0.15 + 0.10

Out [6]:

1.0000000000000002

In [7]:

stocks = [
    VOO,
    TUR,
    RSX,
    EWY,
    EWS,
    VTIP,
    TLT,
    BWX,
    PDBC,
    IAU,
    VNQI
]

In [8]:

data._data['quotedate'] = data._data['quotedate'].apply(lambda x: x.tz_localize('UTC'))

In [9]:

bt = Backtest({'stocks': 0.99, 'options': 0.01, 'cash': 0})
bt.stocks = stocks
bt._options_strategy = short_straddle
bt.options_data = data
bt.stock_data = stock_data

In [10]:

bt.run(rebalance_freq=1)

Out [10]:

0% [██████████████████████████████] 100% | ETA: 00:00:00
Total time elapsed: 00:00:38

	leg_1							leg_2							totals
	contract	underlying	expiration	type	strike	cost	order	contract	underlying	expiration	type	strike	cost	order	cost	qty	date
0	SPX170217C02150000	SPX	2017-02-17	call	2150	-11480.0	Order.STO	SPX170217P02150000	SPX	2017-02-17	put	2150	-1120.0	Order.STO	-12600.0	1.0	2017-01-03 00:00:00+00:00
1	SPX170217C02150000	SPX	2017-02-17	call	2150	13130.0	Order.BTC	SPX170217P02150000	SPX	2017-02-17	put	2150	220.0	Order.BTC	13350.0	1.0	2017-02-01 00:00:00+00:00
2	SPX170317C02170000	SPX	2017-03-17	call	2170	-11350.0	Order.STO	SPX170317P02170000	SPX	2017-03-17	put	2170	-930.0	Order.STO	-12280.0	1.0	2017-02-01 00:00:00+00:00
3	SPX170317C02170000	SPX	2017-03-17	call	2170	22640.0	Order.BTC	SPX170317P02170000	SPX	2017-03-17	put	2170	100.0	Order.BTC	22740.0	1.0	2017-03-01 00:00:00+00:00
4	SPX170421C02280000	SPX	2017-04-21	call	2280	-12370.0	Order.STO	SPX170421P02280000	SPX	2017-04-21	put	2280	-1030.0	Order.STO	-13400.0	1.0	2017-03-01 00:00:00+00:00
5	SPX170421C02280000	SPX	2017-04-21	call	2280	8490.0	Order.BTC	SPX170421P02280000	SPX	2017-04-21	put	2280	360.0	Order.BTC	8850.0	1.0	2017-04-03 00:00:00+00:00
6	SPX170519C02245000	SPX	2017-05-19	call	2245	-12060.0	Order.STO	SPX170519P02245000	SPX	2017-05-19	put	2245	-940.0	Order.STO	-13000.0	1.0	2017-04-03 00:00:00+00:00
7	SPX170519C02245000	SPX	2017-05-19	call	2245	14560.0	Order.BTC	SPX170519P02245000	SPX	2017-05-19	put	2245	150.0	Order.BTC	14710.0	1.0	2017-05-01 00:00:00+00:00
8	SPX170616C02270000	SPX	2017-06-16	call	2270	-12120.0	Order.STO	SPX170616P02270000	SPX	2017-06-16	put	2270	-750.0	Order.STO	-12870.0	1.0	2017-05-01 00:00:00+00:00
9	SPX170616C02270000	SPX	2017-06-16	call	2270	16290.0	Order.BTC	SPX170616P02270000	SPX	2017-06-16	put	2270	90.0	Order.BTC	16380.0	1.0	2017-06-01 00:00:00+00:00
10	SPX170721C02310000	SPX	2017-07-21	call	2310	-12510.0	Order.STO	SPX170721P02310000	SPX	2017-07-21	put	2310	-810.0	Order.STO	-13320.0	1.0	2017-06-01 00:00:00+00:00
11	SPX170721C02310000	SPX	2017-07-21	call	2310	12170.0	Order.BTC	SPX170721P02310000	SPX	2017-07-21	put	2310	265.0	Order.BTC	12435.0	1.0	2017-07-03 00:00:00+00:00
12	SPX170818C02310000	SPX	2017-08-18	call	2310	-12370.0	Order.STO	SPX170818P02310000	SPX	2017-08-18	put	2310	-960.0	Order.STO	-13330.0	1.0	2017-07-03 00:00:00+00:00
13	SPX170818C02310000	SPX	2017-08-18	call	2310	16720.0	Order.BTC	SPX170818P02310000	SPX	2017-08-18	put	2310	145.0	Order.BTC	16865.0	1.0	2017-08-01 00:00:00+00:00
14	SPX170915C02355000	SPX	2017-09-15	call	2355	-12270.0	Order.STO	SPX170915P02355000	SPX	2017-09-15	put	2355	-740.0	Order.STO	-13010.0	1.0	2017-08-01 00:00:00+00:00
15	SPX170915C02355000	SPX	2017-09-15	call	2355	12350.0	Order.BTC	SPX170915P02355000	SPX	2017-09-15	put	2355	125.0	Order.BTC	12475.0	1.0	2017-09-01 00:00:00+00:00
16	SPX171020C02355000	SPX	2017-10-20	call	2355	-12840.0	Order.STO	SPX171020P02355000	SPX	2017-10-20	put	2355	-970.0	Order.STO	-13810.0	1.0	2017-09-01 00:00:00+00:00
17	SPX171020C02355000	SPX	2017-10-20	call	2355	17790.0	Order.BTC	SPX171020P02355000	SPX	2017-10-20	put	2355	115.0	Order.BTC	17905.0	1.0	2017-10-02 00:00:00+00:00
18	SPX171117C02405000	SPX	2017-11-17	call	2405	-12740.0	Order.STO	SPX171117P02405000	SPX	2017-11-17	put	2405	-730.0	Order.STO	-13470.0	1.0	2017-10-02 00:00:00+00:00
19	SPX171117C02405000	SPX	2017-11-17	call	2405	17510.0	Order.BTC	SPX171117P02405000	SPX	2017-11-17	put	2405	125.0	Order.BTC	17635.0	1.0	2017-11-01 00:00:00+00:00
20	SPX171215C02455000	SPX	2017-12-15	call	2455	-12650.0	Order.STO	SPX171215P02455000	SPX	2017-12-15	put	2455	-820.0	Order.STO	-13470.0	1.0	2017-11-01 00:00:00+00:00
21	SPX171215C02455000	SPX	2017-12-15	call	2455	19250.0	Order.BTC	SPX171215P02455000	SPX	2017-12-15	put	2455	145.0	Order.BTC	19395.0	1.0	2017-12-01 00:00:00+00:00
22	SPX180119C02515000	SPX	2018-01-19	call	2515	-13990.0	Order.STO	SPX180119P02515000	SPX	2018-01-19	put	2515	-1000.0	Order.STO	-14990.0	1.0	2017-12-01 00:00:00+00:00

In [11]:

bt.balance

Out [11]:

	total capital	cash	calls capital	options capital	options qty	puts capital	stocks capital	stocks qty	% change	accumulated return
2017-01-02 00:00:00+00:00	1.000000e+06	1000000.000000	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN
2017-01-03 00:00:00+00:00	9.767215e+05	22858.490787	-11800.0	-13020.0	1.0	-1220.0	9.897415e+05	35248.0	-0.023278	0.976722
2017-01-04 00:00:00+00:00	9.814920e+05	22858.490787	-12640.0	-13530.0	1.0	-890.0	9.950220e+05	35248.0	0.004884	0.981492
2017-01-05 00:00:00+00:00	9.905463e+05	22858.490787	-12530.0	-13390.0	1.0	-860.0	1.003936e+06	35248.0	0.009225	0.990546
2017-01-06 00:00:00+00:00	9.847099e+05	22858.490787	-13350.0	-14040.0	1.0	-690.0	9.987499e+05	35248.0	-0.005892	0.984710
...	...	...	...	...	...	...	...	...	...	...
2017-12-22 00:00:00+00:00	1.079712e+06	26263.716990	-17740.0	-18050.0	1.0	-310.0	1.097762e+06	34825.0	0.003791	1.079712
2017-12-26 00:00:00+00:00	1.082893e+06	26263.716990	-17700.0	-17975.0	1.0	-275.0	1.100868e+06	34825.0	0.002947	1.082893
2017-12-27 00:00:00+00:00	1.088539e+06	26263.716990	-17700.0	-18010.0	1.0	-310.0	1.106549e+06	34825.0	0.005214	1.088539
2017-12-28 00:00:00+00:00	1.093571e+06	26263.716990	-17700.0	-17955.0	1.0	-255.0	1.111526e+06	34825.0	0.004623	1.093571
2017-12-29 00:00:00+00:00	1.096880e+06	26263.716990	-16200.0	-16510.0	1.0	-310.0	1.113390e+06	34825.0	0.003025	1.096880

252 rows × 10 columns

In [12]:

bt.balance['total capital'].plot();

In [ ]: