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options_backtester/2legs_example.ipynb
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Camilo1704 f23aa0ee01 rebalance modified
2020-03-12 19:00:53 -03:00

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In [3]:
from backtester import Backtest
from backtester.strategy import Strategy, StrategyLeg
from backtester.enums import Type, Direction, Stock
from backtester.datahandler import HistoricalOptionsData, TiingoData
# Cleaned up data
options_data = HistoricalOptionsData(
    "/Users/lambdaclass/options_backtester_copy/backtester/examples/options_data_clean_v2.h5",
    key="/SPX",
    where='quotedate >= "2014-12-15" & quotedate <= "2015-03-15"')

options_data._data = options_data._data[(options_data._data['optionroot'] == "SPX160617P00650000")
                                        | (options_data._data['optionroot'] == "SPX160617C00650000")
                                        | (options_data._data['optionroot'] == "SPX160617P00700000")
                                        | (options_data._data['optionroot'] == "SPX160617C00700000")]

schema = options_data.schema
options_data._data.at[5857589, 'ask'] = 100  #SPX6500 call 2014-12-15
options_data._data.at[5857589, 'bid'] = 0.5  #SPX6500 call  2014-12-15
options_data._data.at[5857590, 'ask'] = 10  #SPX7000 call  2014-12-15
options_data._data.at[5857590, 'bid'] = 0.5  #SPX7000 call  2014-12-15
options_data._data.at[6045133, 'ask'] = 1  #SPX6500 put 2015-02-02
options_data._data.at[6045133, 'bid'] = 0.5

options_data._data.at[6045059, 'bid'] = 1  #SPX6500 call 2015-02-02
options_data._data.at[6045060, 'ask'] = 1

options_data._data.at[6151669, 'bid'] = 100  #SPX6500 call 2015-03-02
options_data._data.at[6151743, 'bid'] = 100
options_schema = options_data.schema
put_otm = Strategy(options_schema)

leg_1 = StrategyLeg("leg_1", options_schema, option_type=Type.PUT, direction=Direction.BUY)
leg_1.entry_filter = (options_schema.underlying == "SPX") & (options_schema.dte >= 60)
leg_1.exit_filter = (options_schema.dte <= 30)

leg_2 = StrategyLeg("leg_2", options_schema, option_type=Type.CALL, direction=Direction.BUY)
leg_2.entry_filter = (options_schema.underlying == "SPX") & (options_schema.dte >= 60)
leg_2.exit_filter = (options_schema.dte <= 30)

put_otm.add_legs([leg_1, leg_2])
options_data.columns = [
    'underlying', 'underlying_last', 'optionroot', 'type', 'expiration', 'quotedate', 'strike', 'last', 'bid', 'ask',
    'volume', 'openinterest', 'impliedvol', 'delta', 'gamma', 'theta', 'vega', 'optionalias', 'dte'
]
options_data.quotedate = options_data.quotedate.dt.tz_localize(None)
options_data._data.quotedate = options_data._data.quotedate.dt.tz_localize(None)

allocation = {'cash': 0, 'stocks': 97, 'options': 3}

bt = Backtest(allocation=allocation)

#asset_data = HistoricalAssetData('/Users/lambdaclass/options_backtester_copy/data/ivy_5assets.csv')
asset_data = TiingoData('/Users/lambdaclass/options_backtester_copy/data/ivy_5assets.csv')
asset_data._data.date = asset_data._data.date.dt.tz_localize(None)
asset_data.start_date = min(asset_data._data.date)
asset_data.end_date = max(asset_data._data.date)
VTI = Stock("VTI", 0.2)
VEU = Stock("VEU", 0.2)
BND = Stock("BND", 0.2)
VNQ = Stock("VNQ", 0.2)
DBC = Stock("DBC", 0.2)
bt.stocks = [VTI, VEU, BND, VNQ, DBC]
asset_data._data = asset_data._data.query('date >= "2014-12-15" & date <= "2015-03-15"')
bt.options_data = options_data
bt._options_strategy = put_otm
bt.stocks_data = asset_data
bt.stocks_data.start_date = min(bt.stocks_data['date'])
bt.stocks_data.end_date = max(bt.stocks_data['date'])

bt.current_cash = 1_000_000
bt.run(rebalance_freq=1)
bt.balance

# Exit thresholds: we exit if the loss or profit on the investment on an entry is greater than 25%.
#put_otm.exit_thresholds = (0.25, 0.25)
Out [3]:
0% [██████████████████████████████] 100% | ETA: 00:00:00
Total time elapsed: 00:00:00
total capital cash VTI VEU BND VNQ DBC options qty calls capital puts capital stocks qty options capital stocks capital % change accumulated return
2014-12-14 1000000.000000 1000000.000000 NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN
2015-01-02 964109.713884 -20071.346493 201294.434010 199500.085077 194650.276734 202603.740636 186132.523921 2.0 0.0 80.0 23291.0 80.0 984181.060377 -0.035890 0.964110
2015-01-05 955268.364042 -20071.346493 197835.636144 195098.090912 195215.504398 203712.615403 183477.863678 2.0 0.0 150.0 23291.0 150.0 975339.710535 -0.009170 0.955268
2015-01-06 952427.771297 -20071.346493 195897.188989 193345.840807 195780.732062 205733.231644 181742.124289 2.0 0.0 160.0 23291.0 160.0 972499.117790 -0.002974 0.952428
2015-01-07 959050.963830 -20071.346493 198234.728206 195482.731179 195898.487825 208887.364312 180618.998802 2.0 0.0 130.0 23291.0 130.0 979122.310323 0.006954 0.959051
2015-01-08 966480.074540 -20071.346493 201731.534839 198217.950854 195592.322840 209675.897479 181333.715021 2.0 0.0 330.0 23291.0 330.0 986551.421034 0.007746 0.966480
2015-01-09 963818.481599 -20071.346493 200059.149058 197106.767861 195922.038978 209774.464125 181027.408070 2.0 0.0 330.0 23291.0 330.0 983889.828092 -0.002754 0.963818
2015-01-12 959459.914778 -20071.346493 198633.820267 196294.749519 196181.101657 211376.172121 177045.417706 2.0 0.0 330.0 23291.0 330.0 979531.261271 -0.004522 0.959460
2015-01-13 959225.606153 -20071.346493 198177.715054 197363.194705 196369.510878 211055.830522 176330.701487 2.0 0.0 150.0 23291.0 150.0 979296.952646 -0.000244 0.959226
2015-01-14 961583.974613 -20071.346493 197094.465173 196593.914172 196816.982779 212879.313471 178270.645511 2.0 0.0 150.0 23291.0 150.0 981655.321106 0.002459 0.961584
2015-01-15 959741.680990 -20071.346493 195099.004866 197833.310587 197688.375427 213372.146701 175820.189902 2.0 0.0 170.0 23291.0 170.0 979813.027483 -0.001916 0.959742
2015-01-16 969134.437588 -20071.346493 197683.411030 200012.938766 197099.596611 215220.271311 179189.566364 2.0 0.0 270.0 23291.0 270.0 989205.784081 0.009787 0.969134
2015-01-20 965270.691803 -20071.346493 197968.666832 200226.627803 196887.636237 213519.996669 176739.110755 2.0 0.0 130.0 23291.0 130.0 985342.038296 -0.003987 0.965271
2015-01-21 968728.294063 -20071.346493 198861.872874 202192.566945 196510.817794 213372.146701 177862.236243 2.0 0.0 300.0 23291.0 300.0 988799.640556 0.003582 0.968728
2015-01-22 976840.790089 -20071.346493 201883.569910 203645.652397 196557.920099 217166.962568 177658.031608 2.0 0.0 300.0 23291.0 300.0 996912.136582 0.008374 0.976841
2015-01-23 973628.635153 -20071.346493 200971.359484 202448.993789 197193.801221 216550.921031 176534.906121 2.0 0.0 300.0 23291.0 300.0 993699.981647 -0.003288 0.973629
2015-01-26 977406.124705 -20071.346493 201807.552374 204414.932931 196958.289695 218374.403980 175922.292219 2.0 0.0 60.0 23291.0 60.0 997477.471199 0.003880 0.977406
2015-01-27 976074.707092 -20071.346493 199451.008774 204329.457316 197076.045458 218448.328964 176841.213073 2.0 0.0 280.0 23291.0 280.0 996146.053585 -0.001362 0.976075
2015-01-28 967255.507918 -20071.346493 196752.386263 201508.762026 197782.580038 216994.470937 174288.655147 2.0 0.0 280.0 23291.0 280.0 987326.854411 -0.009035 0.967256
2015-01-29 970837.993659 -20071.346493 198633.820267 203474.701168 197570.619664 217758.362443 173471.836611 2.0 0.0 280.0 23291.0 280.0 990909.340152 0.003704 0.970838
2015-01-30 965676.063416 -20071.346493 195935.197757 200226.627803 198653.972686 213273.580055 177658.031608 2.0 0.0 280.0 23291.0 280.0 985747.409909 -0.005317 0.965676
2015-02-02 943421.397474 301.521937 188578.258444 188632.490894 188611.975949 188637.365685 188659.784565 66.0 200.0 13220.0 22863.0 13420.0 943119.875537 -0.023046 0.943421
2015-02-03 955551.600831 301.521937 191472.227497 191572.424409 188028.732446 190276.360406 193900.334136 66.0 0.0 7320.0 22863.0 7320.0 955250.078893 0.012858 0.955552
2015-02-04 948335.526279 301.521937 190802.997153 190022.999989 188096.029774 189489.642940 189622.334486 66.0 0.0 8600.0 22863.0 8600.0 948034.004342 -0.007552 0.948336
2015-02-05 957213.410059 301.521937 192901.124717 192367.001035 187692.245810 191762.382285 192189.134275 66.0 0.0 7000.0 22863.0 7000.0 956911.888122 0.009362 0.957213
2015-02-06 947842.787062 301.521937 192322.330906 189824.355833 186480.893919 186189.800236 192723.884231 66.0 0.0 8290.0 22863.0 8290.0 947541.265125 -0.009789 0.947843
2015-02-09 946914.291746 301.521937 191363.703658 189307.881026 186413.596591 184878.604460 194648.984074 66.0 0.0 13090.0 22863.0 13090.0 946612.769809 -0.000980 0.946914
2015-02-10 947853.287460 301.521937 193317.132769 190499.745964 186077.109955 185468.642559 192189.134275 66.0 0.0 8290.0 22863.0 8290.0 947551.765522 0.000992 0.947853
2015-02-11 944827.414097 301.521937 193407.569301 189427.067520 186077.109955 184922.310985 190691.834398 66.0 0.0 7970.0 22863.0 7970.0 944525.892160 -0.003192 0.944827
2015-02-12 955013.543436 301.521937 195270.561880 192565.645191 186166.839725 187129.490542 193579.484162 66.0 0.0 6370.0 22863.0 6370.0 954712.021499 0.010781 0.955014
2015-02-13 957753.923767 301.521937 196193.014516 193916.425454 185740.623318 185883.854555 195718.483987 66.0 0.0 5730.0 22863.0 5730.0 957452.401830 0.002869 0.957754
2015-02-17 957485.643655 301.521937 196500.498727 194432.900261 185000.352718 185424.936033 195825.433978 66.0 0.0 5730.0 22863.0 5730.0 957184.121717 -0.000280 0.957486
2015-02-18 958278.198260 301.521937 196609.022567 195227.476886 185516.298894 187151.343805 193472.534171 66.0 0.0 5730.0 22863.0 5730.0 957976.676323 0.000828 0.958278
2015-02-19 953245.293590 301.521937 196554.760647 195068.561561 185359.271797 183130.343425 192830.834222 66.0 0.0 6050.0 22863.0 6050.0 952943.771652 -0.005252 0.953245
2015-02-20 957163.017112 301.521937 197658.086349 196816.630137 185404.136682 184900.457723 192082.184284 66.0 0.0 5090.0 22863.0 5090.0 956861.495175 0.004110 0.957163
2015-02-23 956735.682530 301.521937 197639.999042 195823.409355 185785.488203 186386.479602 190798.784389 66.0 0.0 5180.0 22863.0 5180.0 956434.160592 -0.000446 0.956736
2015-02-24 955816.407980 301.521937 198092.181707 197253.647281 186548.191246 182715.131429 190905.734380 66.0 0.0 3460.0 22863.0 3460.0 955514.886043 -0.000961 0.955816
2015-02-25 958974.061077 301.521937 198019.832480 197372.833775 186727.650785 182758.837955 193793.384145 66.0 0.0 3250.0 22863.0 3250.0 958672.539140 0.003304 0.958974
2015-02-26 954301.589814 301.521937 197893.221334 196935.816631 186211.704609 180770.191027 192189.134275 66.0 0.0 3260.0 22863.0 3260.0 954000.067877 -0.004872 0.954302
2015-02-27 957392.131534 301.521937 197187.816378 197015.274294 186368.731706 182190.653118 194328.134101 66.0 0.0 3240.0 22863.0 3240.0 957090.609597 0.003239 0.957392
2015-03-02 999472.405291 31660.297797 193519.352851 193583.644762 193537.947483 193570.626312 193600.536086 65.0 10000.0 11600.0 23108.0 21600.0 967812.107494 0.043953 0.999472
2015-03-03 998093.629404 31660.297797 192725.445396 192413.247877 193303.781787 193201.260776 194789.595771 65.0 0.0 2240.0 23108.0 2240.0 966433.331607 -0.001380 0.998094
2015-03-04 992921.717475 31660.297797 191949.180329 191593.970058 193303.781787 191354.433095 193060.054411 65.0 0.0 2245.0 23108.0 2245.0 961261.419679 -0.005182 0.992922
2015-03-05 993214.121335 31660.297797 192249.100923 191671.996517 193420.864635 191908.481399 192303.380065 65.0 0.0 2045.0 23108.0 2045.0 961553.823539 0.000294 0.993214
2015-03-06 978101.577405 31660.297797 189585.100350 189097.123370 192296.869296 185536.925900 189925.260694 65.0 0.0 2045.0 23108.0 2045.0 946441.279609 -0.015216 0.978102
2015-03-09 980056.445546 31660.297797 190290.795866 189175.149829 192531.034991 187014.388045 189384.779019 65.0 0.0 4805.0 23108.0 4805.0 948396.147749 0.001999 0.980056
2015-03-10 971230.320507 31660.297797 187397.444251 185117.773961 193280.365217 186875.875968 186898.563312 65.0 0.0 2565.0 23108.0 2565.0 939570.022710 -0.009006 0.971230
2015-03-11 972980.580181 31660.297797 187256.305148 185663.959174 193491.114344 187037.473391 187871.430328 65.0 0.0 1925.0 23108.0 1925.0 941320.282384 0.001802 0.972981
2015-03-12 979925.481459 31660.297797 189602.742738 187731.660338 193631.613761 190292.507178 187006.659647 65.0 0.0 645.0 23108.0 645.0 948265.183662 0.007138 0.979925
In [3]:
bt.trade_log
Out [3]:
leg_1 leg_2 totals
contract underlying expiration type strike cost order contract underlying expiration type strike cost order cost qty date
0 SPX160617P00650000 SPX 2016-06-17 put 650.0 390.0 Order.BTO SPX160617C00650000 SPX 2016-06-17 call 650.0 10000.0 Order.BTO 10390.0 2.0 2014-12-15
1 SPX160617P00700000 SPX 2016-06-17 put 700.0 350.0 Order.BTO SPX160617C00700000 SPX 2016-06-17 call 700.0 100.0 Order.BTO 450.0 64.0 2015-02-02
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