def run_strat():
# fetch the option chains from our data source
d = op.get('data/VXX.csv',
start=date(2016, 12, 1),
end=date(2016, 12, 31),
struct=vxx_struct,
prompt=False)
os = op.option_strategy.Vertical(option_type=op.OptionType.CALL, width=2)
filters = [
op.filters.EntrySpreadPrice(ideal=1.0, lower=0.9, upper=1.10),
op.filters.EntryDaysToExpiration(ideal=47, lower=40, upper=52),
op.filters.EntryDayOfWeek(ideal=4),
op.filters.ExitDaysToExpiration(ideal=1)
]
# construct our strategy with our defined filter rules
strategy = op.Strategy('Weekly Verticals', os, filters)
# Create an instance of Optopsy with strategy settings, with default
# initial capital of $10000
backtest = op.Optopsy(strategy, d)
# Run over everything once
backtest.run(progress_bar=False)
def test_init_strategy_with_filters():
filters = [
op.filters.EntrySpreadPrice(ideal=1.0, lower=0.9, upper=1.10),
op.filters.ExitDaysToExpiration(ideal=1)
]
dummy_strategy = op.OptionStrategy(name="Dummy Strategy")
op.Strategy('Weekly Verticals', dummy_strategy, filters)
def test_invalid_opt_strategy():
with pytest.raises(ValueError):
op.Strategy('test', op.Filter(), 'list of filters')
def test_strategy_with_invalid_filters():
filters = (op.filters.EntryDaysToExpiration(ideal=47, lower=40, upper=52))
dummy_strategy = op.OptionStrategy(name="Dummy Strategy")
with pytest.raises(ValueError):
op.Strategy('Weekly Verticals', dummy_strategy, filters)