def test_exit_action_bytradename(mocker):
with MockCalc(mocker):
start_date = date(2021, 12, 6)
end_date = date(2021, 12, 10)
# Define trade
irswap1 = IRSwap(PayReceive.Receive,
'10y',
Currency.USD,
notional_amount=1e5,
name='swap1')
irswap2 = IRSwap(PayReceive.Pay,
'5y',
Currency.USD,
notional_amount=1e5,
name='swap2')
trig_req_add = PeriodicTriggerRequirements(start_date=start_date,
end_date=end_date,
frequency='1b')
trig_req_exit = PeriodicTriggerRequirements(start_date=start_date,
end_date=end_date,
frequency='2b')
actions_add = AddTradeAction([irswap1, irswap2])
actions_exit = ExitTradeAction('swap1')
triggers = [
PeriodicTrigger(trig_req_add, actions_add),
PeriodicTrigger(trig_req_exit, actions_exit)
]
strategy = Strategy(None, triggers)
# run backtest daily
engine = GenericEngine()
# backtest = engine.run_backtest(strategy, start=start_date, end=end_date, frequency='1b', show_progress=True)
backtest = engine.run_backtest(strategy,
states=[
date(2021, 12, 6),
date(2021, 12, 7),
date(2021, 12, 8),
date(2021, 12, 9),
date(2021, 12, 10)
],
end=end_date,
show_progress=True)
trade_ledger = backtest.trade_ledger().to_dict('index')
assert trade_ledger['Action1_swap1_2021-12-06']['Open'] == date(
2021, 12, 6)
assert trade_ledger['Action1_swap1_2021-12-06']['Close'] == date(
2021, 12, 6)
assert trade_ledger['Action1_swap1_2021-12-07']['Open'] == date(
2021, 12, 7)
assert trade_ledger['Action1_swap1_2021-12-07']['Close'] == date(
2021, 12, 8)
assert trade_ledger['Action1_swap2_2021-12-06']['Status'] == 'open'
assert trade_ledger['Action1_swap2_2021-12-07']['Status'] == 'open'
assert trade_ledger['Action1_swap2_2021-12-10']['Status'] == 'open'
def test_hedge_action_risk_trigger(mocker):
with MockCalc(mocker):
start_date = date(2021, 12, 1)
# end_date = date(2021, 12, 3)
# Define trade
call = FXOption(buy_sell='Buy',
option_type='Call',
pair='USDJPY',
strike_price='ATMF',
notional_amount=1e5,
expiration_date='2y',
name='2y_call')
hedge_risk = FXDelta(aggregation_level='Type')
fwd_hedge = FXForward(pair='USDJPY',
settlement_date='2y',
notional_amount=1e5,
name='2y_forward')
trig_req = RiskTriggerRequirements(risk=hedge_risk,
trigger_level=0,
direction=TriggerDirection.ABOVE)
action_hedge = HedgeAction(hedge_risk, fwd_hedge, '2b')
triggers = StrategyRiskTrigger(trig_req, action_hedge)
with PricingContext(pricing_date=start_date):
fut = call.resolve(in_place=False)
call = fut.result()
strategy = Strategy(call, triggers)
# run backtest daily
engine = GenericEngine()
# backtest = engine.run_backtest(strategy, start=start_date, end=end_date, frequency='1b', show_progress=True)
backtest = engine.run_backtest(
strategy,
states=[date(2021, 12, 1),
date(2021, 12, 2),
date(2021, 12, 3)],
show_progress=True)
summary = backtest.result_summary
assert len(summary) == 3
assert round(summary[hedge_risk].sum()) == 0
assert round(summary['Cumulative Cash'].sum()) == -7090
assert Price in summary.columns
def test_mkt_trigger_data_sources(mocker):
with MockCalc(mocker):
s = pd.Series({
date(2021, 10, 1): 0.984274,
date(2021, 10, 4): 1.000706,
date(2021, 10, 5): 1.044055,
date(2021, 10, 6): 1.095361,
date(2021, 10, 7): 1.129336,
date(2021, 10, 8): 1.182954,
date(2021, 10, 12): 1.200108,
date(2021, 10, 13): 1.220607,
date(2021, 10, 14): 1.172837,
date(2021, 10, 15): 1.163660,
date(2021, 10, 18): 1.061084,
date(2021, 10, 19): 1.025012,
date(2021, 10, 20): 1.018035,
date(2021, 10, 21): 1.080751,
date(2021, 10, 22): 1.069340,
date(2021, 10, 25): 1.033413
})
action = AddTradeAction(
IRSwaption(notional_currency='USD',
expiration_date='1y',
termination_date='1y'), 'expiration_date')
data_source = GenericDataSource(s, MissingDataStrategy.fill_forward)
mkt_trigger = MktTrigger(
MktTriggerRequirements(data_source, 1.1, TriggerDirection.ABOVE),
action)
strategy = Strategy(None, mkt_trigger)
engine = GenericEngine()
# backtest = engine.run_backtest(strategy, start=date(2021, 10, 1), end=date(2021, 10, 25), frequency='1b',
# show_progress=True)
backtest = engine.run_backtest(strategy,
states=s.index,
show_progress=True)
summary = backtest.result_summary
ledger = backtest.trade_ledger()
assert len(summary) == 12
assert len(ledger) == 6
assert round(summary[Price].sum()) == 25163614
assert round(summary['Cumulative Cash'].sum()) == -2153015
def test_generic_engine_simple(mocker):
with MockCalc(mocker):
start_date = date(2021, 12, 1)
# end_date = date(2021, 12, 3)
# Define trade
call = FXOption(buy_sell='Buy',
option_type='Call',
pair='USDJPY',
strike_price='ATMF',
notional_amount=1e5,
expiration_date='2y',
name='2y_call')
# Periodic trigger: based on frequency
freq = '1m'
# trig_req = PeriodicTriggerRequirements(start_date=start_date, end_date=end_date, frequency=freq)
trig_req = DateTriggerRequirements(dates=[start_date])
actions = AddTradeAction(call, freq)
# starting with empty portfolio (first arg to Strategy), apply actions on trig_req
triggers = DateTrigger(trig_req, actions)
strategy = Strategy(None, triggers)
# run backtest daily
engine = GenericEngine()
# backtest = engine.run_backtest(strategy, start=start_date, end=end_date, frequency='1b', show_progress=True)
backtest = engine.run_backtest(
strategy,
states=[date(2021, 12, 1),
date(2021, 12, 2),
date(2021, 12, 3)],
show_progress=True)
summary = backtest.result_summary
assert len(summary) == 3
assert round(summary[Price].sum()) == 2424
assert round(summary['Cumulative Cash'].sum()) == 0