def test_eq_vol_engine_result(mocker):
# 1. setup strategy
start_date = dt.date(2019, 2, 18)
end_date = dt.date(2019, 2, 20)
option = EqOption('.STOXX50E', expirationDate='3m', strikePrice='ATM', optionType=OptionType.Call,
optionStyle=OptionStyle.European)
action = EnterPositionQuantityScaledAction(priceables=option, trade_duration='1m')
trigger = PeriodicTrigger(
trigger_requirements=PeriodicTriggerRequirements(start_date=start_date, end_date=end_date, frequency='1m'),
actions=action)
hedgetrigger = PeriodicTrigger(
trigger_requirements=PeriodicTriggerRequirements(start_date=start_date, end_date=end_date, frequency='B'),
actions=HedgeAction(EqDelta, priceables=option, trade_duration='B'))
strategy = Strategy(initial_portfolio=None, triggers=[trigger, hedgetrigger])
# 2. setup mock api response
mock_api_response(mocker, api_mock_data())
# 3. when run backtest
set_session()
backtest_result = EquityVolEngine.run_backtest(strategy, start_date, end_date)
# 4. assert response
df = pd.DataFrame(api_mock_data().risks[FlowVolBacktestMeasure.PNL.value])
df.date = pd.to_datetime(df.date)
expected_pnl = df.set_index('date').value
assert expected_pnl.equals(backtest_result.get_measure_series(FlowVolBacktestMeasure.PNL))
def test_engine_mapping_trade_quantity_nav(mocker):
# 1. setup strategy
start_date = dt.date(2019, 2, 18)
end_date = dt.date(2019, 2, 20)
option = EqOption('.STOXX50E', expirationDate='3m', strikePrice='ATM', optionType=OptionType.Call,
optionStyle=OptionStyle.European)
action = EnterPositionQuantityScaledAction(priceables=option, trade_duration='1m', trade_quantity=12345,
trade_quantity_type=BacktestTradingQuantityType.NAV)
trigger = PeriodicTrigger(
trigger_requirements=PeriodicTriggerRequirements(start_date=start_date, end_date=end_date, frequency='1m'),
actions=action)
hedgetrigger = PeriodicTrigger(
trigger_requirements=PeriodicTriggerRequirements(start_date=start_date, end_date=end_date, frequency='B'),
actions=HedgeAction(EqDelta, priceables=option, trade_duration='B'))
strategy = Strategy(initial_portfolio=None, triggers=[trigger, hedgetrigger])
# 2. setup mock api response
mock_api_response(mocker, api_mock_data())
# 3. when run backtest
set_session()
EquityVolEngine.run_backtest(strategy, start_date, end_date)
# 4. assert API call
backtest_parameter_args = {
'trading_parameters': BacktestTradingParameters(
quantity=12345,
quantity_type=BacktestTradingQuantityType.NAV.value,
trade_in_method=TradeInMethod.FixedRoll.value,
roll_frequency='1m'),
'underliers': [BacktestStrategyUnderlier(
instrument=option,
notional_percentage=100,
hedge=BacktestStrategyUnderlierHedge(risk_details=DeltaHedgeParameters(frequency='Daily')),
market_model='SFK')
],
'index_initial_value': 12345,
"measures": [FlowVolBacktestMeasure.ALL_MEASURES]
}
backtest_parameters = VolatilityFlowBacktestParameters.from_dict(backtest_parameter_args)
backtest = Backtest(name="Flow Vol Backtest",
mq_symbol="Flow Vol Backtest",
parameters=backtest_parameters,
start_date=start_date,
end_date=end_date,
type='Volatility Flow',
asset_class=AssetClass.Equity,
currency=Currency.USD,
cost_netting=False)
mocker.assert_called_with(backtest, None)
def test_supports_strategy():
# 1. Valid strategy
start_date = dt.date(2019, 2, 18)
end_date = dt.date(2019, 2, 20)
option = EqOption('.STOXX50E',
expirationDate='3m',
strikePrice='ATM',
optionType=OptionType.Call,
optionStyle=OptionStyle.European)
action = EnterPositionQuantityScaledAction(priceables=option,
trade_duration='1m')
trigger = PeriodicTrigger(trigger_requirements=PeriodicTriggerRequirements(
start_date=start_date, end_date=end_date, frequency='1m'),
actions=action)
hedge_trigger = PeriodicTrigger(
trigger_requirements=PeriodicTriggerRequirements(start_date=start_date,
end_date=end_date,
frequency='B'),
actions=HedgeAction(EqDelta, priceables=option, trade_duration='B'))
strategy = Strategy(initial_portfolio=None,
triggers=[trigger, hedge_trigger])
assert EquityVolEngine.supports_strategy(strategy)
# 2. Invalid - no trade action
trigger = PeriodicTrigger(trigger_requirements=PeriodicTriggerRequirements(
start_date=start_date, end_date=end_date, frequency='1m'),
actions=None)
strategy = Strategy(initial_portfolio=None, triggers=[trigger])
assert not EquityVolEngine.supports_strategy(strategy)
# 3. Invalid - no trade quantity
action = EnterPositionQuantityScaledAction(priceables=option,
trade_duration='1m',
trade_quantity=None)
trigger = PeriodicTrigger(trigger_requirements=PeriodicTriggerRequirements(
start_date=start_date, end_date=end_date, frequency='1m'),
actions=action)
strategy = Strategy(initial_portfolio=None, triggers=[trigger])
assert not EquityVolEngine.supports_strategy(strategy)
# 4. Invalid - no trade quantity type
action = EnterPositionQuantityScaledAction(priceables=option,
trade_duration='1m',
trade_quantity_type=None)
trigger = PeriodicTrigger(trigger_requirements=PeriodicTriggerRequirements(
start_date=start_date, end_date=end_date, frequency='1m'),
actions=action)
strategy = Strategy(initial_portfolio=None, triggers=[trigger])
assert not EquityVolEngine.supports_strategy(strategy)
# 5. Invalid - mismatch trade duration and trigger period
action = EnterPositionQuantityScaledAction(priceables=option,
trade_duration='2m')
trigger = PeriodicTrigger(trigger_requirements=PeriodicTriggerRequirements(
start_date=start_date, end_date=end_date, frequency='1m'),
actions=action)
strategy = Strategy(initial_portfolio=None, triggers=[trigger])
assert not EquityVolEngine.supports_strategy(strategy)
# 6. Invalid - mismatch hedge trade duration and trigger period
action = EnterPositionQuantityScaledAction(priceables=option,
trade_duration='1m')
trigger = PeriodicTrigger(trigger_requirements=PeriodicTriggerRequirements(
start_date=start_date, end_date=end_date, frequency='1m'),
actions=action)
hedge_trigger = PeriodicTrigger(
trigger_requirements=PeriodicTriggerRequirements(start_date=start_date,
end_date=end_date,
frequency='B'),
actions=HedgeAction(EqDelta, priceables=option, trade_duration='M'))
strategy = Strategy(initial_portfolio=None,
triggers=[trigger, hedge_trigger])
assert not EquityVolEngine.supports_strategy(strategy)
# 6. Invalid - non-daily hedge trade
action = EnterPositionQuantityScaledAction(priceables=option,
trade_duration='1m')
trigger = PeriodicTrigger(trigger_requirements=PeriodicTriggerRequirements(
start_date=start_date, end_date=end_date, frequency='1m'),
actions=action)
hedge_trigger = PeriodicTrigger(
trigger_requirements=PeriodicTriggerRequirements(start_date=start_date,
end_date=end_date,
frequency='M'),
actions=HedgeAction(EqDelta, priceables=option, trade_duration='M'))
strategy = Strategy(initial_portfolio=None,
triggers=[trigger, hedge_trigger])
assert not EquityVolEngine.supports_strategy(strategy)
# 7. Invalid - expiration date modifiers must be the same
option_listed = EqOption('.STOXX50E',
expirationDate='3m@listed',
strikePrice='ATM',
optionType=OptionType.Call,
optionStyle=OptionStyle.European)
action = EnterPositionQuantityScaledAction(
priceables=[option, option_listed], trade_duration='1m')
trigger = PeriodicTrigger(trigger_requirements=PeriodicTriggerRequirements(
start_date=start_date, end_date=end_date, frequency='1m'),
actions=action)
strategy = Strategy(initial_portfolio=None, triggers=[trigger])
assert not EquityVolEngine.supports_strategy(strategy)
option_listed = EqOption('.STOXX50E',
expirationDate='3m@listed',
strikePrice='ATM',
optionType=OptionType.Call,
optionStyle=OptionStyle.European)
# 8. Invalid - expiration date modifier not in [otc, listed]
option_invalid = EqOption('.STOXX50E',
expirationDate='3m@invalid',
strikePrice='ATM',
optionType=OptionType.Call)
action = EnterPositionQuantityScaledAction(priceables=[option_invalid],
trade_duration='1m')
trigger = PeriodicTrigger(trigger_requirements=PeriodicTriggerRequirements(
start_date=start_date, end_date=end_date, frequency='1m'),
actions=action)
strategy = Strategy(initial_portfolio=None, triggers=[trigger])
assert not EquityVolEngine.supports_strategy(strategy)
def test_engine_mapping_with_signals(mocker):
# 1. setup strategy
start_date = dt.date(2019, 2, 18)
end_date = dt.date(2019, 2, 27)
option = EqOption('.STOXX50E',
expirationDate='3m',
strikePrice='ATM',
optionType=OptionType.Call,
optionStyle=OptionStyle.European)
entry_action = EnterPositionQuantityScaledAction(
priceables=option,
trade_duration='1m',
trade_quantity=12345,
trade_quantity_type=BacktestTradingQuantityType.notional)
entry_signal_series = pd.Series(data={dt.date(2019, 2, 19): 1})
entry_dates = entry_signal_series[entry_signal_series > 0].keys()
entry_trigger = AggregateTrigger(triggers=[
DateTrigger(trigger_requirements=DateTriggerRequirements(
dates=entry_dates),
actions=entry_action),
PortfolioTrigger(trigger_requirements=PortfolioTriggerRequirements(
'len', 0, TriggerDirection.EQUAL))
])
exit_signal_series = pd.Series(data={dt.date(2019, 2, 20): 1})
exit_dates = exit_signal_series[exit_signal_series > 0].keys()
exit_trigger = AggregateTrigger(triggers=[
DateTrigger(trigger_requirements=DateTriggerRequirements(
dates=exit_dates),
actions=ExitPositionAction()),
PortfolioTrigger(trigger_requirements=PortfolioTriggerRequirements(
'len', 0, TriggerDirection.ABOVE))
])
strategy = Strategy(initial_portfolio=None,
triggers=[entry_trigger, exit_trigger])
# 2. setup mock api response
mock_api_response(mocker, api_mock_data())
# 3. when run backtest
set_session()
EquityVolEngine.run_backtest(strategy, start_date, end_date)
# 4. assert API call
backtest_parameter_args = {
'trading_parameters':
BacktestTradingParameters(
quantity=12345,
quantity_type=BacktestTradingQuantityType.notional.value,
trade_in_method=TradeInMethod.FixedRoll.value,
roll_frequency='1m',
trade_in_signals=list(
map(lambda x: BacktestSignalSeriesItem(x[0], int(x[1])),
zip(entry_signal_series.index,
entry_signal_series.values))),
trade_out_signals=list(
map(lambda x: BacktestSignalSeriesItem(x[0], int(x[1])),
zip(exit_signal_series.index,
exit_signal_series.values)))),
'underliers': [
BacktestStrategyUnderlier(instrument=option,
notional_percentage=100,
hedge=BacktestStrategyUnderlierHedge(),
market_model='SFK',
expiry_date_mode='otc')
],
'index_initial_value':
0.0,
"measures": [FlowVolBacktestMeasure.ALL_MEASURES]
}
backtest_parameters = VolatilityFlowBacktestParameters.from_dict(
backtest_parameter_args)
backtest = Backtest(name="Flow Vol Backtest",
mq_symbol="Flow Vol Backtest",
parameters=backtest_parameters,
start_date=start_date,
end_date=end_date,
type='Volatility Flow',
asset_class=AssetClass.Equity,
currency=Currency.USD,
cost_netting=False)
mocker.assert_called_with(backtest, None)
