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_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_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_backtest_predefined_timezone_aware():
tz = 'Europe/London'
start_dt = '2021-01-01T08:00'
end_dt = '2021-12-31T17:00'
states = pd.bdate_range(start_dt, end_dt,
freq='1H', tz=tz).to_series().between_time(
'08:00', '17:00').index.tolist()
trigger_dates = pd.bdate_range(
start_dt, end_dt, freq='1H',
tz=tz).to_series().at_time('17:00').index.tolist()
data = np.random.randn(len(states))
s_rt = pd.Series(index=states, data=data)
s_eod = s_rt.at_time('17:00')
s_eod.index = s_eod.index.date
generic_bond_future = IRBondFuture(currency='EUR')
add_trade_action = AddTradeAction(generic_bond_future)
simple_date_trigger_requirement = DateTriggerRequirements(
dates=trigger_dates)
simple_date_trigger = DateTrigger(
trigger_requirements=simple_date_trigger_requirement,
actions=[add_trade_action])
data_manager = DataManager()
data_manager.add_data_source(pd.Series(index=states, data=data),
DataFrequency.REAL_TIME, generic_bond_future,
ValuationFixingType.PRICE)
data_manager.add_data_source(s_eod, DataFrequency.DAILY,
generic_bond_future,
ValuationFixingType.PRICE)
# instantiate a new strategy
strategy = Strategy(None, triggers=simple_date_trigger)
engine = PredefinedAssetEngine(data_mgr=data_manager,
tz=timezone(tz),
calendars='Weekend')
backtest = engine.run_backtest(strategy=strategy,
start=states[0],
end=states[-1],
states=states)
assert len(backtest.trade_ledger()) == 364
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
def test_backtest_predefined():
# Test simple MOC order
trigger = ExampleTestTrigger()
strategy = Strategy(initial_portfolio=None, triggers=[trigger])
start = dt.date(2021, 1, 4)
mid = dt.date(2021, 1, 5)
end = dt.date(2021, 1, 6)
# these mocks are needed as the date functions need a GSSession
gs_quant.backtests.predefined_asset_engine.is_business_day = mock.Mock(
return_value=True)
gs_quant.backtests.predefined_asset_engine.business_day_offset = mock.Mock(
return_value=mid)
data_mgr = DataManager()
underlying = Security(ric='TestRic')
close_prices = pd.Series(dtype=float)
close_prices[start] = 1
close_prices[mid] = 1.5
close_prices[end] = 2
data_mgr.add_data_source(close_prices, DataFrequency.DAILY, underlying,
ValuationFixingType.PRICE)
engine = PredefinedAssetEngine(data_mgr=data_mgr)
backtest = engine.run_backtest(strategy, start=start, end=end)
perf = backtest.performance
holdings = backtest.historical_holdings
cash_asset = backtest.cash_asset
# 100 on the initial date
assert perf[start] == 100
# 100 on the next day as we traded MOC
assert perf[mid] == 100
assert holdings[mid][cash_asset] == 100 - 1.5
assert holdings[mid][underlying] == 1
# 100.5 = 98.5 (cash) + 2 ( test asset)
assert holdings[end][cash_asset] == 100 - 1.5
assert holdings[end][underlying] == 1
assert perf[end] == 100.5
# Test TWAP orders with no ON positions
twap_entry_mid = 16
twap_exit_mid = 25
twap_entry_end = 30
twap_exit_end = 40
data_twap = {
dt.datetime.combine(mid, dt.time(10, 30)): twap_entry_mid,
dt.datetime.combine(mid, dt.time(14, 30)): twap_exit_mid,
dt.datetime.combine(end, dt.time(10, 30)): twap_entry_end,
dt.datetime.combine(end, dt.time(14, 30)): twap_exit_end
}
data_mgr.add_data_source(pd.Series(data_twap), DataFrequency.REAL_TIME,
underlying, ValuationFixingType.PRICE)
trigger = FuturesExample()
strategy = Strategy(initial_portfolio=None, triggers=[trigger])
engine = PredefinedAssetEngine(data_mgr=data_mgr,
tz=timezone('Europe/London'))
backtest = engine.run_backtest(strategy, start=start, end=end)
perf = backtest.performance
holdings = backtest.historical_holdings
weights = backtest.historical_weights
cash_asset = backtest.cash_asset
# start: 100
assert perf[start] == 100
# mid: 100 + (twap_exit - twap_entry)
assert perf[mid] == 100 - twap_entry_mid + twap_exit_mid
assert holdings[mid][cash_asset] == perf[mid]
assert underlying not in holdings[mid]
assert weights[mid][cash_asset] == 1
assert underlying not in weights[mid]
# 100.5 = 98.5 (cash) + 2 ( test asset)
assert perf[
end] == 100 - twap_entry_mid + twap_exit_mid - twap_entry_end + twap_exit_end
assert holdings[end][cash_asset] == perf[end]
assert underlying not in holdings[end]
assert weights[end][cash_asset] == 1
assert underlying not in weights[end]
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 = AddTradesQuantityScaledAction(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 = AddTradesQuantityScaledAction(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 = AddTradesQuantityScaledAction(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 = AddTradesQuantityScaledAction(priceables=option,
trade_duration='2m',
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)
# 6. Invalid - mismatch hedge trade duration and trigger period
action = AddTradesQuantityScaledAction(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)
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 = AddTradesQuantityScaledAction(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)
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)
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)