def tail_vix_future(vix_spot, vix_future):
"""Contract: Short VIX future (>35dte).
Entry: Every friday if VIX spot >= 15 and bear market.
Exit: Every friday if VIX spot < 15 or bull market.
Weight: 1 (based on VIX future price, not VIX spot).
:param vix_spot: Vix spot data.
:param vix_future: Vix future data."""
bear, bull = MA_regime(vix_spot.close, 5, 100,
'bear'), MA_regime(vix_spot.close, 5, 100, 'bull')
entry_vix, exit_vix = vix_spot[vix_spot.close >= 15].dropna(
).index, vix_spot[vix_spot.close < 15].dropna().index
weekly_friday = pd.date_range(vix_future.index[0],
vix_future.index[-1],
freq='W-FRI').date
entry, exit = set(bear).intersection(entry_vix, weekly_friday), set(
set(bull).union(exit_vix)).intersection(weekly_friday)
tail_vix = Strategy('Tail')
tail_vix.add_instrument(1, vix_future, entry, 35, -1, 'f', 'Roll')
tail_vix.adjust_instrument(1, 'stop_date', exit)
tail_vix.type_investment(1, 'underlying')
tail_vix.weights(1, 1)
tail_vix = Portfolio(tail_vix)
tail_vix.weights({'Tail': 1})
tail_vix.fit()
return tail_vix
def dstat_adjustment(spx_future, spx_spot):
"""Contract: Short SPX future (>35dte).
Entry: Every last business day of the month + when trend (bull/bear) changes + at Dstat Down event.
Exit: Roll.
Weight: 0.25 bull and 0.75 bear.
:param spx_future: SPX future data.
:param spx_spot: SPX spot data."""
entry_trend = change_trend(spx_spot)
entry_eom = entry_dates(spx_future.index[0], spx_future.index[-1], 'BM')
entry_dstat, exit_dstat = search_dstat(spx_spot, [0, 1, 1], 2, 0.05,
0.95), exit_dstat_down(spx_spot)
down_dates, entry_dstat, exit_dstat = match_entry_exit(
entry_dstat, exit_dstat)
entry = list(entry_trend) + list(entry_eom) + list(entry_dstat)
entry = sorted(set(entry).intersection(down_dates))
dstat_adj = Strategy('DSTAT adjustment')
dstat_adj.add_instrument(1, spx_future, entry, 35, 1, 'f', 'Roll')
dstat_adj.adjust_instrument(1, 'stop_date', exit_dstat)
dstat_adj.type_investment(1, 'underlying')
bear, bull = MA_regime(spx_spot.close, 10, 200,
'bear'), MA_regime(spx_spot.close, 10, 200, 'bull')
weights = pd.Series(0.75, index=list(bear) + list(bull))
weights.loc[bull] = 0.25
dstat_adj.weights(1, weights)
return dstat_adj
def change_trend(spx_spot):
"""Compute the date when trend changes (pass from bear to bull or bull to bear).
:param spx_spot: SPX spot data."""
bear = MA_regime(spx_spot.close, 10, 200, 'bear')
bull = MA_regime(spx_spot.close, 10, 200, 'bull')
trend = pd.Series(index=list(bear) + list(bull))
trend.loc[bear], trend.loc[bull] = 0, 1
trend = trend.sort_index()
shift_trend = trend - trend.shift(1)
change_bull = shift_trend[shift_trend == 1].dropna().index
change_bear = shift_trend[shift_trend == -1].dropna().index
change = sorted(list(change_bull) + list(change_bear))
return change
def trend_adjustment(spx_future, spx_spot):
"""Contract: Short SPX future (>35dte).
Entry: Every last business day of the month + when trend (bull/bear) changes.
Exit: Roll.
Weight: 0.25 bull and 0.75 bear.
:param spx_future: SPX future data.
:param spx_spot: SPX spot data."""
entry_trend = change_trend(spx_spot)
entry_eom = entry_dates(spx_future.index[0], spx_future.index[-1], 'BM')
entry = list(entry_trend) + list(entry_eom)
trend_adj = Strategy('Trend adjustment')
trend_adj.add_instrument(1, spx_future, entry, 35, -1, 'f', 'Roll')
trend_adj.type_investment(1, 'underlying')
bear, bull = MA_regime(spx_spot.close, 10, 200,
'bear'), MA_regime(spx_spot.close, 10, 200, 'bull')
weights = pd.Series(0.75, index=list(bear) + list(bull))
weights.loc[bull] = 0.25
trend_adj.weights(1, weights)
return trend_adj
def TY(bond_future, spx_spot):
"""Contract : Long 10Y TY bond future (>35dte).
Entry : Every last business day of the month + when trend (bull/bear) changes.
Exit: Roll.
Weight : 0.75 bull and 0.25 bear.
:param bond_future: 10Y TY future data.
:param spx_spot: SPX spot data."""
entry_trend = change_trend(spx_spot)
entry_eom = entry_dates(bond_future.index[0], bond_future.index[-1], 'BM')
entry = sorted(list(entry_trend) + list(entry_eom))
ty = Strategy('TY')
ty.add_instrument(1, bond_future, entry, 35, 1, 'f', 'Roll')
ty.type_investment(1, 'value')
bear, bull = MA_regime(spx_spot.close, 10, 200,
'bear'), MA_regime(spx_spot.close, 10, 200, 'bull')
weights = pd.Series(0.25, index=list(bear) + list(bull))
weights.loc[bull] = 0.75
ty.weights(1, weights)
return ty
def tail_hedging(spx_put, spx_spot):
"""Contract : Long SPX put -0.05Δ (>35dte).
Entry : Pass from Dstat up to Dstat down +
Exit: Roll + Pass from Dstat down to Dstat up + 2x stop gain with pause of 180days.
Weight : 0.01 (based on premium value, not underlying).
:param spx_put: SPX put data.
:param spx_spot: SPX spot data."""
bull = MA_regime(spx_spot.close, 10, 200, 'bull')
entry_dstat, exit_dstat = search_dstat(spx_spot, [-1, 0], 1, 0.1,
0.9), search_dstat(
spx_spot, [0, -1], 1, 0.1, 0.9)
entry = set(entry_dstat).intersection(bull)
tail = Strategy('Tail')
tail.add_instrument(1, spx_put, entry, 35, 1, 'o', 'Expiry', -0.05)
tail.adjust_instrument(1, 'stop_date', exit_dstat)
dates = list(tail.instruments[1].groupby('trade_id').apply(
lambda x: dates_stop_gain(x, 2)).dropna().values)
dates.remove(str_to_datetime('2010-04-27'))
tail.pause(1, dates, 180)
tail.adjust_instrument(1, 'stop_gain', 2)
tail.type_investment(1, 'value')
tail.weights(1, 0.01)
return tail
[return1, return2, return3, returns4])
returns = np.array([return1, return2, return3, returns4])
bounds = [(0.25, 1), (0.1, 1), (0.1, 0.25), (0.1, 0.25)]
optimal_weights, optimal_returns, optimal_risks = markowitz(
returns, bounds)
plot_efficient_frontiere(returns, optimal_returns, optimal_risks, bounds)
####################################################### Genetic Algorithm #######################################################
portfolio = Portfolio(strat1, strat2, strat3, strat4)
portfolio.weights({
'strategy1': 1,
'strategy2': 1,
'strategy3': 1,
'strategy4': 1
})
bounds = [[(0.25, 1), (0.1, 1), (0.1, 0.25), (0.1, 0.25)],
[(0.25, 1), (0.1, 1), (0.1, 0.25), (0.1, 0.25)]]
bear = MA_regime(spx_spot.close, 10, 200, 'bear')
bull = MA_regime(spx_spot.close, 10, 200, 'bull')
regime = pd.Series(0, index=set(spx_put.index).union(bear, bull))
regime.loc[bull] = 1
genetic_algorithm(portfolio,
regime,
bounds,
n_population=50,
n_generation=10,
tournsize=3,
CXPB=0.5,
MUTPB=0.2,
indpb=0.05,
display=True)