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_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)
