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
"AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY
KIND, either express or implied. See the License for the
specific language governing permissions and limitations
under the License.
"""
from typing import Tuple
from gs_quant.backtests.triggers import *
from gs_quant.backtests.generic_engine import GenericEngine
from gs_quant.backtests.predefined_asset_engine import PredefinedAssetEngine
from gs_quant.backtests.equity_vol_engine import EquityVolEngine
from gs_quant.base import Priceable
backtest_engines = [
GenericEngine(),
PredefinedAssetEngine(),
EquityVolEngine()
]
class Strategy(object):
"""
A strategy object on which one may run a backtest
"""
def __init__(self, initial_portfolio: Optional[Tuple[Priceable, ...]],
triggers: Union[Trigger, Iterable[Trigger]]):
self._initial_portfolio = make_list(initial_portfolio)
self._triggers = make_list(triggers)
@property