def test_avg_loss_short_singles():
filters = {
"start_date": datetime(2018, 1, 1),
"end_date": datetime(2018, 2, 28),
"entry_dte": 7,
"leg1_delta": 0.50,
"contract_size": 1,
"expr_type": "SPXW",
}
spread = short_call(DATA, filters)
result = spread.avg_loss()
print(result)
assert result == 0
def test_short_call_midpoint_integration():
filters = {
"start_date": datetime(2018, 1, 1),
"end_date": datetime(2018, 2, 28),
"entry_dte": 31,
"leg1_delta": 0.30,
"exit_dte": 7,
}
backtest = short_call(DATA, filters, mode="midpoint")
print(backtest)
assert backtest["cost"].sum() == 9630.0
assert (backtest.iat[0, 5] == -1 and backtest.iat[0, 9] == 0.31
and backtest.iat[0, 16] == 11055.0)
assert (backtest.iat[1, 5] == -1 and backtest.iat[1, 9] == 0.30
and backtest.iat[1, 16] == -1425.0)
def test_short_call(options_data):
actual_spread = short_call(options_data)
assert actual_spread[0] == OrderAction.STO
assert isinstance(actual_spread[1], pd.DataFrame)
assert not actual_spread[1].empty
assert all(actual_spread[1]['option_type'] == 'c')