def simulation(self):
print self.call_symbol, self.put_symbol
relative_percentages = list(
TradeSimulation.get_relative_percentages(self.percentages))
trade_nodes = [TradeNode(self.call_symbol, self.start_date, 'buy', percentage=relative_percentages[0]), \
TradeNode(self.put_symbol, self.start_date, 'buy', percentage=relative_percentages[1])]
return TradeSimulation.simulate(trade_nodes, self.start_date)
def get_returns(self, condition, ma_window, print_trade_node=False):
trade_nodes = []
previous_condition = False
conditions = condition(ma_window)
dates = map(lambda x: x[0], self.vix_records)[ma_window:]
for i in range(len(dates)):
date = dates[i]
if conditions[i]:
if previous_condition is False:
# trade_nodes.append(TradeNode('VXX', date, 'sell'))
# trade_nodes.append(TradeNode('XIV', date, 'buy'))
trade_nodes.append(TradeNode('VXZ', date, 'sell'))
trade_nodes.append(TradeNode('ZIV', date, 'buy'))
previous_condition = True
else:
if previous_condition is True:
# trade_nodes.append(TradeNode('XIV', date, 'sell'))
# trade_nodes.append(TradeNode('VXX', date, 'buy'))
trade_nodes.append(TradeNode('ZIV', date, 'sell'))
trade_nodes.append(TradeNode('VXZ', date, 'buy'))
previous_condition = False
returns = list(TradeSimulation.simulate(trade_nodes, dates[0]))
if print_trade_node:
for trade_node in trade_nodes:
print trade_node
max_draw_down = BackTestHelper.get_max_draw_down(
map(lambda x: x[1], returns))
print 'total return: %s' % returns[-1][1]
print 'Max drawdown: %s' % max_draw_down
return returns
def get_returns(self, condition, ma_window, print_trade_node=False):
trade_nodes = []
hold_xiv = False
hold_vxx = False
conditions = condition(ma_window)
dates = map(lambda x: x[0], self.vix_records)[ma_window:]
for i in range(len(dates)):
date = dates[i]
long_vix = conditions[i]
if long_vix:
if hold_vxx:
trade_nodes.append(TradeNode('VXX', date, 'sell'))
hold_vxx = False
if hold_xiv is False and self.bull_market_p(date):
trade_nodes.append(TradeNode('XIV', date,
'buy')) # short vxx
hold_xiv = True
else:
if hold_xiv:
trade_nodes.append(TradeNode('XIV', date, 'sell'))
hold_xiv = False
if hold_vxx is False and self.bull_market_p(date):
trade_nodes.append(TradeNode('VXX', date, 'buy'))
hold_vxx = True
returns = list(TradeSimulation.simulate(trade_nodes, dates[0]))
if print_trade_node:
for trade_node in trade_nodes:
print trade_node
return returns
def simulation(self):
trade_nodes = [
TradeNode(self.option_symbol,
self.start_date,
'buy',
percentage=self.percentage)
]
return TradeSimulation.simulate(trade_nodes, self.start_date,
self.end_date)
def get_returns(self,
ma_window=7,
momentum_window=10,
print_trade_node=False):
trade_nodes = []
hold_xiv = False
hold_vxx = False
roll_yield_conditions = self.condition_roll_yield(ma_window)
momentum_xiv_conditions = self.condition_momentum(
'XIV', momentum_window)[ma_window:]
# momentum_vxx_conditions = self.condition_momentum('VXX', momentum_window)[ma_window:]
dates = map(lambda x: x[0], self.vix_records)[ma_window:]
for i in range(len(dates)):
date = dates[i]
if roll_yield_conditions[i]:
if hold_vxx:
trade_nodes.append(TradeNode('VXX', date, 'sell'))
hold_vxx = False
# if hold_xiv is False:
# trade_nodes.append(TradeNode('XIV', date, 'buy'))
# hold_xiv = True
if momentum_xiv_conditions[i]:
if hold_xiv is False:
trade_nodes.append(TradeNode('XIV', date, 'buy'))
hold_xiv = True
else:
if hold_xiv:
trade_nodes.append(TradeNode('XIV', date, 'sell'))
hold_xiv = False
else:
if hold_xiv is True:
trade_nodes.append(TradeNode('XIV', date, 'sell'))
hold_xiv = False
if not hold_vxx:
trade_nodes.append(TradeNode('VXX', date, 'buy'))
hold_vxx = True
returns = list(TradeSimulation.simulate(trade_nodes, dates[0]))
if print_trade_node:
for trade_node in trade_nodes:
print trade_node
max_draw_down = BackTestHelper.get_max_draw_down(
map(lambda x: x[1], returns))
print 'total return: %s' % returns[-1][1]
print 'Max drawdown: %s' % max_draw_down
return returns
def get_returns(self, ma_window=8):
trade_nodes = []
previous_condition = False
conditions = self.condition(ma_window)
dates = map(lambda x: x[0], self.vix_records)[ma_window:]
for i in range(len(dates)):
date = dates[i]
if conditions[i]:
if previous_condition is False:
trade_nodes.append(TradeNode('VXX', date, 'sell'))
trade_nodes.append(TradeNode('XIV', date, 'buy'))
previous_condition = True
else:
if previous_condition is True:
trade_nodes.append(TradeNode('XIV', date, 'sell'))
trade_nodes.append(TradeNode('VXX', date, 'buy'))
previous_condition = False
returns = list(TradeSimulation.simulate(trade_nodes, dates[0]))
# for trade_node in trade_nodes:
# print trade_node
return returns
def run(self):
trade_nodes = []
previous_condition = False
for i in range(len(self.dates)):
#date = datetime.datetime.fromordinal(self.dates[i].toordinal())
date = self.dates[i]
if self.vxv_ma10[i] > self.vix_ma10[i]:
if previous_condition is False:
#trade_nodes.append(TradeNode('VXX', date, 'sell'))
trade_nodes.append(TradeNode('XIV', date, 'buy'))
previous_condition = True
else:
if previous_condition is True:
trade_nodes.append(TradeNode('XIV', date, 'sell'))
#trade_nodes.append(TradeNode('VXX', date, 'buy'))
previous_condition = False
returns = list(TradeSimulation.simulate(trade_nodes, self.dates[0]))
#for [date, return_value] in returns:
# print date, return_value
for trade_node in trade_nodes:
print trade_node
self.plot(returns)