Signals added

Author: uberdeveloper

notebooks/OptionsBacktesting.ipynb

@@ -14,14 +14,14 @@
     "\n",
     "1. Load and transform necessary data\n",
     "2. Create a list of option contracts to be entered into each day\n",
-    "3. Create a list of signals on, whether to enter into the contract, for each day\n",
+    "3. Create a list of signals, on whether to enter into the contract, for each day\n",
     "4. Extract the necessary data for the options contracts that would be executed\n",
     "5. Analyze Profit and loss and other metrices\n"
    ]
   },
   {
    "cell_type": "code",
-   "execution_count": 9,
+   "execution_count": 1,
    "metadata": {},
    "outputs": [],
    "source": [
@@ -41,7 +41,7 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 25,
+   "execution_count": 2,
    "metadata": {},
    "outputs": [],
    "source": [
@@ -72,7 +72,7 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 94,
+   "execution_count": 3,
    "metadata": {},
    "outputs": [],
    "source": [
@@ -91,7 +91,7 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 101,
+   "execution_count": 4,
    "metadata": {},
    "outputs": [
     {
@@ -106,7 +106,7 @@
        "dtype: datetime64[ns]"
       ]
      },
-     "execution_count": 101,
+     "execution_count": 4,
      "metadata": {},
      "output_type": "execute_result"
     }
@@ -138,7 +138,7 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 103,
+   "execution_count": 7,
    "metadata": {},
    "outputs": [
     {
@@ -217,7 +217,7 @@
        "4 2019-01-07   10800  CE  10804.85"
       ]
      },
-     "execution_count": 103,
+     "execution_count": 7,
      "metadata": {},
      "output_type": "execute_result"
     }
@@ -227,7 +227,115 @@
     "nifty['spot'] = nifty.open.copy()\n",
     "nifty['opt'] = 'CE'\n",
     "cols = ['date', 'strike', 'opt', 'spot']\n",
-    "nifty[cols].head()"
+    "options = nifty[cols]\n",
+    "options.head()"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "Select signals\n",
+    "--------------\n",
+    "\n",
+    "A signal is a indication whether to buy or sell the contract on a daily basis. It is a single column that outputs 1 if the contract is entered into or a 0 if the contract is not entered. Since we would be trading for all the days, we simply include a 1 for all dates"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 14,
+   "metadata": {},
+   "outputs": [
+    {
+     "data": {
+      "text/html": [
+       "<div>\n",
+       "<style scoped>\n",
+       "    .dataframe tbody tr th:only-of-type {\n",
+       "        vertical-align: middle;\n",
+       "    }\n",
+       "\n",
+       "    .dataframe tbody tr th {\n",
+       "        vertical-align: top;\n",
+       "    }\n",
+       "\n",
+       "    .dataframe thead th {\n",
+       "        text-align: right;\n",
+       "    }\n",
+       "</style>\n",
+       "<table border=\"1\" class=\"dataframe\">\n",
+       "  <thead>\n",
+       "    <tr style=\"text-align: right;\">\n",
+       "      <th></th>\n",
+       "      <th>date</th>\n",
+       "      <th>strike</th>\n",
+       "      <th>opt</th>\n",
+       "      <th>spot</th>\n",
+       "      <th>signal</th>\n",
+       "    </tr>\n",
+       "  </thead>\n",
+       "  <tbody>\n",
+       "    <tr>\n",
+       "      <th>0</th>\n",
+       "      <td>2019-01-01</td>\n",
+       "      <td>10800</td>\n",
+       "      <td>CE</td>\n",
+       "      <td>10881.70</td>\n",
+       "      <td>1</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>1</th>\n",
+       "      <td>2019-01-02</td>\n",
+       "      <td>10800</td>\n",
+       "      <td>CE</td>\n",
+       "      <td>10868.85</td>\n",
+       "      <td>1</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>2</th>\n",
+       "      <td>2019-01-03</td>\n",
+       "      <td>10700</td>\n",
+       "      <td>CE</td>\n",
+       "      <td>10796.80</td>\n",
+       "      <td>1</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>3</th>\n",
+       "      <td>2019-01-04</td>\n",
+       "      <td>10600</td>\n",
+       "      <td>CE</td>\n",
+       "      <td>10699.70</td>\n",
+       "      <td>1</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>4</th>\n",
+       "      <td>2019-01-07</td>\n",
+       "      <td>10800</td>\n",
+       "      <td>CE</td>\n",
+       "      <td>10804.85</td>\n",
+       "      <td>1</td>\n",
+       "    </tr>\n",
+       "  </tbody>\n",
+       "</table>\n",
+       "</div>"
+      ],
+      "text/plain": [
+       "        date  strike opt      spot  signal\n",
+       "0 2019-01-01   10800  CE  10881.70       1\n",
+       "1 2019-01-02   10800  CE  10868.85       1\n",
+       "2 2019-01-03   10700  CE  10796.80       1\n",
+       "3 2019-01-04   10600  CE  10699.70       1\n",
+       "4 2019-01-07   10800  CE  10804.85       1"
+      ]
+     },
+     "execution_count": 14,
+     "metadata": {},
+     "output_type": "execute_result"
+    }
+   ],
+   "source": [
+    "options.loc[:, 'signal'] = 1\n",
+    "options.head()"
    ]
   }
  ],