backtest-automation/run_backtest.py

from datetime import datetime, timedelta
from dotenv import load_dotenv
from os import getenv

from backtesting import available_entry_times, backtest_iron_condor
from backtesting.credit_targeting import create_strategies as credit_strategies
from backtesting.credit_targeting import iron_condor_strategy as credit_iron_condor_strategy
from backtesting.delta_targeting import create_strategies as delta_strategies
from backtesting.delta_targeting import iron_condor_strategy as delta_iron_condor_strategy
from backtesting.option_spread_strategy import OptionSpreadStrategy
from database.backtest import insert

load_dotenv()

def run_backtest(strategy_name: str, start_date: datetime, end_date: datetime, 
    call_spread_strategy: OptionSpreadStrategy, put_spread_strategy: OptionSpreadStrategy):

    backtest_results = backtest_iron_condor(
        strategy_name, 
        call_spread_strategy, 
        put_spread_strategy, 
        start_date, 
        end_date
    )

    if not backtest_results.empty:
        backtest_results.drop('Cumulative Profit', axis = 1, inplace = True)
        print(backtest_results)
        insert(backtest_results)

def run_backtests(start_date: datetime, end_date: datetime):
    credit_targets = [float(credit) for credit in getenv('CREDIT_TARGETS').split(',')]
    delta_targets = [float(delta) for delta in getenv('DELTA_TARGETS').split(',')]

    for entry_time in available_entry_times():
        for credit_target in credit_targets:
            strategy_name = credit_iron_condor_strategy(credit_target)
            call_spread_strategy, put_spread_strategy = credit_strategies(credit_target, entry_time)
            run_backtest(strategy_name, start_date, end_date, call_spread_strategy, put_spread_strategy)

        for delta_target in delta_targets:
            strategy_name = delta_iron_condor_strategy(delta_target)
            call_spread_strategy, put_spread_strategy = delta_strategies(delta_target, entry_time)
            run_backtest(strategy_name, start_date, end_date, call_spread_strategy, put_spread_strategy)

if __name__ == '__main__':
    end_date = datetime.now()
    start_date = end_date - timedelta(days = 1)
    run_backtests(start_date, end_date)