backtest-automation/run_backtest.py

from backtesting import available_entry_times, backtest_iron_condor
from backtesting.delta_target_strategy import DeltaTargetStrategy
from backtesting.option_type import OptionType
from database.backtest import insert
from datetime import datetime, timedelta

def create_strategies(entry_time: str):
    call_spread_strat = DeltaTargetStrategy(
        delta_target = 0.10, 
        option_type = OptionType.CALL,
        number_of_contracts = 1, 
        spread_width = 50, 
        stop_loss_multiple = 1.00,
        trade_entry_time = entry_time
    )
    put_spread_strat = DeltaTargetStrategy(
        delta_target = -0.10, 
        option_type = OptionType.PUT,
        number_of_contracts = 1, 
        spread_width = 50, 
        stop_loss_multiple = 1.00,
        trade_entry_time = entry_time
    )
    return call_spread_strat, put_spread_strat

def run_backtest(start_date: datetime, end_date: datetime):
    for entry_time in available_entry_times():
        call_spread_strategy, put_spread_strategy = create_strategies(entry_time)
        backtest_results = backtest_iron_condor(
            f'10 Delta Iron Condor @ {call_spread_strategy.trade_entry_time}', 
            call_spread_strategy, 
            put_spread_strategy, 
            start_date, 
            end_date
        )
        
        if not backtest_results.empty:
            # TODO: Think of a better way to handle this.
            backtest_results.drop('Cumulative Profit', axis = 1, inplace = True)
            print(backtest_results)
            insert(backtest_results)

if __name__ == '__main__':
    # TODO: Update backtest to eliminate the need for setting this to midnight.
    end_date = datetime.now().replace(hour = 0, minute = 0, second = 0, microsecond = 0)
    start_date = end_date - timedelta(days = 1)
    run_backtest(start_date, end_date)