moshferatu/backtest-automation
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Remove available entry time logic and instead depend on the options backtesting module

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moshferatu 2024-02-01 06:00:57 -08:00
parent 710ab7c22c
commit 28e316b03a
1 changed files with 2 additions and 17 deletions
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19
run_backtest.py
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@ -1,24 +1,9 @@
from backtesting import backtest_iron_condor from backtesting import available_entry_times, backtest_iron_condor
from backtesting.delta_target_strategy import DeltaTargetStrategy from backtesting.delta_target_strategy import DeltaTargetStrategy
from backtesting.option_type import OptionType from backtesting.option_type import OptionType
from database.backtest import insert from database.backtest import insert
from datetime import datetime, timedelta from datetime import datetime, timedelta
entry_time_format = '%H:%M:%S'
def entry_times():
start = datetime.strptime('09:35:00', entry_time_format)
end = datetime.strptime('15:55:00', entry_time_format)
current_time = start
entry_times = []
while current_time <= end:
entry_times.append(current_time.strftime(entry_time_format))
current_time += timedelta(minutes = 5)
return entry_times
def create_strategies(entry_time: str): def create_strategies(entry_time: str):
call_spread_strat = DeltaTargetStrategy( call_spread_strat = DeltaTargetStrategy(
delta_target = 0.10, delta_target = 0.10,
@ -39,7 +24,7 @@ def create_strategies(entry_time: str):
return call_spread_strat, put_spread_strat return call_spread_strat, put_spread_strat
def run_backtest(start_date: datetime, end_date: datetime): def run_backtest(start_date: datetime, end_date: datetime):
for entry_time in entry_times(): for entry_time in available_entry_times():
call_spread_strategy, put_spread_strategy = create_strategies(entry_time) call_spread_strategy, put_spread_strategy = create_strategies(entry_time)
backtest_results = backtest_iron_condor( backtest_results = backtest_iron_condor(
f'10 Delta Iron Condor @ {call_spread_strategy.trade_entry_time}', f'10 Delta Iron Condor @ {call_spread_strategy.trade_entry_time}',