From 38b157adee08bea41e53f442b32128daed9093b6 Mon Sep 17 00:00:00 2001
From: moshferatu <gitea@steveharris.sh>
Date: Wed, 17 Jan 2024 11:39:18 -0800
Subject: [PATCH] Add script to perform backtest and insert results into
 database

---
 run_backtest.py | 62 +++++++++++++++++++++++++++++++++++++++++++++++++
 1 file changed, 62 insertions(+)
 create mode 100644 run_backtest.py

diff --git a/run_backtest.py b/run_backtest.py
new file mode 100644
index 0000000..62af2df
--- /dev/null
+++ b/run_backtest.py
@@ -0,0 +1,62 @@
+from backtesting import 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
+
+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):
+    call_spread_strat = DeltaTargetStrategy(
+        delta_upper_bound = 0.11, 
+        delta_lower_bound = 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_upper_bound = 0.11,
+        delta_lower_bound = 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():
+    # TODO: Start date = yesterday.
+    start_date = datetime(2024, 1, 1)
+    end_date = datetime.now()
+    for entry_time in 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
+        )
+        # 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__':
+    run_backtest()
\ No newline at end of file