Update backtest to use single delta target parameter
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@ -21,8 +21,7 @@ def entry_times():
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def create_strategies(entry_time: str):
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call_spread_strat = DeltaTargetStrategy(
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delta_upper_bound = 0.11,
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delta_lower_bound = 0.10,
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delta_target = 0.10,
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option_type = OptionType.CALL,
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number_of_contracts = 1,
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spread_width = 50,
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@ -30,8 +29,7 @@ def create_strategies(entry_time: str):
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trade_entry_time = entry_time
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)
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put_spread_strat = DeltaTargetStrategy(
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delta_upper_bound = 0.11,
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delta_lower_bound = 0.10,
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delta_target = -0.10,
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option_type = OptionType.PUT,
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number_of_contracts = 1,
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spread_width = 50,
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