diff --git a/run_backtest.py b/run_backtest.py index 3b33279..0b86d6f 100644 --- a/run_backtest.py +++ b/run_backtest.py @@ -21,8 +21,7 @@ def entry_times(): def create_strategies(entry_time: str): call_spread_strat = DeltaTargetStrategy( - delta_upper_bound = 0.11, - delta_lower_bound = 0.10, + delta_target = 0.10, option_type = OptionType.CALL, number_of_contracts = 1, spread_width = 50, @@ -30,8 +29,7 @@ def create_strategies(entry_time: str): trade_entry_time = entry_time ) put_spread_strat = DeltaTargetStrategy( - delta_upper_bound = 0.11, - delta_lower_bound = 0.10, + delta_target = -0.10, option_type = OptionType.PUT, number_of_contracts = 1, spread_width = 50,