From 710ab7c22c96b5c272bbe889acd31eea965d207b Mon Sep 17 00:00:00 2001 From: moshferatu Date: Thu, 1 Feb 2024 05:59:33 -0800 Subject: [PATCH] Update backtest to use single delta target parameter --- run_backtest.py | 6 ++---- 1 file changed, 2 insertions(+), 4 deletions(-) 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,