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Update backtest to use single delta target parameter

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moshferatu 2024-02-01 05:59:33 -08:00
parent 1402ab88cc
commit 710ab7c22c
1 changed files with 2 additions and 4 deletions
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6
run_backtest.py
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@ -21,8 +21,7 @@ def entry_times():
def create_strategies(entry_time: str): def create_strategies(entry_time: str):
call_spread_strat = DeltaTargetStrategy( call_spread_strat = DeltaTargetStrategy(
delta_upper_bound = 0.11, delta_target = 0.10,
delta_lower_bound = 0.10,
option_type = OptionType.CALL, option_type = OptionType.CALL,
number_of_contracts = 1, number_of_contracts = 1,
spread_width = 50, spread_width = 50,
@ -30,8 +29,7 @@ def create_strategies(entry_time: str):
trade_entry_time = entry_time trade_entry_time = entry_time
) )
put_spread_strat = DeltaTargetStrategy( put_spread_strat = DeltaTargetStrategy(
delta_upper_bound = 0.11, delta_target = -0.10,
delta_lower_bound = 0.10,
option_type = OptionType.PUT, option_type = OptionType.PUT,
number_of_contracts = 1, number_of_contracts = 1,
spread_width = 50, spread_width = 50,