Support automating the backtests of multiple credit and delta targeted strategies

backtest_scheduler.py

@@ -8,7 +8,7 @@ from dotenv import load_dotenv
 from os import getenv
 
 from download_spx_quotes import download_quotes
-from run_backtest import run_backtest
+from run_backtest import run_backtests
 
 load_dotenv()
 
@@ -18,7 +18,7 @@ def backtest_automation():
 
         end_date = datetime.now()
         start_date = end_date - timedelta(days = 1)
-        run_backtest(start_date, end_date)
+        run_backtests(start_date, end_date)
     except:
         send_message('Backtest automation failed!', to_user_id = getenv('USER_ID'))
         traceback.print_exc()

run_backtest.py

@@ -1,46 +1,49 @@
-from backtesting import available_entry_times, backtest_iron_condor
-from backtesting.delta_targeting import DeltaTargetStrategy
-from backtesting.option_type import OptionType
-from database.backtest import insert
 from datetime import datetime, timedelta
+from dotenv import load_dotenv
+from os import getenv
 
-def create_strategies(entry_time: str):
+from backtesting import available_entry_times, backtest_iron_condor
-    call_spread_strat = DeltaTargetStrategy(
+from backtesting.credit_targeting import create_strategies as credit_strategies
-        delta_target = 0.10, 
+from backtesting.credit_targeting import iron_condor_strategy as credit_iron_condor_strategy
-        option_type = OptionType.CALL,
+from backtesting.delta_targeting import create_strategies as delta_strategies
-        number_of_contracts = 1, 
+from backtesting.delta_targeting import iron_condor_strategy as delta_iron_condor_strategy
-        spread_width = 50, 
+from backtesting.option_spread_strategy import OptionSpreadStrategy
-        stop_loss_multiple = 1.00,
+from database.backtest import insert
-        trade_entry_time = entry_time
+
-    )
+load_dotenv()
-    put_spread_strat = DeltaTargetStrategy(
+
-        delta_target = -0.10, 
+def run_backtest(strategy_name: str, start_date: datetime, end_date: datetime, 
-        option_type = OptionType.PUT,
+    call_spread_strategy: OptionSpreadStrategy, put_spread_strategy: OptionSpreadStrategy):
-        number_of_contracts = 1, 
+
-        spread_width = 50, 
+    backtest_results = backtest_iron_condor(
-        stop_loss_multiple = 1.00,
+        strategy_name, 
-        trade_entry_time = entry_time
+        call_spread_strategy, 
-    )
+        put_spread_strategy, 
-    return call_spread_strat, put_spread_strat
+        start_date, 
+        end_date
+    )
+
+    if not backtest_results.empty:
+        backtest_results.drop('Cumulative Profit', axis = 1, inplace = True)
+        print(backtest_results)
+        insert(backtest_results)
+
+def run_backtests(start_date: datetime, end_date: datetime):
+    credit_targets = [float(credit) for credit in getenv('CREDIT_TARGETS').split(',')]
+    delta_targets = [float(delta) for delta in getenv('DELTA_TARGETS').split(',')]
 
-def run_backtest(start_date: datetime, end_date: datetime):
     for entry_time in available_entry_times():
-        call_spread_strategy, put_spread_strategy = create_strategies(entry_time)
+        for credit_target in credit_targets:
-        backtest_results = backtest_iron_condor(
+            strategy_name = credit_iron_condor_strategy(credit_target)
-            f'10 Delta Iron Condor', 
+            call_spread_strategy, put_spread_strategy = credit_strategies(credit_target, entry_time)
-            call_spread_strategy, 
+            run_backtest(strategy_name, start_date, end_date, call_spread_strategy, put_spread_strategy)
-            put_spread_strategy, 
-            start_date, 
-            end_date
-        )
 
-        if not backtest_results.empty:
+        for delta_target in delta_targets:
-            # TODO: Think of a better way to handle this.
+            strategy_name = delta_iron_condor_strategy(delta_target)
-            backtest_results.drop('Cumulative Profit', axis = 1, inplace = True)
+            call_spread_strategy, put_spread_strategy = delta_strategies(delta_target, entry_time)
-            print(backtest_results)
+            run_backtest(strategy_name, start_date, end_date, call_spread_strategy, put_spread_strategy)
-            insert(backtest_results)
 
 if __name__ == '__main__':
     end_date = datetime.now()
     start_date = end_date - timedelta(days = 1)
-    run_backtest(start_date, end_date)
+    run_backtests(start_date, end_date)