49 lines
2.2 KiB
Python
49 lines
2.2 KiB
Python
from datetime import datetime, timedelta
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from dotenv import load_dotenv
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from os import getenv
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from backtesting import available_entry_times, backtest_iron_condor
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from backtesting.credit_targeting import create_strategies as credit_strategies
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from backtesting.credit_targeting import iron_condor_strategy as credit_iron_condor_strategy
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from backtesting.delta_targeting import create_strategies as delta_strategies
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from backtesting.delta_targeting import iron_condor_strategy as delta_iron_condor_strategy
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from backtesting.option_spread_strategy import OptionSpreadStrategy
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from database.backtest import insert
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load_dotenv()
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def run_backtest(strategy_name: str, start_date: datetime, end_date: datetime,
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call_spread_strategy: OptionSpreadStrategy, put_spread_strategy: OptionSpreadStrategy):
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backtest_results = backtest_iron_condor(
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strategy_name,
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call_spread_strategy,
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put_spread_strategy,
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start_date,
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end_date
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)
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if not backtest_results.empty:
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backtest_results.drop('Cumulative Profit', axis = 1, inplace = True)
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print(backtest_results)
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insert(backtest_results)
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def run_backtests(start_date: datetime, end_date: datetime):
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credit_targets = [float(credit) for credit in getenv('CREDIT_TARGETS').split(',')]
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delta_targets = [float(delta) for delta in getenv('DELTA_TARGETS').split(',')]
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for entry_time in available_entry_times():
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for credit_target in credit_targets:
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strategy_name = credit_iron_condor_strategy(credit_target)
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call_spread_strategy, put_spread_strategy = credit_strategies(credit_target, entry_time)
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run_backtest(strategy_name, start_date, end_date, call_spread_strategy, put_spread_strategy)
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for delta_target in delta_targets:
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strategy_name = delta_iron_condor_strategy(delta_target)
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call_spread_strategy, put_spread_strategy = delta_strategies(delta_target, entry_time)
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run_backtest(strategy_name, start_date, end_date, call_spread_strategy, put_spread_strategy)
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if __name__ == '__main__':
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end_date = datetime.now()
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start_date = end_date - timedelta(days = 1)
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run_backtests(start_date, end_date) |