64 lines
2.2 KiB
Python
64 lines
2.2 KiB
Python
from backtesting import backtest_iron_condor
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from backtesting.delta_target_strategy import DeltaTargetStrategy
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from backtesting.option_type import OptionType
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from database.backtest import insert
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from datetime import datetime, timedelta
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entry_time_format = '%H:%M:%S'
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def entry_times():
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start = datetime.strptime('09:35:00', entry_time_format)
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end = datetime.strptime('15:55:00', entry_time_format)
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current_time = start
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entry_times = []
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while current_time <= end:
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entry_times.append(current_time.strftime(entry_time_format))
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current_time += timedelta(minutes = 5)
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return entry_times
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def create_strategies(entry_time: str):
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call_spread_strat = DeltaTargetStrategy(
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delta_upper_bound = 0.11,
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delta_lower_bound = 0.10,
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option_type = OptionType.CALL,
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number_of_contracts = 1,
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spread_width = 50,
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stop_loss_multiple = 1.00,
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trade_entry_time = entry_time
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)
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put_spread_strat = DeltaTargetStrategy(
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delta_upper_bound = 0.11,
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delta_lower_bound = 0.10,
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option_type = OptionType.PUT,
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number_of_contracts = 1,
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spread_width = 50,
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stop_loss_multiple = 1.00,
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trade_entry_time = entry_time
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)
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return call_spread_strat, put_spread_strat
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def run_backtest(start_date: datetime, end_date: datetime):
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for entry_time in entry_times():
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call_spread_strategy, put_spread_strategy = create_strategies(entry_time)
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backtest_results = backtest_iron_condor(
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f'10 Delta Iron Condor @ {call_spread_strategy.trade_entry_time}',
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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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# TODO: Think of a better way to handle this.
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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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if __name__ == '__main__':
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# TODO: Update backtest to eliminate the need for setting this to midnight.
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end_date = datetime.now().replace(hour = 0, minute = 0, second = 0, microsecond = 0)
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start_date = end_date - timedelta(days = 1)
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run_backtest(start_date, end_date) |