backtest-automation/run_backtest.py

46 lines
1.6 KiB
Python

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
def create_strategies(entry_time: str):
call_spread_strat = DeltaTargetStrategy(
delta_target = 0.10,
option_type = OptionType.CALL,
number_of_contracts = 1,
spread_width = 50,
stop_loss_multiple = 1.00,
trade_entry_time = entry_time
)
put_spread_strat = DeltaTargetStrategy(
delta_target = -0.10,
option_type = OptionType.PUT,
number_of_contracts = 1,
spread_width = 50,
stop_loss_multiple = 1.00,
trade_entry_time = entry_time
)
return call_spread_strat, put_spread_strat
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)
backtest_results = backtest_iron_condor(
f'10 Delta Iron Condor',
call_spread_strategy,
put_spread_strategy,
start_date,
end_date
)
if not backtest_results.empty:
# TODO: Think of a better way to handle this.
backtest_results.drop('Cumulative Profit', axis = 1, inplace = True)
print(backtest_results)
insert(backtest_results)
if __name__ == '__main__':
end_date = datetime.now()
start_date = end_date - timedelta(days = 1)
run_backtest(start_date, end_date)