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Add the differences between the backtest and trade spread opening prices to the report

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moshferatu 2024-02-28 05:43:20 -08:00
parent 57b446924e
commit 19987f1114
1 changed files with 21 additions and 3 deletions
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22
trade_report.py
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@ -12,6 +12,9 @@ trade_data = trades(trade_date)
strategy = trade_data['Strategy'].iloc[0]
traded_entry_times = set()
trade_open_prices = {}
backtest_open_prices = {}
for _, trade in trade_data.iterrows():
entry_time = str(trade["Entry Time"])[-8:]
print(f'Entry Time: {entry_time}')
@ -19,10 +22,12 @@ for _, trade in trade_data.iterrows():
spreads = trade['Spreads']
for spread in spreads:
legs = spread['Legs']
open_price = spread['Open']
spread_type = 'CALL' if spread['Legs'][0]['Type'] == 'CALL' else 'PUT'
trade_open_prices[(entry_time, spread_type)] = open_price
# Assuming the first leg is always short and the second is long.
legs = spread['Legs']
short_leg = legs[0]
long_leg = legs[1]
@ -39,9 +44,11 @@ for _, backtest in backtest_data.iterrows():
spreads = backtest['Spreads']
for spread in spreads:
legs = spread['Legs']
open_price = spread['Open']
spread_type = 'CALL' if spread['Legs'][0]['Type'] == 'CALL' else 'PUT'
backtest_open_prices[(entry_time, spread_type)] = open_price
legs = spread['Legs']
short_leg = legs[0]
long_leg = legs[1]
@ -50,3 +57,14 @@ for _, backtest in backtest_data.iterrows():
print(f' Backtest Opening Price: {open_price}')
print(f'Backtest Profit: {backtest_profit(trade_date)}')
price_differences = []
for (entry_time, spread_type), backtest_open_price in backtest_open_prices.items():
trade_open_price = trade_open_prices[(entry_time, spread_type)]
price_difference = backtest_open_price - trade_open_price
price_differences.append(price_difference)
print(f'{entry_time} {spread_type} Spread Difference: {round(price_difference, 2)}')
average_price_difference = sum(price_differences) / len(price_differences)
print(f'Average Spread Difference: {round(average_price_difference, 2)}')