options-backtesting/backtest_iron_condor_example.py

from backtesting import backtest_iron_condor, DeltaTargetStrategy, OptionType
from datetime import datetime
from plotting import BacktestChart, plot

def create_strategies(entry_time: str, number_of_contracts: int = 1):
    call_spread_strategy = DeltaTargetStrategy(
        delta_target = 0.10, 
        option_type = OptionType.CALL,
        number_of_contracts = number_of_contracts, 
        spread_width = 50, 
        stop_loss_multiple = 1.00,
        trade_entry_time = entry_time
    )
    put_spread_strategy = DeltaTargetStrategy(
        delta_target = -0.10,
        option_type = OptionType.PUT,
        number_of_contracts = number_of_contracts, 
        spread_width = 50, 
        stop_loss_multiple = 1.00,
        trade_entry_time = entry_time
    )
    return call_spread_strategy, put_spread_strategy

if __name__ == '__main__':
    start_date = datetime(2024, 1, 1)
    end_date = datetime.now()
    call_spread_strategy, put_spread_strategy = create_strategies(entry_time = '10:05:00')
    backtest_result = backtest_iron_condor(
        f'Iron Condor @ {call_spread_strategy.trade_entry_time}', 
        call_spread_strategy, 
        put_spread_strategy, 
        start_date, 
        end_date
    )
    print(backtest_result)

    plot(BacktestChart(
        dates = backtest_result['Date'], 
        profit = backtest_result['Cumulative Profit'], 
        title = f'Iron Condor @ {call_spread_strategy.trade_entry_time}'
    ))