options-backtesting/backtest_iron_condor_example.py

from backtesting import backtest_iron_condor
from backtesting.delta_targeting import create_strategies
from datetime import datetime
from plotting import BacktestChart, plot

if __name__ == '__main__':
    start_date = datetime(2024, 1, 1)
    end_date = datetime.now()
    call_spread_strategy, put_spread_strategy = create_strategies(
        delta_target = 0.10, 
        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}'
    ))