options-backtesting/backtesting/delta_targeting.py

from dataclasses import dataclass

from .option_spread_strategy import OptionSpreadStrategy
from .option_type import OptionType

@dataclass
class DeltaTargetStrategy(OptionSpreadStrategy):
    delta_target: float

def iron_condor_strategy(delta_target: float) -> str:
    return f'{int(delta_target * 100)} Delta Iron Condor'

def create_strategies(delta_target: float, entry_time: str, number_of_contracts: int = 1):
    call_spread_strategy = DeltaTargetStrategy(
        delta_target = delta_target, 
        option_type = OptionType.CALL,
        number_of_contracts = number_of_contracts, 
        spread_width = 50, 
        stop_loss_multiple = 1.00,
        trade_entry_time = entry_time,
        entry_slippage = 0.10,
        exit_slippage = 0.20
    )
    put_spread_strategy = DeltaTargetStrategy(
        delta_target = -delta_target, 
        option_type = OptionType.PUT,
        number_of_contracts = number_of_contracts, 
        spread_width = 50, 
        stop_loss_multiple = 1.00,
        trade_entry_time = entry_time,
        entry_slippage = 0.10,
        exit_slippage = 0.20
    )
    return call_spread_strategy, put_spread_strategy