From 2c4fd834bb1a84ec12a12b7f7dc07b734a3426a2 Mon Sep 17 00:00:00 2001
From: moshferatu <gitea@steveharris.sh>
Date: Mon, 5 Feb 2024 08:52:35 -0800
Subject: [PATCH] Add script for backtesting delta targeted strategies

---
 delta_targeting_backtest.py | 41 +++++++++++++++++++++++++++++++++++++
 1 file changed, 41 insertions(+)
 create mode 100644 delta_targeting_backtest.py

diff --git a/delta_targeting_backtest.py b/delta_targeting_backtest.py
new file mode 100644
index 0000000..9b8d6c1
--- /dev/null
+++ b/delta_targeting_backtest.py
@@ -0,0 +1,41 @@
+from datetime import datetime
+from dotenv import load_dotenv
+from os import getenv
+from pandas import concat
+
+from backtesting import backtest_iron_condor
+from backtesting.delta_targeting import create_strategies
+from plotting import BacktestChart, plot
+
+load_dotenv()
+
+if __name__ == '__main__':
+    start_date = datetime(2016, 1, 1)
+    end_date = datetime.now()
+
+    delta_target = float(getenv('DELTA_TARGET'))
+    entry_times = getenv('ENTRY_TIMES').split(',')
+
+    backtest_results = []
+
+    for entry_time in entry_times:
+        call_spread_strategy, put_spread_strategy = create_strategies(delta_target, entry_time)
+
+        backtest_result = backtest_iron_condor(
+            f'{int(delta_target * 100)} Delta Iron Condor @ {call_spread_strategy.trade_entry_time}', 
+            call_spread_strategy, 
+            put_spread_strategy, 
+            start_date, 
+            end_date
+        )
+
+        backtest_results.append(backtest_result)
+
+    combined_backtest_results = concat(backtest_results)
+    summed_results = combined_backtest_results.groupby('Date')['Cumulative Profit'].sum().reset_index()
+
+    plot(BacktestChart(
+        dates = summed_results['Date'], 
+        profit = summed_results['Cumulative Profit'], 
+        title = f'{int(delta_target * 100)} Delta Iron Condor'
+    ))
\ No newline at end of file