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Correctly update the closing price of each spread

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moshferatu 2024-03-04 15:59:06 -08:00
parent 16db358eaf
commit 2ea84e8dcd
1 changed files with 12 additions and 12 deletions
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24
backtesting/backtest_iron_condor.py
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@ -124,18 +124,18 @@ def _backtest_iron_condor(
"Legs": [{"Action": "SELL", "Strike": call_spread_entry['strike_short_strike'], "Type": "CALL"}, "Legs": [{"Action": "SELL", "Strike": call_spread_entry['strike_short_strike'], "Type": "CALL"},
{"Action": "BUY", "Strike": call_spread_entry['strike_long_strike'], "Type": "CALL"}], {"Action": "BUY", "Strike": call_spread_entry['strike_long_strike'], "Type": "CALL"}],
"Open": original_call_spread_price, "Open": original_call_spread_price,
"High": None, "High": float('-inf'),
"Low": None, "Low": float('inf'),
"Close": None "Close": 0.0
} }
put_spread_details = { put_spread_details = {
"Legs": [{"Action": "SELL", "Strike": put_spread_entry['strike_short_strike'], "Type": "PUT"}, "Legs": [{"Action": "SELL", "Strike": put_spread_entry['strike_short_strike'], "Type": "PUT"},
{"Action": "BUY", "Strike": put_spread_entry['strike_long_strike'], "Type": "PUT"}], {"Action": "BUY", "Strike": put_spread_entry['strike_long_strike'], "Type": "PUT"}],
"Open": original_put_spread_price, "Open": original_put_spread_price,
"High": None, "High": float('-inf'),
"Low": None, "Low": float('inf'),
"Close": None "Close": 0.0
} }
trades_entered = False trades_entered = False
@ -172,13 +172,11 @@ def _backtest_iron_condor(
else: else:
current_put_spread_price = ((put_spread['ask_short_strike'] + put_spread['bid_short_strike']) / 2.0) - ((put_spread['ask_long_strike'] + put_spread['bid_long_strike']) / 2.0) current_put_spread_price = ((put_spread['ask_short_strike'] + put_spread['bid_short_strike']) / 2.0) - ((put_spread['ask_long_strike'] + put_spread['bid_long_strike']) / 2.0)
call_spread_details['High'] = max(call_spread_details['High'] or float('-inf'), current_call_spread_price) call_spread_details['High'] = max(call_spread_details['High'], current_call_spread_price)
call_spread_details['Low'] = min(call_spread_details['Low'] or float('inf'), current_call_spread_price) call_spread_details['Low'] = min(call_spread_details['Low'], current_call_spread_price)
call_spread_details['Close'] = current_call_spread_price
put_spread_details['High'] = max(put_spread_details['High'] or float('-inf'), current_put_spread_price) put_spread_details['High'] = max(put_spread_details['High'], current_put_spread_price)
put_spread_details['Low'] = min(put_spread_details['Low'] or float('inf'), current_put_spread_price) put_spread_details['Low'] = min(put_spread_details['Low'], current_put_spread_price)
put_spread_details['Close'] = current_put_spread_price
if not call_spread_stopped_out: if not call_spread_stopped_out:
if current_call_spread_price >= ((call_spread_strategy.stop_loss_multiple + 1) * original_call_spread_price): if current_call_spread_price >= ((call_spread_strategy.stop_loss_multiple + 1) * original_call_spread_price):
@ -231,9 +229,11 @@ def _backtest_iron_condor(
if not call_spread_stopped_out and current_call_spread_price > 0.05: if not call_spread_stopped_out and current_call_spread_price > 0.05:
premium_received -= current_call_spread_price premium_received -= current_call_spread_price
call_spread_details['Close'] = current_call_spread_price
if not put_spread_stopped_out and current_put_spread_price > 0.05: if not put_spread_stopped_out and current_put_spread_price > 0.05:
premium_received -= current_put_spread_price premium_received -= current_put_spread_price
put_spread_details['Close'] = current_put_spread_price
number_of_contracts = call_spread_strategy.number_of_contracts number_of_contracts = call_spread_strategy.number_of_contracts
stop_out_fees = 0.0 # It costs money to get stopped out. stop_out_fees = 0.0 # It costs money to get stopped out.