diff --git a/backtesting/backtest_iron_condor.py b/backtesting/backtest_iron_condor.py index ee18224..05b4b67 100644 --- a/backtesting/backtest_iron_condor.py +++ b/backtesting/backtest_iron_condor.py @@ -111,12 +111,12 @@ def _backtest_iron_condor( # Calculate entry slippage. if original_call_spread_price > 0.05: - original_call_spread_price = original_call_spread_price - 0.10 + original_call_spread_price = original_call_spread_price - call_spread_strategy.entry_slippage original_call_spread_price -= (original_call_spread_price % 0.05) logging.info('Original Call Spread Price: %s', original_call_spread_price) if original_put_spread_price > 0.05: - original_put_spread_price = original_put_spread_price - 0.10 + original_put_spread_price = original_put_spread_price - put_spread_strategy.entry_slippage original_put_spread_price -= (original_put_spread_price % 0.05) logging.info('Original Put Spread Price: %s', original_put_spread_price) @@ -184,8 +184,7 @@ def _backtest_iron_condor( if current_call_spread_price >= ((call_spread_strategy.stop_loss_multiple + 1) * original_call_spread_price): premium_received -= original_call_spread_price * (call_spread_strategy.stop_loss_multiple + 1) call_spread_details['Close'] = original_call_spread_price * (call_spread_strategy.stop_loss_multiple + 1) + 0.10 - # Calculate exit slippage. - premium_received -= 0.20 # TODO: Make this configurable. + premium_received -= call_spread_strategy.exit_slippage call_spread_stopped_out = True exit_time = call_spread.name[-8:] logging.info('Call Spread Stopped Out') @@ -193,7 +192,7 @@ def _backtest_iron_condor( if not put_spread_stopped_out: if current_put_spread_price >= ((put_spread_strategy.stop_loss_multiple + 1) * original_put_spread_price): premium_received -= original_put_spread_price * (put_spread_strategy.stop_loss_multiple + 1) - premium_received -= 0.20 # TODO: Make this configurable. + premium_received -= put_spread_strategy.exit_slippage put_spread_details['Close'] = original_put_spread_price * (put_spread_strategy.stop_loss_multiple + 1) + 0.10 put_spread_stopped_out = True exit_time = call_spread.name[-8:]