moshferatu/options-backtesting
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Ensure that provided dates are set to midnight in order to include all the data for the requested dates

Browse Source
This commit is contained in:
moshferatu 2024-02-15 06:03:50 -08:00
parent 788f238530
commit 4e250ef57f
1 changed files with 5 additions and 6 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

11
backtesting/backtest_iron_condor.py
View File

@ -3,7 +3,7 @@ import os
import pandas as pd import pandas as pd
from concurrent.futures import ProcessPoolExecutor from concurrent.futures import ProcessPoolExecutor
from datetime import datetime from datetime import date, datetime, time
from dotenv import load_dotenv from dotenv import load_dotenv
from typing import List from typing import List
@ -278,12 +278,13 @@ def backtest_iron_condor(
filters: List[BacktestFilter] = [] filters: List[BacktestFilter] = []
) -> pd.DataFrame: ) -> pd.DataFrame:
start_year = start_date.year # Setting dates to midnight to ensure all the data between them is included.
end_year = end_date.year start_date = datetime.combine(start_date, time())
end_date = datetime.combine(end_date, time())
futures = [] futures = []
with ProcessPoolExecutor(max_workers = 10) as executor: with ProcessPoolExecutor(max_workers = 10) as executor:
for year in range(start_year, end_year + 1): for year in range(start_date.year, end_date.year + 1):
year_directory = os.path.join(OPTION_DATA_DIRECTORY, str(year)) year_directory = os.path.join(OPTION_DATA_DIRECTORY, str(year))
for file in os.listdir(year_directory): for file in os.listdir(year_directory):
historical_data_file = os.path.join(year_directory, file) historical_data_file = os.path.join(year_directory, file)
@ -292,8 +293,6 @@ def backtest_iron_condor(
# Assuming file format 'YYYY-MM-DD.csv'. # Assuming file format 'YYYY-MM-DD.csv'.
current_date = datetime.strptime(os.path.splitext(file)[0], '%Y-%m-%d') current_date = datetime.strptime(os.path.splitext(file)[0], '%Y-%m-%d')
# TODO: This doesn't work as expected when the start date is not set to midnight.
if current_date < start_date or current_date > end_date: if current_date < start_date or current_date > end_date:
continue continue