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Remove bounding information from delta targeting strategy and instead use a fixed target

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This commit is contained in:
moshferatu 2024-02-01 05:56:47 -08:00
parent ea46e6dd13
commit 527bca9682
3 changed files with 6 additions and 15 deletions
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8
backtest_iron_condor_example.py
View File

@ -4,8 +4,7 @@ from plotting import BacktestChart, plot
def create_strategies(entry_time: str, number_of_contracts: int = 1):
call_spread_strategy = DeltaTargetStrategy(
delta_upper_bound = 0.11,
delta_lower_bound = 0.10,
delta_target = 0.10,
option_type = OptionType.CALL,
number_of_contracts = number_of_contracts,
spread_width = 50,
@ -13,8 +12,7 @@ def create_strategies(entry_time: str, number_of_contracts: int = 1):
trade_entry_time = entry_time
)
put_spread_strategy = DeltaTargetStrategy(
delta_upper_bound = 0.11,
delta_lower_bound = 0.10,
delta_target = -0.10,
option_type = OptionType.PUT,
number_of_contracts = number_of_contracts,
spread_width = 50,
@ -24,7 +22,7 @@ def create_strategies(entry_time: str, number_of_contracts: int = 1):
return call_spread_strategy, put_spread_strategy
if __name__ == '__main__':
start_date = datetime(2024, 1, 12)
start_date = datetime(2024, 1, 1)
end_date = datetime.now()
call_spread_strategy, put_spread_strategy = create_strategies(entry_time = '10:05:00')
backtest_result = backtest_iron_condor(

9
backtesting/backtest_iron_condor.py
View File

@ -74,13 +74,8 @@ def get_spread_history(historical_option_data: pd.DataFrame, option_strat: Delta
if opening_quotes.empty:
return None
else:
if option_strat.option_type == OptionType.PUT:
opening_quotes['delta_diff'] = (opening_quotes['delta'] + option_strat.delta_upper_bound).abs()
short_contract = opening_quotes.loc[opening_quotes['delta_diff'].idxmin()]
else:
opening_quotes['delta_diff'] = (opening_quotes['delta'] - option_strat.delta_upper_bound).abs()
short_contract = opening_quotes.loc[opening_quotes['delta_diff'].idxmin()]
opening_quotes['delta_diff'] = (opening_quotes['delta'] - option_strat.delta_target).abs()
short_contract = opening_quotes.loc[opening_quotes['delta_diff'].idxmin()]
short_strike = short_contract['strike']
logging.info('Short Strike: %s', short_strike)

4
backtesting/delta_target_strategy.py
View File

@ -4,6 +4,4 @@ from .option_spread_strategy import OptionSpreadStrategy
@dataclass
class DeltaTargetStrategy(OptionSpreadStrategy):
# TODO: Just search closest delta instead.
delta_upper_bound: float
delta_lower_bound: float
delta_target: float