From 527bca968270be21e029fbfbd86e91587582a43f Mon Sep 17 00:00:00 2001
From: moshferatu <gitea@steveharris.sh>
Date: Thu, 1 Feb 2024 05:56:47 -0800
Subject: [PATCH] Remove bounding information from delta targeting strategy and
 instead use a fixed target

---
 backtest_iron_condor_example.py      | 8 +++-----
 backtesting/backtest_iron_condor.py  | 9 ++-------
 backtesting/delta_target_strategy.py | 4 +---
 3 files changed, 6 insertions(+), 15 deletions(-)

diff --git a/backtest_iron_condor_example.py b/backtest_iron_condor_example.py
index 62f5851..5898973 100644
--- a/backtest_iron_condor_example.py
+++ b/backtest_iron_condor_example.py
@@ -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(
diff --git a/backtesting/backtest_iron_condor.py b/backtesting/backtest_iron_condor.py
index f5f3761..2d6f286 100644
--- a/backtesting/backtest_iron_condor.py
+++ b/backtesting/backtest_iron_condor.py
@@ -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)
 
diff --git a/backtesting/delta_target_strategy.py b/backtesting/delta_target_strategy.py
index f93ac92..ff91525 100644
--- a/backtesting/delta_target_strategy.py
+++ b/backtesting/delta_target_strategy.py
@@ -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
\ No newline at end of file
+    delta_target: float
\ No newline at end of file