Add example backtest which applies a volatility regime filter

volatility_regime_backtest.py

@@ -0,0 +1,43 @@
+from datetime import datetime
+from dotenv import load_dotenv
+from os import getenv
+from pandas import concat
+
+from backtesting import backtest_iron_condor
+from backtesting.credit_targeting import create_strategies
+from backtesting.filter import VolatilityRegimeFilter
+from plotting import BacktestChart, plot
+
+load_dotenv()
+
+if __name__ == '__main__':
+    start_date = datetime(2016, 1, 1)
+    end_date = datetime.now()
+
+    credit_target = float(getenv('CREDIT_TARGET'))
+    entry_times = getenv('ENTRY_TIMES').split(',')
+
+    backtest_results = []
+
+    for entry_time in entry_times:
+        call_spread_strategy, put_spread_strategy = create_strategies(credit_target, entry_time)
+
+        backtest_result = backtest_iron_condor(
+            f'${credit_target:.2f} Iron Condor @ {call_spread_strategy.trade_entry_time}', 
+            call_spread_strategy, 
+            put_spread_strategy, 
+            start_date, 
+            end_date,
+            filters = [VolatilityRegimeFilter()]
+        )
+
+        backtest_results.append(backtest_result)
+
+    combined_backtest_results = concat(backtest_results)
+    summed_results = combined_backtest_results.groupby('Date')['Cumulative Profit'].sum().reset_index()
+
+    plot(BacktestChart(
+        dates = summed_results['Date'], 
+        profit = summed_results['Cumulative Profit'], 
+        title = f'${credit_target:.2f} Iron Condor (Volatility Regime Filter)'
+    ))