moshferatu/options-backtesting
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Remove plotting logic and instead depend on local plotting module

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This commit is contained in:
moshferatu 2024-01-30 11:17:46 -08:00
parent f223238bd5
commit ab3f28e1e4
2 changed files with 7 additions and 39 deletions
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9
backtest_iron_condor_example.py
View File

@ -1,5 +1,6 @@
from backtesting import backtest_iron_condor, DeltaTargetStrategy, OptionType
from datetime import datetime
from plotting import BacktestChart, plot
def create_strategies(entry_time: str, number_of_contracts: int = 1):
call_spread_strategy = DeltaTargetStrategy(
@ -34,5 +35,9 @@ if __name__ == '__main__':
end_date
)
print(backtest_result)
# TODO: Move plot() to plotting module.
# plot(backtest_result, title = 'Iron Condor Backtest Results')
plot(BacktestChart(
dates = backtest_result['Date'],
profit = backtest_result['Cumulative Profit'],
title = f'Iron Condor @ {call_spread_strategy.trade_entry_time}'
))

37
backtesting/backtest_iron_condor.py
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@ -1,5 +1,4 @@
import logging
import numpy as np
import os
import pandas as pd
import plotly.express as px
@ -44,42 +43,6 @@ max_profits = []
wins = []
exit_times = []
def plot(backtest_results: pd.DataFrame, title: str):
backtest_results.drop('Profit', axis = 1, inplace = True)
backtest_results.rename(columns = {'Cumulative Profit' : 'Profit'}, inplace = True)
# Exclude dates on which the market was closed from being plotted in order to prevent gaps on chart.
start_date = backtest_results['Date'].min()
end_date = backtest_results['Date'].max()
backtest_date_range = pd.date_range(start = start_date, end = end_date).to_list()
backtest_date_range = set([timestamp.strftime('%Y-%m-%d') for timestamp in backtest_date_range])
backtested_dates = set(backtest_results['Date'].to_list())
excluded_dates = backtest_date_range - backtested_dates
backtest_results['Color'] = np.where(backtest_results['Profit'] >= 0, 'limegreen', 'red')
color_sequence = ['limegreen', 'red'] if backtest_results.iloc[0]['Profit'] >= 0 else ['red', 'limegreen']
chart = px.bar(backtest_results, x='Date', y='Profit', title=title, color='Color', color_discrete_sequence=color_sequence, hover_data={'Color': False})
chart.update_layout({
'font_color': '#7a7c7d',
'plot_bgcolor': '#0f0f0f',
'paper_bgcolor': '#0f0f0f',
'title_font_color': '#7a7c7d',
'xaxis': {
'gridcolor': '#0f0f0f',
'zerolinecolor': '#0f0f0f'
},
'yaxis': {
'gridcolor': '#0f0f0f',
'zerolinecolor': '#0f0f0f'
}
})
chart.update_traces(marker_line_width=0, selector=dict(type='bar'))
chart.update_layout(bargap=0, bargroupgap = 0)
chart.update_layout(showlegend=False)
chart.update_xaxes(rangebreaks=[dict(values=list(excluded_dates))])
chart.show()
def get_spread_history_credit(historical_option_data: pd.DataFrame, option_strat: CreditTargetStrategy) -> pd.DataFrame:
current_date = historical_option_data.iloc[0]['quote_datetime'][:10]
opening_quotes = historical_option_data[(historical_option_data['quote_datetime'] == (current_date + ' ' + option_strat.trade_entry_time))]