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

Add helper methods to construct iron condor strategy name strings for ensuring consistency between backtest and trades tables

Browse Source
This commit is contained in:
moshferatu 2024-02-15 08:18:15 -08:00
parent 8379184b62
commit d51bec8a46
2 changed files with 6 additions and 0 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

3
backtesting/credit_targeting.py
View File

@ -7,6 +7,9 @@ from .option_type import OptionType
class CreditTargetStrategy(OptionSpreadStrategy): class CreditTargetStrategy(OptionSpreadStrategy):
credit_target: float credit_target: float
def iron_condor_strategy(credit_target: float) -> str:
return f'${credit_target:.2f} Iron Condor'
def create_strategies(credit_target: float, entry_time: str, number_of_contracts: int = 1): def create_strategies(credit_target: float, entry_time: str, number_of_contracts: int = 1):
call_spread_strategy = CreditTargetStrategy( call_spread_strategy = CreditTargetStrategy(
credit_target = credit_target, credit_target = credit_target,

3
backtesting/delta_targeting.py
View File

@ -7,6 +7,9 @@ from .option_type import OptionType
class DeltaTargetStrategy(OptionSpreadStrategy): class DeltaTargetStrategy(OptionSpreadStrategy):
delta_target: float delta_target: float
def iron_condor_strategy(delta_target: float) -> str:
return f'{int(delta_target * 100)} Delta Iron Condor'
def create_strategies(delta_target: float, entry_time: str, number_of_contracts: int = 1): def create_strategies(delta_target: float, entry_time: str, number_of_contracts: int = 1):
call_spread_strategy = DeltaTargetStrategy( call_spread_strategy = DeltaTargetStrategy(
delta_target = delta_target, delta_target = delta_target,