From e02e8312885390658f1239baf96b61d27613409b Mon Sep 17 00:00:00 2001
From: moshferatu <gitea@steveharris.sh>
Date: Tue, 6 Feb 2024 07:50:28 -0800
Subject: [PATCH] Add the ability to filter out days to trade by providing a
 list of backtest filters

---
 backtesting/backtest_iron_condor.py | 21 ++++++++++++++-------
 1 file changed, 14 insertions(+), 7 deletions(-)

diff --git a/backtesting/backtest_iron_condor.py b/backtesting/backtest_iron_condor.py
index 9dd9812..500a2c2 100644
--- a/backtesting/backtest_iron_condor.py
+++ b/backtesting/backtest_iron_condor.py
@@ -5,10 +5,12 @@ import pandas as pd
 from concurrent.futures import ProcessPoolExecutor
 from datetime import datetime
 from dotenv import load_dotenv
+from typing import List
 
 from .backtest_result import BacktestResult
 from .credit_targeting import CreditTargetStrategy
 from .delta_targeting import DeltaTargetStrategy
+from .filter import BacktestFilter, VolatilityRegimeFilter
 from .option_spread_strategy import OptionSpreadStrategy
 from .option_type import OptionType
 
@@ -272,7 +274,8 @@ def backtest_iron_condor(
         call_spread_strategy: OptionSpreadStrategy, 
         put_spread_strategy: OptionSpreadStrategy, 
         start_date: datetime, 
-        end_date: datetime
+        end_date: datetime,
+        filters: List[BacktestFilter] = []
     ) -> pd.DataFrame:
 
     total_premium_received = 0.0
@@ -292,18 +295,22 @@ def backtest_iron_condor(
                     continue
 
                 # Assuming file format 'YYYY-MM-DD.csv'.
-                file_date_str = os.path.splitext(file)[0]
-                file_date = datetime.strptime(file_date_str, '%Y-%m-%d')
+                current_date = datetime.strptime(os.path.splitext(file)[0], '%Y-%m-%d')
 
                 # TODO: This doesn't work as expected when the start date is not set to midnight.
-                if file_date < start_date or file_date > end_date:
+                if current_date < start_date or current_date > end_date:
                     continue
 
                 logging.info('Processing File: %s', historical_data_file)
 
-                future = executor.submit(_backtest_iron_condor, 
-                    historical_data_file, call_spread_strategy, put_spread_strategy)
-                futures.append(future)
+                if (not filters) or all(filter.trade_allowed(current_date) for filter in filters):
+                    future = executor.submit(
+                        _backtest_iron_condor, 
+                        historical_data_file, 
+                        call_spread_strategy, 
+                        put_spread_strategy
+                    )
+                    futures.append(future)
 
     backtest_results = []
     for future in futures: