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Add the ability to filter out days to trade by providing a list of backtest filters

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moshferatu 2024-02-06 07:50:28 -08:00
parent 4214ed5165
commit e02e831288
1 changed files with 14 additions and 7 deletions
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21
backtesting/backtest_iron_condor.py
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@ -5,10 +5,12 @@ import pandas as pd
from concurrent.futures import ProcessPoolExecutor from concurrent.futures import ProcessPoolExecutor
from datetime import datetime from datetime import datetime
from dotenv import load_dotenv from dotenv import load_dotenv
from typing import List
from .backtest_result import BacktestResult from .backtest_result import BacktestResult
from .credit_targeting import CreditTargetStrategy from .credit_targeting import CreditTargetStrategy
from .delta_targeting import DeltaTargetStrategy from .delta_targeting import DeltaTargetStrategy
from .filter import BacktestFilter, VolatilityRegimeFilter
from .option_spread_strategy import OptionSpreadStrategy from .option_spread_strategy import OptionSpreadStrategy
from .option_type import OptionType from .option_type import OptionType
@ -272,7 +274,8 @@ def backtest_iron_condor(
call_spread_strategy: OptionSpreadStrategy, call_spread_strategy: OptionSpreadStrategy,
put_spread_strategy: OptionSpreadStrategy, put_spread_strategy: OptionSpreadStrategy,
start_date: datetime, start_date: datetime,
end_date: datetime end_date: datetime,
filters: List[BacktestFilter] = []
) -> pd.DataFrame: ) -> pd.DataFrame:
total_premium_received = 0.0 total_premium_received = 0.0
@ -292,18 +295,22 @@ def backtest_iron_condor(
continue continue
# Assuming file format 'YYYY-MM-DD.csv'. # Assuming file format 'YYYY-MM-DD.csv'.
file_date_str = os.path.splitext(file)[0] current_date = datetime.strptime(os.path.splitext(file)[0], '%Y-%m-%d')
file_date = datetime.strptime(file_date_str, '%Y-%m-%d')
# TODO: This doesn't work as expected when the start date is not set to midnight. # 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 continue
logging.info('Processing File: %s', historical_data_file) logging.info('Processing File: %s', historical_data_file)
future = executor.submit(_backtest_iron_condor, if (not filters) or all(filter.trade_allowed(current_date) for filter in filters):
historical_data_file, call_spread_strategy, put_spread_strategy) future = executor.submit(
futures.append(future) _backtest_iron_condor,
historical_data_file,
call_spread_strategy,
put_spread_strategy
)
futures.append(future)
backtest_results = [] backtest_results = []
for future in futures: for future in futures: