Add a method to retrieve the best performing entry times over the specified period of time

backtesting/__init__.py

@@ -1,5 +1,6 @@
 from .available_entry_times import available_entry_times
 from .backtest_iron_condor import backtest_iron_condor
+from .best_entry_times import best_entry_times
 from .credit_target_strategy import CreditTargetStrategy
 from .delta_target_strategy import DeltaTargetStrategy
 from .option_spread_strategy import OptionSpreadStrategy

backtesting/best_entry_times.py

@@ -0,0 +1,14 @@
+from database.backtest import backtest_results
+from datetime import datetime, timedelta
+
+def best_entry_times(lookback_period: int = 10):
+    end_date = datetime.now().replace(hour = 0, minute = 0, second = 0, microsecond = 0)
+    start_date = end_date - timedelta(days = lookback_period)
+
+    backtest = backtest_results('SPX', '10 Delta Iron Condor', start_date = start_date, end_date = end_date)
+    backtest['Entry Time'] = backtest['Entry Time'].dt.time
+
+    profit_by_entry_time = backtest.groupby('Entry Time')['Profit'].sum().reset_index()
+
+    best_entry_times = profit_by_entry_time.sort_values(by='Profit', ascending=False).head(10)
+    return [str(entry_time) for entry_time in best_entry_times['Entry Time'].tolist()]

test/best_entry_times_test.py

@@ -0,0 +1,5 @@
+from backtesting import best_entry_times
+
+print(best_entry_times())
+
+print(best_entry_times(lookback_period = 30)) # Days.