From e0d17837157eba5342e8ee04ae102b3b664458cb Mon Sep 17 00:00:00 2001
From: moshferatu <gitea@steveharris.sh>
Date: Fri, 2 Feb 2024 10:43:37 -0800
Subject: [PATCH] Add a method to retrieve the best performing entry times over
 the specified period of time

---
 backtesting/__init__.py         |  1 +
 backtesting/best_entry_times.py | 14 ++++++++++++++
 test/best_entry_times_test.py   |  5 +++++
 3 files changed, 20 insertions(+)
 create mode 100644 backtesting/best_entry_times.py
 create mode 100644 test/best_entry_times_test.py

diff --git a/backtesting/__init__.py b/backtesting/__init__.py
index 4a4c3a3..415352d 100644
--- a/backtesting/__init__.py
+++ b/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
diff --git a/backtesting/best_entry_times.py b/backtesting/best_entry_times.py
new file mode 100644
index 0000000..d3aacf2
--- /dev/null
+++ b/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()]
\ No newline at end of file
diff --git a/test/best_entry_times_test.py b/test/best_entry_times_test.py
new file mode 100644
index 0000000..a7f5e5d
--- /dev/null
+++ b/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.
\ No newline at end of file