Add volatility regime filter for filtering out trades on days when the prior close of VIX is in the 75th percentile

backtesting/filter/__init__.py

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+from .volatility_regime_filter import VolatilityRegimeFilter

backtesting/filter/volatility_regime_filter.py

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+from datetime import datetime, timedelta
+from dotenv import load_dotenv
+from os import getenv
+from pandas import DataFrame, Series
+
+from database.ohlc import ohlc
+
+from .backtest_filter import BacktestFilter
+
+load_dotenv()
+
+class VolatilityRegimeFilter(BacktestFilter):
+
+    def __init__(self):
+        self.backtest_filter = self.filter()
+
+    def filter(self) -> DataFrame:
+        data_start_date = datetime.strptime(getenv('OPTION_DATA_START_DATE'), '%Y-%m-%d')
+
+        vix_data = ohlc(
+            symbol = 'VIX.XO', 
+            timeframe = '1d', 
+            start_date = data_start_date - timedelta(weeks = 52), 
+            end_date = datetime.now()
+        )
+
+        vix_data.rename(columns = {'Timestamp': 'Date'}, inplace = True)
+        vix_data['Date'] = vix_data['Date']
+
+        percent_rank = lambda x: Series(x).rank(pct = True).iloc[-1]
+        vix_data['Percent Rank'] = vix_data['Close'].shift(1).rolling(window = 252).apply(percent_rank)
+
+        filtered_data = vix_data[vix_data['Date'] >= data_start_date].copy()
+        filtered_data['Trade Allowed'] = filtered_data['Percent Rank'] < 0.75
+        filtered_data = filtered_data[['Date', 'Trade Allowed']].reset_index(drop = True)
+        return filtered_data

test/filter/volatility_regime_filter_test.py

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+from backtesting.filter import VolatilityRegimeFilter
+
+filter = VolatilityRegimeFilter()
+print(filter.backtest_filter)