Resolve issue where backtest results were incorrect when stopping out and perform backtests in parallel using multiprocessing

This commit is contained in:
moshferatu 2024-01-30 08:49:18 -08:00
parent f940607dee
commit f223238bd5

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@ -4,6 +4,7 @@ import os
import pandas as pd
import plotly.express as px
from concurrent.futures import ProcessPoolExecutor
from dataclasses import dataclass
from datetime import datetime
from dotenv import load_dotenv
@ -149,13 +150,20 @@ def get_spread_history(historical_option_data: pd.DataFrame, option_strat: Delta
return spread_history
def _backtest_iron_condor(
historical_option_data: pd.DataFrame,
historical_data_file: str,
call_spread_strategy: OptionSpreadStrategy,
put_spread_strategy: OptionSpreadStrategy
) -> BacktestResult:
call_spread_history = get_spread_history(historical_option_data, call_spread_strategy)
put_spread_history = get_spread_history(historical_option_data, put_spread_strategy)
print('Processing File:', historical_data_file)
historical_option_data = pd.read_csv(historical_data_file)
if isinstance(call_spread_strategy, CreditTargetStrategy):
call_spread_history = get_spread_history_credit(historical_option_data, call_spread_strategy)
put_spread_history = get_spread_history_credit(historical_option_data, put_spread_strategy)
else:
call_spread_history = get_spread_history(historical_option_data, call_spread_strategy)
put_spread_history = get_spread_history(historical_option_data, put_spread_strategy)
current_date = call_spread_history.iloc[0].name[:10]
@ -246,7 +254,6 @@ def _backtest_iron_condor(
call_spread_stopped_out = True
exit_time = call_spread.name[-8:]
logging.info('Call Spread Stopped Out')
break
if not put_spread_stopped_out:
if current_put_spread_price >= ((put_spread_strategy.stop_loss_multiple + 1) * original_put_spread_price):
@ -256,7 +263,6 @@ def _backtest_iron_condor(
put_spread_stopped_out = True
exit_time = call_spread.name[-8:]
logging.info('Put Spread Stopped Out')
break
if not (call_spread_stopped_out and put_spread_stopped_out):
if current_call_spread_price > current_put_spread_price:
@ -339,34 +345,36 @@ def backtest_iron_condor(
total_trades = 0.0
total_wins = 0.0
result_dates = []
result_pnl = []
backtest_results = []
start_year = start_date.year
end_year = end_date.year
for year in range(start_year, end_year + 1):
year_directory = os.path.join(OPTION_DATA_DIRECTORY, str(year))
for file in os.listdir(year_directory):
historical_data_file = os.path.join(year_directory, file)
if os.path.isdir(historical_data_file) or not file.endswith('.csv'):
continue
futures = []
with ProcessPoolExecutor(max_workers = 10) as executor:
for year in range(start_year, end_year + 1):
year_directory = os.path.join(OPTION_DATA_DIRECTORY, str(year))
for file in os.listdir(year_directory):
historical_data_file = os.path.join(year_directory, file)
if os.path.isdir(historical_data_file) or not file.endswith('.csv'):
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')
# 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')
# 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:
continue
# 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:
continue
print('Processing File:', historical_data_file)
logging.info('Processing File: %s', historical_data_file)
logging.info('Processing File: %s', historical_data_file)
historical_option_data = pd.read_csv(historical_data_file)
backtest_result = _backtest_iron_condor(historical_option_data, call_spread_strategy, put_spread_strategy)
future = executor.submit(_backtest_iron_condor,
historical_data_file, call_spread_strategy, put_spread_strategy)
futures.append(future)
backtest_results = []
for future in futures:
backtest_result = future.result()
if backtest_result:
total_premium_received += backtest_result.trade_pnl
backtest_result.profit = total_premium_received
backtest_results.append(backtest_result)
@ -380,10 +388,6 @@ def backtest_iron_condor(
logging.info('Win Rate: %f', (total_wins / total_trades) if total_trades > 0 else 0.0)
logging.info('Average Premium Received: %f', (total_premium_received / total_trades) if total_trades > 0 else 0.0)
current_date = historical_option_data.iloc[0]['quote_datetime'][:10]
result_dates.append(current_date)
result_pnl.append(total_premium_received)
# TODO: Either look up the symbol in the historical option data or have the client provide it.
backtest_results = pd.DataFrame([{
'Date': result.date,