Add helper methods to construct call and put spread strategies for credit and delta targeting

backtest_iron_condor_example.py

@@ -1,30 +1,15 @@
-from backtesting import backtest_iron_condor, DeltaTargetStrategy, OptionType
+from backtesting import backtest_iron_condor
+from backtesting.delta_targeting import create_strategies
 from datetime import datetime
 from plotting import BacktestChart, plot
 
-def create_strategies(entry_time: str, number_of_contracts: int = 1):
-    call_spread_strategy = DeltaTargetStrategy(
-        delta_target = 0.10, 
-        option_type = OptionType.CALL,
-        number_of_contracts = number_of_contracts, 
-        spread_width = 50, 
-        stop_loss_multiple = 1.00,
-        trade_entry_time = entry_time
-    )
-    put_spread_strategy = DeltaTargetStrategy(
-        delta_target = -0.10,
-        option_type = OptionType.PUT,
-        number_of_contracts = number_of_contracts, 
-        spread_width = 50, 
-        stop_loss_multiple = 1.00,
-        trade_entry_time = entry_time
-    )
-    return call_spread_strategy, put_spread_strategy
-
 if __name__ == '__main__':
     start_date = datetime(2024, 1, 1)
     end_date = datetime.now()
-    call_spread_strategy, put_spread_strategy = create_strategies(entry_time = '10:05:00')
+    call_spread_strategy, put_spread_strategy = create_strategies(
+        delta_target = 0.10, 
+        entry_time = '10:05:00'
+    )
     backtest_result = backtest_iron_condor(
         f'Iron Condor @ {call_spread_strategy.trade_entry_time}', 
         call_spread_strategy, 

backtesting/credit_targeting.py

@@ -1,7 +1,27 @@
 from dataclasses import dataclass
 
 from .option_spread_strategy import OptionSpreadStrategy
+from .option_type import OptionType
 
 @dataclass
 class CreditTargetStrategy(OptionSpreadStrategy):
     credit_target: float
+
+def create_strategies(credit_target: float, entry_time: str, number_of_contracts: int = 1):
+    call_spread_strategy = CreditTargetStrategy(
+        credit_target = credit_target,
+        option_type = OptionType.CALL,
+        number_of_contracts = number_of_contracts, 
+        spread_width = 50, 
+        stop_loss_multiple = 1.00,
+        trade_entry_time = entry_time
+    )
+    put_spread_strategy = CreditTargetStrategy(
+        credit_target = credit_target,
+        option_type = OptionType.PUT,
+        number_of_contracts = number_of_contracts, 
+        spread_width = 50, 
+        stop_loss_multiple = 1.00,
+        trade_entry_time = entry_time
+    )
+    return call_spread_strategy, put_spread_strategy

backtesting/delta_targeting.py

@@ -1,7 +1,27 @@
 from dataclasses import dataclass
 
 from .option_spread_strategy import OptionSpreadStrategy
+from .option_type import OptionType
 
 @dataclass
 class DeltaTargetStrategy(OptionSpreadStrategy):
     delta_target: float
+
+def create_strategies(delta_target: float, entry_time: str, number_of_contracts: int = 1):
+    call_spread_strategy = DeltaTargetStrategy(
+        delta_target = delta_target, 
+        option_type = OptionType.CALL,
+        number_of_contracts = number_of_contracts, 
+        spread_width = 50, 
+        stop_loss_multiple = 1.00,
+        trade_entry_time = entry_time
+    )
+    put_spread_strategy = DeltaTargetStrategy(
+        delta_target = -delta_target, 
+        option_type = OptionType.PUT,
+        number_of_contracts = number_of_contracts, 
+        spread_width = 50, 
+        stop_loss_multiple = 1.00,
+        trade_entry_time = entry_time
+    )
+    return call_spread_strategy, put_spread_strategy