41 lines
1.3 KiB
Python
41 lines
1.3 KiB
Python
from datetime import datetime
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from dotenv import load_dotenv
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from os import getenv
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from pandas import concat
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from backtesting import backtest_iron_condor
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from backtesting.delta_targeting import create_strategies
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from plotting import BacktestChart, plot
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load_dotenv()
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if __name__ == '__main__':
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start_date = datetime(2016, 1, 1)
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end_date = datetime.now()
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delta_target = float(getenv('DELTA_TARGET'))
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entry_times = getenv('ENTRY_TIMES').split(',')
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backtest_results = []
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for entry_time in entry_times:
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call_spread_strategy, put_spread_strategy = create_strategies(delta_target, entry_time)
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backtest_result = backtest_iron_condor(
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f'{int(delta_target * 100)} Delta Iron Condor @ {call_spread_strategy.trade_entry_time}',
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call_spread_strategy,
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put_spread_strategy,
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start_date,
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end_date
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)
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backtest_results.append(backtest_result)
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combined_backtest_results = concat(backtest_results)
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summed_results = combined_backtest_results.groupby('Date')['Cumulative Profit'].sum().reset_index()
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plot(BacktestChart(
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dates = summed_results['Date'],
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profit = summed_results['Cumulative Profit'],
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title = f'{int(delta_target * 100)} Delta Iron Condor'
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)) |