16 lines
872 B
Python
16 lines
872 B
Python
from database.backtest import backtest_results
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from datetime import datetime, timedelta
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def best_entry_times(date: datetime = datetime.now(), days_to_look_back: int = 10):
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end_date = date.replace(hour = 0, minute = 0, second = 0, microsecond = 0)
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end_date -= timedelta(days = 1) # Subtract one day in order to prevent lookahead bias.
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start_date = end_date - timedelta(days = days_to_look_back)
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backtest = backtest_results('SPX', '10 Delta Iron Condor', start_date = start_date, end_date = end_date)
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print(backtest)
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backtest['Entry Time'] = backtest['Entry Time'].dt.time
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profit_by_entry_time = backtest.groupby('Entry Time')['Profit'].sum().reset_index()
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best_entry_times = profit_by_entry_time.sort_values(by = 'Profit', ascending = False).head(10)
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return [str(entry_time) for entry_time in best_entry_times['Entry Time'].tolist()] |