43 lines
1.5 KiB
Python
43 lines
1.5 KiB
Python
from backtesting import backtest_iron_condor, DeltaTargetStrategy, OptionType
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from datetime import datetime
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from plotting import BacktestChart, plot
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def create_strategies(entry_time: str, number_of_contracts: int = 1):
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call_spread_strategy = DeltaTargetStrategy(
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delta_upper_bound = 0.11,
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delta_lower_bound = 0.10,
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option_type = OptionType.CALL,
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number_of_contracts = number_of_contracts,
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spread_width = 50,
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stop_loss_multiple = 1.00,
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trade_entry_time = entry_time
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)
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put_spread_strategy = DeltaTargetStrategy(
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delta_upper_bound = 0.11,
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delta_lower_bound = 0.10,
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option_type = OptionType.PUT,
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number_of_contracts = number_of_contracts,
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spread_width = 50,
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stop_loss_multiple = 1.00,
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trade_entry_time = entry_time
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)
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return call_spread_strategy, put_spread_strategy
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if __name__ == '__main__':
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start_date = datetime(2024, 1, 12)
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end_date = datetime.now()
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call_spread_strategy, put_spread_strategy = create_strategies(entry_time = '10:05:00')
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backtest_result = backtest_iron_condor(
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f'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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print(backtest_result)
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plot(BacktestChart(
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dates = backtest_result['Date'],
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profit = backtest_result['Cumulative Profit'],
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title = f'Iron Condor @ {call_spread_strategy.trade_entry_time}'
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)) |