mirror of
https://github.com/wassname/options_backtester.git
synced 2026-07-02 09:20:30 +08:00
Juan Pablo Amoroso
46 lines
2.0 KiB
Python
46 lines
2.0 KiB
Python
from .strategy_leg import StrategyLeg
|
|
from .strategy import Strategy
|
|
from backtester.enums import Direction, Type
|
|
|
|
|
|
class Strangle(Strategy):
|
|
def __init__(self,
|
|
schema,
|
|
name,
|
|
underlying,
|
|
dte_entry_range,
|
|
dte_exit,
|
|
otm_pct=0,
|
|
pct_tolerance=1,
|
|
exit_thresholds=(float('inf'), float('inf')),
|
|
shares_per_contract=100):
|
|
assert (name.lower() == 'short' or name.lower() == 'long')
|
|
super().__init__(schema, shares_per_contract)
|
|
direction = Direction.SELL if name.lower() == 'short' else Direction.BUY
|
|
|
|
leg1 = StrategyLeg(
|
|
"leg_1",
|
|
schema,
|
|
option_type=Type.CALL,
|
|
direction=direction,
|
|
)
|
|
|
|
otm_lower_bound = (otm_pct - pct_tolerance) / 100
|
|
otm_upper_bound = (otm_pct + pct_tolerance) / 100
|
|
|
|
leg1.entry_filter = (schema.underlying == underlying) & (schema.dte >= dte_entry_range[0]) & (
|
|
schema.dte <= dte_entry_range[1]) & (schema.strike >= schema.underlying_last *
|
|
(1 + otm_lower_bound)) & (schema.strike <= schema.underlying_last *
|
|
(1 + otm_upper_bound))
|
|
leg1.exit_filter = (schema.dte <= dte_exit)
|
|
|
|
leg2 = StrategyLeg("leg_2", schema, option_type=Type.PUT, direction=direction)
|
|
leg2.entry_filter = (schema.underlying == underlying) & (schema.dte >= dte_entry_range[0]) & (
|
|
schema.dte <= dte_entry_range[1]) & (schema.strike <= schema.underlying_last *
|
|
(1 - otm_lower_bound)) & (schema.strike >= schema.underlying_last *
|
|
(1 - otm_upper_bound))
|
|
leg2.exit_filter = (schema.dte <= dte_exit)
|
|
|
|
self.add_legs([leg1, leg2])
|
|
self.add_exit_thresholds(exit_thresholds[0], exit_thresholds[1])
|