Straddle and strangle Back testing With Python

For Short

import datetime

trade=0
Trade= pd.DataFrame(columns=['Trade_Date'])
for i in range(len(df_options)):
    if (trade==0) & (df_options['Time'][i]>=datetime.datetime.strptime('10:00:00', '%H:%M:%S').time()) & (df_options['Time'][i]<=datetime.datetime.strptime('10:05:00', '%H:%M:%S').time()):
        Entry_Price=df_options['Open'][i]
        Entry_Time=df_options['Time'][i]
        Entry_date=df_options['date'][i]
        sl=Entry_Price*1.7
        trade=1
        continue
    if (trade==1):
        if (Entry_date==df_options['date'][i]) & (df_options['Time'][i]>=datetime.datetime.strptime('15:15:00', '%H:%M:%S').time()):
            Exit_Price=df_options['Open'][i]
            Exit_Time=df_options['Time'][i]
            trade=0
            Trade = Trade.append({'Trade_Date':df_options['Date'][i],
                                  'Option_type':df_options['Option_type'][i],
                                  'Strike_Price':df_options['Strike_Price'][i],
                                  'Entry_Price':Entry_Price,
                                  'Exit_Price':Exit_Price,
                                  'Entry_Time':Entry_Time,
                                  'Exit_Time':Exit_Time,
                                  'sl':sl,
                                  'sale_type':'sell_option',
                                  'Exit_Type':'day_exit',
                                  "pnl":(Entry_Price-Exit_Price)},
                                 ignore_index=True)
            continue
        elif (Entry_date==df_options['date'][i]) & (df_options['Time'][i]<datetime.datetime.strptime('15:15:00', '%H:%M:%S').time()) & (sl<=df_options['High'][i]):
            Exit_Price=sl
            Exit_Time=df_options['Time'][i]
            trade=0
            Trade = Trade.append({'Trade_Date':df_options['Date'][i],
                                  'Option_type':df_options['Option_type'][i],
                                  'Strike_Price':df_options['Strike_Price'][i],
                                  'Entry_Price':Entry_Price,
                                  'Exit_Price':Exit_Price,
                                  'Entry_Time':Entry_Time,
                                  'Exit_Time':Exit_Time,
                                  'sl':sl,
                                  'sale_type':'sell_option',
                                  'Exit_Type':'sl_exit',
                                  "pnl":(Entry_Price-Exit_Price)},
                                 ignore_index=True)
            continue
        elif (trade==1) & (Entry_date!=df_options['date'][i]):
            trade=0
            continue

for long at the same exit Time of short and Out of The money

def trading_combined_target_price(df_straddle,sl_percentage=1.7,Target_percentage=0.7):
    df_options = df_straddle.copy()
    trade=0
    Trade= pd.DataFrame(columns=['Trade_Date'])
    for i in range(len(df_options)):
        if (trade==0) & (df_options['Time'][i]>=datetime.datetime.strptime('09:30:00', '%H:%M:%S').time()) & (df_options['Time'][i]<=datetime.datetime.strptime('09:35:00', '%H:%M:%S').time()):
            Entry_Price=df_options['Open'][i]
            Entry_Time=df_options['Time'][i]
            Entry_date=df_options['date'][i]
            sl=Entry_Price*sl_percentage
            Target_Price = Entry_Price*Target_percentage
            trade=1
            continue
        if (trade==1):
            if (Entry_date==df_options['date'][i]) & (df_options['Time'][i]>=datetime.datetime.strptime('15:15:00', '%H:%M:%S').time()):
                Exit_Price=df_options['Open'][i]
                Exit_Time=df_options['Time'][i]
                trade=0
                Trade = Trade.append({'Trade_Date':df_options['Date'][i],
                                      'Strike_Price':df_options['Strike_Price'][i],
                                      'Entry_Price':Entry_Price,
                                      'Exit_Price':Exit_Price,
                                      'Entry_Time':Entry_Time,
                                      'Exit_Time':Exit_Time,
                                      'sl':sl,
                                      'Target_Price':Target_Price,
                                      'sale_type':'sell_option',
                                      'Exit_Type':'day_exit',
                                      "pnl":(Entry_Price-Exit_Price)},
                                     ignore_index=True)
                continue
            elif (Entry_date==df_options['date'][i]) & (df_options['Time'][i]<datetime.datetime.strptime('15:15:00', '%H:%M:%S').time()) & (sl<=df_options['High'][i]):
                Exit_Price=sl
                Exit_Time=df_options['Time'][i]
                trade=0
                Trade = Trade.append({'Trade_Date':df_options['Date'][i],
                                      'Strike_Price':df_options['Strike_Price'][i],
                                      'Entry_Price':Entry_Price,
                                      'Exit_Price':Exit_Price,
                                      'Entry_Time':Entry_Time,
                                      'Exit_Time':Exit_Time,
                                      'sl':sl,
                                      'Target_Price':Target_Price,
                                      'sale_type':'sell_option',
                                      'Exit_Type':'sl_exit',
                                      "pnl":(Entry_Price-Exit_Price)},
                                     ignore_index=True)
                continue
            elif (Entry_date==df_options['date'][i]) & (df_options['Time'][i]<datetime.datetime.strptime('15:15:00', '%H:%M:%S').time()) & (Target_Price>=df_options['Low'][i]):
                Exit_Price=Target_Price
                Exit_Time=df_options['Time'][i]
                trade=0
                Trade = Trade.append({'Trade_Date':df_options['Date'][i],
                                      'Strike_Price':df_options['Strike_Price'][i],
                                      'Entry_Price':Entry_Price,
                                      'Exit_Price':Exit_Price,
                                      'Entry_Time':Entry_Time,
                                      'Exit_Time':Exit_Time,
                                      'sl':sl,
                                      'Target_Price':Target_Price,
                                      'sale_type':'sell_option',
                                      'Exit_Type':'Target_price_exit',
                                      "pnl":(Entry_Price-Exit_Price)},
                                     ignore_index=True)
                continue
            elif (trade==1) & (Entry_date!=df_options['date'][i]):
                trade=0
                continue
    return Trade

for complete code follow my git link

stock-market-anlalysis/Straddle_and_strangle.ipynb at main ·…