simulation of options trading with Iron Condor strategy

simulate_options_ic_trading.py

from typing import List
import numpy as np
import random
import math

def perform_iron_condor(
    trade_days: int,
    initial_capital: float,
    spread: float = 50.0,
    profit_rate_daily: float = 0.02,
    stop_loss_dollar_amount: float = 4.0) -> List[float]:
    
    shares_per_contract = 100
    stop_loss_count = 0 # number of times for stopping loss
    profit = 0
    capital = initial_capital
    funds_per_contract = shares_per_contract * spread
    for i in range(trade_days):
        contracts = int(capital / funds_per_contract)
        profit += profit_rate_daily * funds_per_contract * contracts

        sample = random.randrange(1, 100, 1)
        if sample <= 5:
            stop_loss_count += 1
            profit -= stop_loss_dollar_amount * shares_per_contract * contracts

        if profit < 0:
            capital += profit
            profit = 0
            continue

        additional_contracts = int(profit / funds_per_contract)
        realized_profit = additional_contracts * funds_per_contract
        capital += realized_profit

        # print('realized_profit = {}, capital = {}'.format(realized_profit, capital))
        profit -= realized_profit

    capital = capital + profit
    roi = np.round((capital - initial_capital) * 100.0 / initial_capital, 2)
    return [float(stop_loss_count), capital, roi]

# simulate options IC trading for different number of days
trade_days = [10, 20, 100, 200, 400]
fail_rate = 0.05 # 5% chance for stop loss
initial_capital = 15000

profit_rate_daily = 0.02 # 2%
spread_amount = 50.0
stop_loss_threshold = 4 # 3 dollars
for period in trade_days:
    
    expected_stop_loss_times = math.ceil(period * fail_rate)
    print('daily return rate: {}%, spread = {}, stop loss threshold = ${}'.format(100 * profit_rate_daily, spread_amount, stop_loss_threshold))
    while True:
        result = perform_iron_condor(period, initial_capital=initial_capital)
        stop_times = math.ceil(result[0])
        final_capital = result[1]
        roi = result[2]
        if stop_times == expected_stop_loss_times:
            print('Initial capital = {}\nAfter {} days of trade, final capital = {}\nROI = {}%\nStop loss times: {}'.format(initial_capital, period, final_capital, roi, stop_times))
            print('----------------')
            break