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Author SHA1 Message Date
Juan Pablo Amoroso fd0be624f9 Refactoring Backtest class 2020-02-12 12:20:19 -03:00
Juan Pablo Amoroso 65740b5fcc Fixed imports 2020-02-11 15:34:10 -03:00
Juan Pablo Amoroso 2b04e2d76a Added Tiingo datahandler 2020-02-11 15:26:04 -03:00
Juan Pablo Amoroso 4191824b9e Moved enums to a single module 2020-02-11 15:22:43 -03:00
Juan Pablo Amoroso 2f4563432b Added portfolio tests 2020-02-07 14:28:14 -03:00
Juan Pablo Amoroso 54e42ae922 Fixed example notebook. Changed balance column name. 2020-02-07 14:26:08 -03:00
Camilo1704 b8e579234a altair plots renderer changed 2020-02-07 11:55:18 -03:00
Camilo1704 5badef1f9f Merge branch 'asset-backtester' of github.com:lambdaclass/options_backtester into asset-backtester 2020-02-07 11:35:52 -03:00
Camilo1704 4d88d201f9 sma image 2020-02-07 11:35:14 -03:00
Juan Pablo Amoroso 29561e2b0c Moved initial capital to Backtest constructor. Fixed Schema fields 2020-02-06 18:32:39 -03:00
Camilo1704 8954b6c65a sma graph plotted 2020-02-06 18:07:13 -03:00
Camilo1704 556173265c minor changes in notebook 2020-02-06 15:52:20 -03:00
Camilo1704 ae33f86ab9 notebook title changed 2020-02-06 15:27:30 -03:00
Camilo1704 0b102acbcc sma example 2020-02-06 15:22:06 -03:00
Camilo1704 3e428de7ed sma added 2020-02-05 11:54:03 -03:00
Camilo1704 90682067e7 update balance first 2020-02-05 11:32:33 -03:00
Juan Pablo Amoroso f92aa9cfac Fixed imports. Run examples using data from Tiingo 2020-02-04 17:09:20 -03:00
Camilo1704 8c4f53194e sma graph added 2020-02-03 13:43:53 -03:00
Javier Rodríguez Chatruc 3de84ea9b7 Minor fix 2020-01-31 11:27:23 -03:00
Javier Rodríguez Chatruc 3ec734508d Cleaned up code, improved examples notebook 2020-01-30 17:41:10 -03:00
Camilo1704 10a0918d53 monthly rebalancing and first BDM 2020-01-30 16:25:44 -03:00
Javier Rodríguez Chatruc 9e08a57d54 Added simple asset backtester 2020-01-29 18:13:33 -03:00
Javier Rodríguez Chatruc bc3b4729af Summary's largest loss can no longer be negative 2020-01-23 17:50:14 -03:00
Javier Rodríguez Chatruc d6783a5fc0 Added unit test for backtester 2020-01-22 17:24:22 -03:00
Camilo1704 ad432a8d50 names changed 2020-01-16 15:18:07 -03:00
Camilo1704 0096f09b7c Selling calls monthly example added 2020-01-16 12:54:18 -03:00
Javier Rodríguez Chatruc 3a5a527325 Fixed exit_candidates return value sometimes not having the correct index 2020-01-16 12:45:51 -03:00
Camilo1704 1fb73502d4 Selling puts monthly example added 2020-01-16 12:43:05 -03:00
Camilo1704 9d206b2a9a Long (ATM) straddle example added 2020-01-16 10:50:49 -03:00
Camilo1704 1716d39cd8 Iron Condor example added 2020-01-16 10:28:57 -03:00
Camilo1704 913873c039 Short ATM straddle example added 2020-01-15 19:03:54 -03:00
Javier Rodríguez Chatruc 20d06f83f7 Fixed avg P&L giving incorrect values 2020-01-14 15:32:25 -03:00
Javier Rodríguez Chatruc 8af11e5f6a Improved formatting in summary method 2020-01-14 14:35:26 -03:00
Javier Rodríguez Chatruc 90421fba07 Renamed 'demos' as 'examples' and added call/put selling strategy to examples 2020-01-14 12:27:22 -03:00
Javier Rodríguez Chatruc 86345d896a Demo vega plots now render on jupyter notebook 2020-01-13 15:07:35 -03:00
Javier Rodríguez Chatruc ebafcd97d9 Updated backtester demo 2020-01-13 12:45:07 -03:00
Javier Rodríguez Chatruc d1298903fc Fixed exit costs being calculated before imputing missing contracts 2020-01-13 10:40:21 -03:00
Javier Rodríguez Chatruc 89c18c6bd8 Strategy now immediately exits when there are missing contracts with the cost imputed 2020-01-10 19:04:55 -03:00
Juan Pablo Amoroso 94ef7a2c01 Improved returns chart tooltip 2020-01-10 18:18:04 -03:00
Juan Pablo Amoroso ab7d8dc637 Fixed charts 2020-01-10 17:43:28 -03:00
Juan Pablo Amoroso 6068af240f Data cleanup v2. Removes ~%12 of the contracts 2020-01-10 13:54:35 -03:00
Javier Rodríguez Chatruc 0ab496e173 Changed returns_histogram and monthly_returns_heatmap to work with bt.balance 2020-01-09 12:38:03 -03:00
Javier Rodríguez Chatruc 29b31113d4 Accumulated returns now start at 1 instead of 0 2020-01-08 16:24:49 -03:00
Juan Pablo Amoroso 3de145c5bf Added daily/monthly balance (pd.DataFrame that keeps track of the value of current positions) 2020-01-08 16:11:45 -03:00
Javier Rodríguez Chatruc 6a40398665 Fixed monthly data iterator to return correct dates and moved data cleanup notebook to 'backtester/demos/' 2020-01-07 16:27:26 -03:00
Juan Pablo Amoroso dd667440f4 Fixed backtester's method 2020-01-07 14:42:15 -03:00
Javier Rodríguez Chatruc bc88387dc5 Updated demo notebook to work with the recent changes 2020-01-07 14:38:11 -03:00
Javier Rodríguez Chatruc 7cf17ec307 Removed straddle from __init__ file 2020-01-07 11:00:43 -03:00
Javier Rodríguez Chatruc b7576e87c7 Replaced straddle class with the more general strangle and moved 'date' column to 'totals' index 2020-01-07 10:58:42 -03:00
Javier Rodríguez Chatruc bd268cc23c Strategy now chooses to buy/sell as many contracts as initial capital allows 2020-01-06 12:35:12 -03:00