 Javier Rodríguez Chatruc
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da655f7ab6
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Changed summary method because of merge inconsistency
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2020-01-06 11:09:47 -03:00 |
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Javier Rodríguez Chatruc
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e383397c20
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Added a first version of a summary
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2019-12-30 18:48:33 -03:00 |
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Juan Pablo Amoroso
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32b7d7a974
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Keep record of initial capital
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2019-12-30 18:43:07 -03:00 |
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Juan Pablo Amoroso
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d2963f812b
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Moved demo notebook to ./backtester/demos/
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2019-12-30 18:42:15 -03:00 |
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Javier Rodríguez Chatruc
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3f39b36005
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Added straddle class, monthly iteration example in demo and progress bar
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2019-12-27 18:28:37 -03:00 |
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Juan Pablo Amoroso
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59f16bac08
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Fixed monthly iteration. Changed default enter and exit profit thresholds to math.inf
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2019-12-27 13:05:11 -03:00 |
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Juan Pablo Amoroso
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0bbeb18d35
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Increase max_line_length for formatter
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2019-12-27 13:03:54 -03:00 |
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Javier Rodríguez Chatruc
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2aef5ca5a8
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Added notebooks for data cleanup and demo
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2019-12-26 15:57:16 -03:00 |
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Juan Pablo Amoroso
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0df2236355
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Filter contracts already in inventory. Added monthly iteration
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2019-12-26 14:52:45 -03:00 |
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Javier Rodríguez Chatruc
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461ea8da52
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Removed code to manage possible missing contracts and changed trade log structure to resemble the inventory
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2019-12-19 16:06:16 -03:00 |
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Juan Pablo Amoroso
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2723b7809c
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Filter now returns a pd.Series of booleans
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2019-12-18 10:31:52 -03:00 |
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Juan Pablo Amoroso
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2c5100cd86
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Refactored filter_exits method in Strategy. Moved date iteration to Backtester
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2019-12-17 10:13:47 -03:00 |
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Javier Rodríguez Chatruc
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9ff866e1d9
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Fixed capital showing incorrect values in trade log
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2019-12-03 18:44:14 -03:00 |
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Javier Rodríguez Chatruc
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1fe8851554
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Fixed a few things and added exit price thresholds as user input
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2019-12-02 11:22:15 -03:00 |
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Javier Rodríguez Chatruc
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182f24d874
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Changed inventory to a dataframe and added exit filter by price
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2019-11-28 10:43:27 -03:00 |
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Juan Pablo Amoroso
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c60ddb0e99
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Added calculation of total costs for signals. Moved check of 0 priced options to StrategyLeg
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2019-11-27 17:59:02 -03:00 |
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Juan Pablo Amoroso
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0b0fb7e87e
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Fixed option flip operator
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2019-11-27 10:41:34 -03:00 |
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Juan Pablo Amoroso
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b1a0596afb
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Added conditions checking to Strategy
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2019-11-26 17:18:26 -03:00 |
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Javier Rodríguez Chatruc
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5fa8ae97c8
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Added strangle and option for reading csv
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2019-11-08 10:53:48 -03:00 |
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Juan Pablo Amoroso
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435a7cadc0
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Fixed bug when checking for contracts in exit signals. Updated demo notebook
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2019-06-07 17:24:52 -03:00 |
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Juan Pablo Amoroso
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2c59fe7a91
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First working version of backtester. See notebook demo in /backtester/demos
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2019-06-07 11:42:00 -03:00 |
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Juan Pablo Amoroso
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8edc657bc3
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Added more tests for Filter and Field classes.
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2019-06-04 17:39:14 -03:00 |
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Juan Pablo Amoroso
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c2b8f4adba
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Strategy class implements run method that yields dataframes with entry and exit signals for each time period in data.
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2019-06-04 16:41:45 -03:00 |
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Juan Pablo Amoroso
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d790c8e6ff
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Moved Order enum to signal module. Created Signal (ENTRY | EXIT) enum.
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2019-06-04 16:39:30 -03:00 |
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Juan Pablo Amoroso
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1a27d150db
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Improved field composition.
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2019-06-04 16:33:46 -03:00 |
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Juan Pablo Amoroso
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096878dddb
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Added ability to combine fields to create complex filters.
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2019-06-04 15:49:02 -03:00 |
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Juan Pablo Amoroso
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35fc06d723
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Added method to allow iteration over dates. Data object passes unimplemented method calls to underlying pd.DataFrame.
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2019-06-04 15:46:27 -03:00 |
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Juan Pablo Amoroso
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a6dd0a1e86
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Removed unused legacy code.
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2019-06-04 15:43:50 -03:00 |
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Juan Pablo Amoroso
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f953826b80
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Created StrategyLeg class from previous OptionContract. Option enums moved to separate module
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2019-05-31 16:14:51 -03:00 |
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Juan Pablo Amoroso
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1b4846b652
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Added apply_filter method to datahandler. Fixed schema updates for __setitem__ calls
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2019-05-31 16:11:08 -03:00 |
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Juan Pablo Amoroso
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a0eb881d50
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Added membership check (*in*) to Schema
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2019-05-31 16:08:57 -03:00 |
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Juan Pablo Amoroso
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20d45677b6
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Now using attribute notation to build filters and brackets to get schema mappings
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2019-05-31 11:20:05 -03:00 |
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Juan Pablo Amoroso
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7914c72158
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Added pytables dependency to handle HDF5 files
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2019-05-30 15:37:31 -03:00 |
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Juan Pablo Amoroso
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8a26e32d0f
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Working on Strategy implementation. Added Historical Options Data handler.
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2019-05-30 15:36:53 -03:00 |
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Juan Pablo Amoroso
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b1e6589ee6
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Increased verbosity of pytest
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2019-05-30 14:02:31 -03:00 |
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Juan Pablo Amoroso
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a3b49bfceb
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Fixed filter composition with or. Now takes account of operator precedence
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2019-05-30 12:27:36 -03:00 |
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Juan Pablo Amoroso
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16436dc124
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Added tests for filter. Added pytest dependency.
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2019-05-30 11:42:52 -03:00 |
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Juan Pablo Amoroso
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5a4085a816
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Working on data handlers. Added Schema class for validation and Filter class to build querys
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2019-05-28 18:24:34 -03:00 |
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Federico Carrone
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5d1005d26e
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Merge pull request #18 from lambdaclass/contributing
Contributing doc
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2019-05-17 21:43:00 +00:00 |
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Juan Pablo Amoroso
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36fde6b769
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First draft of contribution document
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2019-05-16 18:26:47 -03:00 |
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Juan Pablo Amoroso
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22011b7cd1
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Added flake8 and yapf dependencies
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2019-05-16 14:18:12 -03:00 |
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Juan Pablo Amoroso
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9af977a031
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Added alert system
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2019-05-13 17:28:34 -03:00 |
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Juan Pablo Amoroso
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5ae3b91424
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Added first draft of backtester
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2019-05-13 15:35:59 -03:00 |
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Juan Pablo Amoroso
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34925b8bee
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Added data_scraper
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2019-05-13 15:28:23 -03:00 |
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Federico Carrone
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6b0f7e2d32
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Initial commit
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2019-05-08 11:48:05 -03:00 |
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