 Camilo1704
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0096f09b7c
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Selling calls monthly example added
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2020-01-16 12:54:18 -03:00 |
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Javier Rodríguez Chatruc
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3a5a527325
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Fixed exit_candidates return value sometimes not having the correct index
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2020-01-16 12:45:51 -03:00 |
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Camilo1704
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1fb73502d4
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Selling puts monthly example added
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2020-01-16 12:43:05 -03:00 |
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Camilo1704
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9d206b2a9a
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Long (ATM) straddle example added
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2020-01-16 10:50:49 -03:00 |
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Camilo1704
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1716d39cd8
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Iron Condor example added
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2020-01-16 10:28:57 -03:00 |
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Camilo1704
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913873c039
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Short ATM straddle example added
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2020-01-15 19:03:54 -03:00 |
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Javier Rodríguez Chatruc
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20d06f83f7
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Fixed avg P&L giving incorrect values
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2020-01-14 15:32:25 -03:00 |
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Javier Rodríguez Chatruc
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8af11e5f6a
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Improved formatting in summary method
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2020-01-14 14:35:26 -03:00 |
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Javier Rodríguez Chatruc
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90421fba07
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Renamed 'demos' as 'examples' and added call/put selling strategy to examples
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2020-01-14 12:27:22 -03:00 |
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Javier Rodríguez Chatruc
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86345d896a
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Demo vega plots now render on jupyter notebook
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2020-01-13 15:07:35 -03:00 |
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Javier Rodríguez Chatruc
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ebafcd97d9
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Updated backtester demo
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2020-01-13 12:45:07 -03:00 |
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Javier Rodríguez Chatruc
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d1298903fc
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Fixed exit costs being calculated before imputing missing contracts
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2020-01-13 10:40:21 -03:00 |
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Javier Rodríguez Chatruc
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89c18c6bd8
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Strategy now immediately exits when there are missing contracts with the cost imputed
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2020-01-10 19:04:55 -03:00 |
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Juan Pablo Amoroso
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94ef7a2c01
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Improved returns chart tooltip
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2020-01-10 18:18:04 -03:00 |
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Juan Pablo Amoroso
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ab7d8dc637
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Fixed charts
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2020-01-10 17:43:28 -03:00 |
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Juan Pablo Amoroso
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6068af240f
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Data cleanup v2. Removes ~%12 of the contracts
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2020-01-10 13:54:35 -03:00 |
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Javier Rodríguez Chatruc
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0ab496e173
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Changed returns_histogram and monthly_returns_heatmap to work with bt.balance
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2020-01-09 12:38:03 -03:00 |
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Javier Rodríguez Chatruc
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29b31113d4
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Accumulated returns now start at 1 instead of 0
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2020-01-08 16:24:49 -03:00 |
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Juan Pablo Amoroso
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3de145c5bf
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Added daily/monthly balance (pd.DataFrame that keeps track of the value of current positions)
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2020-01-08 16:11:45 -03:00 |
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Javier Rodríguez Chatruc
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6a40398665
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Fixed monthly data iterator to return correct dates and moved data cleanup notebook to 'backtester/demos/'
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2020-01-07 16:27:26 -03:00 |
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Juan Pablo Amoroso
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dd667440f4
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Fixed backtester's method
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2020-01-07 14:42:15 -03:00 |
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Javier Rodríguez Chatruc
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bc88387dc5
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Updated demo notebook to work with the recent changes
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2020-01-07 14:38:11 -03:00 |
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Javier Rodríguez Chatruc
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7cf17ec307
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Removed straddle from __init__ file
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2020-01-07 11:00:43 -03:00 |
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Javier Rodríguez Chatruc
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b7576e87c7
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Replaced straddle class with the more general strangle and moved 'date' column to 'totals' index
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2020-01-07 10:58:42 -03:00 |
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Javier Rodríguez Chatruc
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bd268cc23c
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Strategy now chooses to buy/sell as many contracts as initial capital allows
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2020-01-06 12:35:12 -03:00 |
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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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