 Juan Pablo Amoroso
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0e55dd51e5
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Refactored pyfolio notebook
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2020-03-20 13:35:30 -03:00 |
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Juan Pablo Amoroso
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3d1575b2da
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Added travis config.
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2020-03-20 13:33:21 -03:00 |
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Juan Pablo Amoroso
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501e64cc39
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Updated Makefile. Removed old targets.
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2020-03-20 13:33:08 -03:00 |
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Juan Pablo Amoroso
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32548530ca
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Updated Pipfile. Removed unused dependencies.
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2020-03-20 13:28:03 -03:00 |
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Juan Pablo Amoroso
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82b6fc6b7b
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Flake8 changes:
- Ignore error W504 (break line on operator)
- Ignore unused import in stats.py (used for pandas query)
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2020-03-20 13:24:47 -03:00 |
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Juan Pablo Amoroso
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2789c206c9
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Sample backtest notebook.
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2020-03-20 11:20:45 -03:00 |
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Juan Pablo Amoroso
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5cc0aabf7c
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Removed unused imports
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2020-03-20 11:20:45 -03:00 |
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Juan Pablo Amoroso
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a743a506b4
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Merge pull request #66 from lambdaclass/better-example
merged_bt_example now has a more thorough explanation of the backtester
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2020-03-20 11:18:41 -03:00 |
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Javier Rodríguez Chatruc
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2ec5cff32e
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merged_bt_example now has a more thorough explanation of the backtester
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2020-03-19 16:23:10 -03:00 |
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Juan Pablo Amoroso
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63e307b0fa
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Merge pull request #58 from lambdaclass/global-test
Added global test
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2020-03-19 16:14:43 -03:00 |
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Juan Pablo Amoroso
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0f1637fac0
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Renamed test_data.csv to test_data_options.csv
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2020-03-19 16:11:53 -03:00 |
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Juan Pablo Amoroso
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e0272074da
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Added only options test
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2020-03-19 15:11:23 -03:00 |
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Juan Pablo Amoroso
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ff70bf12eb
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Add constant price sma test
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2020-03-19 14:36:11 -03:00 |
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Juan Pablo Amoroso
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87ada8c0cb
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Merge pull request #64 from lambdaclass/fill-na-balance
update_balance now fills nan values with zero when computing options …
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2020-03-19 13:43:30 -03:00 |
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Javier Rodríguez Chatruc
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eba533c912
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Merge pull request #62 from lambdaclass/remove-asserts
Removed unnecessary asserts
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2020-03-19 12:27:43 -03:00 |
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Javier Rodríguez Chatruc
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4fdcbbfd63
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update_balance now fills nan values with zero when computing options balance
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2020-03-19 12:10:41 -03:00 |
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Juan Pablo Amoroso
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5eccfcad37
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Removed unnecessary asserts
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2020-03-19 11:52:24 -03:00 |
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Javier Rodríguez Chatruc
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0b73e73b6a
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Merge pull request #59 from lambdaclass/pyfolio_example
Pyfolio example
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2020-03-18 18:06:39 -03:00 |
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Javier Rodríguez Chatruc
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565931c062
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Added tests for buy_stocks, current_stock_capital and sma
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2020-03-18 18:04:06 -03:00 |
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Juan Pablo Amoroso
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bb0a294c86
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Added only cash test
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2020-03-18 17:48:40 -03:00 |
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Juan Pablo Amoroso
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045e15e078
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Merge branch 'master' into global-test
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2020-03-18 17:46:48 -03:00 |
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Javier Rodríguez Chatruc
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0de9bf630e
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Merge pull request #61 from lambdaclass/rebalance-fix
Changed the way self.current_cash is updated
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2020-03-18 17:42:20 -03:00 |
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Juan Pablo Amoroso
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c6c7b16dcd
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Changed the way self.current_cash is updated
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2020-03-18 16:42:46 -03:00 |
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Javier Rodríguez Chatruc
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43acbfef49
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Merge pull request #60 from lambdaclass/fix-sma-calculation
fixed sma calculation
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2020-03-18 14:57:16 -03:00 |
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Camilo1704
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fc5dc145b4
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fixed sma calculation
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2020-03-18 14:54:49 -03:00 |
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Juan Pablo Amoroso
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d8011a4418
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Added Ivy portfolio data
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2020-03-18 12:04:20 -03:00 |
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Juan Pablo Amoroso
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13557f9a54
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Added only stocks test
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2020-03-17 19:16:39 -03:00 |
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Camilo1704
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3bc8ad30df
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merged_bt_example with pyfolio plots
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2020-03-17 17:34:59 -03:00 |
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Juan Pablo Amoroso
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de05f055ae
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Merge branch 'master' into global-test
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2020-03-17 17:21:51 -03:00 |
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Javier Rodríguez Chatruc
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c50025a21c
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Merge pull request #56 from lambdaclass/drop-entries-with-0-qty
Drop entries with 0 qty
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2020-03-17 17:07:36 -03:00 |
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Camilo1704
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349253a410
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pyfolio graphs added
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2020-03-17 16:42:07 -03:00 |
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Javier Rodríguez Chatruc
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be56c8e1a0
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Merge pull request #57 from lambdaclass/rebalancing_days
rebalancing days calculation with days in data
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2020-03-17 16:02:53 -03:00 |
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Javier Rodríguez Chatruc
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55356ff56d
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Added global test
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2020-03-17 15:40:23 -03:00 |
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Camilo1704
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fff5455894
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rebalancing days calculation with days in data
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2020-03-17 15:01:16 -03:00 |
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Javier Rodríguez Chatruc
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36e46d3187
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Various fixes
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2020-03-17 10:51:36 -03:00 |
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Juan Pablo Amoroso
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3698358124
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Flake8 now ignores star import errors
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2020-03-16 19:40:20 -03:00 |
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Juan Pablo Amoroso
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21ee9134d2
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Drop entry signals with qty == 0. _buy_stocks and _sell_some_options now update self.current_cash
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2020-03-16 19:39:48 -03:00 |
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Juan Pablo Amoroso
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cb00fc528b
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Merge pull request #54 from lambdaclass/dependabot/pip/bleach-3.1.1
Bump bleach from 3.1.0 to 3.1.1
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2020-03-16 17:41:23 -03:00 |
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dependabot[bot]
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2ac9a38615
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Merge pull request #44 from catalinasy/master
Adding data for testing
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2020-03-16 20:32:21 +00:00 |
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Juan Pablo Amoroso
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8f0c2a7523
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Moved 2legs example to backtester/examples
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2020-03-16 17:17:25 -03:00 |
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Javier Rodríguez Chatruc
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a066915750
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Fixed options capital not being added to cash if there were no entries in a rebalance day
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2020-03-16 17:02:50 -03:00 |
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Javier Rodríguez Chatruc
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98ea3dd12b
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Fixed exit costs being computed incorrectly and filter tests not working
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2020-03-16 12:12:49 -03:00 |
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Camilo1704
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e014840fb1
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delete _sell_options & minor fix in signs
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2020-03-13 18:23:11 -03:00 |
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Camilo1704
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240fab3d25
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sign added in current_cash calculation
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2020-03-13 11:52:17 -03:00 |
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Javier Rodríguez Chatruc
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53687030e9
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Fixed sign issue in update_balance
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2020-03-13 11:00:02 -03:00 |
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Camilo1704
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f23aa0ee01
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rebalance modified
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2020-03-12 19:00:53 -03:00 |
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Javier Rodríguez Chatruc
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e16dc77508
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Fixed update balance not working if there were multiple contracts on the inventory
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2020-03-04 18:48:57 -03:00 |
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Juan Pablo Amoroso
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a846c7af54
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Fix strategy's __init__ imports
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2020-03-04 17:12:21 -03:00 |
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Juan Pablo Amoroso
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bbfebab645
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Fixed __init__ imports (solves unused import warning from flake8).
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2020-03-04 17:08:39 -03:00 |
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Juan Pablo Amoroso
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2a9484b4be
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Moved summary method to backtester.statistics
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2020-03-04 16:03:51 -03:00 |
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