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3124aa8a56cc4e41e7aed64efb9567448d17e692
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104 Commits

Author SHA1 Message Date
Javier Rodríguez Chatruc 3124aa8a56 Changed variable names to improve readability 2020-03-20 12:33:52 -03:00
Camilo1704 636b807be1 fixed exit cost in trade_log when exiting options 2020-03-20 11:58:23 -03:00
Camilo1704 5b87075c22 order and costs in trade_log modified in sell_some_options exits 2020-03-19 18:48:41 -03:00
Camilo1704 87d34df284 sell_some_options fixed 2020-03-19 14:39:58 -03:00
Juan Pablo Amoroso 87ada8c0cb Merge pull request #64 from lambdaclass/fill-na-balance 
update_balance now fills nan values with zero when computing options …
 2020-03-19 13:43:30 -03:00
Javier Rodríguez Chatruc 4fdcbbfd63 update_balance now fills nan values with zero when computing options balance 2020-03-19 12:10:41 -03:00
Juan Pablo Amoroso 5eccfcad37 Removed unnecessary asserts 2020-03-19 11:52:24 -03:00
Javier Rodríguez Chatruc 0b73e73b6a Merge pull request #59 from lambdaclass/pyfolio_example 
Pyfolio example
 2020-03-18 18:06:39 -03:00
Javier Rodríguez Chatruc 0de9bf630e Merge pull request #61 from lambdaclass/rebalance-fix 
Changed the way self.current_cash is updated
 2020-03-18 17:42:20 -03:00
Juan Pablo Amoroso c6c7b16dcd Changed the way self.current_cash is updated 2020-03-18 16:42:46 -03:00
Camilo1704 fc5dc145b4 fixed sma calculation 2020-03-18 14:54:49 -03:00
Camilo1704 3bc8ad30df merged_bt_example with pyfolio plots 2020-03-17 17:34:59 -03:00
Javier Rodríguez Chatruc c50025a21c Merge pull request #56 from lambdaclass/drop-entries-with-0-qty 
Drop entries with 0 qty
 2020-03-17 17:07:36 -03:00
Camilo1704 349253a410 pyfolio graphs added 2020-03-17 16:42:07 -03:00
Camilo1704 fff5455894 rebalancing days calculation with days in data 2020-03-17 15:01:16 -03:00
Javier Rodríguez Chatruc 36e46d3187 Various fixes 2020-03-17 10:51:36 -03:00
Juan Pablo Amoroso 21ee9134d2 Drop entry signals with qty == 0. _buy_stocks and _sell_some_options now update self.current_cash 2020-03-16 19:39:48 -03:00
Juan Pablo Amoroso 8f0c2a7523 Moved 2legs example to backtester/examples 2020-03-16 17:17:25 -03:00
Javier Rodríguez Chatruc a066915750 Fixed options capital not being added to cash if there were no entries in a rebalance day 2020-03-16 17:02:50 -03:00
Javier Rodríguez Chatruc 98ea3dd12b Fixed exit costs being computed incorrectly and filter tests not working 2020-03-16 12:12:49 -03:00
Camilo1704 e014840fb1 delete _sell_options & minor fix in signs 2020-03-13 18:23:11 -03:00
Camilo1704 240fab3d25 sign added in current_cash calculation 2020-03-13 11:52:17 -03:00
Javier Rodríguez Chatruc 53687030e9 Fixed sign issue in update_balance 2020-03-13 11:00:02 -03:00
Camilo1704 f23aa0ee01 rebalance modified 2020-03-12 19:00:53 -03:00
Javier Rodríguez Chatruc e16dc77508 Fixed update balance not working if there were multiple contracts on the inventory 2020-03-04 18:48:57 -03:00
Juan Pablo Amoroso a846c7af54 Fix strategy's __init__ imports 2020-03-04 17:12:21 -03:00
Juan Pablo Amoroso bbfebab645 Fixed __init__ imports (solves unused import warning from flake8). 2020-03-04 17:08:39 -03:00
Juan Pablo Amoroso 2a9484b4be Moved summary method to backtester.statistics 2020-03-04 16:03:51 -03:00
Javier Rodríguez Chatruc 262e2aad0d Fixed total capital's first value being NaN 2020-03-04 15:51:51 -03:00
Javier Rodríguez Chatruc 0def0373b6 Balance now updates in batch on rebalancing days 2020-03-04 15:27:00 -03:00
Juan Pablo Amoroso 65a8ca1d76 Refactored Strategy and Backtest classes. Moved entry and exit signal filters to Backtest. 2020-03-04 14:20:58 -03:00
Javier Rodríguez Chatruc b64043dae3 Fixed a few things and added a notebook example of merged bt 2020-03-02 12:21:27 -03:00
Juan Pablo Amoroso 549b8f1a88 Refactoring Backtest class 2020-02-17 11:25:19 -03:00
Juan Pablo Amoroso 5477004184 Added Stock as a top level import 2020-02-14 18:41:43 -03:00
Camilo1704 9dfe35ea94 update and rebalance changed 2020-02-14 16:01:43 -03:00
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 29561e2b0c Moved initial capital to Backtest constructor. Fixed Schema fields 2020-02-06 18:32:39 -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