 Javier Rodríguez Chatruc
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3124aa8a56
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Changed variable names to improve readability
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2020-03-20 12:33:52 -03:00 |
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Camilo1704
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636b807be1
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fixed exit cost in trade_log when exiting options
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2020-03-20 11:58:23 -03:00 |
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Camilo1704
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5b87075c22
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order and costs in trade_log modified in sell_some_options exits
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2020-03-19 18:48:41 -03:00 |
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Camilo1704
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87d34df284
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sell_some_options fixed
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2020-03-19 14:39:58 -03:00 |
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Juan Pablo AmorosoandGitHub
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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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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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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 ChatrucandGitHub
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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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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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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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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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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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Javier Rodríguez Chatruc
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262e2aad0d
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Fixed total capital's first value being NaN
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2020-03-04 15:51:51 -03:00 |
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Javier Rodríguez Chatruc
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0def0373b6
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Balance now updates in batch on rebalancing days
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2020-03-04 15:27:00 -03:00 |
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Juan Pablo Amoroso
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65a8ca1d76
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Refactored Strategy and Backtest classes. Moved entry and exit signal filters to Backtest.
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2020-03-04 14:20:58 -03:00 |
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Javier Rodríguez Chatruc
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b64043dae3
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Fixed a few things and added a notebook example of merged bt
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2020-03-02 12:21:27 -03:00 |
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Juan Pablo Amoroso
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549b8f1a88
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Refactoring Backtest class
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2020-02-17 11:25:19 -03:00 |
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Camilo1704
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9dfe35ea94
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update and rebalance changed
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2020-02-14 16:01:43 -03:00 |
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Juan Pablo Amoroso
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fd0be624f9
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Refactoring Backtest class
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2020-02-12 12:20:19 -03:00 |
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Javier Rodríguez Chatruc
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bc3b4729af
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Summary's largest loss can no longer be negative
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2020-01-23 17:50:14 -03:00 |
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Javier Rodríguez Chatruc
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d6783a5fc0
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Added unit test for backtester
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2020-01-22 17:24:22 -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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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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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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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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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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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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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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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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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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