 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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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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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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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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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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2b04e2d76a
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Added Tiingo datahandler
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2020-02-11 15:26:04 -03:00 |
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Juan Pablo Amoroso
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29561e2b0c
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Moved initial capital to Backtest constructor. Fixed Schema fields
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2020-02-06 18:32:39 -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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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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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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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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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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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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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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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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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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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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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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