 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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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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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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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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5477004184
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Added Stock as a top level import
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2020-02-14 18:41:43 -03:00 |
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Juan Pablo Amoroso
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65740b5fcc
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Fixed imports
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2020-02-11 15:34:10 -03:00 |
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Juan Pablo Amoroso
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4191824b9e
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Moved enums to a single module
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2020-02-11 15:22:43 -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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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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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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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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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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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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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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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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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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a6dd0a1e86
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Removed unused legacy code.
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2019-06-04 15:43:50 -03:00 |
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Juan Pablo Amoroso
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f953826b80
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Created StrategyLeg class from previous OptionContract. Option enums moved to separate module
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2019-05-31 16:14:51 -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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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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