 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 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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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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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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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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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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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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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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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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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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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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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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Juan Pablo Amoroso
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2f4563432b
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Added portfolio tests
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2020-02-07 14:28:14 -03:00 |
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Juan Pablo Amoroso
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54e42ae922
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Fixed example notebook. Changed balance column name.
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2020-02-07 14:26:08 -03:00 |
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Camilo1704
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b8e579234a
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altair plots renderer changed
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2020-02-07 11:55:18 -03:00 |
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Camilo1704
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5badef1f9f
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Merge branch 'asset-backtester' of github.com:lambdaclass/options_backtester into asset-backtester
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2020-02-07 11:35:52 -03:00 |
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Camilo1704
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4d88d201f9
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sma image
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2020-02-07 11:35:14 -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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Camilo1704
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8954b6c65a
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sma graph plotted
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2020-02-06 18:07:13 -03:00 |
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