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Author SHA1 Message Date
Juan Pablo Amoroso cb00fc528b Merge pull request #54 from lambdaclass/dependabot/pip/bleach-3.1.1 
Bump bleach from 3.1.0 to 3.1.1
 2020-03-16 17:41:23 -03:00
dependabot[bot] 2ac9a38615 Merge pull request #44 from catalinasy/master 
Adding data for testing
 2020-03-16 20:32:21 +00:00
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 2f4563432b Added portfolio tests 2020-02-07 14:28:14 -03:00
Juan Pablo Amoroso 54e42ae922 Fixed example notebook. Changed balance column name. 2020-02-07 14:26:08 -03:00
Camilo1704 b8e579234a altair plots renderer changed 2020-02-07 11:55:18 -03:00
Camilo1704 5badef1f9f Merge branch 'asset-backtester' of github.com:lambdaclass/options_backtester into asset-backtester 2020-02-07 11:35:52 -03:00
Camilo1704 4d88d201f9 sma image 2020-02-07 11:35:14 -03:00
Juan Pablo Amoroso 29561e2b0c Moved initial capital to Backtest constructor. Fixed Schema fields 2020-02-06 18:32:39 -03:00
Camilo1704 8954b6c65a sma graph plotted 2020-02-06 18:07:13 -03:00
Camilo1704 556173265c minor changes in notebook 2020-02-06 15:52:20 -03:00
Camilo1704 ae33f86ab9 notebook title changed 2020-02-06 15:27:30 -03:00
Camilo1704 0b102acbcc sma example 2020-02-06 15:22:06 -03:00
Camilo1704 3e428de7ed sma added 2020-02-05 11:54:03 -03:00
Camilo1704 90682067e7 update balance first 2020-02-05 11:32:33 -03:00
Juan Pablo Amoroso f92aa9cfac Fixed imports. Run examples using data from Tiingo 2020-02-04 17:09:20 -03:00
Camilo1704 8c4f53194e sma graph added 2020-02-03 13:43:53 -03:00
Javier Rodríguez Chatruc 3de84ea9b7 Minor fix 2020-01-31 11:27:23 -03:00
Javier Rodríguez Chatruc 3ec734508d Cleaned up code, improved examples notebook 2020-01-30 17:41:10 -03:00
Camilo1704 10a0918d53 monthly rebalancing and first BDM 2020-01-30 16:25:44 -03:00
Javier Rodríguez Chatruc 9e08a57d54 Added simple asset backtester 2020-01-29 18:13:33 -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