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87 Commits
Author SHA1 Message Date
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 29561e2b0c Moved initial capital to Backtest constructor. Fixed Schema fields 2020-02-06 18:32:39 -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
Camilo1704 913873c039 Short ATM straddle example added 2020-01-15 19:03:54 -03:00
Javier Rodríguez Chatruc 20d06f83f7 Fixed avg P&L giving incorrect values 2020-01-14 15:32:25 -03:00
Javier Rodríguez Chatruc 8af11e5f6a Improved formatting in summary method 2020-01-14 14:35:26 -03:00
Javier Rodríguez Chatruc 90421fba07 Renamed 'demos' as 'examples' and added call/put selling strategy to examples 2020-01-14 12:27:22 -03:00
Javier Rodríguez Chatruc 86345d896a Demo vega plots now render on jupyter notebook 2020-01-13 15:07:35 -03:00
Javier Rodríguez Chatruc ebafcd97d9 Updated backtester demo 2020-01-13 12:45:07 -03:00
Javier Rodríguez Chatruc d1298903fc Fixed exit costs being calculated before imputing missing contracts 2020-01-13 10:40:21 -03:00
Javier Rodríguez Chatruc 89c18c6bd8 Strategy now immediately exits when there are missing contracts with the cost imputed 2020-01-10 19:04:55 -03:00
Juan Pablo Amoroso 94ef7a2c01 Improved returns chart tooltip 2020-01-10 18:18:04 -03:00
Juan Pablo Amoroso ab7d8dc637 Fixed charts 2020-01-10 17:43:28 -03:00
Juan Pablo Amoroso 6068af240f Data cleanup v2. Removes ~%12 of the contracts 2020-01-10 13:54:35 -03:00
Javier Rodríguez Chatruc 0ab496e173 Changed returns_histogram and monthly_returns_heatmap to work with bt.balance 2020-01-09 12:38:03 -03:00
Javier Rodríguez Chatruc 29b31113d4 Accumulated returns now start at 1 instead of 0 2020-01-08 16:24:49 -03:00
Juan Pablo Amoroso 3de145c5bf Added daily/monthly balance (pd.DataFrame that keeps track of the value of current positions) 2020-01-08 16:11:45 -03:00
Javier Rodríguez Chatruc 6a40398665 Fixed monthly data iterator to return correct dates and moved data cleanup notebook to 'backtester/demos/' 2020-01-07 16:27:26 -03:00
Juan Pablo Amoroso dd667440f4 Fixed backtester's method 2020-01-07 14:42:15 -03:00
Javier Rodríguez Chatruc bc88387dc5 Updated demo notebook to work with the recent changes 2020-01-07 14:38:11 -03:00
Javier Rodríguez Chatruc 7cf17ec307 Removed straddle from __init__ file 2020-01-07 11:00:43 -03:00
Javier Rodríguez Chatruc b7576e87c7 Replaced straddle class with the more general strangle and moved 'date' column to 'totals' index 2020-01-07 10:58:42 -03:00