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  • 0def0373b6 Balance now updates in batch on rebalancing days Javier Rodríguez Chatruc 2020-03-04 15:27:00 -03:00
  • 65a8ca1d76 Refactored Strategy and Backtest classes. Moved entry and exit signal filters to Backtest. Juan Pablo Amoroso 2020-03-04 14:20:58 -03:00
  • b64043dae3 Fixed a few things and added a notebook example of merged bt Javier Rodríguez Chatruc 2020-03-02 12:21:27 -03:00
  • 549b8f1a88 Refactoring Backtest class Juan Pablo Amoroso 2020-02-17 11:25:19 -03:00
  • 5477004184 Added Stock as a top level import Juan Pablo Amoroso 2020-02-14 18:41:43 -03:00
  • 9dfe35ea94 update and rebalance changed Camilo1704 2020-02-14 16:01:43 -03:00
  • fd0be624f9 Refactoring Backtest class Juan Pablo Amoroso 2020-02-12 12:20:19 -03:00
  • 65740b5fcc Fixed imports Juan Pablo Amoroso 2020-02-11 15:34:10 -03:00
  • 2b04e2d76a Added Tiingo datahandler Juan Pablo Amoroso 2020-02-11 15:26:04 -03:00
  • 4191824b9e Moved enums to a single module Juan Pablo Amoroso 2020-02-11 15:22:43 -03:00
  • 2f4563432b Added portfolio tests Juan Pablo Amoroso 2020-02-07 14:28:14 -03:00
  • 54e42ae922 Fixed example notebook. Changed balance column name. Juan Pablo Amoroso 2020-02-07 14:26:08 -03:00
  • b8e579234a altair plots renderer changed Camilo1704 2020-02-07 11:55:18 -03:00
  • 5badef1f9f Merge branch 'asset-backtester' of github.com:lambdaclass/options_backtester into asset-backtester Camilo1704 2020-02-07 11:35:52 -03:00
  • 4d88d201f9 sma image Camilo1704 2020-02-07 11:35:14 -03:00
  • 29561e2b0c Moved initial capital to Backtest constructor. Fixed Schema fields Juan Pablo Amoroso 2020-02-06 18:32:39 -03:00
  • 8954b6c65a sma graph plotted Camilo1704 2020-02-06 18:07:13 -03:00
  • 556173265c minor changes in notebook Camilo1704 2020-02-06 15:52:20 -03:00
  • ae33f86ab9 notebook title changed Camilo1704 2020-02-06 15:27:30 -03:00
  • 0b102acbcc sma example Camilo1704 2020-02-06 15:22:06 -03:00
  • 3e428de7ed sma added Camilo1704 2020-02-05 11:54:03 -03:00
  • 90682067e7 update balance first Camilo1704 2020-02-05 11:32:33 -03:00
  • f92aa9cfac Fixed imports. Run examples using data from Tiingo Juan Pablo Amoroso 2020-02-04 17:09:20 -03:00
  • 8c4f53194e sma graph added Camilo1704 2020-02-03 13:43:53 -03:00
  • 3de84ea9b7 Minor fix Javier Rodríguez Chatruc 2020-01-31 11:27:23 -03:00
  • 3ec734508d Cleaned up code, improved examples notebook Javier Rodríguez Chatruc 2020-01-30 17:41:10 -03:00
  • 10a0918d53 monthly rebalancing and first BDM Camilo1704 2020-01-30 16:25:44 -03:00
  • 9e08a57d54 Added simple asset backtester Javier Rodríguez Chatruc 2020-01-29 18:13:33 -03:00
  • bc3b4729af Summary's largest loss can no longer be negative Javier Rodríguez Chatruc 2020-01-23 17:50:14 -03:00
  • d6783a5fc0 Added unit test for backtester Javier Rodríguez Chatruc 2020-01-22 17:24:22 -03:00
  • ad432a8d50 names changed Camilo1704 2020-01-16 15:18:07 -03:00
  • 0096f09b7c Selling calls monthly example added Camilo1704 2020-01-16 12:46:25 -03:00
  • 3a5a527325 Fixed exit_candidates return value sometimes not having the correct index Javier Rodríguez Chatruc 2020-01-16 12:45:51 -03:00
  • 1fb73502d4 Selling puts monthly example added Camilo1704 2020-01-16 12:43:05 -03:00
  • 9d206b2a9a Long (ATM) straddle example added Camilo1704 2020-01-16 10:50:49 -03:00
  • 1716d39cd8 Iron Condor example added Camilo1704 2020-01-16 10:28:57 -03:00
  • 913873c039 Short ATM straddle example added Camilo1704 2020-01-15 18:59:25 -03:00
  • 20d06f83f7 Fixed avg P&L giving incorrect values Javier Rodríguez Chatruc 2020-01-14 15:32:25 -03:00
  • 8af11e5f6a Improved formatting in summary method Javier Rodríguez Chatruc 2020-01-14 14:35:26 -03:00
  • 90421fba07 Renamed 'demos' as 'examples' and added call/put selling strategy to examples Javier Rodríguez Chatruc 2020-01-14 12:27:22 -03:00
  • 86345d896a Demo vega plots now render on jupyter notebook Javier Rodríguez Chatruc 2020-01-13 15:07:35 -03:00
  • ebafcd97d9 Updated backtester demo Javier Rodríguez Chatruc 2020-01-13 12:45:07 -03:00
  • d1298903fc Fixed exit costs being calculated before imputing missing contracts Javier Rodríguez Chatruc 2020-01-13 10:40:21 -03:00
  • 89c18c6bd8 Strategy now immediately exits when there are missing contracts with the cost imputed Javier Rodríguez Chatruc 2020-01-10 19:04:55 -03:00
  • 94ef7a2c01 Improved returns chart tooltip Juan Pablo Amoroso 2020-01-10 18:18:04 -03:00
  • ab7d8dc637 Fixed charts Juan Pablo Amoroso 2020-01-10 17:43:28 -03:00
  • 6068af240f Data cleanup v2. Removes ~%12 of the contracts Juan Pablo Amoroso 2020-01-10 13:54:35 -03:00
  • 7e8462c600 Merge pull request #53 from lambdaclass/add_matplotlib_dep master-backup Javier Rodríguez Chatruc 2020-01-09 12:40:41 -03:00
  • b6623c8cb4 Added matplotlib to Pipfile Juan Pablo Amoroso 2020-01-09 12:38:08 -03:00
  • 0ab496e173 Changed returns_histogram and monthly_returns_heatmap to work with bt.balance Javier Rodríguez Chatruc 2020-01-09 12:38:03 -03:00
  • 29b31113d4 Accumulated returns now start at 1 instead of 0 Javier Rodríguez Chatruc 2020-01-08 16:24:49 -03:00
  • 3de145c5bf Added daily/monthly balance (pd.DataFrame that keeps track of the value of current positions) Juan Pablo Amoroso 2020-01-08 16:11:45 -03:00
  • 6a40398665 Fixed monthly data iterator to return correct dates and moved data cleanup notebook to 'backtester/demos/' Javier Rodríguez Chatruc 2020-01-07 16:27:26 -03:00
  • dd667440f4 Fixed backtester's method Juan Pablo Amoroso 2020-01-07 14:42:15 -03:00
  • bc88387dc5 Updated demo notebook to work with the recent changes Javier Rodríguez Chatruc 2020-01-07 14:38:11 -03:00
  • 7cf17ec307 Removed straddle from __init__ file Javier Rodríguez Chatruc 2020-01-07 11:00:43 -03:00
  • b7576e87c7 Replaced straddle class with the more general strangle and moved 'date' column to 'totals' index Javier Rodríguez Chatruc 2020-01-07 10:58:42 -03:00
  • bd268cc23c Strategy now chooses to buy/sell as many contracts as initial capital allows Javier Rodríguez Chatruc 2020-01-06 12:35:12 -03:00
  • da655f7ab6 Changed summary method because of merge inconsistency Javier Rodríguez Chatruc 2020-01-06 11:09:47 -03:00
  • e383397c20 Added a first version of a summary Javier Rodríguez Chatruc 2019-12-30 18:48:33 -03:00
  • 32b7d7a974 Keep record of initial capital Juan Pablo Amoroso 2019-12-30 18:43:07 -03:00
  • d2963f812b Moved demo notebook to ./backtester/demos/ Juan Pablo Amoroso 2019-12-30 18:42:15 -03:00
  • 3f39b36005 Added straddle class, monthly iteration example in demo and progress bar Javier Rodríguez Chatruc 2019-12-27 18:28:37 -03:00
  • 59f16bac08 Fixed monthly iteration. Changed default enter and exit profit thresholds to math.inf Juan Pablo Amoroso 2019-12-27 13:05:11 -03:00
  • 0bbeb18d35 Increase max_line_length for formatter Juan Pablo Amoroso 2019-12-27 13:03:54 -03:00
  • 2aef5ca5a8 Added notebooks for data cleanup and demo Javier Rodríguez Chatruc 2019-12-26 15:57:16 -03:00
  • 0df2236355 Filter contracts already in inventory. Added monthly iteration Juan Pablo Amoroso 2019-12-26 14:52:45 -03:00
  • 461ea8da52 Removed code to manage possible missing contracts and changed trade log structure to resemble the inventory Javier Rodríguez Chatruc 2019-12-19 16:06:16 -03:00
  • 2723b7809c Filter now returns a pd.Series of booleans Juan Pablo Amoroso 2019-12-18 10:31:52 -03:00
  • 2c5100cd86 Refactored filter_exits method in Strategy. Moved date iteration to Backtester Juan Pablo Amoroso 2019-12-17 10:13:47 -03:00
  • 9ff866e1d9 Fixed capital showing incorrect values in trade log Javier Rodríguez Chatruc 2019-12-03 18:44:14 -03:00
  • 1fe8851554 Fixed a few things and added exit price thresholds as user input Javier Rodríguez Chatruc 2019-12-02 11:22:15 -03:00
  • 182f24d874 Changed inventory to a dataframe and added exit filter by price Javier Rodríguez Chatruc 2019-11-28 10:43:27 -03:00
  • c60ddb0e99 Added calculation of total costs for signals. Moved check of 0 priced options to StrategyLeg Juan Pablo Amoroso 2019-11-27 17:59:02 -03:00
  • 0b0fb7e87e Fixed option flip operator Juan Pablo Amoroso 2019-11-27 10:41:34 -03:00
  • b1a0596afb Added conditions checking to Strategy Juan Pablo Amoroso 2019-11-26 17:18:26 -03:00
  • 5fa8ae97c8 Added strangle and option for reading csv Javier Rodríguez Chatruc 2019-11-08 10:53:48 -03:00
  • 88e7abc239 Merge pull request #51 from lambdaclass/file-removal-fix Juan Pablo Amoroso 2019-10-01 14:56:26 -03:00
  • 420058da94 Fixed issue with logger in backup Javier Rodríguez Chatruc 2019-10-01 14:15:02 -03:00
  • bcb3fedebd Merge pull request #50 from lambdaclass/daily-backup-fix Javier Rodríguez Chatruc 2019-09-24 18:38:15 -03:00
  • 4ab6be59e7 Files deleted correctly after successful backup Juan Pablo Amoroso 2019-09-24 18:34:44 -03:00
  • 7f93011326 Merge pull request #49 from lambdaclass/backup-logs Juan Pablo Amoroso 2019-09-24 18:22:38 -03:00
  • 8982e9634e Added logging for cboe daily backup Javier Rodríguez Chatruc 2019-09-24 18:19:49 -03:00
  • 7ad0807c53 Merge pull request #48 from lambdaclass/remove-files-after-backup Javier Rodríguez Chatruc 2019-09-10 10:45:45 -03:00
  • d330a18008 Now backup deletes local files. Fixed failed backup notifications. Juan Pablo Amoroso 2019-09-09 14:45:28 -03:00
  • e1c291a9ba Merge pull request #47 from lambdaclass/Prueba Juan Pablo Amoroso 2019-08-22 18:30:45 -03:00
  • a6aa6ea21d Fixed some minor points Javier Rodríguez Chatruc 2019-08-22 17:41:57 -03:00
  • 145797d9f2 Added backup of daily cboe Javier Rodríguez Chatruc 2019-08-21 18:38:25 -03:00
  • e6b3414cd1 Merge pull request #45 from lambdaclass/notifications_fix Cata 2019-08-09 10:37:43 -03:00
  • 7dd718c541 Fixed missing CBOE notifications Juan Pablo Amoroso 2019-08-09 10:31:40 -03:00
  • dc3ca42e79 Merge pull request #44 from catalinasy/master Juan Pablo Amoroso 2019-08-07 11:52:01 -03:00
  • b371b1cc58 Modifying gitignore to add testing data Catalina Syddall 2019-08-06 15:46:55 -03:00
  • 387dbf6c94 data_scraper/test/data Catalina Syddall 2019-08-06 15:44:06 -03:00
  • 6e1d596873 Merge pull request #43 from catalinasy/master Juan Pablo Amoroso 2019-08-06 11:10:25 -03:00
  • dd1178f4b0 reordering columns on scraper Catalina Syddall 2019-08-06 11:05:38 -03:00
  • 34e04c9add reindex symbol_df Catalina Syddall 2019-08-05 17:26:44 -03:00
  • fb0fc164f8 changing details con Makefile Catalina Syddall 2019-08-05 17:08:03 -03:00
  • 9f663ee771 Sorting array in validation Catalina Syddall 2019-08-05 16:40:04 -03:00
  • 512f146156 Merge pull request #42 from catalinasy/master Juan Pablo Amoroso 2019-08-02 18:04:43 -03:00
  • ec4c633c4c Eliminating unnecesary dependencies Catalina Syddall 2019-08-02 18:02:42 -03:00