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d27b0e301c
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Add ATR regime backtest filter
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2024-07-29 11:52:10 -07:00 |
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0c92789d26
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Use the correct exit slippage when updating spread details
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2024-05-22 07:38:53 -07:00 |
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a804dcc7b1
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Add VVIX regime filter for backtesting options
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2024-05-12 05:07:29 -07:00 |
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3926429751
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Remove unused metrics collection code
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2024-03-26 05:35:39 -07:00 |
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663d4e13a3
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Trivial formatting change
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2024-03-25 13:21:53 -07:00 |
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4532e2499f
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Utilize configurable entry and exit slippages provided by the client via the option spread strategies
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2024-03-10 05:26:11 -07:00 |
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50269972ae
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Add entry and exit slippage to option spread strategies so that they can ultimately be configured by the client
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2024-03-10 05:23:26 -07:00 |
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37c3ebe1fa
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Incorporate more realistic slippage into entries and exits
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2024-03-07 12:58:59 -08:00 |
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2ea84e8dcd
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Correctly update the closing price of each spread
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2024-03-04 15:59:06 -08:00 |
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16db358eaf
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Trivial indentation fix
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2024-03-04 11:05:51 -08:00 |
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311a0595f8
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Remove logging basic configuration as 1) the log level defaults to warnings already and 2) this was causing issues downstream when importing backtesting logic in other packages as subsequent calls to set the basic configuration are ignored
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2024-02-16 07:44:20 -08:00 |
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d51bec8a46
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Add helper methods to construct iron condor strategy name strings for ensuring consistency between backtest and trades tables
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2024-02-15 08:18:15 -08:00 |
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8379184b62
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Remove unused import
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2024-02-15 06:09:49 -08:00 |
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4e250ef57f
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Ensure that provided dates are set to midnight in order to include all the data for the requested dates
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2024-02-15 06:03:50 -08:00 |
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788f238530
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Query filters using datetime set to midnight regardless of what the caller provides as this is what is expected of the data
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2024-02-13 14:28:27 -08:00 |
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517e70b471
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Remove unused import
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2024-02-13 08:11:01 -08:00 |
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bb8ab9f556
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Remove unusued code for tracking total wins, win rate, and average premium received
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2024-02-07 05:58:18 -08:00 |
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21934e9e15
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Add the current date to the volatility regime filter in order to support decisions on whether to trade prior to the market open
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2024-02-06 09:17:18 -08:00 |
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e02e831288
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Add the ability to filter out days to trade by providing a list of backtest filters
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2024-02-06 07:50:28 -08:00 |
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4214ed5165
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Expose backtest filter class to clients
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2024-02-06 07:38:18 -08:00 |
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e2781e5b9f
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Add volatility regime filter for filtering out trades on days when the prior close of VIX is in the 75th percentile
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2024-02-06 07:30:24 -08:00 |
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e688c3150f
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Add base backtest filter class
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2024-02-06 07:27:45 -08:00 |
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31c60d10e3
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Move backtest result dataclass to its own file
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2024-02-06 05:33:17 -08:00 |
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f9a02978e4
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Add helper methods to construct call and put spread strategies for credit and delta targeting
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2024-02-04 05:56:28 -08:00 |
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8670609517
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Rename credit / delta targeting utilities
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2024-02-04 05:44:47 -08:00 |
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6726cfc2c2
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Remove unnecessary print statement
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2024-02-02 13:16:46 -08:00 |
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b4a79cf3aa
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Prevent lookahead bias when determining the best performing entry times by not including the date being requested
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2024-02-02 13:15:33 -08:00 |
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477afffefa
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Add starting date parameter for which to retrieve the best entry times for the purpose of backtesting on historical data
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2024-02-02 13:07:15 -08:00 |
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e0d1783715
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Add a method to retrieve the best performing entry times over the specified period of time
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2024-02-02 10:43:37 -08:00 |
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2335f6798c
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Capitalize spread field names for the sake of consistency
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2024-02-02 07:54:06 -08:00 |
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05288fc235
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Removing comments as backtest is now successful over all dates and entry times in 2018
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2024-02-01 06:14:00 -08:00 |
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527bca9682
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Remove bounding information from delta targeting strategy and instead use a fixed target
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2024-02-01 05:56:47 -08:00 |
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ea46e6dd13
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Refactoring credit and delta targeting strike selection in order to prevent scenarios where an infinite loop is entered and assigning a default value to the current call and put spread prices
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2024-01-31 14:51:28 -08:00 |
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c56e7bf0bf
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Prevent backtests over periods where the market closes early
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2024-01-31 13:46:50 -08:00 |
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f0f6e02a12
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Remove unnecessary code
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2024-01-30 12:37:22 -08:00 |
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98ce824d19
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Remove unnecessary depenency on plotly as plotting logic was moved to another module
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2024-01-30 11:19:28 -08:00 |
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ab3f28e1e4
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Remove plotting logic and instead depend on local plotting module
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2024-01-30 11:17:46 -08:00 |
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f223238bd5
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Resolve issue where backtest results were incorrect when stopping out and perform backtests in parallel using multiprocessing
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2024-01-30 08:49:18 -08:00 |
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f940607dee
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Expose available entry times to clients
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2024-01-30 08:42:03 -08:00 |
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e4bb364e11
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Add TODO for sanitizing the start and end dates
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2024-01-19 07:57:39 -08:00 |
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02763460cf
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Refactor strategy creation to enable clients to more easily perform backtests
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2024-01-17 11:37:37 -08:00 |
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93930bfea8
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Add spread information to backtest result data frame
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2024-01-16 06:32:27 -08:00 |
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1b475175c0
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Update backtest result data frame to conform to table schema
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2024-01-15 11:32:00 -08:00 |
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936b32f35f
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Local Python module setup and configuration
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2024-01-10 05:18:42 -08:00 |
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