|
|
d51bec8a46
|
Add helper methods to construct iron condor strategy name strings for ensuring consistency between backtest and trades tables
|
2024-02-15 08:18:15 -08:00 |
|
|
|
8379184b62
|
Remove unused import
|
2024-02-15 06:09:49 -08:00 |
|
|
|
4e250ef57f
|
Ensure that provided dates are set to midnight in order to include all the data for the requested dates
|
2024-02-15 06:03:50 -08:00 |
|
|
|
788f238530
|
Query filters using datetime set to midnight regardless of what the caller provides as this is what is expected of the data
|
2024-02-13 14:28:27 -08:00 |
|
|
|
517e70b471
|
Remove unused import
|
2024-02-13 08:11:01 -08:00 |
|
|
|
bb8ab9f556
|
Remove unusued code for tracking total wins, win rate, and average premium received
|
2024-02-07 05:58:18 -08:00 |
|
|
|
21934e9e15
|
Add the current date to the volatility regime filter in order to support decisions on whether to trade prior to the market open
|
2024-02-06 09:17:18 -08:00 |
|
|
|
626608f1f6
|
Add example backtest which applies a volatility regime filter
|
2024-02-06 07:51:01 -08:00 |
|
|
|
e02e831288
|
Add the ability to filter out days to trade by providing a list of backtest filters
|
2024-02-06 07:50:28 -08:00 |
|
|
|
4214ed5165
|
Expose backtest filter class to clients
|
2024-02-06 07:38:18 -08:00 |
|
|
|
e2781e5b9f
|
Add volatility regime filter for filtering out trades on days when the prior close of VIX is in the 75th percentile
|
2024-02-06 07:30:24 -08:00 |
|
|
|
e688c3150f
|
Add base backtest filter class
|
2024-02-06 07:27:45 -08:00 |
|
|
|
31c60d10e3
|
Move backtest result dataclass to its own file
|
2024-02-06 05:33:17 -08:00 |
|
|
|
2c4fd834bb
|
Add script for backtesting delta targeted strategies
|
2024-02-05 08:52:35 -08:00 |
|
|
|
d80be9d245
|
Trivial string formatting change
|
2024-02-05 08:41:14 -08:00 |
|
|
|
e98b1ebfc1
|
Add script for executing credit targeted backtests
|
2024-02-05 08:37:47 -08:00 |
|
|
|
f9a02978e4
|
Add helper methods to construct call and put spread strategies for credit and delta targeting
|
2024-02-04 05:56:28 -08:00 |
|
|
|
8670609517
|
Rename credit / delta targeting utilities
|
2024-02-04 05:44:47 -08:00 |
|
|
|
6726cfc2c2
|
Remove unnecessary print statement
|
2024-02-02 13:16:46 -08:00 |
|
|
|
b4a79cf3aa
|
Prevent lookahead bias when determining the best performing entry times by not including the date being requested
|
2024-02-02 13:15:33 -08:00 |
|
|
|
477afffefa
|
Add starting date parameter for which to retrieve the best entry times for the purpose of backtesting on historical data
|
2024-02-02 13:07:15 -08:00 |
|
|
|
e0d1783715
|
Add a method to retrieve the best performing entry times over the specified period of time
|
2024-02-02 10:43:37 -08:00 |
|
|
|
2335f6798c
|
Capitalize spread field names for the sake of consistency
|
2024-02-02 07:54:06 -08:00 |
|
|
|
05288fc235
|
Removing comments as backtest is now successful over all dates and entry times in 2018
|
2024-02-01 06:14:00 -08:00 |
|
|
|
527bca9682
|
Remove bounding information from delta targeting strategy and instead use a fixed target
|
2024-02-01 05:56:47 -08:00 |
|
|
|
ea46e6dd13
|
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
|
2024-01-31 14:51:28 -08:00 |
|
|
|
c56e7bf0bf
|
Prevent backtests over periods where the market closes early
|
2024-01-31 13:46:50 -08:00 |
|
|
|
f0f6e02a12
|
Remove unnecessary code
|
2024-01-30 12:37:22 -08:00 |
|
|
|
98ce824d19
|
Remove unnecessary depenency on plotly as plotting logic was moved to another module
|
2024-01-30 11:19:28 -08:00 |
|
|
|
ab3f28e1e4
|
Remove plotting logic and instead depend on local plotting module
|
2024-01-30 11:17:46 -08:00 |
|
|
|
f223238bd5
|
Resolve issue where backtest results were incorrect when stopping out and perform backtests in parallel using multiprocessing
|
2024-01-30 08:49:18 -08:00 |
|
|
|
f940607dee
|
Expose available entry times to clients
|
2024-01-30 08:42:03 -08:00 |
|
|
|
e4bb364e11
|
Add TODO for sanitizing the start and end dates
|
2024-01-19 07:57:39 -08:00 |
|
|
|
02763460cf
|
Refactor strategy creation to enable clients to more easily perform backtests
|
2024-01-17 11:37:37 -08:00 |
|
|
|
93930bfea8
|
Add spread information to backtest result data frame
|
2024-01-16 06:32:27 -08:00 |
|
|
|
1b475175c0
|
Update backtest result data frame to conform to table schema
|
2024-01-15 11:32:00 -08:00 |
|
|
|
936b32f35f
|
Local Python module setup and configuration
|
2024-01-10 05:18:42 -08:00 |
|
|
|
ff897199fc
|
Add requirements.txt
|
2024-01-10 05:13:41 -08:00 |
|
|
|
94d05f060f
|
Add script for backtesting iron condors based on entry time and target delta or credit
|
2023-12-28 07:48:14 -08:00 |
|
|
|
f72a8270bd
|
Add .gitignore
|
2023-12-28 07:44:05 -08:00 |
|
