Commit Graph

26 Commits

Author SHA1 Message Date
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