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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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