moshferatu/options-backtesting
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  • d27b0e301c Add ATR regime backtest filter main moshferatu 2024-07-29 11:52:10 -0700
  • 0c92789d26 Use the correct exit slippage when updating spread details moshferatu 2024-05-22 07:38:53 -0700
  • a804dcc7b1 Add VVIX regime filter for backtesting options moshferatu 2024-05-12 05:07:29 -0700
  • 3926429751 Remove unused metrics collection code moshferatu 2024-03-26 05:35:39 -0700
  • 663d4e13a3 Trivial formatting change moshferatu 2024-03-25 13:21:53 -0700
  • 4532e2499f Utilize configurable entry and exit slippages provided by the client via the option spread strategies moshferatu 2024-03-10 05:26:11 -0700
  • 50269972ae Add entry and exit slippage to option spread strategies so that they can ultimately be configured by the client moshferatu 2024-03-10 05:23:26 -0700
  • 37c3ebe1fa Incorporate more realistic slippage into entries and exits moshferatu 2024-03-07 12:58:59 -0800
  • 2ea84e8dcd Correctly update the closing price of each spread moshferatu 2024-03-04 15:59:06 -0800
  • 16db358eaf Trivial indentation fix moshferatu 2024-03-04 11:05:51 -0800
  • 311a0595f8 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 moshferatu 2024-02-16 07:44:20 -0800
  • d51bec8a46 Add helper methods to construct iron condor strategy name strings for ensuring consistency between backtest and trades tables moshferatu 2024-02-15 08:18:15 -0800
  • 8379184b62 Remove unused import moshferatu 2024-02-15 06:09:49 -0800
  • 4e250ef57f Ensure that provided dates are set to midnight in order to include all the data for the requested dates moshferatu 2024-02-15 06:03:50 -0800
  • 788f238530 Query filters using datetime set to midnight regardless of what the caller provides as this is what is expected of the data moshferatu 2024-02-13 14:28:27 -0800
  • 517e70b471 Remove unused import moshferatu 2024-02-13 08:11:01 -0800
  • bb8ab9f556 Remove unusued code for tracking total wins, win rate, and average premium received moshferatu 2024-02-07 05:58:18 -0800
  • 21934e9e15 Add the current date to the volatility regime filter in order to support decisions on whether to trade prior to the market open moshferatu 2024-02-06 09:17:18 -0800
  • 626608f1f6 Add example backtest which applies a volatility regime filter moshferatu 2024-02-06 07:51:01 -0800
  • e02e831288 Add the ability to filter out days to trade by providing a list of backtest filters moshferatu 2024-02-06 07:50:28 -0800
  • 4214ed5165 Expose backtest filter class to clients moshferatu 2024-02-06 07:38:18 -0800
  • e2781e5b9f Add volatility regime filter for filtering out trades on days when the prior close of VIX is in the 75th percentile moshferatu 2024-02-06 07:30:24 -0800
  • e688c3150f Add base backtest filter class moshferatu 2024-02-06 07:27:45 -0800
  • 31c60d10e3 Move backtest result dataclass to its own file moshferatu 2024-02-06 05:33:17 -0800
  • 2c4fd834bb Add script for backtesting delta targeted strategies moshferatu 2024-02-05 08:52:35 -0800
  • d80be9d245 Trivial string formatting change moshferatu 2024-02-05 08:41:14 -0800
  • e98b1ebfc1 Add script for executing credit targeted backtests moshferatu 2024-02-05 08:37:47 -0800
  • f9a02978e4 Add helper methods to construct call and put spread strategies for credit and delta targeting moshferatu 2024-02-04 05:56:28 -0800
  • 8670609517 Rename credit / delta targeting utilities moshferatu 2024-02-04 05:44:47 -0800
  • 6726cfc2c2 Remove unnecessary print statement moshferatu 2024-02-02 13:16:46 -0800
  • b4a79cf3aa Prevent lookahead bias when determining the best performing entry times by not including the date being requested moshferatu 2024-02-02 13:15:33 -0800
  • 477afffefa Add starting date parameter for which to retrieve the best entry times for the purpose of backtesting on historical data moshferatu 2024-02-02 13:07:15 -0800
  • e0d1783715 Add a method to retrieve the best performing entry times over the specified period of time moshferatu 2024-02-02 10:43:37 -0800
  • 2335f6798c Capitalize spread field names for the sake of consistency moshferatu 2024-02-02 07:54:06 -0800
  • 05288fc235 Removing comments as backtest is now successful over all dates and entry times in 2018 moshferatu 2024-02-01 06:14:00 -0800
  • 527bca9682 Remove bounding information from delta targeting strategy and instead use a fixed target moshferatu 2024-02-01 05:56:47 -0800
  • 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 moshferatu 2024-01-31 14:51:28 -0800
  • c56e7bf0bf Prevent backtests over periods where the market closes early moshferatu 2024-01-31 13:46:50 -0800
  • f0f6e02a12 Remove unnecessary code moshferatu 2024-01-30 12:37:22 -0800
  • 98ce824d19 Remove unnecessary depenency on plotly as plotting logic was moved to another module moshferatu 2024-01-30 11:19:28 -0800
  • ab3f28e1e4 Remove plotting logic and instead depend on local plotting module moshferatu 2024-01-30 11:17:46 -0800
  • f223238bd5 Resolve issue where backtest results were incorrect when stopping out and perform backtests in parallel using multiprocessing moshferatu 2024-01-30 08:49:18 -0800
  • f940607dee Expose available entry times to clients moshferatu 2024-01-30 08:42:03 -0800
  • e4bb364e11 Add TODO for sanitizing the start and end dates moshferatu 2024-01-19 07:57:39 -0800
  • 02763460cf Refactor strategy creation to enable clients to more easily perform backtests moshferatu 2024-01-17 11:37:37 -0800
  • 93930bfea8 Add spread information to backtest result data frame moshferatu 2024-01-16 06:32:27 -0800
  • 1b475175c0 Update backtest result data frame to conform to table schema moshferatu 2024-01-15 11:32:00 -0800
  • 936b32f35f Local Python module setup and configuration moshferatu 2024-01-10 05:18:42 -0800
  • ff897199fc Add requirements.txt moshferatu 2024-01-10 05:13:41 -0800
  • 94d05f060f Add script for backtesting iron condors based on entry time and target delta or credit moshferatu 2023-12-28 07:48:14 -0800
  • f72a8270bd Add .gitignore moshferatu 2023-12-28 07:44:05 -0800