tsuz / backtest-options Goto Github PK
View Code? Open in Web Editor NEWBacktest options strategy using historical data
License: MIT License
Backtest options strategy using historical data
License: MIT License
Why
The backtest performance can take minutes if the data goes back 18 years. We should complete this within seconds.
Currently, these make the performance slow:
Why
EOD bid/ask data seems to be more representative than the 1545 data. OHLCV covers traded prices, so this may not be the best representation of simulated trading if one is trying to cross the spread.
Acceptance Criteria
Why
Importing data can take a while since data is zipped into many files, so there should be a normalization process to combine into one file. This would save time to read each file when it's looking back many years of daily data.
Acceptance Criteria
data/options/${symbol}.csv
folder that can create a combined CSV from imported files.import
command to achieve thisWhy
A command-line should output the results of a strategy, and one obvious strategy is covered calls.
Acceptance Criteria
strategy covered-call
should run a covered call strategyWhy
One should understand drawdowns and cumulative returns
What
Why
By buying the underlying stock, selling a near-term call, and buying a far away put will give us a premium while covering the tail risk. There is no name for this, so it will be called PIP.
Acceptance Criteria
A declarative, efficient, and flexible JavaScript library for building user interfaces.
๐ Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.
TypeScript is a superset of JavaScript that compiles to clean JavaScript output.
An Open Source Machine Learning Framework for Everyone
The Web framework for perfectionists with deadlines.
A PHP framework for web artisans
Bring data to life with SVG, Canvas and HTML. ๐๐๐
JavaScript (JS) is a lightweight interpreted programming language with first-class functions.
Some thing interesting about web. New door for the world.
A server is a program made to process requests and deliver data to clients.
Machine learning is a way of modeling and interpreting data that allows a piece of software to respond intelligently.
Some thing interesting about visualization, use data art
Some thing interesting about game, make everyone happy.
We are working to build community through open source technology. NB: members must have two-factor auth.
Open source projects and samples from Microsoft.
Google โค๏ธ Open Source for everyone.
Alibaba Open Source for everyone
Data-Driven Documents codes.
China tencent open source team.