bsm-time-machine
Unverified Other strategy on Options by m12t. BotFinder score 18 out of 100.
A Black-Scholes-based options backtesting simulator
Source: github
BotFinder analysis pending.
bsm-time-machine
bsm-time-machine This is a rough and ready options backtesting model that estimates historical options pricing by plugging in realized implied volatility to the Black-Scholes Model to roughly price options. It is for educational purposes and is useful for those of us who don't have $$$ to spend for historical options data. How backtester.ipynb Works 1. The notebook will read a pickled pandas dataframe containing historical data in a specific format containing OHLC (open, high, low, close) price and implied volatility data, as well as a few other calculated columns spit out from utils/getdata.ipynb (more on this below) 2. Based on the input parameters, the strikes will be calculated for the position (either a fixed coefficient such as '1.05 x' for 5% OTM at open, or '1.2 SD' for a position that is 1.2 standard deviations OTM for the given holding period (in days) (based of implied volatility, not realized volatility). 3. Then, the options are priced according to the Black-Scholes model using a 3 dimensional numpy array that is of size hp (holding period) in the 3rd dimension. The thir
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Recalculated at each data collection. Transparency means showing the bad weeks too.
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Alerts on changes: coming soon
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Open-source maintainer on GitHub.
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