QT202: Quantitative Options Backtesting
Develop in Python a powerful, vectorised quantitative engine to test out any options strategy, complete with automatic contract selection, rebalancing and delta hedging features.
DISCLAIMER
Introduction to QT202; Challenges
Setting Up
Data Buffer
Backtesting the Index Variance Premium
A Different Data Format
Objected Oriented Programs and Data Schema
Dynamic Selection of Arbitrary Option Strategy Legs
Data Preparation for Vectorization
Vectorization
Code Run-through
Discrete Contract Reselection
Discrete Delta Hedging
Optimizations and Logging
Analysing the Simulation Logs
More Abstraction, Using Alternative Datasets, Custom Rebalancing and Custom Hedging