mirror of
https://github.com/wassname/options_backtester.git
synced 2026-06-27 19:31:36 +08:00
Juan Pablo Amoroso
133 lines
4.5 KiB
Markdown
133 lines
4.5 KiB
Markdown
Options Backtester
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==============================
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Simple backtester to evaluate and analyse options strategies over historical price data.
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- [Requirements](#requirements)
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- [Setup](#setup)
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- [Usage](#usage)
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- [Recommended Reading](#recommended-reading)
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- [Data Sources](#data-sources)
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## Requirements
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- Python >= 3.5
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- pipenv
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## Setup
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For backtesting, set `$OPTIONS_DATA_PATH` to the appropriate directory where the data is located. All file paths parsed by the backtester will be relative to this directory.
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To use the data scraper the following environment variables need to be set:
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- `$SAVE_DATA_PATH`: where the data will be saved to (default is `./data/scraped`)
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- `$TIINGO_API_KEY`: used to fetch data from [Tiingo](https://api.tiingo.com)
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- `$S3_BUCKET`: name of the S3 bucket to backup data
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- `$AWS_ACCESS_KEY_ID`: AWS acces key id
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- `$AWS_SECRET_ACCESS_KEY`: AWS secret key
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You can configure the data scraper by editing the configuration file `data_scraper.conf` (json-formated).
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Sample file:
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```json
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{
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"cboe": {
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"mute_notifications": ["BFB", "CBSA"]
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},
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"notifications": {
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"slack_webhook": "https://hooks.slack.com/services/MY_WORKSPACE_WEBHOOK"
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}
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}
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```
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**HINT**: store environment variables in an `.env` file and pipenv will load them automatically when using `make env`.
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## Usage
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### Create environment and download dependencies
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```shell
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$> make init
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```
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### Activate environment
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```shell
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$> make env
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```
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### Run tests
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```shell
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$> make test
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```
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### Scrape data (supported scrapers: CBOE, Tiingo)
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```shell
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$> make scrape scraper=cboe
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$> make scrape scraper=tiingo
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```
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### Run backtester with benchmark strategy
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```shell
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$> make bench
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```
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## Recommended reading
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For complete novices in finance and economics, this [post](https://notamonadtutorial.com/how-to-earn-your-macroeconomics-and-finance-white-belt-as-a-software-developer-136e7454866f) gives a comprehensive introduction.
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### Books
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#### Introductory
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- Option Volatility and Pricing 2nd Ed. - Natemberg, 2014
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- Options, Futures, and Other Derivatives 10th Ed. - Hull 2017
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- Trading Options Greeks: How Time, Volatility, and Other Pricing Factors Drive Profits 2nd Ed. - Passarelli 2012
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#### Intermediate
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- Trading Volatility - Bennet 2014
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- Volatility Trading 2nd Ed. - Sinclair 2013
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#### Advanced
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- Dynamic Hedging - Taleb 1997
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- The Volatility Surface: A Practitioner's Guide - Gatheral 2006
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- The Volatility Smile - Derman & Miller 2016
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### Papers
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- [Volatility: A New Return Driver?](http://static.squarespace.com/static/53974e3ae4b0039937edb698/t/53da6400e4b0d5d5360f4918/1406821376095/Directional%20Volatility%20Research.pdf)
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- [Easy Volatility Investing](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2255327)
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- [Everybody’s Doing It: Short Volatility Strategies and Shadow Financial Insurers](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3071457)
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- [Volatility-of-Volatility Risk](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2497759)
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- [The Distribution of Returns](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2828744)
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- [Safe Haven Investing Part I - Not all risk mitigation is created equal](https://www.universa.net/UniversaResearch_SafeHavenPart1_RiskMitigation.pdf)
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- [Safe Haven Investing Part II - Not all risk is created equal](https://www.universa.net/UniversaResearch_SafeHavenPart2_NotAllRisk.pdf)
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- [Safe Haven Investing Part III - Those wonderful tenbaggers](https://www.universa.net/UniversaResearch_SafeHavenPart3_Tenbaggers.pdf)
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- [Insurance makes wealth grow faster](https://arxiv.org/abs/1507.04655)
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- [Ergodicity economics](https://ergodicityeconomics.files.wordpress.com/2018/06/ergodicity_economics.pdf)
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- [The Rate of Return on Everything, 1870–2015](https://economics.harvard.edu/files/economics/files/ms28533.pdf)
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- [Volatility and the Alchemy of Risk](https://static1.squarespace.com/static/5581f17ee4b01f59c2b1513a/t/59ea16dbbe42d6ff1cae589f/1508513505640/Artemis_Volatility+and+the+Alchemy+of+Risk_2017.pdf)
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## Data sources
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### Exchanges
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- [IEX](https://iextrading.com/developer/)
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- [Tiingo](https://api.tiingo.com/)
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- [CBOE Options Data](http://www.cboe.com/delayedquote/quote-table-download)
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### Historical Data
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- [Shiller's US Stocks, Dividends, Earnings, Inflation (CPI), and long term interest rates](http://www.econ.yale.edu/~shiller/data.htm)
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- [Fama/French US Stock Index Data](http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html)
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- [FRED CPI, Interest Rates, Trade Data](https://fred.stlouisfed.org)
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- [REIT Data](https://www.reit.com/data-research/reit-market-data/reit-industry-financial-snapshot)
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