backtest-options

Backtest options strategy using historical data from livevol

Examples

To import data from live vol into your system,

go build
> ./backtest-options import /<livevol-dir>

Successfully imported

to use the data for strategy, run

> ./backtest-options strategy pip  --minCallDTE=4 --minPutDTE=150 

+------------+------------+------------------+------------------+--------------+----------------------+-------------+--------------+------------+---------------+----------------+-------------------+
| OPEN DATE  | CLOSE DATE |   CALL PRODUCT   |   PUT PRODUCT    | TOTAL PROFIT | COVERED CALL PREMIUM | PUT OPEN PX | PUT CLOSE PX | PUT PROFIT | STOCK OPEN PX | STOCK CLOSE PX | CUMULATIVE PROFIT |
+------------+------------+------------------+------------------+--------------+----------------------+-------------+--------------+------------+---------------+----------------+-------------------+
| 2005-01-10 | 2005-01-22 | 121 C 2005-01-22 | 113 P 2005-06-18 |       -154.5 |                 0.25 |        2.08 |         2.55 |       0.48 |       118.845 |        116.575 |            -154.5 |
| 2005-01-24 | 2005-02-19 | 119 C 2005-02-19 | 111 P 2005-09-17 |        154.5 |                0.625 |        3.03 |         1.78 |      -1.25 |       116.575 |        118.745 |                 0 |
| 2005-02-22 | 2005-03-19 | 121 C 2005-03-19 | 113 P 2005-09-17 |           19 |                0.475 |        2.23 |         2.35 |       0.13 |       118.745 |        118.335 |                19 |

....

| 2008-01-22 | 2008-02-16 | 134 C 2008-02-16 | 125 P 2008-06-21 |          357 |                2.885 |        5.88 |         4.03 |      -1.85 |       131.465 |            134 |              1840 |
| 2008-02-19 | 2008-03-22 | 138 C 2008-03-22 | 128 P 2008-09-20 |        167.5 |                2.485 |        6.83 |         6.43 |      -0.40 |       135.225 |        134.815 |            2007.5 |
| 2008-03-24 | 2008-03-31 | 138 C 2008-03-31 | 128 P 2008-09-20 |         -151 |                 0.44 |        6.43 |         6.93 |       0.50 |       134.815 |        132.365 |            1856.5 |
+------------+------------+------------------+------------------+--------------+----------------------+-------------+--------------+------------+---------------+----------------+-------------------+
+-------------------+------------------+--------------+-------------------+
|   TOTAL PROFIT    | TOTAL EXECUTIONS | MAX DRAWDOWN |    BUY & HOLD     |
+-------------------+------------------+--------------+-------------------+
| 1856.50 (15.62 %) |               46 |      1105.26 | 1352.00 (11.38 %) |
+-------------------+------------------+--------------+-------------------+

Strategies

Strategies are run like below

• Covered Call
• PIP, an index hedging strategy (near term covered call + far out long put)
• The Wheel (short put -> assignment -> short call -> taken away -> short put)
• Iron Condor at high IV
• Short Straddles at high IV
• Long Put at low IV

Features

• Outputs meta data of the strategy with cumulative profit
• Outputs each execution row as detail
• Add IV rank to past data and support IV rank in strategies parameter
• Add Graphs for visual representation
• Improve backtest performance
• Ability to export as CSV
• Ability to run multiple strategies side by side for a comparison
• Import multiple symbols from CBOE
• Import Nikkei 225 Options data

Strategies parameter

Covered Call

TODO

PIP Strategy

Param	Comment	Default
minPutDTE	MinPutExpDTE is the minimum number of DTE until the next expiry for the put option	150
minCallDTE	MinCallExpDTE is the minimum number of DTE until the next expiry for the call option	4