nkhosi007 / artanis

Option Trading Strategy Backtester

Options trading strategy backtest module

This is a backtest module disigned for options only

Language: Matlab (yeah yeah yeah, it's not a real language, I get it)

Author: Jerry Wong

Aug-2016

Basic functions and classes:

genVIX:

• compute an analog of VIX for a specific stock
• requires options historical data

portfolio (handle class)

properties

• mktInfo: current available options and info
• cash: $$$$$$$
• options: record of current position
• order history: log of orders ever placed
• activeOrders: output of the strategy

methods

• genVIX(): compute the genVIX for this stock
• policy(): trading strategy, output a set of orders
• settleExpiredOptions(): output a set of orders to close the position of expired options
• getStatus(): output the current holdings, gross & net profit and total fee since the first trading day

leapyear(year): boolean function, check for leapyear

smooth(list): compute the mid point of every two adjadent data point in list

zeroFilter(mktInfo): remove the options with 0 bid price